UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza

4^th Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2014 to December 31, 2014

Item 1. Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)

Annual Report

December 31, 2014

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Diversified Arbitrage Fund	2
AQR Equity Market Neutral Fund	5
AQR Global Macro Fund	7
AQR Long-Short Equity Fund	11
AQR Managed Futures Strategy Fund	13
AQR Managed Futures Strategy HV Fund	16
AQR Multi-Strategy Alternative Fund	19
AQR Risk-Balanced Commodities Strategy Fund	22
AQR Risk Parity Fund	25
AQR Risk Parity II HV Fund	28
AQR Risk Parity II MV Fund	31
AQR Style Premia Alternative Fund	34
AQR Style Premia Alternative LV Fund	36
Schedule of Investments
AQR Diversified Arbitrage Fund	42
AQR Equity Market Neutral Fund	69
AQR Global Macro Fund	85
AQR Long-Short Equity Fund	97
AQR Managed Futures Strategy Fund	122
AQR Managed Futures Strategy HV Fund	131
AQR Multi-Strategy Alternative Fund	140
AQR Risk-Balanced Commodities Strategy Fund	190
AQR Risk Parity Fund	194
AQR Risk Parity II HV Fund	204
AQR Risk Parity II MV Fund	210
AQR Style Premia Alternative Fund	216
AQR Style Premia Alternative LV Fund	240
Financial Statements and Notes	262
Report of Independent Registered Public Accounting Firm	339
Other Federal Tax Information (unaudited)	340
Fund Expense Examples (unaudited)	341
Trustees and Officers (unaudited)	345
Board Approval of Investment Advisory Agreements (unaudited)	347

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Ronen Israel

Principal

Mark Mitchell Ph.D.

Founding Principal, CNH Partners

Lars Nielsen

Principal

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

For the first year since inception, the AQR Diversified Arbitrage Fund (the “Fund”) in 2014 posted negative performance. The Fund invests in merger arbitrage, convertible arbitrage and event-driven strategies using corporate securities. The investment process seeks to capture liquidity premia associated with a wide range of corporate events. The Fund’s diversified approach imposes a risk management control whereby the expected downside loss from any single investment contributes less than 1% to overall Fund performance. In 2014, the largest single downside loss was -0.73%, resulting from a merger termination. Although the Fund successfully limited idiosyncratic exposure, it endured multiple adverse events and general spread-widening, which created losses across the arbitrage community. The Class I shares returned -5.25% in 2014, while the Merrill Lynch 3-Month Treasury Bill Index (the Fund’s benchmark) and the S&P 500 Index returned +0.03% and +13.69%, respectively. As described in detail below, each of the strategies in which the Fund invests contributed negatively to the overall performance. The Fund’s performance in 2014 was not driven by overall stock market returns – much of the Fund’s negative return occurred in the fourth quarter. Based on monthly return data since inception (January 15, 2009) through December 31, 2014, the Fund’s equity market beta (relative to the S&P 500) is 0.06, its annualized volatility is 2.6%, and its Sharpe ratio is 0.9.

Fund Description

Unlike textbook arbitrage where identical securities can simultaneously be bought and sold for different prices, corporate arbitrage investments involve the purchase and sale of similar 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 theoretical value, and through daily short-selling of the issuer’s common stock, effectively sell the call option that is embedded in the convertible bond. Profits are generated if the effective price obtained by selling the call option via daily hedging is greater than the price paid for the call option when the bond was purchased.

Like merger arbitrage and convertible arbitrage, other 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 hedge the embedded systematic risk. Where there is no natural hedge for a purchased security, market hedges are employed. For example, systematic equity market risk is hedged by shorting S&P futures, while systematic credit risk and interest rate risk are hedged using market indices (Credit Default Swap contracts and Treasury futures). Although market hedges effectively mitigate systematic risk (e.g., beta), they expose the Fund to basis risk – the basket of securities purchased around corporate events do not necessarily move in lockstep with the hedging instruments.

Performance Attribution

Each of the strategies in which the Fund invests (merger arbitrage, convertible arbitrage and event-driven) contributed negatively to the Fund’s 2014 performance. Of the strategies, convertible arbitrage performed the best, with a -0.19% contribution for the year. Losses in the convertible arbitrage strategy were largely caused by a general cheapening of convertible bonds relative to their theoretical values. Throughout most of the last two years, the market price of the median equity-sensitive convertible bond was close to theoretical value. However, beginning in September 2014, bond prices fell relative to theoretical values reaching a discount at the end of the year near 1%. While a 1% decline may seem small, it has significant ramifications for levered arbitrage funds and caused serious losses across the convertible arbitrage community. For example, the average investable convertible arbitrage index returned -5.6% in 2014, and most of that loss occurred in the fourth quarter.¹ While it is difficult to know with certainty the ultimate source of convertible cheapening, it is

¹  The average convertible arbitrage index is obtained by taking the average return of the HFRX convertible arbitrage index and the CSFB/All-Hedge convertible arbitrage index.

AQR Funds Annual Report December 2014

2

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

likely that part of the explanation lies with the increase in activity in the convertible new-issue market. Over the prior three years, the convertible universe decreased as redemptions and maturities outpaced new issuance. This trend reversed in late 2013 and throughout 2014 as the new-issue market was active. As a result, convertible funds that were fully invested had to sell legacy paper in order to make room for new issues, and this likely put downward pressure on bond prices in the secondary market. As discussed below, the new-issue market remains active and we expect it to be so throughout 2015. The Fund avoided large losses in convertible arbitrage for two reasons. First, the exposure to convertible arbitrage was reduced earlier in the year by selling rich bonds and because of a general lack of opportunity to reinvest in cheap bonds. Second, the convertible bonds that the Fund holds, on average, are highly equity-sensitive and therefore have less exposure to convertible market cheapening compared to credit-sensitive convertible bonds.

Like convertible arbitrage, merger arbitrage also negatively impacted the Fund’s 2014 performance. Over 2014, merger arbitrage contributed -1.08%, nearly all of which occurred in the fourth quarter with the failure of two mergers and an increase in overall merger spreads. In particular, the failed tax-inversion acquisition of Shire by AbbVie caused significant losses across the merger-arbitrage community (including the Fund) and contributed to a substantial widening of merger spreads. Prior to the Shire/AbbVie failure, the median merger spread was approximately 4% (annualized). The median merger spread increased to almost 10% following the Shire/AbbVie failure and has been bouncing between 5% and 10% since. Losses from failed mergers are permanent and in most cases will not be recouped. However, as discussed below, the increase in merger spreads that typically follows a large merger failure provides more attractive opportunities going forward, and those opportunities can generate returns that offset the original loss.

Event-driven investments contributed the largest losses, -3.98%, to the Fund’s 2014 total return. These losses were driven by negative performance in spinoffs in the third quarter, and by investments in distressed credit in the fourth quarter. Some of the losses can be attributed to adverse developments in the energy sector that resulted from the rapid decrease in the price of oil. While the Fund did not have an overweight in the energy sector, the basis risk that existed between event-driven energy investments and the market indices used as hedges did not offset, resulting in net losses. More generally, the Fund’s event-driven losses were spread across industry sectors and were idiosyncratic in nature, often resulting from adverse court rulings. In one notable investment, senior secured debt that would typically be fully covered lost 20% when a bankruptcy judge forced holders to accept new notes issued by the post-bankruptcy entity with a sub-market rate of interest. These types of outcomes are not completely unexpected, but they occur infrequently and are typically offset by positions that receive a surprisingly positive outcome. However, in the third and fourth quarters of 2014, positive surprises were few, and those that were realized failed to offset negative surprises.

Looking Forward

Losses associated with arbitrage trades come in two flavors. The first type of loss is a permanent loss, typically associated with merger failures or convertible bond defaults. Following these events, there is little chance that the investment will recover. The second type of loss is temporary, and is associated with spread widening, often the result of contagion associated with an event that caused a permanent loss. Although there are no guarantees, temporary losses are often recouped as the underlying event (for example, a merger) is consummated, causing the arbitrage spread to close. Although general spread widening can cause mark-to-market losses, it often presents an opportunity to invest at attractive spread levels. The Shire/AbbVie situation described above is an example. Given the few number of tax-inversion mergers, the general spread widening that followed the merger failure was not likely to have been caused by an increase in tax inversion deal risk and instead reflected investors’ general increase in risk aversion associated with merger targets. For merger arbitrageurs, the price they receive for assuming deal risk effectively doubled without a commensurate increase in risk. Similarly, in convertible arbitrage, the median discount of a convertible bond price to its fundamental value increased from approximately 0% to approximately 1% over the span of a few weeks. Although this caused losses for convertible arbitrage funds, it also created the opportunity to invest at more attractive prices. The permanent/temporary nature of losses in the event-driven space is not as well defined as it is in merger and convertible strategies. However, given the recently negative returns realized in various event strategies, it is likely that future opportunities will come at more attractive prices.

In addition to wide spreads, an attractive arbitrage environment requires robust deal flow. In that regard, the current environment is above average. Although merger deal flow has slowed since the very active 4th quarter of 2014, the merger universe is still large compared to history. Convertible new issuance, which as described above likely contributed to cheapening in the convertible market, significantly outpaced redemptions and maturities in 2014. The recent decrease in investors’ appetites for new high-yield paper portends well for convertible issuance as cash-strapped issuers try to minimize cash coupon payments. Finally, the anticipated market value of new spinoffs anticipated in 2015 is at record levels, and the recent implosion of oil prices is likely to create meaningful opportunities in distressed energy companies (i.e., mergers and

AQR Funds Annual Report December 2014

3

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

bankruptcies). Unlike prior years, we expect investment opportunities to be above average in the coming year. Irrespective of where the Fund deploys capital in 2015, we will continue to hedge systematic equity, credit and interest-rate risk, with the intention of delivering uncorrelated positive returns.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR DIVERSIFIED ARBITRAGE FUND
	1 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ADAIX		-5.25%		1.05%		2.38%		1/15/2009
Fund - Class N: ADANX		-5.51%		0.79%		2.11%		1/15/2009
Fund - Class R6: QDARX		na		na		-5.99%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.09%		0.11%		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 1.71%, 1.95% and 1.61%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR DIVERSIFIED ARBITRAGE FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 1/15/2009

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 2014

4

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Lars Nielsen

Principal

Dear Shareholder:

The AQR Equity Market Neutral Fund seeks to provide investors with returns from the potential gains from its long and short equity positions. The Fund is designed to be market- or beta-neutral, which means that 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 Advisor, on average, intends to target a portfolio beta of zero over a normal business cycle.

Since the Fund targets a beta of zero, an appropriate benchmark is U.S. cash returns, which remain at near-zero levels. Since inception (October 7^th 2014), the Fund handily outperformed the Merrill Lynch 3-Month Treasury Bill Index, its benchmark, with the Class I shares returning 5.93% vs the benchmark return of 0.00% during the period. Global developed equity markets, by comparison, performed slightly positively during this period (up +0.35%), driven mainly by positive growth in the U.S.

Fund returns were driven by the strong performance of most of our investment themes. All of our Momentum-related themes (within industry, across industry and indirect Momentum) worked particularly well in the fourth quarter. Valuation signals within and across industries underperformed slightly. These valuation themes tend to be negatively correlated to momentum signals. Geographically, stocks in the U.S. and U.K. contributed the most to overall returns, while in no specific country did stock selection detract meaningfully from returns. At the sector level, the stock selection strategy worked best within and across information technology and energy in 2014.

The Fund ended the year with a highly diversified stock portfolio of 440 long positions and 407 short positions. The Fund achieved its exposure mainly through the use of total return basket swaps. Securities remained globally diversified with approximately 50% of the Fund invested outside of the U.S. The Fund does make small industry plays. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in materials and energy.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR EQUITY MARKET NEUTRAL FUND
	Since Inception		Date of Inception
Fund - Class I: QMNIX		5.93%		10/7/2014
Fund - Class N: QMNNX		5.88%		10/7/2014
Fund - Class R6: QMNRX		5.95%		10/7/2014
Merrill Lynch 3-Month Treasury Bill Index		0.00%		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 2.10%, 2.35% and 2.00%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2014

5

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

AQR EQUITY MARKET NEUTRAL FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 10/7/2014

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 2014

6

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

John Liew

Founding Principal

Michael Katz

Principal

Lars Nielsen

Principal

Jordan Brooks

Vice President

David Kupersmith

Managing Director

Dear Shareholders:

The AQR Global Macro Mutual Fund (the “Fund”) invests across four liquid asset classes: fixed income, currencies, commodities and equities, mainly through the use of swaps, futures and forward foreign currency exchange contracts. Within each asset class, we take both relative value and directional positions. The strategy is long-term market-neutral, but can take directional views over the short term. 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 we trade. 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 call macro 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 aim to capture the best features of both approaches while maintaining the benefits of a systematic and disciplined process.

With macro momentum at the core of our investment philosophy, 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 does. Macro momentum tends to drive asset positioning (long or short) in our portfolio, but the degree of agreement between macro momentum, on the one hand, and price momentum, value and carry, on the other, determines ultimate position sizing. Our 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 Merrill Lynch 3-Month Treasury Bill Index, was up +0.02% since inception (4/8/14). The Fund underperformed this benchmark, with the Class I shares returning -0.42% net since inception. The low, positive benchmark performance can be attributed to the general low rate environment we saw over the course of 2014. The Fund’s performance across asset classes was mixed, with gains experienced in commodities (up +2.54%) and currencies (developed FX up +1.17% and emerging FX up +0.49%) and losses seen in fixed income (developed bonds down -3.41%, yield curve down -0.42% and developed interest rates down -0.06%) and equities (developed equities down -1.24% although somewhat offset by emerging equities that were up +0.13%). U.S. tactical asset allocation also contributed to returns, as the strategy was up +0.38% on the year.

Commodities

The commodities strategy was the best performing strategy on the year. Gains were driven by short positions in agricultural commodities in the second and third quarter and short positions in energy commodities in the fourth quarter. Positions in agricultural commodities were largely based on macro momentum. Weakness of emerging market currencies and deteriorating emerging market growth has reduced commodity demand. Positions in crude and natural gas were the largest contributors within energy and were based mainly on supply and price momentum factors. Agricultural commodities underperformed, as high planted acreage and favorable weather helped boost crop yields. Both corn and soybean production reached record levels in the US. Rapid growth in U.S. shale oil production, OPEC’s decision on Thanksgiving Day to maintain crude production levels at 30 million barrels a day and softening global demand all factored into lower oil prices in the third and fourth quarters. Natural gas also underperformed, as shale production continued to increase, the summer storage injections were more rapid than expected and moderate winter temperatures led to lower than expected heating demand.

AQR Funds Annual Report December 2014

7

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

Developed Currencies

The developed- market currency strategy was profitable over the course of the year, with most gains coming in the second half. Gains were driven by a long position in the U.S. dollar. This position was motivated by macro momentum signals, both systematic and discretionary. U.S. economic outperformance and expectations of monetary policy divergence relative to other major economies led to broad-based dollar strength in the second half of the year.

Emerging Currencies

Emerging currency strategies were profitable in 2014, with gains coming entirely in the fourth quarter. Macro momentum signals, both systematic and discretionary, contributed to performance during the quarter, as did price momentum and value.

A short in the Russian ruble was the most successful single position in this strategy during the quarter, as plummeting energy prices and reduced access to external financing due to international sanctions led to a sharp fall in the value of the currency. Indeed, lower oil prices were a significant driver of relative performance across emerging markets. The Fund benefited from long positions in net oil importers such as India and Turkey and short positions in net exporters such as Colombia.

The Fund also profited from a short position in a basket of emerging currencies relative to the dollar and the euro. This position was driven by both macro and price momentum signals. Strong U.S. data and expectations of Federal Reserve Bank (“Fed”) tightening in 2015 led to significant dollar appreciation in the fourth quarter, particularly versus emerging market currencies.

Developed Bonds

Directional short positions in global bonds detracted from performance in the first half of the year, as yields declined in all major markets. Short positions in Japanese government bonds and German bunds were the most painful. Eurozone growth lost momentum over the course of 2014, and the European Central Bank (“ECB”) eventually took several steps to ease monetary policy, including rate cuts in June and September and the introduction of new nonstandard easing measures. Japanese growth faltered in the wake of the April 1^st consumption tax hike and the Bank of Japan (“BOJ”) eventually responded by increasing its asset purchases in October.

Relative value positions in developed bond markets also subtracted from performance over the course of the year, particularly a long position in US treasuries relative to Australian government bonds.

The short position in Australian bonds was held on the basis of carry and monetary policy. Australian dollar depreciation in 2012-13 led to a pickup in inflation to the top end of the Royal Bank of Australia’s (“RBA”) 2 to 3% inflation target range. Increases in mining output and a buoyant housing market were supporting gross domestic product (“GDP”) growth. Shorting Australian bonds relative to other markets appeared attractive as fundamentals were consistent with higher policy rates over time and real bond yields were quite low. Furthermore, the flat shape of the yield curve meant that the negative carry incurred by shorting Australian bonds was minimal.

Australian bonds outperformed in 2014 as slower growth in China and significant declines in prices for key commodity exports such as iron ore led to downward revisions to Australian GDP forecasts. By the end of the year, markets attached a high probability to RBA rate cuts early in 2015.

Our long position in U.S. Treasuries was driven primarily by carry and valuation signals. The front end of the U.S. yield curve was quite steep compared to foreign bond markets, implying high positive carry for holders of U.S. Treasuries. While real bond yields were low relative to history, they were high by international standards.

U.S. bonds underperformed in 2014 due to divergence in economic performance and monetary policy expectations. While U.S. growth in 2014 fell short of consensus forecasts, disappointments in Europe and Japan were considerably larger. While central banks in the Eurozone, Japan, and Australia continue to have an easing bias, the Federal Reserve remains on track to begin raising rates in 2015.

AQR Funds Annual Report December 2014

8

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

Developed Interest Rates

Directional shorts in U.S. interest rate futures also subtracted from performance. Despite continued guidance from the Federal Reserve indicating that rate hikes were likely to begin in 2015, yields on Eurodollar futures declined over the course of the year. Yield declines were particularly large in deferred contracts, as investors downgraded their expectations for the terminal fed funds rate.

A relative value long position in U.K. interest rate futures in the second quarter was unprofitable as well. This position was driven by macro momentum signals, as a strengthening currency, falling inflation, and equity market underperformance all pointed towards a more dovish path of monetary policy. This position was harmed by hawkish comments from Bank of England governor Mark Carney in June indicating that rates could rise “sooner than markets currently expect.”

Developed Equities

Relative value positions in developed equities harmed performance early in the year, particularly an overweight position in Japanese equities in the first quarter. This long position was driven by favorable macro momentum, including upward revisions to growth forecasts and a weakening currency. The Japanese market subsequently underperformed due to concerns about the impact of the consumption tax hike.

Later in the year, the fund held directional longs in most developed equity markets due to positive macro and price momentum signals. These positions subtracted from performance on net, as non-U.S. markets generally struggled in the second half of the year. In particular, European equities declined due to escalation in tensions with Russia and downward revisions to domestic growth forecasts.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR GLOBAL MACRO FUND
	Since Inception		Date of Inception
Fund - Class I: QGMIX		-0.42%		4/8/2014
Fund - Class N: QGMNX		-0.62%		4/8/2014
Fund - Class R6: QGMRX		2.45%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.02%		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 1.84%, 2.12% and 1.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2014

9

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

AQR GLOBAL MACRO FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 4/8/2014

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 2014

10

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

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/short equity positions by entering into Total Return Basket Swaps, 2) overall exposure to equity markets, through the use of Futures contracts, 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) stock portfolio. 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.

Global developed equity markets performed positively in 2014, driven mainly by growth in the U.S. The Fund’s custom benchmark (0.5* MSCI World + 0.5* Merrill Lynch 3-Month Treasury Bill Index) delivered modest positive returns of 2.56% over this period. The Fund handily outperformed this benchmark, with the Class I shares returning 14.91%.

The stock selection strategy contributed to the majority of the outperformance and returned 12.07% for the year. Returns were driven by the strong performance of nearly all of our investment themes. In particular, our industry-relative momentum, investor sentiment and stability signals contributed the most to positive returns. Valuation signals within and across industries underperformed slightly. These valuation themes tend to be negatively correlated to momentum signals. Geographically, stocks in the U.S. and U.K. contributed the most to overall returns, while French and Norwegian stocks detracted slightly from performance. At the sector level, the stock selection strategy worked best in information technology and energy in 2014.

The Fund benefited from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s positive performance. Our tactical market exposure (the desired deviation from a beta of 0.5) was also up, thanks mainly to an overweight of the MSCI World in the fourth quarter.

The Fund ended the year with a highly diversified stock portfolio of 650 long positions and 538 short positions. Securities remained globally diversified, with over 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry plays. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in materials and energy.

Our tactical market view was positive at the end of the year and as a consequence, our ex-ante beta to the MSCI World was 0.6. This was mostly driven by favorable fundamental and price momentum indicators.

AQR Funds Annual Report December 2014

11

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR LONG-SHORT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QLEIX		14.91%		18.25%		7/16/2013
Fund - Class N: QLENX		14.55%		17.91%		7/16/2013
Fund - Class R6: QLERX		na		6.19%		9/2/2014
50% MSCI World Index/50% Merrill Lynch 3-Month Treasury Bill Index		2.56%		5.68%		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 3.65%, 5.58% and 3.59%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR LONG-SHORT EQUITY FUND VS. 50% MSCI WORLD INDEX/50% MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 7/16/2013

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 2014

12

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Vice President

Dear Shareholder:

The AQR Managed Futures Strategy Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.

The Fund uses both short- 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 overextended 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 the 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.

The strategy had another year of strong absolute performance in 2014, with the Class I shares returning +9.69% versus a +0.03% return for its benchmark, the Merrill Lynch 3-Month Treasury Bill Index. For reasons we will discuss later, the strategy underperformed the Newedge CTA Trend Sub-Index, which returned +19.70% in 2014, and is an index comprised of large trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -3.07%, fixed income contributed +2.41%, commodities contributed +7.87%, and currencies added +2.48%.

The year was one of two very distinct halves. The Fund entered 2014 long equities, short fixed income, short commodities and short the Japanese yen against many of its major and emerging market crosses. Markets, however, exhibited a lack of clear trends starting with sharp reversals of late 2013 trends. Factors contributing to this included Russia-Ukraine tensions, prospects for deflation in Europe, cold weather impacting the United States’ economy, a slowdown in China and a consumption tax hike in Japan. These caused broad safe-haven demand leading to market dynamics, such as a fixed income and yen rally, that whipsawed the Fund in the first quarter. Fears subsequently dissipated as economic data generally met or exceeded expectations, particularly in the United States. Monetary policy outlooks remained accommodative globally, while the U.S. maintained its plan to end quantitative easing. The Fund ended the first half realizing losses as a result of market reversals around these varied dynamics.

In the second half, sustained trends in commodity, currency and fixed income markets drove returns, allowing the Fund to recoup its losses and post strong gains for the year. In commodities, supply outpacing demand led to a decline in agricultural commodity prices in the middle of the year through the end of the third quarter. Energy commodities followed suit, particularly oil and related commodities, seeing a sustained and extreme bearish trend which lasted through year-end. In currencies, as the Fed ended quantitative easing, other central banks diverged and increased stimulus, prompting a sustained U.S. dollar rally. In fixed income, central bank activities and falling oil prices pressured bond yields, which led to flattening yield curves globally. Trend following in equities was the only asset class strategy to detract, as sharp reversals throughout the year, particularly in the fourth quarter, hurt performance.

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 slightly-below-average 8.8% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 8.5% as the trend environment continued to be varied for the assets the Fund trades.

AQR Funds Annual Report December 2014

13

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Long-term trend-following signals outperformed short-term signals, contributing in every asset class. Shorter-term signals gained as well, contributing positively and outperforming in every asset class except for equities. Short-term signals detracted significantly in equities, causing the entire category to underperform, as global equity markets exhibited sharp reversals against a longer-term bullish trend throughout 2014. Overextended signals detracted, as they deemed asset classes “expensive” for most of 2014 and contributed to a short view in fixed income, the U.S. dollar, equities and commodities. Rallies in the first three asset classes hurt this category of signals, while sell offs in energy commodities mitigated the impact and helped the Fund become short those markets more quickly.

In equities, the Fund began the year long most equity markets on agreement between long- and short-term trend signals. Equity markets experienced several major reversals throughout the year, creating a difficult environment for trend-following. We discussed the dynamics in the first half of 2014 which led to several market reversals. Over the summer, equity markets experienced reversals again around geopolitics, weak Eurozone data and a weakening Japan. The U.S. contributed to this dynamic as quantitative easing ended, coupled with indications rate hikes might come sooner than expected. The last several months of the year generally saw a deep but short lived correction followed by a shallower correction as global growth fears were balanced by either stimulus efforts or clarified guidance from central banks. Markets such as the S&P 500 and the NASDAQ exhibited the year’s strongest bullish trends and mitigated losses. The Fund ended the year still long equities, but less so given the aforementioned environment.

In fixed income, the Fund entered the year broadly short bonds, and short interest rate futures in the U.K. and long in the U.S. This positioning met markets displaying a flight to safety as Russia-Ukraine tensions took markets by surprise, causing a reversal (rally) in many bond markets. Thereafter, fixed income markets displayed varying degrees of sensitivity to economic and central bank policy divergences across the globe. Despite divergences, weak inflation across the globe remained a fundamental driver of fixed income market rallies. Most global fixed income markets saw sustained bull trends, particularly in Europe and Japan, which drove gains for the Fund. In the U.S., the key dynamic was the ending of quantitative easing and the market’s debate around the timing of interest rate increases. U.S. fixed income markets generally saw several reversals throughout the year as a result and detracted from performance. The strategy ended long fixed income across bond and interest rate markets, with overextended signals mitigating the overall position size.

In commodities, the Fund entered the year with mixed positions across commodities but short on average, with shorts in metals and some grains, such as corn and wheat. The bear trend in oil and related commodities drove most of the year’s gains for the overall Fund, though significant contributions also came from being short sugar and corn. Oil actually started the year with positive returns, leading the Fund to be positioned long in the second quarter. In the first half of 2014, ongoing risks in the Ukraine and the Middle East, and a cold U.S. winter supported higher prices despite oversupply in some markets. The Fund turned short, however, in the third quarter as the price trend turned negative, and it was sustained during the entire second half of 2014. Supply outpacing demand dominated in the second half, as U.S. daily production hit its highest level since the 1970s and OPEC decided not to cut production in the face of falling prices. Easing global demand was also a factor, as leading indicators for China’s manufacturing sector fell amid slowing GDP growth, Japan slipped into a technical recession and macro data out of the Eurozone signaled prospects for deflation. Agricultural commodities also exhibited a strong bear trend in the third quarter, but reversed course and rallied in the fourth quarter. The Fund ended the year still short commodities, but less so as overextended signals reduced the size of oil shorts, and the late rally in grains flattened the view in agricultural commodities.

In currency markets, the Fund entered the year with shorts in the Japanese yen and longs in the euro. Currency markets displayed a lack of clear trends in the first half of the year, while a strong bull trend in the U.S. dollar characterized the second half. Central bank divergences were primary factors, with the U.S. ending quantitative easing, while the BOJ and ECB took measures to increase monetary stimulus, causing their currencies to depreciate against the dollar. Falling energy prices also caused declines in commodity-export sensitive currencies, such as the Russian ruble, Norwegian krone, Canadian dollar and Mexican peso, all against the U.S. dollar. The U.S. dollar trend began in the third quarter and continued into year-end and was the primary driver of returns. Non-dollar crosses, such as in the Japanese yen, detracted as they exhibited reversals throughout the year. The Fund ended the year long the U.S. dollar against most major and emerging market currency crosses, though overextended signals mitigated the overall position size.

It was a strong year for the Fund, but we do note our underperformance relative to the Newedge Trend Index in 2014 after strongly outperforming in 2013, all due to the diversification we emphasize in our portfolio construction. While our diversification helped us in 2013, primarily by being diversified in non-U.S. dollar crosses, the same factor cost the Fund in 2014. Other sources of underperformance included having overextended signals, which were short every major asset class in 2014. This hurt in fixed income, U.S. dollar crosses and equities, but being short commodities mitigated the impact. Finally, we strategically target equal risk balance across our trend signals, while our analysis of the industry indicates peers may be more

AQR Funds Annual Report December 2014

14

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

concentrated in fixed income trends. As these were among the best performing trends in 2014, we underperformed our peers. Overall, we will continue to emphasize diversification as we believe it allows for better risk management and overall investor experience. While it may lead to periods of short-term underperformance, we believe a well-diversified portfolio will outperform on a risk-adjusted basis in the long run.

To summarize, it was a strong year for trend following and for our strategy, with three of the four asset classes contributing positively, and short-term and long-term signals contributing as well.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MANAGED FUTURES STRATEGY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: AQMIX		9.69%		4.06%		1/6/2010
Fund - Class N: AQMNX		9.34%		3.78%		1/6/2010
Fund - Class R6: AQMRX		na		12.99%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.09%		1/6/2010

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 1.34%, 1.61% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR MANAGED FUTURES STRATEGY FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 1/6/2010

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 2014

15

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Vice President

Dear Shareholder:

The AQR Managed Futures Strategy HV Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.

The Fund uses both short- 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 overextended 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 the 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.

The strategy had another year of strong absolute performance in 2014, with Class I shares returning +14.68% versus a +0.03% return for its benchmark, the Merrill Lynch 3-Month Treasury Bill Index. For reasons we will discuss later, the strategy underperformed the Newedge Trend Index, which returned +19.7% in 2014, and is an index comprised of large trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -4.79%, fixed income contributed +3.61%, commodities contributed +11.93%, and currencies added +3.93%.

The year was one of two very distinct halves. The Fund entered 2014 long equities, short fixed income, short commodities and short the Japanese yen against many of its major and emerging market crosses. Markets, however, exhibited a lack of clear trends starting with sharp reversals of late 2013 trends. Factors contributing to this included Russia-Ukraine tensions, prospects for deflation in Europe, cold weather impacting the United States’ economy, a slowdown in China and a consumption tax hike in Japan. These caused broad safe-haven demand leading to market dynamics, such as a fixed income and yen rally, that whipsawed the Fund in the first quarter. Fears subsequently dissipated as economic data generally met or exceeded expectations, particularly in the United States. Monetary policy outlooks remained accommodative globally, while the U.S. maintained its plan to end quantitative easing. The Fund ended the first half realizing losses as a result of market reversals around these varied dynamics.

In the second half, sustained trends in commodity, currency and fixed income markets drove returns, allowing the Fund to recoup its losses and post strong gains for the year. In commodities, supply outpacing demand led to a decline in agricultural commodity prices in the middle of the year through the end of the third quarter. Energy commodities followed suit, particularly oil and related commodities, seeing a sustained and extreme bearish trend which lasted through year-end. In currencies, as the Fed ended quantitative easing, other central banks diverged and increased stimulus, prompting a sustained U.S. dollar rally. In fixed income, central bank activities and falling oil prices pressured bond yields, which led to flattening yield curves globally. Trend following in equities was the only asset class strategy to detract, as sharp reversals throughout the year, particularly in the fourth quarter, hurt performance.

The strategy’s average annualized volatility target is 15%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 13% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 12.5% as the trend environment continued to be varied for the assets the Fund trades.

AQR Funds Annual Report December 2014

16

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Long-term trend-following signals outperformed short-term signals, contributing in every asset class. Shorter-term signals gained as well, contributing positively and outperforming in every asset class except for equities. Short-term signals detracted significantly in equities, causing the entire category to underperform, as global equity markets exhibited sharp reversals against a longer-term bullish trend throughout 2014. Overextended signals detracted, as they deemed asset classes “expensive” for most of 2014 and contributed to a short view in fixed income, the U.S. dollar, equities and commodities. Rallies in the first three asset classes hurt this category of signals, while sell offs in energy commodities mitigated the impact and helped the Fund become short those markets more quickly.

In equities, the Fund began the year long most equity markets on agreement between long- and short-term trend signals. Equity markets experienced several major reversals throughout the year, creating a difficult environment for trend-following. We discussed the dynamics in the first half of 2014 which led to several market reversals. Over the summer, equity markets experienced reversals again around geopolitics, weak Eurozone data and a weakening Japan. The U.S. contributed to this dynamic as quantitative easing ended, coupled with indications rate hikes might come sooner than expected. The last several months of the year generally saw a deep but short lived correction followed by a shallower correction as global growth fears were balanced by either stimulus efforts or clarified guidance from central banks. Markets such as the S&P 500 and the NASDAQ exhibited the year’s strongest bullish trends and mitigated losses. The Fund ended the year still long equities, but less so given the aforementioned environment.

In fixed income, the Fund entered the year broadly short bonds, and short interest rate futures in the U.K. and long in the U.S. This positioning met markets displaying a flight to safety as Russia-Ukraine tensions took markets by surprise, causing a reversal (rally) in many bond markets. Thereafter, fixed income markets displayed varying degrees of sensitivity to economic and central bank policy divergences across the globe. Despite divergences, weak inflation across the globe remained a fundamental driver of fixed income market rallies. Most global fixed income markets saw sustained bull trends, particularly in Europe and Japan, which drove gains for the Fund. In the U.S., the key dynamic was the ending of quantitative easing and the market’s debate around the timing of interest rate increases. U.S. fixed income markets generally saw several reversals throughout the year as a result and detracted from performance. The strategy ended long fixed income across bond and interest rate markets, with overextended signals mitigating the overall position size.

In commodities, the Fund entered the year with mixed positions across commodities but short on average, with shorts in metals and some grains, such as corn and wheat. The bear trend in oil and related commodities drove most of the year’s gains for the overall Fund, though significant contributions also came from being short sugar and corn. Oil actually started the year with positive returns, leading the Fund to be positioned long in the second quarter. In the first half of 2014, ongoing risks in the Ukraine and the Middle East, and a cold U.S. winter supported higher prices despite oversupply in some markets. The Fund turned short, however, in the third quarter as the price trend turned negative, and it was sustained during the entire second half of 2014. Supply outpacing demand dominated in the second half, as U.S. daily production hit its highest level since the 1970s and OPEC decided not to cut production in the face of falling prices. Easing global demand was also a factor, as leading indicators for China’s manufacturing sector fell amid slowing GDP growth, Japan slipped into a technical recession and macro data out of the Eurozone signaled prospects for deflation. Agricultural commodities also exhibited a strong bear trend in the third quarter, but reversed course and rallied in the fourth quarter. The Fund ended the year still short commodities, but less so as overextended signals reduced the size of oil shorts, and the late rally in grains flattened the view in agricultural commodities.

In currency markets, the Fund entered the year with shorts in the Japanese yen and longs in the euro. Currency markets displayed a lack of clear trends in the first half of the year, while a strong bull trend in the U.S. dollar characterized the second half. Central bank divergences were primary factors, with the U.S. ending quantitative easing, while the BOJ and ECB took measures to increase monetary stimulus, causing their currencies to depreciate against the dollar. Falling energy prices also caused declines in commodity-export sensitive currencies, such as the Russian ruble, Norwegian krone, Canadian dollar and Mexican peso, all against the U.S. dollar. The U.S. dollar trend began in the third quarter and continued into year-end and was the primary driver of returns. Non-dollar crosses, such as in the Japanese yen, detracted as they exhibited reversals throughout the year. The Fund ended the year long the U.S. dollar against most major and emerging market currency crosses, though overextended signals mitigated the overall position size.

It was a strong year for the Fund, but we do note our underperformance relative to the Newedge Trend Index in 2014 after strongly outperforming in 2013, all due to the diversification emphasized in our portfolio construction. While the Fund’s diversification helped in 2013, primarily by being diversified in non-U.S. dollar crosses, the same factor cost the Fund in 2014. Other sources of underperformance included having overextended signals, which were short every major asset class in 2014. This hurt in fixed income, U.S. dollar crosses and equities, but being short commodities mitigated the impact. Finally, we strategically target equal risk balance across our trend signals, while our analysis of the industry indicates peers may be more

AQR Funds Annual Report December 2014

17

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

concentrated in fixed income trends. As these were among the best performing trends in 2014, the Fund underperformed its peers. Overall, we will continue to emphasize diversification as we believe it allows for better risk management and overall investor experience. While it may lead to periods of short-term underperformance, we believe a well-diversified portfolio will outperform on a risk-adjusted basis in the long run.

To summarize, it was a strong year for trend following and for our strategy, with three of the four asset classes contributing positively, and short-term and long-term signals contributing as well.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MANAGED FUTURES STRATEGY HV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QMHIX		14.68%		15.88%		7/16/2013
Fund - Class N: QMHNX		14.37%		15.59%		7/16/2013
Fund - Class R6: QMHRX		na		19.94%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.04%		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 2.58%, 4.10% and 2.52%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR MANAGED FUTURES STRATEGY HV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 7/16/2013

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 2014

18

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

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”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies. We include strategies that are liquid and which can be built to be low-to-uncorrelated with traditional markets, something we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture in addition to positions.

Our focus on providing a broadly diversified portfolio starts with including nine major categories in our Fund. They are Long/Short Equity, Equity Market Neutral, Dedicated Short Bias, Emerging Markets, Convertible Arbitrage, Event Driven, Global Macro, Managed Futures and Fixed Income Relative Value. We believe that each of these categories offers good long term risk-adjusted returns, but they each go through periods of market gains and declines. The key is that they historically go through ups and downs at different times, thus allowing us to potentially benefit by diversifying across the nine categories and with the goal of generating more consistent long-term performance. Underlying the nine major categories are approximately 60 strategies that make up the economic themes and classic strategies within the Fund. Each strategy is built from the bottom up by internal, experienced teams at AQR.

Our portfolio construction approach is to be as diversified and balanced as possible, starting with equal risk weighting as a baseline and then making small tactical tilts around the strategic risk allocation when we think strategies are conditionally attractive or unattractive. Because we are trading in these markets daily and because all of the strategies are managed in one portfolio, we can stay disciplined about rebalancing to our strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.

We target 10% annual volatility in the Fund.

The Fund’s Class I shares returned +7.31% in 2014. For the year, the Fund realized 6.4% annualized daily volatility and a 0.4 correlation to equities. The Fund’s benchmark, the Merrill Lynch 3-Month Treasury Bill Index, had a slight positive return of +0.03%. The hedge fund industry, as measured by its major indices, also posted positive but moderate returns, with the Credit Suisse Hedge Fund Index (“CS Index”) gaining +4.14% and the HFRI Fund Weighted Composite Index (“HFRI Index”) gaining +3.33% net of fees for the year. These indices have both had monthly correlations to global equities, as represented by the MSCI World Index, of 0.8 in the past 24 months.

Five of the Fund’s nine strategies had positive results for the year. Stock selection strategies in aggregate were the largest source of profits, particularly the Equity Market Neutral strategy. The Managed Futures and Global Macro strategies also contributed positively while the suite of arbitrage strategies detracted.

Following is a more detailed review of the performance of the categories with notable contributions.

Stock Selection Strategies – Equity Market Neutral (+3.8%), Long/Short Equity (+1.6%) and Dedicated Short Bias (+1.4%) were strong contributors, with Equity Market Neutral being the top performing strategy for the second year in a row. The net effect of the directional components of Long/Short Equity and Dedicated Short Bias was just +0.2%, with the remaining stock selection gains all coming from market neutral themes within the three strategies. Nearly all of the underlying themes produced gains for the year. The largest thematic contributions, in descending order of magnitude, were value, investor sentiment, accounting-oriented quality, and growth.

AQR Funds Annual Report December 2014

19

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Managed Futures (+2.3%) – Gains were primarily a result of commodity shorts, particularly in energy markets. Trend following was also profitable in bonds, which were all positioned long during the entire second half of the year. Currencies produced trend following profits from generally being short currencies against the U.S. dollar. Equity indices produced losses as October equity market reversals were problematic for the strategy.

Global Macro ( +0.4%) – Similar to Managed Futures, Global Macro gains were also attributable to commodities and currencies while equity indices detracted, but these gains and losses were the result of relative value strategies. In both commodities and currencies, all themes traded helped produce profits; in equity indices, both momentum and value detracted.

Emerging Markets (-0.6%) – Losses came from relative value strategies in currencies, equity indices and stock selection. Long Russian equity indices and short Indian equity indices were both unprofitable trades. We stopped trading Russian equity indices mid-year due to concerns over liquidity and the domicile of margin balances. In currency trading, losses generally came from being short currencies that are more sensitive to the U.S. dollar and U.S. economy and long currencies that have greater sensitivities to Europe.

Fixed Income Relative Value (-1.0%) – The relative value sovereign bond strategy was the primary source of losses, which were largely the result of negative contributions from value and carry themes. The bond strategy was generally positioned long underperforming U.S. Treasuries (+3.1%), driven by value and carry themes, and short outperforming bond markets such as Australia (+12.9%) and the U.K. (+12.2%). Australian bond shorts were a result of poor carry characteristics related to the slope of the yield curve and the U.K. short positioning resulted primarily from poor relative momentum. Momentum in U.K. bonds reversed in the fourth quarter and the Fund was positioned long those bonds in the last four months of the year. The relative value short-term interest rate strategy and the rate-based currency strategy both produced less significant losses.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MULTI-STRATEGY ALTERNATIVE FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: ASAIX		7.31%		3.28%		7/18/2011
Fund - Class N: ASANX		7.03%		3.02%		7/18/2011
Fund - Class R6: QSARX		na		6.19%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.07%		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 3.36%, 3.64% and 3.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2014

20

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

AQR MULTI-STRATEGY ALTERNATIVE FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 7/18/2011

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 2014

21

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Vice President

Dear Shareholder:

The AQR Risk Balanced Commodities Fund’s (the “Fund”) Class I shares returned -15.80% in 2014, as commodities across the board experienced extreme sell-offs. Energies, in particular, exhibited significant declines, as West Texas Intermediate (“WTI”) and Brent crude fell -43% and -48%, respectively. The decline was driven by supply considerations, as U.S. production continued to soar and OPEC maintained its production quota. In addition, concerns about weaker demand, particularly in China and Europe, also fueled the depreciation. Grains fell on average in 2014, with losses concentrated in the middle of the year. In general, accommodating weather, strong crop conditions and forecasts for a bumper harvest resulted in underperformance of the sector during 2Q and 3Q. Base metals also sold off, as copper and aluminum fell -5% and -6%, respectively. Early in the year, moderating Chinese growth and fears that copper-based financing deals might unravel put pressure on the complex. In 4Q, the sector fell meaningfully on lower energy costs and continued demand weakness in China, where we saw weaker-than-expected economic data. Precious metals declined on average in 2014 despite gains early in the year – in 1Q, precious metals rallied on increasing geopolitical risk, weakening macroeconomic data and increasing demand from emerging countries. However, during 3Q and 4Q, the sector fell significantly on expectations of a U.S. Federal Reserve Bank (“Fed”) rate hikes given stronger U.S. economic data.

While the Class I shares declined -15.80% in 2014, the Fund’s benchmark, the Bloomberg Commodity Index (“BCOM”) declined -17.01%. This brings our cumulative since-inception (7/9/2012) underperformance to -5.02%. We believe the Fund can outperform traditional passive indices over the long term, but in any given year we expect the Fund to average a sizable tracking error of about 10% per year to its benchmark. The “since inception” underperformance is not abnormally high given an expected annual tracking error of 10% to the benchmark.

The outperformance in 2014 relative to the passive BCOM benchmark was due to a number of fund features. The largest source of outperformance was the Fund’s risk-balanced strategic allocation, which is more exposed to precious metals and less exposed to energies than the passive benchmark. Given the significant declines in energies in 2014, the Fund’s sector allocation significantly contributed to relative outperformance. Tactical models also contributed to relative performance, with gains driven primarily by tilts in energies and grains. In contrast, the Fund’s risk-targeted allocation detracted from relative performance. The Fund maintained an average net exposure of greater than 100% during the year in order to target steady volatility, which resulted in underperformance versus the passive index given the extreme price declines. Our drawdown control process, however, reduced the Fund’s long-run risk target throughout 2014, mitigating this underperformance.

The Fund began the year at a volatility target of 11.4%, reflecting a lowered strategic risk target due to drawdown control. The drawdown-control process was also active in 2014 and modulated the long-run risk throughout the year. Ultimately, at year-end, the volatility target of the Fund was 9.5%, reflecting both drawdown control and bearish tactical views on commodities.

The strategic portion of the portfolio returned -18.7% while tactical tilts added +2.9%. 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 active returns to commodity over- and underweights relative to this strategic portfolio.

The main contributors to tactical performance were our tilts in energies throughout the year. Generally, technical signals were bearish in the sector during the second half of the year, when energies declined significantly across the board. In addition, risk-premia metrics preferred WTI to Brent crude, also contributing to performance late in the year. Underweights in agricultural commodities also contributed meaningfully, particularly in 3Q, when corn, soy and wheat declined -26%, -21%, and -20%, respectively. These underweights were also driven by bearish technical signals.

AQR Funds Annual Report December 2014

22

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

At year-end, the Fund’s tactical positioning reflected bearish views on commodities as a whole due to technical weakness. Specifically, trend-following signals contributed to underweights given the poor performance of the asset class in 2014. Within energies, we prefer WTI crude relative to the rest of the complex, mostly on valuation (given WTI’s underperformance relative to refined products more recently). In addition, curve shape metrics viewed WTI more favorably than Brent crude (the Brent futures curve implies a more negative roll yield). Within grains, tactical signals were underweight wheat relative to the other grains, on a combination of momentum, value and risk premia. Within base metals, major positioning is long aluminum and short copper on a combination of price based momentum and inventory metrics. At the sector level, we are generally short natural gas versus base and precious metals, driven mostly by risk-premia and momentum signals.

The Fund finished its second full year with unfortunately poor absolute returns. However, the Fund’s risk-balanced approach helped it to outperform the BCOM benchmark. While short term results can be noisy, in the long term 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.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK-BALANCED COMMODITIES STRATEGY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: ARCIX		-15.80%		-13.50%		7/9/2012
Fund - Class N: ARCNX		-16.08%		-13.70%		7/9/2012
Fund - Class R6: QRCRX		na		-18.72%		9/2/2014
Bloomberg Commodity Total Return Index*		-17.01%		-11.04%		7/9/2012

* Formerly known as the Dow-Jones UBS Commodity Index.

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 1.40%, 1.78% and 1.31%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2014

23

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

AQR RISK-BALANCED COMMODITIES STRATEGY FUND VS. BLOOMBERG COMMODITY TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 7/9/2012

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 2014

24

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income and currencies, global credit (corporate, government and mortgage), and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters too much. Risk Parity investing involves allocating 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, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These views determine over- and underweights across 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 expected to remain long all of the markets in which we invest while averaging a moderate (under 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 10% long-term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.

Total exposures ended the year higher than they began the year, primarily driven by an increase in nominal bond exposure from our tactical views shifting from underweight to overweight. Equities and credit exposures ended the year in about the same place as they began, while commodities ended with meaningfully lower exposures due to increasing volatility and bearish tactical views. With these moves, the Fund went from a 0.70 beta versus the S&P 500 Index at the end of 2013 to a 0.36 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +7.04% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $620 million at the end of 2014. The Fund experienced gains in three of the four major asset class buckets for the full year. To the net total return of +7.04% for 2014, equities contributed +1.44%, fixed income contributed +7.91%, inflation-sensitive assets detracted -4.27%, and credit assets added +1.96%. Tactical tilts detracted from performance in all asset classes except inflation-sensitive assets.

Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S., where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.

Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset class timing offset some of the losses as we have remained overweight the equity basket for the

AQR Funds Annual Report December 2014

25

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

majority of the year based on positive long-term valuation and momentum factors. Within emerging markets performance from tactical tilts was roughly flat on the year. Overweights in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward, the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.

Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, in Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.

Within our tactical models, fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany, where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going forward into the new year.

Commodities were the largest drag on Fund performance this year, led by the energy sector which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy and heightened geopolitical risk. However, nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.

Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is aluminum, where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.

Developed credit performed well in 2014, with returns from credit contributing positively in all but the third quarter. In the U.S. gains were driven from earning modestly positive returns on carry, as spreads remained relatively steady throughout the year. In Europe, high-yield credit markets rallied in the first half of the year as some economic growth data improved in the peripheral countries. As the year pressed on and growth slowed in the whole of Europe, high yield held onto its early gains as expectations for ECB intervention stabilized spreads. Emerging-market currencies struggled against the dollar, pressuring monetary authorities to tighten monetary policy despite low inflation and growth levels. However, emerging currencies mostly strengthened against the much weaker euro, therefore softening the impact to our currencies basket and resulting in a flat return contribution for the year.

Within high yield our tactical tilts were slight detractors over the year, primarily driven by valuation based underweights due to tight spreads from all the way back in the first quarter. Since then our views have been relatively neutral as the bearish value signals have been offset by fundamental momentum signals while trend following has wavered back and forth based on recent performance. Emerging currency tilts were also negative contributors on the year with Brazil and Turkey being the largest detractors as high relative cash rates and positive momentum from early in the year led to overweight positions and those currencies weakened considerably in the second half.

This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund modestly underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from three out of four sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward, we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AQR Funds Annual Report December 2014

26

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: AQRIX		7.04%		7.12%		9/30/2010
Fund - Class N: AQRNX		6.69%		6.81%		9/30/2010
Fund - Class R6: AQRRX		na		-3.96%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.37%		9/30/2010
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index		10.62%		11.69%		9/30/2010

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 0.95%, 1.26% and 0.90%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR RISK PARITY FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX

VALUE OF $10,000 INVESTED ON 9/30/2010

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 2014

27

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity II HV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income, and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters too much. Risk Parity investing involves allocating 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, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected return models, which include signals based on carry, momentum, valuation, and other important economic variables. These views determine over- and underweights across 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 expected to remain long all of the markets in which we invest while averaging a moderate (under 0.7 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 15%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 15% long-term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.

Total exposures ended the year at about the same level where they began the year, although there was a large increase in nominal bond exposure because our tactical views shifted from underweight to overweight. However, somewhat decreased equity exposure and meaningfully lower commodities exposures due to increasing volatility and bearish tactical views more than offset the increase in nominal risk. With these moves, the Fund went from a 0.70 beta versus the S&P 500 Index at the end of 2013 to a 0.42 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +9.23% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $50 million at the end of 2014. The Fund experienced gains in two of the three major asset class buckets for the full year. To the net total return of +9.23% for 2014, equities contributed +4.08%, fixed income contributed +13.31%, and inflation-sensitive assets detracted -8.16%. Tactical tilts detracted from performance in equities and fixed income, but added in inflation-sensitive assets.

Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S., where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.

Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset

AQR Funds Annual Report December 2014

28

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

class timing offset some of the losses as we have remained overweight the equity basket for the majority of the year based on positive long-term valuation and momentum factors. Within emerging markets, performance from tactical tilts was roughly flat on the year. Overweights in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward, the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.

Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, in Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.

Within our tactical models, fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany, where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going into the new year.

Commodities were the largest drag on Fund performance this year, led by the energy sector, which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent and WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy, and heightened geopolitical risk. However, Nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.

Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is aluminum, where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.

This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from two out of three sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AQR Funds Annual Report December 2014

29

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY II HV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QRHIX		9.23%		3.96%		11/5/2012
Fund - Class N: QRHNX		9.02%		3.70%		11/5/2012
Fund - Class R6: QRHRX		na		-5.10%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.14%		11/5/2012
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index		10.62%		13.33%		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 1.91%, 2.28% and 1.87%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR RISK PARITY II HV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX

VALUE OF $10,000 INVESTED ON 11/5/2012

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 2014

30

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity II MV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income, and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters will drive the overall returns of the Fund too much. Risk Parity investing involves allocating 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, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected return models, which include signals based on carry, momentum, valuation, and other important economic variables. These views determine over- and underweights across 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 expected to remain long in all of the markets in which we invest while averaging a moderate (under 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 10% long term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.

Total exposures ended the year at about the same level where they began the year, although there was a large increase in nominal bond exposure because our tactical views shifted from underweight to overweight. However, somewhat decreased equity exposure and meaningfully lower commodities exposures due to increasing volatility and bearish tactical views more than offset the increase in nominal risk. With these moves, the Fund went from a 0.57 beta versus the S&P 500 Index at the end of 2013 to a 0.26 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +6.04% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $114 million at the end of 2014. The Fund experienced gains in two of the three major asset class buckets for the full year. To the net total return of +6.14% for 2014, equities contributed +2.50%, fixed income contributed +8.60%, and inflation-sensitive assets detracted -5.06%. Tactical tilts detracted from performance in equities and fixed income, but added in inflation-sensitive assets.

Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S. where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.

Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset

AQR Funds Annual Report December 2014

31

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

class timing offset some of the losses as we have remained overweight the equity basket for the majority of the year based on positive long-term valuation and momentum factors. Within emerging markets performance from tactical tilts was roughly flat on the year. Overweight’s in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.

Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.

Within our tactical models fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going into the new year.

Commodities were the largest drag on Fund performance this year, led by the energy sector which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent and WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy, and heightened geopolitical risk. However, Nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.

Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is Aluminum where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.

This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from two out of three sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

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AQR RISK PARITY II MV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY II MV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QRMIX		6.04%		3.00%		11/5/2012
Fund - Class N: QRMNX		5.87%		2.71%		11/5/2012
Fund - Class R6: QRMRX		na		-3.44%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.14%		11/5/2012
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index		10.62%		13.33%		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%, 1.64% and 1.19%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR RISK PARITY II MV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX

VALUE OF $10,000 INVESTED ON 11/5/2012

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.

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Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Andrea Frazzini

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative Fund (the “Fund”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies capturing the performance of four major styles across a variety of asset groups including stocks, country equity indices, fixed income, currencies and commodities. We include strategies that are liquid and have historically low correlation with traditional markets, which we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture, in addition to disclosing the actual positions we take.

The four major styles captured in the Fund are Value, Momentum, Carry and Defensive. Each of the four styles, implemented across asset groups, has an economic intuition or rationale, be it risk-based or behavioral-based. Value involves buying assets that are “cheap” relative to their fundamental value and selling “expensive” assets. Momentum entails buying assets that recently outperformed their peers and selling those that recently underperformed. Carry implies buying high-yielding assets and selling low-yielding assets. Defensive consists of buying low-risk, high-quality assets and selling high-risk, low-quality assets.

The Fund’s portfolio construction approach is to be diversified with a baseline risk weighting that is balanced across styles and asset groups, taking into consideration liquidity and breadth among other dimensions of risk. Small tactical tilts are implemented around the strategic risk allocation when strategies are conditionally attractive or unattractive. Because the Fund trades in these markets daily and all of the strategies are managed in one portfolio, it can stay disciplined about rebalancing to strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.

The Fund’s Class I shares returned +11.30% in 2014. The Fund’s benchmark, the Merrill Lynch 3 Month Treasury Bill Index, had a slight positive return of +0.03% over this period. The Fund targets 10% annual volatility.

Two of the Fund’s four styles had positive results for the period. The Defensive style was the top contributor, with gains from stocks, fixed income, and equity indices trading. The Momentum style also contributed with profits in fixed income, commodities, and currencies. The Value and Carry styles detracted from performance. Carry detracted in fixed income, commodities, and was flat in currencies. Value detracted in fixed income and equity indices, but added in stocks, currencies, and commodities.

Performance was mostly positive across asset groups with fixed income and equity indices experiencing losses. Stock trading produced the best results, contributing almost 100% to the positive performance for the period. Stock trading benefited from Defensive and Value themes, while Momentum was flat. The next-best contributor was commodities, followed by currencies trading. In commodities, both Value and Momentum offered positive contributions. The biggest asset group detractor was fixed income, driven by Value and Carry. Commodities and currencies, which had positive contributions for the year, roughly offset the negative performance from equity indices and fixed income.

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Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR STYLE PREMIA ALTERNATIVE FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSPIX		11.30%		13.40%		10/30/2013
Fund - Class N: QSPNX		11.08%		13.17%		10/30/2013
Fund - Class R6: QSPRX		na		7.67%		9/2/2014
Merrill Lynch 3-Month Treasury Bill Index		0.03%		0.05%		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 2.15%, 2.74% and 2.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR STYLE PREMIA ALTERNATIVE FUND VS. MERRILL LYNCH 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.

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Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Andrea Frazzini

Principal

Michael Katz

Principal

Dear Shareholder:

Launched in mid-September, the AQR Style Premia Alternative LV Fund (the “Fund”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies capturing the performance of four major styles across a variety of asset groups including stocks, country equity indices, fixed income, currencies and commodities. We include strategies that are liquid and have historically low correlation with traditional markets, which we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture, in addition to disclosing the actual positions we take.

The four major styles captured in the Fund are Value, Momentum, Carry and Defensive. Each of the four styles, implemented across asset groups, has an economic intuition or rationale, be it risk-based or behavioral-based. Value involves buying assets that are “cheap” relative to their fundamental value and selling “expensive” assets. Momentum entails buying assets that recently outperformed their peers and selling those that recently underperformed. Carry implies buying high-yielding assets and selling low-yielding assets. Defensive consists of buying low-risk, high-quality assets and selling high-risk, low-quality assets.

The Fund’s portfolio construction approach is to be diversified with a baseline risk weighting that is balanced across styles and asset groups, taking into consideration liquidity and breadth among other dimensions of risk. Small tactical tilts are implemented around the strategic risk allocation when strategies are conditionally attractive or unattractive. Because the Fund trades in these markets daily and all of the strategies are managed in one portfolio, it can stay disciplined about rebalancing to strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.

The Fund’s Class I shares returned +3.07% since the Fund’s inception on September 17, 2014. The Fund’s benchmark, the Merrill Lynch 3 Month Treasury Bill Index, had a flat return of 0.00% over the same period. The Fund targets 5% annual volatility.

Three of the Fund’s four styles had positive results for the period. The Momentum style led contributions with gains from fixed income, currencies, stocks and commodities trading. The Defensive style also contributed with profits in stocks. The Value style was flat, as gains in commodities, currencies and equity indices offset losses in fixed income and stocks. Carry detracted mildly in all asset groups where it was implemented: commodities, currencies and fixed income.

Performance was mostly positive across asset groups with fixed income and equity indices experiencing losses. Stock trading produced the best results, contributing about two-thirds to the positive performance for the period. Stock trading benefited from Momentum and Defensive themes, while Value themes detracted. The next-best contributor was commodities, followed by currencies trading. In both commodities and currencies, Value and Momentum themes offered positive contributions. The largest asset group detractor was fixed income, driven mostly by Value.

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Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR STYLE PREMIA ALTERNATIVE LV FUND
	Since Inception		Date of Inception
Fund - Class I: QSLIX		3.07%		9/17/2014
Fund - Class N: QSLNX		2.94%		9/17/2014
Fund - Class R6: QSLRX		2.98%		9/17/2014
Merrill Lynch 3-Month Treasury Bill Index		0.00%		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 1.82%, 2.07% and 1.72%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR STYLE PREMIA ALTERNATIVE LV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 9/17/2014

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.

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Shareholder Letter (Unaudited)

RISK FACTORS:

AQR Diversified Arbitrage Fund: As the Fund employs arbitrage and alternative strategies, the Fund has the risk that the anticipated opportunites do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The use of derivatives, including forward and futures contracts and swap agreements, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor or Sub-Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. The Fund may invest in securities rated below investment grade which are high risk investments that may cause income and principal losses for the Fund. The Fund may invest in illiquid instruments which may be difficult to sell in a timely manner at the price that it believes the investments are worth. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Global Macro Fund: The use of derivatives, including forward and futures contracts, options and swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. The Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Long-Short Equity Fund and AQR Equity Market Neutral Fund: The use of derivatives, including futures and forward contracts, options and swap agreements, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involved the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of small or mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations,

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Shareholder Letter (Unaudited)

political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all Investors.

AQR Risk-Balanced Commodities Strategy Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. A Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all Investors.

AQR Multi-Strategy Alternative Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund employs arbitrage and alternative strategies, which carry the risk that the anticipated opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor or Sub-Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund: The use of derivatives, including futures and forward contracts, options and swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds,

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Shareholder Letter (Unaudited)

yield and share price will vary with changes in interest rates and market conditions. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

An investment in any of the AQR Funds listed above (the ”Funds”) involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad.

The Funds (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) are each a non-diversified fund. Because these Funds may invest in securities of a smaller number of issuers, the Fund 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 Fund’s performance. The Funds (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) also invest in a wholly-owned and controlled subsidiary and are indirectly exposed to the risks associated with the subsidiary’s investments. The Funds from time to time employ various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.

Please refer to each Fund’s prospectus for complete information regarding the principal risks associated with the Funds.

Cliff Asness, David Kabiller, Brian Hurst, Yao Hua Ooi and Marco Hanig are registered representatives of ALPS Distributors, Inc.

DEFINITIONS:

Accommodative Monetary Policy: An accommodative monetary policy is one where the central bank increases the money supply, typically by lowering interest rates and/or purchasing financial assets, in an attempt to stimulate the economy.

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.

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.

Bearish: A belief that a particular security, sector or the overall market will fall.

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.

Bullish: A belief that a particular security, sector or the overall market will rise.

Bund: Is the German equivalent of a U.S. Treasury Bond.

Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).

Contagion: The likelihood that significant economic changes in one country will spread to other countries.

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

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Shareholder Letter (Unaudited)

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 Default Swap contracts is designed to transfer the credit exposure of fixed income products between parties.

Credit Suisse Hedge Fund Index 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.

Bloomberg Commodity Index 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.

Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.

Gilt: Is the U.K. equivalent of a U.S. Treasury Bond.

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

Macroeconomics is focused on the movement and trends of the whole economy as a whole, including changes such as unemployment, national income, rate of growth, GDP, inflation and price levels.

Merrill Lynch 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.

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.

NASDAQ Index is a capitalization weighted index designed to measure performance of the more than 3,000 common stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.

Newedge Trend Index is a subset of the Newedge CTA Index, and follows traders of trend following methodologies. The Newedge CTA Index is equal weighted, calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment. Indexes are unmanaged and one cannot invest directly in an index.

Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.

S&P 500 Index 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.

Sharpe Ratio: is a ratio which measures risk-adjusted performance.

Tail Risk: The risk of larger or more frequent losses than would be expected if returns to an asset or portfolio followed a normal distribution.

Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.

Valuation: A process of determining the current worth of an asset or company.

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.

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41

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 127.2%	SHARES		VALUE (Note 5)
COMMON STOCKS - 39.4%
Communications - 0.0% (a)
FriendFinder Networks, Inc. (3)†(b)		6,483	$	423,031
Consumer Discretionary - 2.4%
Bright Horizons Family Solutions, Inc. †		37,000		1,739,370
Carriage Services, Inc.		8,110		169,905
China Century Dragon Media, Inc. (3)†(b)		150,272		—
China Networks International Holdings Ltd. †		2,287,278		25,160
DEMC Ltd., Class A (3)†(b)		8,666		86,664
DEMC Ltd., Class B (3)†(b)		10,488		—
Family Dollar Stores, Inc.		212,149		16,804,322
General Motors Co. *		16,411		572,908
GLENTEL, Inc. (Canada)		148,993		3,230,447
Group 1 Automotive, Inc.		10,548		945,312
Havas SA (France) (2)		46,036		375,914
Manchester United PLC, Class A (United Kingdom) †		15,688		249,439
Meritage Homes Corp. †		4,682		168,505
PetSmart, Inc.		21,388		1,738,737
Restaurant Brands International, Inc. (Canada) †*		96,697		3,786,980
Sirius XM Holdings, Inc. †		3,064,923		10,727,231
Time Warner Cable, Inc. *		2,500		380,150
Twenty-First Century Fox, Inc., Class B		357,050		13,171,575
				54,172,619
Consumer Staples - 0.7%
Chiquita Brands International, Inc. (2)†		326,707		4,724,183
Herbalife Ltd.		10,157		382,919
Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b)		6,407		7
Contra Neuro Biopharma/ Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b)		3,203		6
Vector Group Ltd.		510,810		10,885,361
				15,992,476
Energy - 2.7%
Aegean Marine Petroleum Network, Inc. (Greece)		4,568		64,043
Alpha Natural Resources, Inc. †		77,136		128,817
Apco Oil and Gas International, Inc. †		168,559		2,364,883
Baker Hughes, Inc.		332,398		18,637,556
Cal Dive International, Inc. †		178,948		12,526
Centrus Energy Corp., Class A †		266,760		1,147,068
Chesapeake Energy Corp.		4,289		83,936
Dresser-Rand Group, Inc. †		220,257		18,017,022
Gulf United Energy, Inc. †(c)		1,959,798		1,176
Mission NewEnergy Ltd. (Australia) †		20,132		241
PDC Energy, Inc. †		2,403		99,172
Royal Dutch Shell PLC ADR (Netherlands)		151,766		10,160,734
SAExploration Holdings, Inc. (Canada) †(c)		2,757		10,973
Talisman Energy, Inc. (Canada) (2)		854,495		6,690,696
Whiting Petroleum Corp. †		103,115		3,402,795
				60,821,638
Financials - 16.1%
1347 Capital Corp. (2)†		420,504		3,977,968
American Realty Capital Healthcare Trust, Inc. REIT		13,437		159,900
American Realty Capital Properties, Inc. REIT		31,926		288,930
AR Capital Acquisition Corp. (2)†		1,395,000		12,973,500

	SHARES		VALUE (Note 5)
Financials - 16.1% (continued)
Banco Santander SA (Spain) (2)		35	$	294
Bank of Cyprus PCL (Cyprus) (3)†(b)		118,716,695		29,443,147
Boulevard Acquisition Corp. (2)†		1,007,912		9,726,351
Cambridge Capital Acquisition Corp. (2)†		1,478,400		14,340,480
Capitol Acquisition Corp. II †		1,439,912		14,183,133
Carfinco Financial Group, Inc. (Canada)		9,706		93,651
CB Pharma Acquisition Corp. †		325,500		3,264,765
Chart Acquisition Corp. (2)†		1,268,625		12,178,800
China VantagePoint Acquisition Co. (3)†(b)		1,990		—
Collabrium Japan Acquisition Corp. (United Kingdom) (3)†(b)		595,000		6,074,950
Corio NV REIT (Netherlands) (2)		30,312		1,484,436
DT Asia Investments Ltd. (Hong Kong) (2)†		209,241		2,029,638
Federal Home Loan Mortgage Corp. †		665,138		1,370,184
Federal National Mortgage Association †		769,933		1,582,212
GAGFAH SA (Luxembourg) (2)†		337,877		7,545,594
Garnero Group Acquisition Co. (Brazil) †		1,900,200		18,165,912
Global Defense & National Security Systems, Inc. (2)†		835,800		8,566,950
Hennessy Capital Acquisition Corp. (2)†		756,000		7,371,000
Heritage Financial Group, Inc.		1,478		38,280
HF2 Financial Management, Inc. (2)†		1,309,327		13,577,721
Highclere Holdings Ltd. (3)†(b)		5,758		—
Hudson Valley Holding Corp.		8,469		230,018
Hydra Industries Acquisition Corp. †		1,720,000		17,217,200
Intervest Bancshares Corp.		144,513		1,452,356
Kilroy Realty Corp. REIT (c)		90,550		6,254,289
L&L Acquisition Corp. (3)†(b)		306,000		—
Levy Acquisition Corp. (2)†		1,890,000		18,370,800
LNB Bancorp, Inc.		87,582		1,579,104
Meadowbrook Insurance Group, Inc.		16,820		142,297
MicroFinancial, Inc.		61,372		626,301
NorthStar Asset Management Group, Inc.		1,074		24,240
NorthStar Realty Finance Corp. REIT		856,025		15,048,920
Pangaea Logistics Solutions Ltd. †		87,108		413,763
Patriot National Bank (3)†(b)		2,000,000		1,671,680
Pinecrest Resources Ltd. (Canada) (3)†(b)		79,820		2,748
Platinum Underwriters Holdings Ltd.		47,941		3,519,828
Rescap Liquidating Trust		273,622		4,295,865
Resource Capital Corp. REIT		37,500		189,000
ROI Acquisition Corp. II †		882,000		8,670,060
Ryman Hospitality Properties, Inc. REIT		463,966		24,469,567
Santa Monica Media Corp. (3)†(b)		15,377		—
Silver Eagle Acquisition Corp. (3)†(b)		1,971,250		19,318,250
Stewart Information Services Corp.		475,543		17,614,113
Susquehanna Bancshares, Inc.		385,096		5,171,839
Terrapin 3 Acquisition Corp., Class A (2)†		1,428,000		13,808,760
WL Ross Holding Corp. †		2,898,000		29,733,480
				358,262,274
Health Care - 6.4%
Acorda Therapeutics, Inc. †		411		16,798
Allergan, Inc.		64,928		13,803,044
Auxilium Pharmaceuticals, Inc. †		562,172		19,330,284
AVANIR Pharmaceuticals, Inc. †		576,745		9,775,828
Bluebird Bio, Inc. †		17,587		1,613,080
China Medical Technologies, Inc. ADR (China) (3)†(b)(c)		4,931		49
Cubist Pharmaceuticals, Inc. †		173,640		17,476,866
Exact Sciences Corp. †		8,896		244,106
Gentiva Health Services, Inc. †		227,284		4,329,760
Illumina, Inc. †		25		4,614

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

AQR Funds Annual Report December 2014

42

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 5)
Health Care - 6.4% (continued)
Medtronic, Inc.		103,724	$	7,488,873
Molina Healthcare, Inc. †		18,552		993,089
PlasmaTech Biopharmaceuticals, Inc. †		4,392		15,372
Prosensa Holding NV (Netherlands) (2)†		197,426		3,701,737
Regeneron Pharmaceuticals, Inc. †(c)		110,846		45,474,572
Rotech Healthcare, Inc. (3)†(b)		16,828		218,863
RXi Pharmaceuticals Corp. †		3,161		5,058
Teva Pharmaceutical Industries Ltd. ADR (Israel) (c)		157,785		9,074,215
Tornier NV (Netherlands) †		311,457		7,942,153
				141,508,361
Industrials - 0.9%
Advanced Drainage Systems, Inc.		3,848		88,427
Continental Building Products, Inc. †		76,418		1,354,891
JetBlue Airways Corp. †		818,414		12,980,046
Kratos Defense & Security Solutions, Inc. †		67,232		337,505
Layne Christensen Co. †		10,008		95,476
MasTec, Inc. †		126,736		2,865,501
Sanitec OYJ (Finland) (2)†		233,850		2,873,968
Vicwest, Inc. (Canada)		19,399		209,385
				20,805,199
Information Technology - 7.5%
Actuate Corp. (2)†		318,958		2,105,123
Citrix Systems, Inc. †(c)		48,212		3,075,926
Digital River, Inc. †		322,530		7,976,167
Finisar Corp. †		37,470		727,293
ModusLink Global Solutions, Inc. †		78,535		294,506
ON Semiconductor Corp. †(c)		298,500		3,023,805
Orckit Communications Ltd. (Israel) (2)†		15,174		168
Photronics, Inc. †		432,751		3,596,161
Red Hat, Inc. †(c)		113,239		7,829,344
Riverbed Technology, Inc. †		59,700		1,218,477
root9B Technologies, Inc. †		91,767		142,239
Sapient Corp. †		654,060		16,273,013
SinoHub, Inc. (China) (3)†(b)		190,038		1,900
SouthPeak Interactive Corp. (3)†(b)		1,500,000		2,250
Telestone Technologies Corp. (China) (2)†		115,818		1,158
TriQuint Semiconductor, Inc. †		220,051		6,062,405
Viasystems Group, Inc. †		18,588		302,613
Web.com Group, Inc. †		52,500		996,975
Yahoo!, Inc. †		2,222,528		112,259,889
				165,889,412
Materials - 1.6%
China GengSheng Minerals, Inc. (China) †		17,371		174
Edgewater Exploration Ltd. (Canada) (2)†		399,100		8,588
Energy Fuels, Inc. (Canada) †		14,400		88,497
Jaguar Mining, Inc. (3)†(b)		142,136		35,632
Jaguar Mining, Inc. (Canada) †(c)		25,812		7,332
Lafarge SA (France) (2)		19,501		1,368,972
Lion One Metals Ltd. (Canada) (2)†		740,315		133,815
Mines Management, Inc. †		16,120		7,578
Momentive Performance Materials, Inc. 1145 Shares (3)†(b)		207,463		5,134,709
Momentive Performance Materials, Inc. 4(a)(2) Shares (3)†(b)		288,707		6,624,591
RTI International Metals, Inc. †		16,610		419,569
Sapphire Industry Corp. (3)†(b)		25,025		—
Sigma-Aldrich Corp.		147,667		20,270,249

	SHARES		VALUE (Note 5)
Materials - 1.6% (continued)
Southern Arc Minerals, Inc. (Canada) †(c)		248,481	$	10,694
Vale SA ADR (Brazil)		167,097		1,213,124
				35,323,524
Telecommunication Services - 1.1%
Cleveland Unlimited (3)†(b)		1		1,397,772
Jazztel PLC (United Kingdom) (2)†		1,431,448		21,633,440
Level 3 Communications, Inc. †		16,356		807,659
XO holdings, Inc. O Shares (3)†(b)		1,366,340		—
				23,838,871
Utilities - 0.0% (a)
Hawaiian Electric Industries, Inc.		1,575		52,731
TOTAL COMMON STOCKS (cost $863,742,221)				877,090,136

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

AQR Funds Annual Report December 2014

43

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE PREFERRED STOCKS - 10.4%					SHARES		VALUE (Note 5)
Consumer Discretionary - 1.1%
Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d)						299,636	$	24,871,058
Consumer Staples - 2.9%
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875%, 12/31/49 (c)(e)						96,625		10,870,312
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500%, 02/15/19 (2)†(c)(e)(f)						62,897		5,271,555
Tyson Foods, Inc., $50.00 par, 4.750%, 07/15/17 (c)						200,075		10,071,776
Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 †(c)(e)						37,625		39,280,500
								65,494,143
Energy - 0.8%
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750%, 05/17/15 (2)†(e)(f)						1,475		1,527,547
Energy XXI Ltd., Perpetual Preferred Stock, $250.00 par, 5.625%, 12/31/49 (2)†(c)(e)						9,535		540,814
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par, 4.875%, 10/05/17 (2)†(c)(e)						411,250		11,617,812
Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 04/06/18 (2)(c)(e)						140,250		4,758,683
								18,444,856
Financials - 0.8%
Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 04/20/18 †(c)(e)						205,600		13,538,760
iStar Financial, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 03/15/18 (2)†(c)(e)						50,625		2,992,950
								16,531,710
Health Care - 0.6%
Amsurg Corp., Series A-1, $100.00 par, 5.250%, 07/01/17 †(c)						81,475		9,206,675
Omnicare Capital Trust II, Series B, $50.00 par, 4.000%, 06/15/33 (2)†(c)						54,925		4,900,343
								14,107,018
Industrials - 0.0% (a)
Timberjack Corp., $188,000.00 par, 8.000%, 12/31/16 (3)†(b)						188,000		942
Materials - 0.1%
Alcoa, Inc., Series 1, $50.00 par, 5.375%, 10/01/17 †(c)						41,600		2,098,720
Telecommunication Services - 0.7%
T-Mobile US, Inc., $50.00 par, 5.500%, 12/15/17 †(c)						291,600		15,451,884
Utilities - 3.4%
Dominion Resources, Inc., $50.00 par, 6.375%, 07/01/17 †(c)						57,575		2,994,476
Dominion Resources, Inc., Series A, $49.00 par, 6.125%, 04/01/16 (c)						233,650		14,021,336
Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16 †(c)						242,350		14,570,082
NextEra Energy, Inc., $50.00 par, 5.889%, 09/01/15 †(c)						97,050		6,496,527
NextEra Energy, Inc., $50.00 par, 5.799%, 09/01/16 †(c)						241,275		13,919,155
NextEra Energy, Inc., $50.00 par, 5.599%, 06/01/15 †(c)						338,150		23,180,182
								75,181,758
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $264,958,457)								232,182,089
CORPORATE BONDS - 13.9%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)
Communications - 0.3%
Interactive Network, Inc./FriendFinder Networks, Inc. (3)(b)(g)		14.000%		12/20/18	$	849		721,694
WCP Wireless Site Fund 144A (2)(f)		6.829%		11/15/15		3,325		3,413,578
WCP Wireless Site Fund 144A (2)(f)		9.247%		11/15/15		3,000		3,093,507
								7,228,779
Consumer Discretionary - 0.5%
Baker & Taylor Acquisitions Corp. 144A (3)(b)(f)		15.000%		04/01/17		2,803		2,610,294
Brookstone Co., Inc. (3)(b)		13.000%		10/15/14		516		—

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

AQR Funds Annual Report December 2014

44

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Consumer Discretionary - 0.5% (continued)
Brookstone Holdings Corp. (3)(b)(d)		10.000%		07/07/21	$	54	$	50,283
Empire Today LLC/Empire Today Finance Corp. 144A (3)(b)(f)		11.375%		02/01/17		3,250		2,405,000
Exide Technologies (2)(g)		8.625%		02/01/18		33,550		1,635,563
IDQ Holdings, Inc. 144A (2)(f)		11.500%		04/01/17		4,325		4,584,500
Roust Trading Ltd., Series AI (Virgin Islands, British) (3)(b)(d)		11.000%		05/31/16		862		776,134
								12,061,774
Consumer Staples - 0.4%
Beam Suntory, Inc. (2)		3.250%		05/15/22		2,650		2,652,936
Beam Suntory, Inc. (2)		3.250%		06/15/23		1,350		1,327,064
US Foods, Inc. (2)		8.500%		06/30/19		4,572		4,846,320
								8,826,320
Energy - 4.1%
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(c)		13.750%		12/01/15		5,800		4,031,000
Centrus Energy Corp. (2)(c)		8.000%		09/30/19		7,500		3,900,000
Endeavour International Corp. (3)(b)(g)		12.000%		06/01/18		7,600		190,000
Endeavour International Corp., Series WI (2)(g)		12.000%		03/01/18		16,850		6,318,750
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)(g)		15.000%		07/15/15		4,100		41
Forest Oil Corp. (2)		7.250%		06/15/19		17,830		6,418,800
Forest Oil Corp., Series WI (2)(c)		7.500%		09/15/20		10,750		3,805,500
Gold Point Energy Corp. (3)(b)(g)		4.500%		05/01/15		1,140		—
Green Field Energy Services, Inc. (3)(b)(g)		13.000%		11/15/16		48		3,600
Green Field Energy Services, Inc. 144A (3)(b)(f)(g)		13.000%		11/15/16		2,025		151,875
Kodiak Oil & Gas Corp., Series WI (Canada) (2)		5.500%		02/01/22		2,525		2,531,313
Kodiak Oil & Gas Corp., Series WI (Canada) (2)		5.500%		01/15/21		780		781,950
Kodiak Oil & Gas Corp., Series WI (Canada) (2)		8.125%		12/01/19		36,525		37,164,187
Norshore Atlantic BV 144A (Netherlands) (3)(b)(f)		12.000%		12/21/18		4,150		3,195,500
Oro Negro Drilling Pte Ltd. 144A (Singapore) (3)(b)(f)		7.500%		01/24/19		3,700		3,108,000
Paragon Offshore PLC 144A (United Kingdom) (2)(f)		6.750%		07/15/22		800		488,000
Paragon Offshore PLC 144A (United Kingdom) (2)(c)(f)		7.250%		08/15/24		800		480,000
Prospector Finance II Sarl (Luxembourg) (3)(b)		7.750%		06/19/19		14,275		14,310,687
Songa Offshore (Cyprus) (3)(b)		7.500%		12/11/18		25,500		3,010,868
Songa Offshore (Cyprus) (2)		8.400%		05/17/18		15,000		1,710,721
								91,600,792
Financials - 1.9%
Aston Escrow Corp. 144A (2)(c)(f)		9.500%		08/15/21		8,325		7,700,625
CFG Holdings Ltd./CFG Finance LLC 144A (Cayman Islands) (2)(c)(f)		11.500%		11/15/19		3,837		3,913,740
Highclere Holdings Ltd. (Cayman Islands) (3)(b)		0.000%		02/26/15		1,627		534,566
Jasper Explorer PLC 144A (Cyprus) (3)(b)(f)		13.500%		05/27/16		6,000		600,000
Jefferies Finance LLC / JFIN Co.-Issuer Corp. 144A (2)(f)		7.500%		04/15/21		6,525		6,068,250
Kistefos AS (Norway) (3)(b)(h)		10.980%		07/03/15		72,500		9,606,031
Lehman Brothers Holdings, Inc. MTN (3)†(b)(g)		5.625%		01/24/16		33,650		4,921,312
Synovus Financial Corp. (2)		5.125%		06/15/17		400		406,000
Washington Mutual Bank, Bank Note, (2)(g)		0.000%		05/01/09		27,750		7,631,250
								41,381,774
Health Care - 0.9%
Education Management LLC / Education Management Finance Corp. 144A (2)(f)(i)		16.000%		07/01/18		9,991		999,054
Gentiva Health Services, Inc. (2)		11.500%		09/01/18		17,000		18,088,000
								19,087,054
Industrials - 0.4%
Edgen Murray Corp. 144A (3)(b)(c)(f)		8.750%		11/01/20		4,495		4,899,550
Tempel Steel Co. 144A (2)(f)		12.000%		08/15/16		3,950		3,713,000
								8,612,550
Information Technology - 0.9%
Goodman Networks, Inc., Series WI (3)(b)		12.125%		07/01/18		19,143		19,765,148
SouthPeak Interactive Corp. (3)(b)(g)		29.000%		12/31/15		1,091		27,650
								19,792,798

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

AQR Funds Annual Report December 2014

45

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Materials - 3.7%
ArcelorMittal (Luxembourg) (2)(c)		4.250%		08/05/15	$	2,575	$	2,613,625
Momentive Performance Materials, Inc. (2)(c)		3.880%		10/24/21		13,550		11,483,625
Momentive Performance Materials, Inc. (3)(b)(g)		8.875%		10/15/20		13,550		—
Rockwood Specialties Group, Inc. (2)(c)		4.625%		10/15/20		52,900		54,619,250
Verso Paper Holdings LLC / Verso Paper, Inc. 144A (2)(c)(f)		8.750%		02/01/19		23,100		12,820,500
								81,537,000
Telecommunication Services - 0.7%
NII Capital Corp. (3)(b)(c)(g)		7.625%		04/01/21		13,250		2,451,250
NII International Telecom SCA 144A (Luxembourg) (2)(c)(f)(g)		7.875%		08/15/19		4,295		3,070,925
Virgin Media Finance PLC (United Kingdom) (2)(c)		4.875%		02/15/22		11,400		10,516,500
								16,038,675
Utilities - 0.1%
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. (3)(b)(c)(g)		10.000%		12/01/20		25,200		2,331,000
TOTAL CORPORATE BONDS (cost $393,531,288)								308,498,516
CONVERTIBLE BONDS - 28.2%
Consumer Discretionary - 2.3%
Carriage Services, Inc. 144A (2)(c)(f)		2.750%		03/15/21		6,100		6,618,500
Cenveo Corp. (2)(c)		7.000%		05/15/17		1,800		1,755,000
Exide Technologies (2)(c)(g)(h)		0.000%		09/18/13		650		32,500
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.250%		08/01/18		5,775		5,551,219
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.875%		06/01/20		6,250		5,421,875
M/I Homes, Inc. (2)(c)		3.000%		03/01/18		1,800		1,836,000
M/I Homes, Inc. (2)(c)		3.250%		09/15/17		2,300		2,734,125
Meritage Homes Corp. (2)(c)		1.875%		09/15/32		2,475		2,437,875
MGM Resorts International (2)(c)*		4.250%		04/15/15		6,675		7,876,500
Palm Harbor Homes, Inc. (3)(b)(g)		3.250%		05/15/24		70		3,178
Tesla Motors, Inc. (2)(c)		1.500%		06/01/18		9,125		16,949,687
								51,216,459
Consumer Staples - 1.0%
Herbalife Ltd. 144A (Cayman Islands) (2)(c)(f)		2.000%		08/15/19		10,975		8,066,625
IGI Laboratories, Inc. 144A (2)(c)(f)		3.750%		12/15/19		3,100		3,119,375
Rite Aid Corp. (2)(c)		8.500%		05/15/15		300		876,938
Vector Group Ltd. (2)(c)(h)		2.500%		01/15/19		6,675		9,391,778
								21,454,716
Energy - 1.2%
Aegean Marine Petroleum Network, Inc. (Greece) (2)(c)		4.000%		11/01/18		1,000		1,158,750
Alpha Natural Resources, Inc. (2)(c)		4.875%		12/15/20		800		295,000
Amyris, Inc. 144A (2)(c)(f)		6.500%		05/15/19		6,075		3,800,672
Cal Dive International, Inc. (2)(c)		5.000%		07/15/17		2,275		267,312
Emerald Oil, Inc. 144A (2)(c)(f)		2.000%		04/01/19		3,100		1,708,875
Endeavour International Corp. (3)(b)(g)		5.500%		07/15/16		8,229		288,015
Goodrich Petroleum Corp. (2)(c)		5.000%		10/01/32		3,000		1,573,125
James River Coal Co. (2)(c)(g)		10.000%		06/01/18		310		31
Polarcus Ltd. MTN 144A (Norway) (2)(f)		2.875%		04/27/16		400		280,000
Renewable Energy Group, Inc. (2)(c)		2.750%		06/15/19		3,650		3,444,688
Scorpio Tankers, Inc. 144A (2)(c)(f)		2.375%		07/01/19		6,625		6,314,453
Vantage Drilling Co. (Cayman Islands) (2)(c)		7.875%		09/01/42		4,625		4,202,969
Vantage Drilling Co. 144A (Cayman Islands) (2)(c)(f)		5.500%		07/15/43		1,775		1,584,188
ZaZa Energy Corp. 144A (2)(c)(f)		9.000%		08/01/17		3,550		1,595,281
								26,513,359
Financials - 8.1%
American Realty Capital Properties, Inc. (2)(c)		3.000%		08/01/18		10,700		9,877,437
American Realty Capital Properties, Inc. (2)(c)		3.750%		12/15/20		2,125		1,952,344
Annaly Capital Management, Inc. (2)(c)		5.000%		05/15/15		3,150		3,165,750
Ares Capital Corp. (2)(c)		5.750%		02/01/16		4,425		4,560,516
Ares Capital Corp. 144A (2)(c)(f)		5.125%		06/01/16		3,025		3,096,844

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

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46

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Financials - 8.1% (continued)
AV Homes, Inc. (2)(c)		7.500%		02/15/16	$	8,830	$	8,725,144
AV Homes, Inc. (2)(c)		7.500%		02/15/16		6,643		6,584,874
Cowen Group, Inc. 144A (2)(c)(f)		3.000%		03/15/19		4,550		4,894,094
E*TRADE Financial Corp., Series A (2)(c)		0.000%		08/31/19		1,775		4,196,766
Element Financial Corp. 144A (Canada) (2)(c)(f)		5.125%		06/30/19		13,700		12,735,410
Encore Capital Group, Inc. (2)(c)		3.000%		07/01/20		1,300		1,470,625
Ezcorp, Inc. 144A (2)(c)(f)		2.125%		06/15/19		2,475		2,307,937
Gain Capital Holdings, Inc. (2)(c)		4.125%		12/01/18		3,325		3,470,469
Health Care REIT, Inc. (2)(c)		3.000%		12/01/29		2,400		3,598,500
iStar Financial, Inc. (2)(c)		3.000%		11/15/16		2,250		2,844,844
KCAP Financial, Inc. (2)(c)		8.750%		03/15/16		4,000		4,417,500
Lexington Realty Trust 144A (2)(c)(f)		6.000%		01/15/30		7,550		12,183,812
MBF Healthcare Acquisition Corp. (2)(g)		3.375%		08/01/18		1,609		482,700
Meadowbrook Insurance Group, Inc. (2)(c)		5.000%		03/15/20		2,575		2,909,750
MGIC Investment Corp. (2)(c)		2.000%		04/01/20		6,600		9,656,625
MGIC Investment Corp. (2)(c)		5.000%		05/01/17		20,525		22,949,516
NorthStar Realty Finance LP 144A (2)(c)(f)		5.375%		06/15/33		300		589,312
PHH Corp. (2)(c)		6.000%		06/15/17		8,125		16,021,484
Prospect Capital Corp. 144A (2)(c)(f)		4.750%		04/15/20		3,925		3,674,781
Radian Group, Inc. (2)(c)		2.250%		03/01/19		11,400		18,332,625
Resource Capital Corp. (2)(c)		6.000%		12/01/18		1,350		1,312,875
Starwood Property Trust, Inc. (2)(c)		3.750%		10/15/17		4,625		4,694,375
Starwood Waypoint Residential Trust 144A (2)(c)(f)		4.500%		10/15/17		6,150		6,396,000
ZAIS Financial Corp. 144A (2)(c)(f)		8.000%		11/15/16		3,400		3,521,125
								180,624,034
Health Care - 1.9%
Accuray, Inc., Series A (2)(c)		3.500%		02/01/18		3,025		4,650,937
Acorda Therapeutics, Inc. (2)(c)		1.750%		06/15/21		875		1,006,797
Affymetrix, Inc. (2)(c)		4.000%		07/01/19		4,725		8,434,125
Albany Molecular Research, Inc. (2)(c)		2.250%		11/15/18		1,525		1,836,672
BioMed Realty LP 144A (2)(c)(f)		3.750%		01/15/30		2,250		2,837,813
China Medical Technologies, Inc. 144A (China) (2)(c)(f)(g)		6.250%		12/15/16		2,625		10,403
China Medical Technologies, Inc., Series CMT (China) (2)(c)(g)		4.000%		08/15/13		250		991
Healthways, Inc. (2)(c)		1.500%		07/01/18		2,000		2,346,250
PDL BioPharma, Inc. (2)(c)		2.875%		02/15/15		1,400		2,093,000
Sequenom, Inc. (2)(c)		5.000%		10/01/17		7,325		7,526,438
Spectrum Pharmaceuticals, Inc. 144A (2)(c)(f)		2.750%		12/15/18		5,600		5,285,000
Volcano Corp. (2)		1.750%		12/01/17		6,300		6,240,937
								42,269,363
Industrials - 2.4%
CBIZ, Inc. 144A (2)(c)(f)		4.875%		10/01/15		1,400		1,690,500
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g)		7.500%		12/31/15		1,850		—
General Cable Corp. (2)(c)(i)		4.500%		11/15/29		1,470		1,061,156
Hawaiian Holdings, Inc. (2)(c)		5.000%		03/15/16		300		995,250
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f)		0.750%		04/05/17		2,800		8,807,131
Meritor, Inc. (2)(c)(i)		4.625%		03/01/26		2,000		2,011,250
Meritor, Inc. (2)(c)		7.875%		03/01/26		6,915		11,388,141
Terex Corp. (2)(c)		4.000%		06/01/15		4,550		7,934,063
Titan International, Inc. 144A (2)(c)(f)		5.625%		01/15/17		7,575		9,217,828
UTi Worldwide, Inc. 144A (Virgin Islands, British) (2)(c)(f)		4.500%		03/01/19		10,225		11,292,234
								54,397,553
Information Technology - 9.6%
Ciena Corp. (2)(c)		4.000%		12/15/20		4,700		5,825,062
Ciena Corp. 144A (2)(c)(f)		4.000%		03/15/15		6,800		7,050,750
Convergys Corp. (2)(c)		5.750%		09/15/29		7,825		14,852,828
GT Advanced Technologies, Inc. (2)(c)(g)		3.000%		10/01/17		2,650		1,315,063
Microchip Technology, Inc. (2)(c)		2.125%		12/15/37		5,250		9,364,688
Micron Technology, Inc., Series C (2)(c)		2.375%		05/01/32		5,600		20,405,000
Micron Technology, Inc., Series F (2)(c)		2.125%		02/15/33		1,375		4,412,891
ModusLink Global Solutions, Inc. 144A (2)(c)(f)		5.250%		03/01/19		7,600		6,797,250

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

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47

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Information Technology - 9.6% (continued)
Nuance Communications, Inc. (2)(c)		2.750%		11/01/31	$	600	$	598,125
Palo Alto Networks, Inc. 144A (2)(c)(f)		0.000%		07/01/19		1,525		1,926,266
Powerwave Technologies, Inc. (3)(b)(g)		3.875%		10/01/27		4,104		410
Powerwave Technologies, Inc. 144A (2)(c)(f)(g)		2.750%		07/15/41		3,900		39,000
Quantum Corp. (2)(c)		4.500%		11/15/17		1,650		2,057,344
Rambus, Inc. (2)(c)		1.125%		08/15/18		5,600		6,331,500
SouthPeak Interactive Corp. (3)(b)(g)		10.000%		12/31/14		2,500		63,345
SunEdison, Inc. 144A (2)(c)(f)		0.250%		01/15/20		1,675		1,622,656
SunEdison, Inc. 144A (2)(c)(f)		2.000%		10/01/18		32,075		47,070,063
SunEdison, Inc. 144A (2)(c)(f)		2.750%		01/01/21		6,675		9,999,984
SunPower Corp. (2)(c)		4.500%		03/15/15		625		729,297
VeriSign, Inc. (2)(c)		4.086%		08/15/37		27,135		46,485,647
Vishay Intertechnology, Inc. 144A (2)(c)(f)		2.250%		11/15/40		3,475		3,850,734
WebMD Health Corp. (2)(c)		1.500%		12/01/20		17,025		16,993,078
WebMD Health Corp. (2)(c)		2.250%		03/31/16		5,075		5,090,859
								212,881,840
Materials - 0.4%
A.M. Castle & Co. (2)(c)		7.000%		12/15/17		925		941,187
Cemex SAB de CV (Mexico) (2)(c)		3.750%		03/15/18		1,625		1,959,141
Cereplast, Inc. (3)(b)(g)		7.000%		06/01/16		3,516		—
Molycorp, Inc. (2)		6.000%		09/01/17		3,675		1,102,500
ShengdaTech, Inc. 144A (3)(b)(f)(g)		6.000%		06/01/18		300		3
ShengdaTech, Inc. 144A (3)(b)(f)(g)		6.500%		12/15/15		1,200		12
Stillwater Mining Co. (2)(c)		1.750%		10/15/32		4,825		5,958,875
								9,961,718
Telecommunication Services - 0.4%
Nortel Networks Corp. (Canada) (2)(c)(g)		1.750%		04/15/12		8,325		8,158,500
Utilities - 0.9%
NRG Yield, Inc. 144A (2)(c)(f)		3.500%		02/01/19		17,600		19,404,000
TOTAL CONVERTIBLE BONDS (cost $648,399,590)								626,881,542

CLOSED END FUNDS - 5.5%	SHARES		VALUE (Note 5)
Aberdeen Global Income Fund, Inc.		8,502	$	81,704
Advent Claymore Convertible Securities and Income Fund (c)		4,651		76,044
Advent Claymore Convertible Securities and Income Fund II		124,487		784,268
Advent Claymore Enhanced Growth & Income Fund (c)		43,654		388,521
Alliance California Municipal Income Fund, Inc. (c)		18,081		245,178
Alpine Global Dynamic Dividend Fund		30,158		296,755
Alpine Global Premier Properties Fund		159,356		1,148,957
Apollo Senior Floating Rate Fund, Inc.		16,350		271,900
Ares Dynamic Credit Allocation Fund, Inc.		34,539		546,407
Avenue Income Credit Strategies Fund		22,934		346,533
BlackRock Build America Bond Trust		16,017		354,937
BlackRock California Municipal Income Trust		1,453		21,766
BlackRock Core Bond Trust		347,952		4,592,966
BlackRock Corporate High Yield Fund, Inc.		243,405		2,774,817
BlackRock Credit Allocation Income Trust		557,656		7,204,916
BlackRock Enhanced Equity Dividend Trust		170,285		1,382,714
BlackRock Floating Rate Income Strategies Fund, Inc.		30,812		412,573
BlackRock Floating Rate Income Trust		9,470		121,689
BlackRock Global Opportunities Equity Trust		165,445		2,172,293
BlackRock Limited Duration Income Trust		38,560		606,163

CLOSED END FUNDS - 5.5% (continued)	SHARES		VALUE (Note 5)
BlackRock Long-Term Municipal Advantage Trust		15,481	$	174,935
BlackRock Muni Intermediate Duration Fund, Inc.		39,921		574,862
BlackRock Municipal Income Investment Quality Trust		26,021		373,141
BlackRock Municipal Income Quality Trust		28,111		404,236
BlackRock Municipal Target Term Trust		162,739		3,269,427
BlackRock MuniEnhanced Fund, Inc. (2)		3,964		45,190
BlackRock MuniHoldings California Quality Fund, Inc.		81,980		1,186,251
BlackRock MuniHoldings Investment Quality Fund		46,843		668,918
BlackRock MuniHoldings New Jersey Quality Fund, Inc.		42,937		622,586
BlackRock MuniHoldings New York Quality Fund, Inc.		9,946		139,145
BlackRock MuniHoldings Quality Fund II, Inc.		24,950		336,326
BlackRock MuniHoldings Quality Fund, Inc.		30,779		409,976
BlackRock MuniYield California Quality Fund, Inc.		42,019		638,689
BlackRock MuniYield Investment Quality Fund		20,867		287,130
BlackRock MuniYield Michigan Quality Fund II, Inc.		36,650		471,319

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

AQR Funds Annual Report December 2014

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Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 5.5% (continued)	SHARES		VALUE (Note 5)
BlackRock MuniYield Michigan Quality Fund, Inc.		47,232	$	655,108
BlackRock MuniYield New Jersey Fund, Inc.		19,001		284,065
BlackRock MuniYield New Jersey Quality Fund, Inc.		17,290		250,013
BlackRock MuniYield New York Quality Fund, Inc.		13,209		171,849
BlackRock MuniYield Pennsylvania Quality Fund		23,877		342,396
BlackRock MuniYield Quality Fund II, Inc.		11,643		153,571
BlackRock MuniYield Quality Fund III, Inc.		23,280		327,550
BlackRock Resources & Commodities Strategy Trust		434,380		4,217,830
Blackstone / GSO Senior Floating Rate Term Fund		848		14,196
Blackstone/GSO Long-Short Credit Income Fund		27,631		429,109
Blackstone/GSO Strategic Credit Fund		108,876		1,794,276
CBRE Clarion Global Real Estate Income Fund		155,595		1,398,799
Central Securities Corp.		54,382		1,192,053
Cohen & Steers Closed-End Opportunity Fund, Inc.		34,794		457,541
Cohen & Steers Limited Duration Preferred and Income Fund, Inc.		18,995		430,427
Cohen & Steers Quality Income Realty Fund, Inc.		181,588		2,213,558
Cohen & Steers REIT and Preferred Income Fund, Inc.		53,881		1,023,200
Cohen & Steers Select Preferred and Income Fund, Inc.		6,346		163,092
Cohen & Steers Total Return Realty Fund, Inc.		24,455		322,806
Cushing Renaissance Fund/The		500		10,660
Delaware Investments Minnesota Municipal Income Fund II, Inc.		9,990		133,267
Deutsche High Income Opportunities Fund, Inc.		28,804		404,120
Deutsche High Income Trust		25,526		223,097
DTF Tax-Free Income, Inc.		6,319		97,123
Duff & Phelps Utility and Corporate Bond Trust, Inc.		3,263		32,010
Eaton Vance California Municipal Bond Fund		41,609		489,738
Eaton Vance Floating-Rate Income Trust		25,203		350,070
Eaton Vance Limited Duration Income Fund		156,106		2,204,217
Eaton Vance Municipal Bond Fund		77,970		1,000,355
Eaton Vance Municipal Bond Fund II		8,240		104,566
Eaton Vance National Municipal Opportunities Trust		43,975		923,475
Eaton Vance New York Municipal Bond Fund		38,215		480,363
Eaton Vance Senior Floating-Rate Trust		3,831		52,446
Eaton Vance Senior Income Trust		53,922		336,473
Eaton Vance Short Duration Diversified Income Fund		55,326		782,863
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund		5,444		69,084
Ellsworth Fund Ltd.		23,372		203,570
First Trust Aberdeen Emerging Opportunity Fund		863		14,196
First Trust Aberdeen Global Opportunity Income Fund		42,683		513,903
First Trust High Income Long/Short Fund		107,139		1,714,224
First Trust Senior Floating Rate Income Fund II		14,312		186,199
Fort Dearborn Income Securities, Inc.		13,973		197,858

CLOSED END FUNDS - 5.5% (continued)	SHARES		VALUE (Note 5)
Franklin Limited Duration Income Trust		70,961	$	865,015
Gabelli Healthcare & WellnessRx Trust/The		12,076		125,832
Guggenheim Build America Bonds Managed Duration Trust		8,004		177,529
Invesco Advantage Municipal Income Trust II		63,139		732,412
Invesco Bond Fund		52,116		958,934
Invesco California Value Municipal Income Trust		27,787		357,341
Invesco Dynamic Credit Opportunities Fund		59,378		703,629
Invesco High Income Trust II		7,724		115,937
Invesco Municipal Income Opportunities Trust		13,644		95,235
Invesco Municipal Opportunity Trust		104,024		1,337,749
Invesco Municipal Trust		84,571		1,070,669
Invesco Quality Municipal Income Trust		89,505		1,117,917
Invesco Trust for Investment Grade Municipals		79,565		1,057,419
Invesco Trust for Investment Grade New York Municipals		13,438		183,697
John Hancock Income Securities Trust		8,578		122,580
John Hancock Premium Dividend Fund		89,426		1,229,607
John Hancock Tax-Advantaged Dividend Income Fund		17,405		387,609
Liberty All Star Equity Fund		171,390		1,024,912
LMP Corporate Loan Fund, Inc.		4,390		48,334
LMP Real Estate Income Fund, Inc.		35,078		440,229
Macquarie Global Infrastructure Total Return Fund, Inc.		649		16,043
Madison Covered Call & Equity Strategy Fund		14,157		115,238
MFS Investment Grade Municipal Trust		26,206		245,812
MFS Municipal Income Trust		53,075		352,418
Montgomery Street Income Securities, Inc.		4,609		75,680
Morgan Stanley Income Securities, Inc.		39,843		714,385
Neuberger Berman High Yield Strategies Fund, Inc.		26,697		328,373
Neuberger Berman Real Estate Securities Income Fund, Inc.		25,247		133,557
New America High Income Fund, Inc./The		16,282		145,561
Nuveen AMT-Free Municipal Income Fund		103,212		1,426,390
Nuveen Arizona Premium Income Municipal Fund		2,647		37,905
Nuveen Build America Bond Fund		50,044		1,059,932
Nuveen Build America Bond Opportunity Fund		15,740		345,493
Nuveen California AMT-Free Municipal Income Fund		71,245		1,050,151
Nuveen California Dividend Advantage Municipal Fund 2		24,796		355,575
Nuveen California Dividend Advantage Municipal Fund 3		41,357		559,560
Nuveen Connecticut Premium Income Municipal Fund		36,574		458,638
Nuveen Credit Strategies Income Fund		261,306		2,291,654
Nuveen Diversified Dividend & Income Fund		32,895		387,174
Nuveen Dividend Advantage Municipal Fund		56,024		802,824
Nuveen Dividend Advantage Municipal Fund 2		70,851		999,708
Nuveen Dividend Advantage Municipal Fund 3		65,010		895,838
Nuveen Dividend Advantage Municipal Income Fund		41,648		587,653
Nuveen Georgia Dividend Advantage Municipal Fund 2		20,940		263,216

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

AQR Funds Annual Report December 2014

49

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 5.5% (continued)	SHARES		VALUE (Note 5)
Nuveen Global Equity Income Fund		53,295	$	693,368
Nuveen Intermediate Duration Municipal Term Fund		62,656		783,200
Nuveen Investment Quality Municipal Fund, Inc.		11,289		171,931
Nuveen Maryland Premium Income Municipal Fund		66,457		840,681
Nuveen Massachusetts Premium Income Municipal Fund		5,454		72,211
Nuveen Municipal Advantage Fund, Inc.		58,592		800,367
Nuveen Municipal Market Opportunity Fund, Inc.		83,489		1,137,955
Nuveen Municipal Opportunity Fund, Inc.		74,041		1,086,181
Nuveen New Jersey Dividend Advantage Municipal Fund		76,866		1,036,154
Nuveen New York AMT-Free Municipal Income Fund		94,914		1,224,391
Nuveen New York Dividend Advantage Municipal Fund		24,278		328,481
Nuveen New York Performance Plus Municipal Fund, Inc.		22,163		320,034
Nuveen North Carolina Premium Income Municipal Fund		43,250		563,115
Nuveen Ohio Quality Income Municipal Fund		3,419		52,413
Nuveen Pennsylvania Investment Quality Municipal Fund		62,677		860,555
Nuveen Performance Plus Municipal Fund, Inc.		72,347		1,067,118
Nuveen Preferred & Income Term Fund		23,500		527,575
Nuveen Preferred Income Opportunities Fund		167,237		1,598,786
Nuveen Premier Municipal Income Fund, Inc.		38,893		543,335
Nuveen Premium Income Municipal Fund 2, Inc.		134,496		1,904,463
Nuveen Premium Income Municipal Fund 4, Inc.		35,084		465,214
Nuveen Premium Income Municipal Fund, Inc.		108,215		1,499,860
Nuveen Quality Income Municipal Fund, Inc.		63,561		887,947
Nuveen Quality Municipal Fund, Inc.		89,909		1,185,001
Nuveen Quality Preferred Income Fund		123,651		996,627
Nuveen Quality Preferred Income Fund 2		250,883		2,232,859
Nuveen Quality Preferred Income Fund 3		68,756		572,737

CLOSED END FUNDS - 5.5% (continued)	SHARES		VALUE (Note 5)
Nuveen Select Quality Municipal Fund, Inc.		77,039	$	1,075,464
Nuveen Short Duration Credit Opportunities Fund		15,214		253,313
Nuveen Tax-Advantaged Dividend Growth Fund		4,287		69,235
Nuveen Virginia Premium Income Municipal Fund		27,430		359,333
Petroleum & Resources Corp.		24,956		594,951
Pioneer Floating Rate Trust		27,521		313,189
Prudential Global Short Duration High Yield Fund, Inc.		39,027		621,310
Putnam High Income Securities Fund		47,652		386,458
Putnam Managed Municipal Income Trust		95,874		695,087
Putnam Municipal Opportunities Trust		101,832		1,220,966
RMR Real Estate Income Fund		10,058		209,408
Source Capital, Inc.		6,641		479,009
Stone Harbor Emerging Markets Total Income Fund		3,290		50,173
Templeton Global Income Fund		111,048		798,435
Transamerica Income Shares, Inc.		22,723		459,459
Wells Fargo Advantage Income Opportunities Fund		45,815		407,295
Wells Fargo Advantage Multi-Sector Income Fund		96,237		1,311,710
Western Asset Global Corporate Defined Opportunity Fund, Inc.		87,586		1,557,279
Western Asset Global High Income Fund, Inc.		21,465		238,262
Western Asset Global Partners Income Fund, Inc.		20,029		196,284
Western Asset High Income Opportunity Fund, Inc.		129,500		695,415
Western Asset Income Fund		19,051		256,236
Western Asset Managed High Income Fund, Inc.		114,518		585,187
Western Asset Municipal High Income Fund, Inc.		24,410		187,957
Western Asset Municipal Partners Fund, Inc.		11,064		164,079
Western Asset Worldwide Income Fund, Inc.		49,292		562,422
TOTAL CLOSED END FUNDS (cost $117,473,151)				122,800,387

LOAN PARTICIPATIONS - 1.2%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Consumer Discretionary - 0.3%
Dex Media West, Inc. (2)(h)		8.000%		12/30/16		$  1,372	$	1,191,886
Exide Technologies (2)		9.000%		03/31/15		4,154		3,510,227
RH Donnelley, Inc. (2)(h)		9.750%		12/31/16		3,412		2,432,742
								7,134,855
Financials - 0.7%
J.G. Wentworth LLC (2)(h)		7.000%		02/08/18		1,876		1,850,376
Toys R Us Property Co. II LLC (2)		9.750%		04/24/20		13,975		12,826,395
								14,676,771
Utilities - 0.2%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (2)(h)		4.250%		06/06/16		5,050		5,046,869
TOTAL LOAN PARTICIPATIONS (cost $28,610,942)								26,858,495

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

AQR Funds Annual Report December 2014

50

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

PREFERRED STOCKS - 0.3%	SHARES		VALUE (Note 5)
Financials - 0.3%
Ally Financial, Inc., Perpetual Preferred Stock, Series G 144A (2)†(c)(e)(f)		2,175	$	2,174,116
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V †(e)		184,409		527,410
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W †(e)		91,025		261,242
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X (2)†(e)		80,343		234,602
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, 8.375%, Series Z †(e)(h)		248,730		982,483
Federal National Mortgage Association, Perpetual Preferred Stock, 8.250%, Series S †(e)(h)		248,730		962,585
First Bank, Inc., Perpetual Preferred Stock (3)†(b)(e)		2,458		853,511
				5,995,949
Utilities - 0.0% (a)
Genie Energy Ltd., Perpetual Preferred Stock,7.500%, Series 12-A †(e)(h)		218,975		1,386,112
TOTAL PREFERRED STOCKS (cost $12,716,574)				7,382,061
RIGHTS - 0.2%
Financials - 0.1%
1347 Capital Corp. (2)†		420,504		134,561
DT Asia Investments Ltd. (Hong Kong) (3)†(b)		209,241		50,218
Garnero Group Acquisition Co. (Brazil) †		2,430,200		729,060
				913,839

	SHARES		VALUE (Note 5)
Health Care - 0.1%
Ambit Biosciences Corp. (3)†(b)		146,272	$	93,238
American Medical Alert Corp. (3)†(b)		283,523		2,835
American Surgical Holdings, Inc. (3)†(b)		15,747		—
Chelsea Therapeutics International Ltd. (3)†(b)		4,668,137		343,341
Community Health Systems, Inc. †(c)		2,402,200		60,055
Durata Therapeutics, Inc. (3)†(b)		261,441		319,614
Forest Laboratories, Inc. (3)†(b)		335,833		—
Furiex Pharmaceuticals, Inc. (3)†(b)		251,398		2,476,776
				3,295,859
Information Technology - 0.0% (a)
Gerber Scientific, Inc. (3)†(b)		879,944		—
TOTAL RIGHTS (cost $—)				4,209,698
SHORT-TERM INVESTMENTS - 8.1%		PRINCIPAL AMOUNT (000’S)
U.S. Treasury Bill, 0.037%, 4/9/2015 (c)		$  32,300		32,297,610
U.S. Treasury Bill, 0.066%, 5/21/2015 (c)		146,933		146,900,381
TOTAL SHORT-TERM INVESTMENTS (cost $179,192,156)				179,197,991

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
U.S. TREASURY OBLIGATIONS - 0.1%
U.S. Treasury Note (cost $2,878,718)		0.250%		08/15/15		$    2,875	$	2,876,124

WARRANTS - 0.7%	SHARES		VALUE (Note 5)
Consumer Discretionary - 0.2%
EveryWare Global, Inc. (2)†		756,000	$	26,460
General Motors Co. †		356,485		402,828
Hemisphere Media Group, Inc. (2)†		743,407		884,654
IVS Group SA (Luxembourg) (2)†		590,301		142,859
Jason Industries, Inc. †		1,933,070		2,319,684
				3,776,485
Energy - 0.0% (a)
Glori Energy, Inc. †		287,100		94,743
Green Field Energy Services, Inc. (3)†(b)		2,025		—
Harvest Natural Resources, Inc. (3)†(b)		51,454		16
				94,759
Financials - 0.4%
1347 Capital Corp. (3)†(b)		420,504		84,101
AR Capital Acquisition Corp. (3)†(b)		697,500		139,500
Associated Banc-Corp †		20,065		58,189
Boston Private Financial Holdings, Inc. (2)†		97,674		616,323

	SHARES		VALUE (Note 5)
Financials - 0.4% (continued)
Boulevard Acquisition Corp. (3)†(b)(c)		504,000	$	267,624
Cambridge Capital Acquisition Corp. †		1,478,400		517,440
Capitol Acquisition Corp. II (2) †		720,000		244,800
Chart Acquisition Corp. (2) †		1,268,625		507,450
CIS Acquisition Ltd. (Russian Federation) †		850,000		289,000
Collabrium Japan Acquisition Corp. (United Kingdom) †		595,000		35,700
Comerica, Inc. (2) †		9,708		36,987
DT Asia Investments Ltd. (Hong Kong) (2) †		209,241		26,155
Garnero Group Acquisition Co. (Brazil) †		2,430,200		291,624
Hennessy Capital Acquisition Corp. (3)†(b)		756,000		264,600
KBS Fashion Group Ltd. (China) (3)†(b)		763,024		114,454
Levy Acquisition Corp. (2)†		945,000		349,650
Neostem (3)†(b)		243,000		2,097
ROI Acquisition Corp. II †		882,000		264,600
Silver Eagle Acquisition Corp. †		1,971,250		985,625

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

AQR Funds Annual Report December 2014

51

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 5)
Financials - 0.4% (continued)
Terrapin 3 Acquisition Corp. †		1,428,000	$	357,000
Valley National Bancorp †		49,509		13,367
WL Ross Holding Corp. †		2,898,000		3,419,640
				8,885,926
Health Care - 0.0% (a)
CorMedix, Inc. †(c)		75,400		6,288
Mast Therapeutics, Inc. (3)†(b)		103,750		4,339
Pluristem Therapeutics, Inc. (Israel) (3)†(b)		63,750		23,588
ReGeneRx Biopharmaceuticals, Inc. (3)†(b)		240,000		6,000
Venaxis, Inc. (3)†(b)		24,000		10,080
				50,295
Industrials - 0.0% (a)
Genco Shipping & Trading Ltd. †		282,502		483,078
Jack Cooper Holdings Corp. (3)†(b)		448		69,440
Jack Cooper Holdings Corp. 144A (3)†(b)(f)		1,775		275,125
Pingtan Marine Enterprise Ltd. (China) †		395,000		49,375
				877,018
Information Technology - 0.1%
exceet Group SE (Germany) (3)†(b)		72,000		6,012
Global Eagle Entertainment, Inc. †		372,773		1,934,692
Net Element International, Inc. (Bulgaria) (2) †		319,668		15,984
RMG Networks Holding Corp. (2) †		631,210		25,248
Transwitch Corp. (3)†(b)		640,000		6
				1,981,942
Materials - 0.0% (a)
Tecnoglass, Inc. †		371,009		949,783
Utilities - 0.0% (a)
Electrawinds SE (Germany) (3)†(b)		621,000		3,757
TOTAL WARRANTS (cost $8,203,702)				16,619,965
MONEY MARKET FUNDS - 19.2%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (2)(j)		9,273,269		9,273,269
Dreyfus Treasury Cash Management, Class I, 0.010% (2)(j)		37,093,073		37,093,073
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.060% (2)(j)		121,296,169		121,296,169
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2) (j)(k)		212,957,944		212,957,944
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (2)(j)		46,366,342		46,366,342
TOTAL MONEY MARKET FUNDS (cost $426,986,797)				426,986,797

	CONTRACTS/ NOTIONAL			VALUE (Note 5)
PURCHASED OPTIONS - 0.0% (a)
Put - Restaurant Brands International, Inc., Expires 01/17/2015, Strike $40.00
(cost $642,234)		979		$	174,458
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $2,947,335,830)					2,831,758,259
SECURITIES SOLD SHORT - (40.7)%		SHARES
COMMON STOCKS - (38.7)%
Consumer Discretionary - (2.8)%
Carriage Services, Inc.		(205,453	)		(4,304,240	)
Dollar Tree, Inc. †		(22,668	)		(1,595,374	)
Group 1 Automotive, Inc.		(10,548	)		(945,312	)
JAKKS Pacific, Inc. †		(928,227	)		(6,311,944	)
M/I Homes, Inc. †		(95,925	)		(2,202,438	)
Meritage Homes Corp. †		(18,303	)		(658,725	)
MGM Resorts International †		(256,520	)		(5,484,398	)
Sirius XM Holdings, Inc. †		(3,064,923	)		(10,727,230	)
Tesla Motors, Inc. †		(69,615	)		(15,483,072	)
Twenty-First Century Fox, Inc., Class A		(357,026	)		(13,711,583	)
					(61,424,316	)
Consumer Staples - (2.2)%
Bunge Ltd.		(35,776	)		(3,252,396	)
Post Holdings, Inc. †		(108,080	)		(4,527,471	)
Rite Aid Corp. †		(115,908	)		(871,628	)
Tyson Foods, Inc., Class A		(182,615	)		(7,321,036	)
Universal Corp.		(406,871	)		(17,894,187	)
Vector Group Ltd.		(694,655	)		(14,803,098	)
					(48,669,816	)
Energy - (2.0)%
Aegean Marine Petroleum Network, Inc. (Greece)		(54,810	)		(768,436	)
Alpha Natural Resources, Inc. †		(137,534	)		(229,682	)
Cal Dive International, Inc. †		(178,948	)		(12,526	)
Chesapeake Energy Corp.		(36,403	)		(712,407	)
Emerald Oil, Inc. †		(79,313	)		(95,176	)
Energy XXI Ltd.		(88,806	)		(289,507	)
Halliburton Co.		(372,256	)		(14,640,828	)
PDC Energy, Inc. †		(2,403	)		(99,172	)
Polarcus Ltd. (Norway) (2) †		(155,079	)		(12,862	)
Renewable Energy Group, Inc. †		(192,638	)		(1,870,515	)
Royal Dutch Shell PLC ADR (Netherlands)		(151,862	)		(10,563,521	)
Sanchez Energy Corp. †		(1,078,358	)		(10,017,946	)
Scorpio Tankers, Inc. (Monaco)		(333,973	)		(2,902,225	)
Vantage Drilling Co. †		(14,861	)		(7,264	)
Whiting Petroleum Corp. †		(103,116	)		(3,402,828	)
ZaZa Energy Corp. †		(16,465	)		(41,492	)
					(45,666,387	)
Financials - (8.2)%
American Equity Investment Life Holding Co.		(165,883	)		(4,842,125	)
American Realty Capital Properties, Inc. REIT		(185,694	)		(1,680,531	)
Ares Capital Corp.		(30,496	)		(475,890	)
Associated Banc-Corp		(11,154	)		(207,799	)
AV Homes, Inc. †		(47,386	)		(690,414	)
Bank of the Ozarks, Inc.		(7,224	)		(273,934	)

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

AQR Funds Annual Report December 2014

52

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 5)
Financials - (8.2)% (continued)
BB&T Corp.		(97,429	)	$	(3,789,014	)
BioMed Realty Trust, Inc. REIT		(133,910	)		(2,884,421	)
Boston Private Financial Holdings, Inc.		(96,922	)		(1,305,539	)
CareTrust REIT, Inc. REIT		(62,239	)		(767,407	)
Cowen Group, Inc., Class A †		(610,366	)		(2,929,757	)
Deutsche Annington Immobilien SE (Germany) (2)		(120,646	)		(4,096,132	)
E*TRADE Financial Corp. †		(168,230	)		(4,080,419	)
Element Financial Corp. (Canada) †		(391,429	)		(4,763,992	)
Encore Capital Group, Inc. †		(23,031	)		(1,022,576	)
Ezcorp, Inc., Class A †		(104,762	)		(1,230,954	)
Gain Capital Holdings, Inc.		(156,552	)		(1,412,099	)
Health Care REIT, Inc. REIT		(156,645	)		(11,853,327	)
iStar Financial, Inc. REIT †		(317,533	)		(4,334,325	)
KCAP Financial, Inc.		(133,941	)		(913,478	)
Kilroy Realty Corp. REIT		(90,494	)		(6,250,421	)
Klepierre REIT (France) (2)		(34,557	)		(1,483,815	)
Lexington Realty Trust REIT		(1,050,550	)		(11,535,039	)
Meadowbrook Insurance Group, Inc.		(16,820	)		(142,297	)
MGIC Investment Corp. †		(1,391,257	)		(12,966,515	)
NorthStar Asset Management Group, Inc.		(1,074	)		(24,240	)
NorthStar Realty Finance Corp. REIT		(890,604	)		(15,656,818	)
Northwest Bancshares, Inc.		(59,807	)		(749,382	)
PHH Corp. †		(609,971	)		(14,614,905	)
Prospect Capital Corp.		(9,498	)		(78,453	)
Radian Group, Inc.		(946,415	)		(15,824,059	)
RenaissanceRe Holdings Ltd.		(13,080	)		(1,271,638	)
Renasant Corp.		(1,369	)		(39,605	)
Resource Capital Corp. REIT		(58,784	)		(296,272	)
Ryman Hospitality Properties, Inc. REIT		(463,966	)		(24,469,567	)
Starwood Property Trust, Inc. REIT		(71,427	)		(1,659,963	)
Starwood Waypoint Residential Trust REIT		(98,282	)		(2,591,696	)
Sterling Bancorp		(16,221	)		(233,258	)
Stewart Information Services Corp.		(475,543	)		(17,614,113	)
Valley National Bancorp		(2,074	)		(20,139	)
Ventas, Inc. REIT		(2,295	)		(164,552	)
ZAIS Financial Corp. REIT		(72,015	)		(1,242,259	)
					(182,483,139	)
Health Care - (5.3)%
Accuray, Inc. †		(499,625	)		(3,772,169	)
Acorda Therapeutics, Inc. †		(15,214	)		(621,796	)
Actavis PLC †		(23,913	)		(6,155,445	)
Affymetrix, Inc. †		(739,129	)		(7,295,203	)
Albany Molecular Research, Inc. †		(73,182	)		(1,191,403	)
Amsurg Corp. †		(132,169	)		(7,233,609	)
China Medical Technologies, Inc. ADR (China) (3)†(b)		(45,264	)		(453	)
Covidien PLC (Ireland)		(108,498	)		(11,097,176	)
Endo International PLC (Ireland) †		(175,794	)		(12,678,263	)
Healthways, Inc. †		(78,093	)		(1,552,489	)
Illumina, Inc. †		(25	)		(4,615	)
Kindred Healthcare, Inc.		(58,413	)		(1,061,948	)
Molina Healthcare, Inc. †		(18,552	)		(993,089	)
Omnicare, Inc.		(65,927	)		(4,808,056	)
PDL BioPharma, Inc.		(215,944	)		(1,664,928	)
Regeneron Pharmaceuticals, Inc. †		(110,764	)		(45,440,931	)
Sequenom, Inc. †		(777,082	)		(2,875,203	)
Spectrum Pharmaceuticals, Inc. †		(335,198	)		(2,322,922	)
Wright Medical Group, Inc. †		(302,123	)		(8,118,045	)
					(118,887,743	)

	SHARES			VALUE (Note 5)
Industrials - (2.4)%
Bollore SA (France) (2)		(82,900	)	$	(377,534	)
CBIZ, Inc. †		(161,506	)		(1,382,492	)
Cenveo, Inc. †		(180,413	)		(378,867	)
General Cable Corp.		(34,558	)		(514,914	)
Hawaiian Holdings, Inc. †		(38,062	)		(991,515	)
JetBlue Airways Corp. †		(1,359,450	)		(21,560,877	)
Layne Christensen Co. †		(10,008	)		(95,476	)
MasTec, Inc. †		(126,763	)		(2,866,112	)
Meritor, Inc. †		(524,609	)		(7,947,826	)
Terex Corp.		(278,230	)		(7,757,053	)
Titan International, Inc.		(443,827	)		(4,717,881	)
UTi Worldwide, Inc. †		(486,603	)		(5,873,298	)
					(54,463,845	)
Information Technology - (11.7)%
Alibaba Group Holding Ltd. ADR (China) †		(800,110	)		(83,163,433	)
Alliance Data Systems Corp. †		(390	)		(111,560	)
Ciena Corp. †		(302,036	)		(5,862,519	)
Convergys Corp.		(600,156	)		(12,225,178	)
Finisar Corp. †		(37,470	)		(727,293	)
Global Eagle Entertainment, Inc. †		(278,622	)		(3,792,045	)
Microchip Technology, Inc.		(197,380	)		(8,903,812	)
Micron Technology, Inc. †		(699,240	)		(24,480,392	)
ModusLink Global Solutions, Inc. †		(816,059	)		(3,060,221	)
Nuance Communications, Inc. †		(2,972	)		(42,410	)
Palo Alto Networks, Inc. †		(10,717	)		(1,313,583	)
Photronics, Inc. †		(432,751	)		(3,596,161	)
Quantum Corp. †		(831,512	)		(1,463,461	)
Rambus, Inc. †		(324,705	)		(3,600,978	)
RF Micro Devices, Inc. †		(368,404	)		(6,111,822	)
SunEdison, Inc. †		(2,316,014	)		(45,185,433	)
SunPower Corp. †		(21,360	)		(551,729	)
TTM Technologies, Inc. †		(13,123	)		(98,816	)
VeriSign, Inc. †		(726,378	)		(41,403,546	)
Vishay Intertechnology, Inc.		(230,251	)		(3,258,052	)
Web.com Group, Inc. †		(52,500	)		(996,975	)
WebMD Health Corp. †		(233,907	)		(9,251,022	)
					(259,200,441	)
Materials - (0.5)%
A.M. Castle & Co. †		(57,565	)		(459,369	)
Alcoa, Inc.		(99,112	)		(1,564,978	)
Cemex SAB de CV ADR (Mexico) †		(129,722	)		(1,321,867	)
Holcim Ltd. (Switzerland) (2)†		(19,501	)		(1,394,013	)
RTI International Metals, Inc. †		(16,610	)		(419,569	)
Stillwater Mining Co. †		(310,867	)		(4,582,180	)
Vale SA ADR (Brazil)		(167,042	)		(1,366,403	)
					(11,108,379	)
Telecommunication Services - (0.3)%
BCE, Inc. (Canada)		(33,991	)		(1,558,823	)
Level 3 Communications, Inc. †		(16,356	)		(807,659	)
T-Mobile US, Inc. †		(140,515	)		(3,785,474	)
					(6,151,956	)
Utilities - (3.3)%
Dominion Resources, Inc.		(328,924	)		(25,294,256	)
NextEra Energy, Inc.		(360,100	)		(38,275,029	)
NRG Yield, Inc., Class A		(206,057	)		(9,713,527	)
					(73,282,812	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $858,171,890)					(861,338,834	)

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

AQR Funds Annual Report December 2014

53

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE BONDS - (1.9)%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)			VALUE (Note 5)
Health Care - (0.5)%
Teva Pharmaceutical Finance Co. LLC, Series C (2)		0.250%		02/01/26		$   (7,600	)	$	(10,383,500	)
Information Technology - (1.4)%
Citrix Systems, Inc. 144A (2)(f)		0.500%		04/15/19		(9,975	)		(10,504,922	)
ON Semiconductor Corp., Series B (2)		2.625%		12/15/26		(4,975	)		(5,914,031	)
Red Hat, Inc. 144A (2)(f)		0.250%		10/01/19		(12,225	)		(14,425,500	)
									(30,844,453	)
TOTAL CONVERTIBLE BONDS SOLD SHORT (proceeds $39,277,820)									(41,227,953	)
U.S. TREASURY OBLIGATIONS - (0.1)%
U.S. Treasury Note (2) (proceeds $2,876,263)		0.250%		08/15/15		(2,875	)		(2,876,124	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $900,325,973)									(905,442,911	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 86.5% (cost $2,047,009,857)									1,926,315,348
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5% (l)									298,992,542
NET ASSETS - 100.0%								$	2,225,307,890

† Non income-producing security.

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

(b) Security fair valued as of December 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $180,774,514 or 8.1% of total net assets.

(c) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $1,036,439,352. Additional cash collateral pledged was $204,331,250.

(d) Represents a Pay-in-Kind Stock.

(e) Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of December 31, 2014.

(f) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(g) Defaulted security.

(h) Indicates a variable rate security. The interest rate shown represents the discount rate at December 31, 2014.

(i) Represents a step bond. The rate shown reflects the yield at December 31, 2014.

(j) Represents annualized seven-day yield as of December 31, 2014.

(k) A portion of the security is pledged as collateral to the brokers for swap contracts.

(l) Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and call options written.

* All or a portion of this security has been segregated for covered call options written.

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).

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

CAD - Canadian Dollar

MTN - Medium Term Note

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report December 2014

54

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

Credit default swap contracts buy protection as of December 31, 2014:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND		CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank	Markit CDX North America High Yield Index Series 23		5.000%	USD		3.557%		237,150,000		$(11,699,067	)		12/20/2019		$(3,430,500	)
CitiBank	Markit CDX North America Investment Grade Index Series 23		1.000%	USD		0.661%		7,925,000		(117,083	)		12/20/2019		(12,464	)
										$(11,816,150	)				$(3,442,964	)

Credit default swap contracts sell protection as of December 31, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank

Markit CDX North America High Yield Index Series 23

5.000%

USD

3.557%

25,525,000

$1,697,255

12/20/2019

$(4,516

)

Cash held as collateral at CitiBank for exchange cleared credit default swap contracts and total return basket swap contracts was $21,397,164 at December 31, 2014.

Open written options contracts outstanding at December 31, 2014:

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
4,000	General Motors Co. (Exercise price $42)	J.P. Morgan		1/15/2016		$(2,203,697	)		$(420,000	)		$1,783,697
712	MGM Resorts International (Exercise price $19)(2)	J.P. Morgan		3/20/2015		(89,697	)		(205,768	)		(116,071	)
979	Restaurant Brands International, Inc. (Exercise price $40)	J.P. Morgan		1/17/2015		(22,640	)		(53,307	)		(30,667	)
25	Time Warner Cable, Inc. (Exercise price $130)	J.P. Morgan		1/17/2015		(24,098	)		(62,750	)		(38,652	)
						$(2,340,132	)		$(741,825	)		$1,598,307

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

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

AQR Funds Annual Report December 2014

55

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
3,783	Barclays Capital	S&P 500 E-Mini Futures		3/2015		$(376,033,612	)		$(388,211,460	)		$(12,177,848	)
291	Barclays Capital	U.S. Treasury 10-Year Note Futures		3/2015		(36,662,167	)		(36,897,891	)		(235,724	)
1,000	J.P. Morgan	U.S. Treasury 2-Year Note Futures		3/2015		(218,872,852	)		(218,593,751	)		279,101
574	J.P. Morgan	U.S. Treasury 5-Year Note Futures		3/2015		(68,296,342	)		(68,265,640	)		30,702
						$(699,864,973	)		$(711,968,742	)		$(12,103,769	)

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $34,697,901 and $531,073, respectively at December 31, 2014.

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 01/07/15	Credit Suisse International	CAD		20,161,216		$17,512,011		$17,352,812		$(159,199	)
Canadian Dollar, Expiring 01/07/15	The Royal Bank of Scotland	CAD		15,199,609		13,838,080		13,082,344		(755,736	)
Euro, Expiring 03/18/15	CitiBank	EUR		1,638,587		2,030,655		1,984,086		(46,569	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		5,772,418		7,153,180		6,989,544		(163,636	)
Euro, Expiring 06/17/15	Credit Suisse International	EUR		5,869,279		7,435,569		7,113,560		(322,009	)
Euro, Expiring 01/07/15	The Royal Bank of Scotland	EUR		5,117,601		6,749,156		6,192,699		(556,457	)
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		742,500		924,782		899,832		(24,950	)
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		311,240		388,508		378,181		(10,327	)
British Pound, Expiring 04/07/15	The Royal Bank of Scotland	GBP		5,559,115		9,343,506		8,657,850		(685,656	)
Norwegian Krone, Expiring 03/27/15	The Royal Bank of Scotland	NOK		360,000		58,021		48,190		(9,831	)
Norwegian Krone, Expiring 06/29/15	The Royal Bank of Scotland	NOK		12,368,000		1,987,498		1,652,647		(334,851	)
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		19,387,600		3,091,382		2,590,895		(500,487	)
						$70,512,348		$66,942,640		$(3,569,708	)

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

AQR Funds Annual Report December 2014

56

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 01/07/15	Credit Suisse International	CAD		(23,690,702	)		$(21,290,717	)		$(20,390,649	)		$900,068
Canadian Dollar, Expiring 02/06/15	Credit Suisse International	CAD		(246,367	)		(213,420	)		(211,907	)		1,513
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(2,085,835	)		(1,814,346	)		(1,792,504	)		21,842
Canadian Dollar, Expiring 01/07/15	The Royal Bank of Scotland	CAD		(15,199,609	)		(13,886,329	)		(13,082,344	)		803,985
Euro, Expiring 03/18/15	CitiBank	EUR		(18,050,422	)		(22,258,403	)		(21,856,390	)		402,013
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(21,006,846	)		(25,916,520	)		(25,436,181	)		480,339
Euro, Expiring 06/17/15	Credit Suisse International	EUR		(23,798,060	)		(30,698,857	)		(28,843,225	)		1,855,632
Euro, Expiring 01/07/15	The Royal Bank of Scotland	EUR		(5,117,601	)		(6,971,351	)		(6,192,697	)		778,654
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(21,000	)		(27,804	)		(25,433	)		2,371
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		(742,500	)		(956,986	)		(899,832	)		57,154
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		(311,240	)		(401,618	)		(378,181	)		23,437
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(21,000	)		(27,886	)		(25,647	)		2,239
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(21,000	)		(28,010	)		(26,083	)		1,927
British Pound, Expiring 04/07/15	The Royal Bank of Scotland	GBP		(5,559,115	)		(9,346,357	)		(8,657,850	)		688,507
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		(8,589,375	)		(1,208,892	)		(1,150,105	)		58,787
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(8,589,375	)		(1,208,893	)		(1,150,105	)		58,788
Norwegian Krone, Expiring 03/19/15	The Royal Bank of Scotland	NOK		(2,082,751	)		(334,977	)		(278,869	)		56,108
Norwegian Krone, Expiring 03/27/15	The Royal Bank of Scotland	NOK		(360,000	)		(57,174	)		(48,190	)		8,984
Norwegian Krone, Expiring 06/11/15	The Royal Bank of Scotland	NOK		(26,889,722	)		(4,251,474	)		(3,594,216	)		657,258
Norwegian Krone, Expiring 06/18/15	The Royal Bank of Scotland	NOK		(75,604,625	)		(12,130,511	)		(10,104,453	)		2,026,058
Norwegian Krone, Expiring 06/29/15	The Royal Bank of Scotland	NOK		(12,368,000	)		(1,956,652	)		(1,652,647	)		304,005
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		(19,387,600	)		(3,266,931	)		(2,590,895	)		676,036
Swedish Krona, Expiring 01/07/15	Credit Suisse International	SEK		(22,683,450	)		(3,079,898	)		(2,909,812	)		170,086
							(161,334,006	)		(151,298,215	)		10,035,791
							$(90,821,658	)		$(84,355,575	)		$6,466,083

Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $790,000 at December 31, 2014. Additional cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts was $2,600,000 and $3,290,000, respectively, at December 31, 2014.

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

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

AQR Funds Annual Report December 2014

57

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Bank of America	The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	66 to 67 months maturity 08/12/2019		$425,787

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Cayman Islands
Herbalife Ltd.		(82,666	)	$	(3,542,238	)	$	425,730
Net Cash and Other Receivables/ (Payables) (b)								57
Swaps, at Value							$	425,787

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

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

Money Market Fund is pledged as collateral to Bank of America in the amount of $920,640 at December 31, 2014.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity ranging from 4/10/2015 - 11/12/2015		$7,640,188

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
Allegion PLC		299,924	$	16,021,940	$	611,845
United States
Ashford Hospitality Prime, Inc.		286,902		4,997,833		(74,594	)
Ashford Hospitality Trust, Inc.		1,694,615		18,996,634		(1,237,069	)
Ashford, Inc.		9,936		—		933,984

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Blackhawk Network Holdings, Inc.		376,334	$	13,017,266	$	1,166,762
California Resources Corp.		1,132,671		6,795,756		(554,739	)
CareTrust REIT, Inc.		508,064		5,268,386		996,044
CDK Global, Inc.		29,826		1,076,719		138,989
Civeo Corp.		799,066		8,773,745		(5,489,583	)
Dover Corp.		80,380		6,508,369		(743,515	)
Enova International, Inc.		108,417		2,485,516		(72,154	)

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

AQR Funds Annual Report December 2014

58

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ensign Group, Inc./The		221,867	$	8,932,365	$	916,311
Halyard Health, Inc.		104,851		3,830,084		937,492
Keysight Technologies, Inc.		42,971		1,283,793		167,338
KLX, Inc.		177,075		7,381,543		(77,200	)
Knowles Corp.		581,098		10,982,752		2,702,106
Lands’ End, Inc.		236,906		10,374,114		2,409,334
Liberty TripAdvisor Holdings, Inc.		187,447		4,911,111		131,213
Liberty Ventures		94,540		3,259,739		306,310
Navient Corp.		833,746		16,758,295		1,258,956
New Media Investment Group, Inc.		79,807		1,510,747		375,093
New Senior Investment Group, Inc.		160,876		—		2,646,410
Newcastle Investment Corp.		160,876		3,785,412		(3,063,079	)
NorthStar Asset Management Group, Inc.		394,125		7,701,203		1,194,199
NorthStar Realty Finance Corp.		433,102		7,878,125		(264,192	)
NOW, Inc.		288,227		7,934,889		(518,809	)
Oil States International, Inc.		156,821		8,979,570		(1,311,023	)
ONE Gas, Inc.		358,865		14,002,912		789,503
Outfront Media, Inc.		300,012		9,051,362		(999,040	)
Paragon Offshore PLC		2,592,168		12,079,503		(4,899,197	)
Seventy Seven Energy, Inc.		557,532		5,820,634		(2,804,386	)
Simon Property Group, Inc.		49,376		8,891,630		100,233
SLM Corp.		753,193		7,471,675		203,362
Starwood Property Trust, Inc.		418,971		9,577,677		159,209

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Starwood Waypoint Residential Trust		53,081		$	1,368,959		$	30,787
Synchrony Financial		307,498			8,480,795			667,271
Theravance Biopharma, Inc.		217,588			3,794,735			(548,322	)
Theravance, Inc.		444,680			6,403,392			(111,170	)
Time Warner, Inc.		98,203			7,596,984			791,516
Time, Inc.		387,417			8,368,207			1,166,125
Tribune Publishing Co.		127,359			2,004,631			911,890
Washington Prime Group, Inc.		514,557			9,200,279			(339,608	)
								(2,007,243	)
Total of Long Equity Positions								(1,395,398	)
Short Positions
United States
Energy Select Sector SPDR Fund		(92,948	)		(8,015,633	)		657,869
Total of Long and Short Equity Positions								(737,529	)
Net Cash and Other Receivables/ (Payables) (b)								8,377,717
Swaps, at Value							$	7,640,188

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

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

Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $114,965,521 at December 31, 2014.

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

AQR Funds Annual Report December 2014

59

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	12 months maturity 10/22/2015		$(1,564,471	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Japan
Yahoo Japan Corp.		(4,429,340	)	$	(14,831,957	)	$	(1,042,466	)
Net Cash and Other Receivables/ (Payables) (b)								(522,005	)
Swaps, at Value							$	(1,564,471	)

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 8/31/2015 - 12/22/2015		$4,928,913

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Brookfield Residential Properties, Inc.		12,979	$	312,218	$	57
QLT, Inc.		609,978		3,370,831		(924,819	)
Talisman Energy, Inc.		1,000,753		7,733,413		102,483
						(822,279	)
Ireland
Covidien PLC		505,487		44,149,235		7,551,976
Spain
Banco Santander SA		14,810		143,506		(20,136	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Amec Foster Wheeler PLC		6,486	$	119,686	$	(35,757	)
United States
Allergan, Inc.		99,884		21,003,077		231,263
Alliance Data Systems Corp.		389		109,023		2,250
American Realty Capital Healthcare Trust, Inc.		3,146,539		34,242,779		3,201,035
Apco Oil and Gas International, Inc.		327,299		4,677,103		(85,098	)
Ark Restaurants Corp.		43,559		963,961		17,424

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

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Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Avanir Pharmaceuticals, Inc.		387,495	$	6,564,382	$	3,658
Baker Hughes, Inc.		9,374		588,888		(63,288	)
CareFusion Corp.		236,167		13,462,787		551,363
Central Garden and Pet Co		452,302		4,025,488		293,996
Central Garden and Pet Co.		11,067		96,394		775
Cleco Corp.		154,507		8,249,963		176,848
Covance, Inc.		51,236		5,164,985		155,361
Covisint Corp.		123,379		—		326,954
Cubist Pharmaceuticals, Inc.		57,222		5,763,426		(4,032	)
Digital River, Inc.		130,220		2,978,745		241,595
DIRECTV		426,408		36,317,805		651,768
Dresser-Rand Group, Inc.		92,720		7,541,697		42,799
Durata Therapeutics, Inc.		89,246		66,935		42,170
ESB Financial Corp.		9,394		179,629		(1,706	)
Evoq Properties, Inc.		44,422		40,231		1,970
Family Dollar Stores, Inc.		37,100		2,869,559		69,132
Franklin Financial Corp./VA		19,175		382,541		23,585
Gentiva Health Services, Inc.		106,755		1,923,542		110,141
GFI Group, Inc.		940,553		4,510,319		615,694
Glimcher Realty Trust		3,315,860		44,463,349		1,096,567
Heritage Financial Group, Inc.		38,111		975,044		12,031
Hudson City BanCorp., Inc.		3,881,415		38,686,475		593,444
Integrys Energy Group, Inc.		128,496		8,534,545		1,468,869
International Rectifier Corp.		478,756		18,837,796		264,569
Intervest Bancshares Corp.		442,303		4,228,417		216,729
Journal Communications, Inc.		688,126		6,333,715		1,531,565
LNB Bancorp, Inc.		27,412		483,094		11,144
Lorillard, Inc.		530,298		31,671,763		1,705,193
Meadowbrook Insurance Group, Inc.		9,621		81,469		(75	)
MicroFinancial, Inc.		20,513		209,492		(157	)
Nicholas Financial, Inc.		429,216		5,536,886		858,432
Orbital Sciences Corp.		136,886		3,809,537		(128,673	)
Paramount Gold & Silver, Inc.		19,792		20,189		(1	)
Penford Corp.		1,674		31,315		(28	)
Peoples Federal Bancshares, Inc.		378,656		7,629,918		904,988
Pepco Holdings, Inc.		1,558,064		42,265,682		(307,018	)
PetSmart, Inc.		135,053		10,935,280		43,854
Platinum Underwriters Holdings Ltd.		58,997		4,353,893		(22,333	)
Protective Life Corp.		140,977		9,782,224		36,824
Riverbed Technology, Inc.		653,132		13,282,977		47,447

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rockwood Holdings, Inc.		348,880		$	27,675,989		$	(184,245	)
Safeway, Inc.		504,842			17,487,727			242,324
Sigma-Aldrich Corp.		51,750			7,008,770			94,953
Simplicity Bancorp, Inc.		178,022			2,914,220			138,857
Susquehanna Bancshares, Inc.		267,013			3,520,856			65,129
SWS Group, Inc.		12,979			89,708			(23	)
Symmetry Surgical, Inc.		37,506			324,052			(31,880	)
Time Warner Cable, Inc.		394,065			58,061,537			1,859,987
TriQuint Semiconductor, Inc.		2,057,495			38,935,231			17,748,756
TRW Automotive Holdings Corp.		313,284			31,827,828			393,432
Viasystems Group, Inc.		369,480			5,649,349			365,785
Volcano Corp.		900,016			16,065,254			27,032
Whiting Petroleum Corp.		723			54,085			(30,226	)
								35,628,909
Total of Long Equity Positions							42,302,713
Short Positions
United States
Actavis PLC		(35,908	)		(9,411,479	)		168,401
Albemarle Corp.		(168,622	)		(10,445,395	)		306,154
Applied Materials, Inc.		(1,461,899	)		(32,498,015	)		(3,932,508	)
AT&T, Inc.		(542,882	)		(18,265,828	)		30,422
Bank of the Ozarks, Inc.		(19,992	)		(666,990	)		(91,106	)
BB&T Corp.		(67,432	)		(2,558,842	)		(63,588	)
Becton Dickinson and Co.		(18,377	)		(2,340,598	)		(216,746	)
Coeur Mining, Inc.		(4,039	)		(20,842	)		203
Comcast Corp.		(1,142,119	)		(62,314,013	)		(3,940,311	)
Dollar Tree, Inc.		(4,372	)		(255,944	)		(51,757	)
EW Scripps Co./The		(355,376	)		(6,365,359	)		(1,577,295	)
Halliburton Co.		(9,374	)		(449,556	)		80,877
Hilltop Holdings, Inc.		(3,221	)		(64,278	)		19
HomeStreet, Inc.		(105,462	)		(1,751,505	)		(84,589	)
Independent Bank Corp./Rockland MA		(125,252	)		(4,663,869	)		(698,169	)
Kindred Healthcare, Inc.		(27,314	)		(562,130	)		65,561
Laboratory Corp. of America Holdings		(13,762	)		(1,389,402	)		(95,518	)
M&T Bank Corp.		(326,425	)		(40,494,982	)		(510,526	)
Medtronic, Inc.		(486,585	)		(30,907,879	)		(4,223,558	)
Northwest Bancshares, Inc.		(27,134	)		(332,874	)		(7,115	)
RenaissanceRe Holdings Ltd.		(15,006	)		(1,473,168	)		14,285
Renasant Corp.		(38,045	)		(1,089,426	)		(11,215	)
Reynolds American, Inc.		(153,308	)		(8,898,079	)		(955,026	)
RF Micro Devices, Inc.		(3,491,578	)		(39,798,330	)		(18,126,949	)
Southside Bancshares, Inc.		(3,435	)		(115,966	)		16,660
Towne Bank		(26,649	)		(390,216	)		(12,717	)
TTM Technologies, Inc.		(260,852	)		(1,679,887	)		(284,329	)
Ventas, Inc.		(522,514	)		(34,297,836	)		(3,166,418	)
Washington Prime Group, Inc.		(659,295	)		(11,224,713	)		(128,347	)

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

AQR Funds Annual Report December 2014

61

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WesBanco, Inc.		(5,027	)	$	(176,199	)	$	1,259
Wisconsin Energy Corp.		(147,707	)		(6,578,808	)		(1,211,259	)
Total of Short Equity Positions								(38,705,205	)
Total of Long and Short Equity Positions								3,597,508
Net Cash and Other Receivables/ (Payables) (b)								1,331,405
Swaps, at Value							$	4,928,913

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	12 months maturity 08/20/2015		$4,214,120

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Advanced Computer Software Group PLC		2,448,140		$	5,268,807		$	15,065
CSR PLC		76,174			1,004,711			5,871
Friends Life Group Ltd.		549,618			3,245,877			(124,470	)
Spirit Pub Co. PLC		1,196,000			2,015,927			(72,624	)
Total of Long Equity Positions							(176,158)
Short Positions
United Kingdom
Aviva PLC		(406,718	)		(3,195,937	)		140,110

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions (continued)
Greene King PLC		(158,111	)	$	(1,940,937	)	$	113,068
Total of Short Equity Positions								253,178
Total of Long and Short Equity Positions								77,020
Net Cash and Other Receivables/ (Payables) (b)								4,137,100
Swaps, at Value							$	4,214,120

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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62

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	12 months maturity 08/20/2015		$(403,933	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Goodman Fielder Ltd.		11,527,175	$	6,385,280	$	(375,665	)
Net Cash and Other Receivables/ (Payables) (b)						(28,268	)
Swaps, at Value					$	(403,933	)

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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63

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	12 months maturity 08/31/2015		$20,270

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Carfinco Financial Group, Inc.		304,026	$	2,963,964	$	(30,471	)
GLENTEL, Inc.		35,716		773,928		461
Vicwest, Inc.		1,381		14,871		35
Total of Long Equity Positions					(29,975)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Canada
BCE, Inc.		(9,113	)	$	(418,732	)		811
Total of Long and Short Equity Positions								(29,164	)
Net Cash and Other Receivables/ (Payables) (b)								49,434
Swaps, at Value							$	20,270

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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64

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	12 months maturity 08/27/2015		$(382,270	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Lafarge SA		213,952		$	15,527,386		$	(507,935	)
Netherlands
Corio NV		7,692			375,471			1,220
Ziggo NV		9,337			435,568			49,638
								50,858
Total of Long Equity Positions							(457,077)
Short Positions
France
Klepierre		(8,769	)		(378,044	)		1,519

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain
Banco Santander SA		(16,457	)	$	(153,600	)	$	15,475
Total of Short Equity Positions								16,994
Total of Long and Short Equity Positions								(440,083	)
Net Cash and Other Receivables/ (Payables) (b)								57,813
Swaps, at Value							$	(382,270	)

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

65

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	12 months maturity 08/27/2015		$7,717,323

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

Additional Information — Total Return Basket Swap

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Tokyo Electron Ltd.		448,644	$	26,276,675	$	7,744,096
Net Cash and Other Receivables/ (Payables) (b)						(26,773	)
Swaps, at Value					$	7,717,323

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	12 months maturity 08/27/2015		$762,407

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

Additional Information — Total Return Basket Swap

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Switzerland
Holcim Ltd.		(213,952	)	$	(16,142,537	)	$	848,358
Net Cash and Other Receivables/ (Payables) (b)								(85,951	)
Swaps, at Value							$	762,407

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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66

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMorgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	13 months maturity ranging from 04/20/2015 - 11/16/2015		$256,413

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
Penson Technologies LLC		8,943,219		$	9	$	681,733
Short Positions
United States
Penson Worldwide, Inc.		(217,523	)		—		—
Total of Long and Short Equity Positions							681,733
Net Cash and Other Receivables/ (Payables) (b)							(425,320	)
Swaps, at Value						$	256,413

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

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

Money Market Fund is pledged as collateral to J.P. Morgan in the amount of $10,004 at December 31, 2014. Additional cash held as collateral at J.P. Morgan in the amount of $225,000 at December 31, 2014.

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

AQR Funds Annual Report December 2014

67

Schedule of Investments December 31, 2014

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
CitiBank	The Fund receives or pays the total return on a portfolio of Long positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	6 months maturity 03/13/2015		$30,664

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

Additional Information — Total Return Basket Swap

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
Cemex SAB de CV		17,150,000	$	17,159,998	$	13,514
Net Cash and Other Receivables/ (Payables) (b)						17,150
Swaps, at Value					$	30,664

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

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

Cash collateral pledged to CitiBank is included in collateral for credit default swaps contracts.

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

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68

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

LONG INVESTMENTS - 91.5%	SHARES		VALUE (Note 5)
COMMON STOCKS - 34.4%
Belgium - 1.0%
Belgacom SA		1,079	$	39,150
Delhaize Group SA		189		13,764
Umicore SA		119		4,788
				57,702
China - 0.3%
Yangzijiang Shipbuilding Holdings Ltd.		19,000		17,218
Denmark - 2.0%
AP Moeller - Maersk A/S, Class B (a)		1		1,989
DSV A/S (a)		516		15,712
Novo Nordisk A/S, Class B (a)		395		16,708
Pandora A/S (a)		697		56,497
TDC A/S (a)		3,625		27,647
				118,553
Finland - 1.7%
Fortum OYJ		2,266		49,198
Metso OYJ		162		4,850
Orion OYJ, Class B		1,557		48,424
				102,472
Germany - 5.1%
Allianz SE (a)		47		7,784
Bayer AG (a)		196		26,717
Continental AG (a)		70		14,765
E.ON SE (a)		1,853		31,671
Hannover Rueck SE (a)		490		44,204
Hugo Boss AG (a)		308		37,678
Merck KGaA (a)		305		28,703
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		163		32,459
OSRAM Licht AG †(a)		370		14,526
ProSiebenSat.1 Media AG (a)		225		9,401
STADA Arzneimittel AG (a)		379		11,500
TUI AG		279		4,626
United Internet AG (a)		743		33,468
				297,502
Hong Kong - 0.2%
Hongkong Land Holdings Ltd.		2,000		13,180
Italy - 2.8%
Atlantia SpA		377		8,762
Autogrill SpA †		3,446		25,988
Enel SpA		5,124		22,840
Eni SpA		1,918		33,597
Mediobanca SpA		1,985		16,129
Pirelli & C. SpA		1,787		24,102
Snam SpA		6,924		34,269
				165,687
Netherlands - 4.4%
Boskalis Westminster NV		750		41,029
Delta Lloyd NV		1,382		30,391
Fugro NV CVA		1,249		25,943
Heineken NV		427		30,320
Koninklijke Ahold NV		3,725		66,204
Royal Dutch Shell PLC, A Shares (a)		1,332		44,394
Wolters Kluwer NV		716		21,849
				260,130

	SHARES		VALUE (Note 5)
Norway - 1.9%
Norsk Hydro ASA		10,890	$	61,344
Orkla ASA (a)		3,540		24,098
Statoil ASA (a)		1,650		29,051
				114,493
Singapore - 1.4%
ComfortDelGro Corp. Ltd.		18,000		35,225
Noble Group Ltd.		33,000		28,153
Singapore Airlines Ltd.		2,000		17,447
				80,825
Spain - 3.4%
Acerinox SA		1,582		23,867
ACS Actividades de Construccion y Servicios SA		354		12,339
Banco Santander SA		4,111		34,504
Enagas SA		718		22,647
Gas Natural SDG SA		848		21,302
Iberdrola SA		10,487		70,690
Red Electrica Corp. SA		108		9,520
Tecnicas Reunidas SA		117		5,114
				199,983
Sweden - 3.9%
Boliden AB (a)		2,386		38,140
Electrolux AB, Series B (a)		1,722		50,316
Husqvarna AB, B Shares		3,980		29,255
Securitas AB, B Shares (a)		3,698		44,737
Telefonaktiebolaget LM Ericsson, B Shares (a)		2,052		24,846
TeliaSonera AB (a)		6,231		40,061
				227,355
Switzerland - 4.9%
Actelion Ltd. †(a)		682		78,511
Adecco SA †(a)		102		7,011
Aryzta AG †(a)		77		5,917
Galenica AG (a)		8		6,379
Geberit AG (a)		60		20,298
Lonza Group AG †(a)		110		12,385
Nestle SA (a)		70		5,103
Novartis AG (a)		285		26,432
Roche Holding AG (a)		155		41,996
Sonova Holding AG (a)		59		8,668
Swiss Life Holding AG †(a)		67		15,836
Swiss Re AG †(a)		365		30,577
Zurich Insurance Group AG †(a)		100		31,250
				290,363
United Kingdom - 1.4%
Fiat Chrysler Automobiles NV †		1,285		14,931
Reed Elsevier NV		2,490		59,463
Unilever NV CVA		134		5,242
				79,636
TOTAL COMMON STOCKS (cost $2,034,347)				2,025,099
PREFERRED STOCKS - 0.5%
Germany - 0.5%
Porsche Automobil Holding SE (cost $30,214)		379		30,651

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

AQR Funds Annual Report December 2014

69

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

MONEY MARKET FUNDS - 56.6%	SHARES			VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b)
(cost $3,334,581)		3,334,581		$	3,334,581
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $5,399,142)					5,390,331
SECURITIES SOLD SHORT - (31.6)%
COMMON STOCKS - (31.5)%
Belgium - (0.1)%
KBC Groep NV		(135	)		(7,534	)
Denmark - (0.7)%
Carlsberg A/S, Class B		(203	)		(15,590	)
GN Store Nord A/S		(659	)		(14,398	)
Vestas Wind Systems A/S †		(264	)		(9,588	)
					(39,576	)
Finland - (1.6)%
Kone OYJ, Class B		(938	)		(42,705	)
Nokia OYJ		(1,612	)		(12,749	)
Nokian Renkaat OYJ		(1,478	)		(36,054	)
					(91,508	)
Germany - (5.1)%
adidas AG		(865	)		(60,070	)
Bayerische Motoren Werke AG		(501	)		(54,067	)
Brenntag AG		(437	)		(24,433	)
Commerzbank AG †		(1,548	)		(20,304	)
Daimler AG		(182	)		(15,116	)
Deutsche Bank AG		(1,267	)		(37,939	)
GEA Group AG		(99	)		(4,353	)
Metro AG †		(1,231	)		(37,629	)
Rheinmetall AG		(412	)		(17,938	)
RWE AG		(83	)		(2,562	)
ThyssenKrupp AG †		(1,040	)		(26,493	)
					(300,904	)
Hong Kong - (0.8)%
Jardine Matheson Holdings Ltd. (Hong Kong) (1)		(800	)		(48,840	)
Italy - (2.8)%
A2A SpA		(4,302	)		(4,359	)
Banca Monte dei Paschi di Siena SpA †		(6,820	)		(3,885	)
Banco Popolare SC †		(317	)		(3,814	)
Buzzi Unicem SpA		(521	)		(6,595	)
Mediaset SpA †		(3,822	)		(15,726	)
Mediolanum SpA		(1,418	)		(9,037	)
Saipem SpA †		(1,173	)		(12,296	)
Salvatore Ferragamo SpA		(1,338	)		(32,929	)
Telecom Italia SpA †		(43,591	)		(46,489	)
World Duty Free SpA †		(3,233	)		(31,040	)
					(166,170	)
Luxembourg - (0.2)%
ArcelorMittal		(793	)		(8,688	)
Netherlands - (3.5)%
ASML Holding NV		(683	)		(73,796	)
Koninklijke KPN NV		(4,284	)		(13,526	)
Koninklijke Philips NV		(992	)		(28,754	)

	SHARES			VALUE (Note 5)
Netherlands - (3.5)% (continued)
Koninklijke Vopak NV		(302	)	$	(15,668	)
Randstad Holding NV		(420	)		(20,209	)
SBM Offshore NV †		(1,987	)		(23,369	)
TNT Express NV		(4,672	)		(31,146	)
					(206,468	)
Norway - (0.8)%
Marine Harvest ASA		(293	)		(4,023	)
Schibsted ASA		(591	)		(37,481	)
Telenor ASA		(395	)		(7,990	)
					(49,494	)
Singapore - (2.3)%
CapitaLand Ltd.		(16,000	)		(39,782	)
City Developments Ltd.		(3,000	)		(23,145	)
Genting Singapore PLC		(20,000	)		(16,216	)
Global Logistic Properties Ltd.		(14,000	)		(26,102	)
Golden Agri-Resources Ltd.		(12,000	)		(4,153	)
Keppel Corp. Ltd.		(4,000	)		(26,661	)
					(136,059	)
Spain - (3.9)%
Amadeus IT Holding SA, A Shares		(1,863	)		(74,196	)
Banco de Sabadell SA		(3,355	)		(8,877	)
Banco Popular Espanol SA		(1,902	)		(9,481	)
Bankia SA †		(10,578	)		(15,697	)
Distribuidora Internacional de Alimentacion SA		(1,866	)		(12,644	)
Grifols SA		(732	)		(29,210	)
Inditex SA		(2,227	)		(63,526	)
Indra Sistemas SA		(1,105	)		(10,736	)
Obrascon Huarte Lain SA		(259	)		(5,779	)
					(230,146	)
Sweden - (2.7)%
Alfa Laval AB		(1,135	)		(21,463	)
Assa Abloy AB, Class B		(361	)		(19,067	)
Atlas Copco AB, A Shares		(642	)		(17,864	)
Elekta AB, B Shares		(2,069	)		(21,130	)
Hexagon AB, B Shares		(1,652	)		(50,963	)
Sandvik AB		(2,941	)		(28,595	)
					(159,082	)
Switzerland - (5.9)%
Cie Financiere Richemont SA		(627	)		(55,589	)
Credit Suisse Group AG †		(2,749	)		(69,058	)
Dufry AG †		(252	)		(37,665	)
Holcim Ltd. †		(287	)		(20,516	)
Julius Baer Group Ltd. †		(805	)		(36,755	)
Schindler Holding AG		(191	)		(27,574	)
Swatch Group AG/The		(153	)		.(67,971	)
Syngenta AG		(93	)		(29,914	)
					(345,042	)
United Kingdom - (1.1)%
CNH Industrial NV		(8,083	)		(65,433	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $1,875,051)					(1,854,944	)

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

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70

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

PREFERRED STOCKS - (0.1)%	SHARES			VALUE (Note 5)
Germany - (0.1)%
Volkswagen AG
(proceeds $6,388)		(32	)	$	(7,112	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $1,881,439)					(1,862,056	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 59.9% (cost $3,517,703)					3,528,275
OTHER ASSETS IN EXCESS OF LIABILITIES - 40.1% (c)				2,360,356
NET ASSETS - 100.0%				$	5,888,631

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(151,041	)		(2.6	)%
Consumer Staples		76,609			1.3
Energy		86,766			1.5
Financials		(55,097	)		(0.9	)
Health Care		241,686			4.1
Industrials		(171,104	)		(2.9	)
Information Technology		(164,128	)		(2.8	)
Materials		35,934			0.6
Telecommunication Services		38,853			0.7
Utilities		255,216			4.3
Money Market Funds		3,334,581			56.6
Total Investments		3,528,275			59.9
Other Assets in Excess of Liabilities (c)		2,360,356			40.1
Net Assets	$	5,888,631			100.0	%

† Non income-producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $997,438. In addition, $1,057,352 of cash collateral was pledged.

(b) Represents annualized seven-day yield as of December 31, 2014.

(c) Includes appreciation/(depreciation) on forward foreign currency exchange and futures 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:

CVA - Dutch Certification

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Barclays Capital	FTSE 100 Index Futures	3/2015	$	102,197		$	101,660		$	(537	)
1	J.P. Morgan	MSCI Singapore Index Futures	1/2015		56,999			57,615			616
1	J.P. Morgan	S&P/Toronto Stock Exchange 60 Index Futures	3/2015		137,157			146,601			9,444
					296,353			305,876			9,523
Short Contracts:
5	Barclays Capital	Euro Stoxx 50 Index	3/2015	$	(183,559	)	$	(189,554	)	$	(5,995	)
3	J.P. Morgan	S&P 500 E-Mini Futures	3/2015		(297,199	)		(307,861	)		(10,662	)
					(480,758	)		(497,415	)		(16,657	)
				$	(184,405	)	$	(191,539	)	$	(7,134	)

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $25,630 and $28,687, respectively at December 31, 2014.

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

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Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		56,000		$57,283		$56,402		$(881	)
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		35,000		5,803		5,691		(112	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		67,000		82,623		81,127		(1,496	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		254,000		32,759		32,753		(6	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		127,000		17,710		17,005		(705	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		66,000		8,768		8,469		(299	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		53,000		40,322		39,961		(361	)
						$245,268		$241,408		$(3,860	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		(480,000	)		$(79,738	)		$(78,045	)		$1,693
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(162,000	)		(199,437	)		(196,158	)		3,279
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(618,000	)		(86,979	)		(82,749	)		4,230
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(475,000	)		(62,803	)		(60,948	)		1,855
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(4,000	)		(3,030	)		(3,016	)		14
							(431,987	)		(420,916	)		11,071
							$(186,719	)		$(179,508	)		$7,211

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

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

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72

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”), which is denominated in USD based on the local currencies of the positions within the swap.	10-12 months maturity 10/14/2015		$223,413

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		700	$	25,599	$	2,555
Singapore
Flextronics International Ltd.		3,100		32,320		2,338
Switzerland
TE Connectivity Ltd.		200		13,004		(354	)
United Kingdom
Delphi Automotive PLC		100		7,455		(183	)
Pentair PLC		100		6,399		243
						60
United States
3M Co.		100		13,813		2,619
AbbVie, Inc.		600		39,190		74
Abercrombie & Fitch Co.		400		11,763		(307	)
Activision Blizzard, Inc.		1,700		34,804		(549	)
Aetna, Inc.		600		48,290		5,008
Aflac, Inc.		600		34,190		2,464
Akamai Technologies, Inc.		200		11,582		1,010
Alaska Air Group, Inc.		500		20,925		8,956
Alexion Pharmaceuticals, Inc.		200		34,642		2,364
Alliant Techsystems, Inc.		100		12,611		(986	)
Amdocs Ltd.		600		27,340		653
American Airlines Group, Inc.		200		10,123		603
American Electric Power Co., Inc.		300		16,027		2,189
Ameriprise Financial, Inc.		500		59,303		6,823
Amgen, Inc.		400		54,961		8,755
ANN, Inc.		100		3,705		(57	)
ANSYS, Inc.		200		15,259		1,141
Anthem, Inc.		200		23,673		1,461
AO Smith Corp.		200		9,324		1,958
AOL, Inc.		200		9,386		(152	)
Apollo Education Group, Inc.		1,600		40,966		13,610

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Apple, Inc.		100	$	11,293	$	(255	)
Applied Materials, Inc.		300		6,213		1,263
Archer-Daniels-Midland Co.		600		30,318		882
ARRIS Group, Inc.		1,100		32,729		480
Arrow Electronics, Inc.		1,000		56,973		917
Assurant, Inc.		200		12,561		1,125
Assured Guaranty Ltd.		400		8,893		1,503
Atmel Corp.		3,600		28,518		1,704
Avnet, Inc.		300		13,198		(292	)
Bed Bath & Beyond, Inc.		100		7,551		66
Best Buy Co., Inc.		800		30,401		783
Big Lots, Inc.		2,100		89,082		(5,040	)
Biogen Idec, Inc.		300		95,726		6,109
Boston Scientific Corp.		400		4,823		477
Brinker International, Inc.		600		31,718		3,496
Broadcom Corp.		900		34,554		4,443
Brocade Communications Systems, Inc.		7,300		78,224		8,208
CA, Inc.		1,200		32,276		4,264
CBOE Holdings, Inc.		300		16,356		2,670
Celanese Corp.		200		10,801		1,191
Celgene Corp.		100		9,243		1,943
Chico’s FAS, Inc.		500		7,432		674
Cigna Corp.		300		26,987		3,886
Cintas Corp.		200		13,935		1,753
Citrix Systems, Inc.		200		13,447		(687	)
Civeo Corp.		1,200		13,046		(8,114	)
Cliffs Natural Resources, Inc.		5,500		40,661		(1,391	)
Coach, Inc.		1,000		34,137		3,423
Coca-Cola Enterprises, Inc.		100		4,260		162
Cognizant Technology Solutions Corp.		500		22,095		4,236
CommVault Systems, Inc.		100		4,747		422
Computer Sciences Corp.		600		35,182		2,648
Con-way, Inc.		100		4,851		67
Corning, Inc.		1,600		30,134		6,554

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

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73

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CR Bard, Inc.		100	$	16,882	$	(220	)
CSX Corp.		200		6,237		1,009
Cummins, Inc.		300		39,080		4,171
CVS Health Corp.		100		8,124		1,507
Deckers Outdoor Corp.		100		8,673		431
Delta Air Lines, Inc.		2,200		86,903		21,315
Dillards, Inc.		300		30,354		7,200
Dollar General Corp.		400		27,803		477
Dollar Tree, Inc.		600		40,792		1,436
Dover Corp.		100		7,685		(513	)
Dow Chemical Co./The		200		9,873		(751	)
Dr. Pepper Snapple Group, Inc.		500		32,243		3,598
eBay, Inc.		400		21,595		853
Edwards Lifesciences Corp.		400		42,457		8,495
Electronic Arts, Inc.		700		24,226		8,684
EMC Corp.		200		5,688		260
Emerson Electric Co.		300		18,350		169
Exelis, Inc.		1,500		25,361		934
Facebook, Inc.		100		7,650		152
Fairchild Semiconductor International, Inc.		1,300		20,656		1,288
Flowserve Corp.		100		6,620		(637	)
Foot Locker, Inc.		800		43,702		1,242
Fossil Group, Inc.		200		19,108		3,040
Franklin Resources, Inc.		300		15,874		737
Gannett Co., Inc.		500		15,017		948
Gap, Inc./The		900		37,324		575
General Dynamics Corp.		300		40,293		993
General Electric Co.		400		9,984		124
General Motors Co.		300		9,471		1,002
Genworth Financial, Inc.		1,000		8,491		9
Gilead Sciences, Inc.		1,300		126,540		(4,002	)
Goldman Sachs Group, Inc./The		200		36,750		2,016
Guess?, Inc.		200		4,278		(62	)
Halliburton Co.		400		15,789		(57	)
Harman International Industries, Inc.		100		10,795		(124	)
Harris Corp.		100		6,414		768
HCA Holdings, Inc.		900		66,015		36
Health Net, Inc.		1,300		60,212		9,377
Hewlett-Packard Co.		1,600		56,585		7,623
Home Depot, Inc./The		200		20,755		239
Humana, Inc.		400		50,259		7,193
Huntington Ingalls Industries, Inc.		200		22,946		(454	)
IAC/InterActiveCorp.		200		12,373		(215	)
IDEX Corp.		100		6,953		831
IHS, Inc.		100		11,666		(278	)
Illinois Tool Works, Inc.		100		8,153		1,317
Informatica Corp.		500		17,042		2,026
Ingram Micro, Inc.		800		21,720		392
Integrated Device Technology, Inc.		1,300		25,879		(399	)
Intel Corp.		900		31,319		1,342
International Business Machines Corp.		100		18,685		(2,641	)
Interpublic Group of Cos., Inc./The		800		14,071		2,545
Intuit, Inc.		200		16,430		2,008

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Invesco Ltd.		500	$	19,204	$	556
ITT Corp.		700		29,622		(1,300	)
Jabil Circuit, Inc.		900		17,507		2,140
JPMorgan Chase & Co.		200		11,909		607
Juniper Networks, Inc.		1,100		23,632		920
KBR, Inc.		1,000		19,022		(2,072	)
L-3 Communications Holdings, Inc.		300		32,890		4,973
Lear Corp.		300		26,716		2,708
Lennox International, Inc.		100		7,570		1,937
Lexmark International, Inc.		800		32,872		144
LifePoint Hospitals, Inc.		200		14,503		(121	)
Lincoln National Corp.		200		10,155		1,379
Lockheed Martin Corp.		200		34,637		3,877
Lowe’s Cos., Inc.		300		18,920		1,720
LyondellBasell Industries NV		800		73,833		(10,321	)
ManpowerGroup, Inc.		300		20,034		417
Marathon Petroleum Corp.		400		32,344		3,760
Marvell Technology Group Ltd.		2,800		37,290		3,310
McGraw Hill Financial, Inc.		100		8,209		689
Merck & Co., Inc.		600		35,521		(1,447	)
Micron Technology, Inc.		800		25,662		2,346
Microsoft Corp.		800		36,789		371
Monster Beverage Corp.		300		28,199		4,306
NASDAQ OMX Group, Inc./The		700		29,086		4,486
Navient Corp.		1,800		30,930		7,968
NetApp, Inc.		1,200		47,702		2,038
Newfield Exploration Co.		300		8,382		(246	)
NIKE, Inc.		300		26,433		2,412
Norfolk Southern Corp.		100		10,851		110
Northrop Grumman Corp.		300		37,244		6,973
NVIDIA Corp.		1,200		22,377		1,683
Oil States International, Inc.		200		11,901		(2,121	)
ON Semiconductor Corp.		2,900		25,009		4,368
Oracle Corp.		1,300		50,167		8,294
Parker Hannifin Corp.		200		21,890		3,900
Patterson-UTI Energy, Inc.		600		11,201		(1,247	)
Pfizer, Inc.		1,400		40,786		2,824
Pilgrim’s Pride Corp.		700		24,472		(1,519	)
Pitney Bowes, Inc.		1,100		26,154		653
PTC, Inc.		400		14,796		(136	)
PulteGroup, Inc.		1,300		23,728		4,170
Rackspace Hosting, Inc.		900		30,823		11,306
Ralph Lauren Corp.		100		16,482		2,034
Raytheon Co.		400		38,132		5,136
Reinsurance Group of America, Inc.		500		39,633		4,177
RF Micro Devices, Inc.		900		9,736		5,195
Rite Aid Corp.		3,100		16,786		6,526
Rock-Tenn Co.		500		23,401		7,089
Ross Stores, Inc.		100		7,571		1,855
SEI Investments Co.		600		21,432		2,592
Skyworks Solutions, Inc.		800		41,718		16,450

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

AQR Funds Annual Report December 2014

74

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SM Energy Co.		400		$	15,504		$	(72	)
Snap-on, Inc.		100			11,781			1,893
Southwest Airlines Co.		200			6,554			1,910
Spirit AeroSystems Holdings, Inc.		700			25,666			4,462
Spirit Airlines, Inc.		100			8,486			(928	)
SPX Corp.		300			27,131			(1,355	)
State Street Corp.		400			28,557			2,843
Steel Dynamics, Inc.		400			8,368			(472	)
Superior Energy Services, Inc.		900			19,511			(1,376	)
SUPERVALU, Inc.		4,000			35,726			3,074
Symantec Corp.		1,600			38,036			3,012
Teradyne, Inc.		1,000			18,350			1,440
Thoratec Corp.		700			18,561			4,161
Time Warner, Inc.		200			14,619			2,465
Timken Co./The		900			36,437			1,975
TJX Cos., Inc./The		300			17,972			2,602
Towers Watson & Co.		100			10,266			1,051
Trinity Industries, Inc.		200			5,616			(14	)
Tyco International PLC		100			4,281			105
Tyson Foods, Inc.		100			4,104			(95	)
UGI Corp.		400			13,665			1,527
Union Pacific Corp.		100			10,671			1,242
United States Steel Corp.		600			17,408			(1,364	)
United Therapeutics Corp.		700			89,211			1,432
Unum Group		1,400			46,884			1,948
Urban Outfitters, Inc.		300			10,385			154
Valero Energy Corp.		900			41,369			3,181
VCA, Inc.		200			7,855			1,899
VeriSign, Inc.		100			5,512			188
WABCO Holdings, Inc.		200			17,272			3,684
Waddell & Reed Financial, Inc.		700			33,962			912
Walgreens Boots Alliance, Inc.		200			12,068			3,172
Western Digital Corp.		500			46,778			8,572
Whirlpool Corp.		100			14,029			5,345
Whiting Petroleum Corp.		200			6,947			(347	)
Williams-Sonoma, Inc.		200			15,137			(1	)
Xerox Corp.		1,600			21,259			917
Yahoo!, Inc.		300			12,249			2,904
Zebra Technologies Corp.		200			14,509			973
Zimmer Holdings, Inc.		300			30,509			3,517
								399,621
Total of Long Equity Positions								404,220
Short Positions
Hong Kong
Michael Kors Holdings Ltd.		(700	)		(53,120	)		550
Ireland
Alkermes PLC		(1,200	)		(49,629	)		(20,643	)
Endo International PLC		(900	)		(62,335	)		(2,573	)
								(23,216	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands
Chicago Bridge & Iron Co. NV		(1,800	)	$	(84,002	)	$	8,438
Core Laboratories NV		(800	)		(106,537	)		10,265
Sensata Technologies Holding NV		(1,100	)		(48,445	)		(9,206	)
								9,497
Panama
Copa Holdings SA		(100	)		(10,815	)		451
Switzerland
Weatherford International PLC		(200	)		(3,739	)		1,449
United Kingdom
Aon PLC		(100	)		(9,722	)		239
Ensco PLC		(800	)		(24,878	)		918
Liberty Global PLC		(700	)		(32,458	)		(2,686	)
Willis Group Holdings PLC		(900	)		(36,807	)		(3,522	)
								(5,051	)
United States
Actavis PLC		(200	)		(52,191	)		709
AECOM Technology Corp.		(200	)		(6,282	)		208
Air Lease Corp.		(200	)		(6,882	)		20
Alcoa, Inc.		(800	)		(12,650	)		18
Allegheny Technologies, Inc.		(800	)		(26,589	)		(1,227	)
Alliance Data Systems Corp.		(200	)		(49,081	)		(8,129	)
Amazon.com, Inc.		(100	)		(30,537	)		(498	)
AMC Networks, Inc.		(100	)		(5,508	)		(869	)
Amphenol Corp.		(200	)		(9,789	)		(973	)
Armstrong World Industries, Inc.		(200	)		(10,447	)		223
Avis Budget Group, Inc.		(100	)		(4,929	)		(1,704	)
Avon Products, Inc.		(400	)		(4,485	)		729
B/E Aerospace, Inc.		(100	)		(5,939	)		137
Bill Barrett Corp.		(1,300	)		(23,150	)		8,343
BioMarin Pharmaceutical, Inc.		(500	)		(42,706	)		(2,494	)
BorgWarner, Inc.		(400	)		(21,044	)		(936	)
Brookdale Senior Living, Inc.		(1,800	)		(61,424	)		(4,582	)
Brown-Forman Corp.		(300	)		(26,437	)		85
Cabela’s, Inc.		(400	)		(22,904	)		1,820
Cabot Oil & Gas Corp.		(800	)		(24,776	)		1,088
Campbell Soup Co.		(400	)		(16,871	)		(729	)
CarMax, Inc.		(1,000	)		(46,414	)		(20,166	)
Carnival Corp.		(100	)		(3,741	)		(792	)
Catamaran Corp.		(1,300	)		(54,618	)		(12,657	)
CenturyLink, Inc.		(200	)		(8,036	)		120
CH Robinson Worldwide, Inc.		(100	)		(6,496	)		(993	)
Cheniere Energy, Inc.		(300	)		(21,393	)		273
Ciena Corp.		(3,000	)		(47,349	)		(10,881	)
Citigroup, Inc.		(300	)		(15,459	)		(774	)
Clean Harbors, Inc.		(600	)		(30,148	)		1,318
CME Group, Inc.		(100	)		(9,367	)		502

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

AQR Funds Annual Report December 2014

75

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cobalt International Energy, Inc.		(1,100	)	$	(9,554	)	$	(225	)
Colfax Corp.		(700	)		(37,038	)		939
Community Health Systems, Inc.		(200	)		(10,801	)		17
CONSOL Energy, Inc.		(600	)		(20,544	)		258
CoStar Group, Inc.		(200	)		(34,673	)		(2,053	)
Covanta Holding Corp.		(1,600	)		(37,547	)		2,331
Cree, Inc.		(100	)		(3,201	)		(21	)
Crown Holdings, Inc.		(700	)		(31,107	)		(4,523	)
Cullen/Frost Bankers, Inc.		(500	)		(37,366	)		2,046
Dean Foods Co.		(700	)		(12,731	)		(835	)
Denbury Resources, Inc.		(500	)		(6,792	)		2,727
DreamWorks Animation SKG, Inc.		(700	)		(16,034	)		403
Dril-Quip, Inc.		(100	)		(7,658	)		(15	)
Dunkin’ Brands Group, Inc.		(600	)		(26,503	)		913
E*TRADE Financial Corp.		(200	)		(4,875	)		24
Eagle Materials, Inc.		(200	)		(17,778	)		2,572
EQT Corp.		(100	)		(8,723	)		1,153
Equinix, Inc.		(204	)		(40,428	)		(5,825	)
Estee Lauder Cos., Inc./The		(100	)		(7,421	)		(199	)
Fastenal Co.		(1,100	)		(49,475	)		(2,841	)
FEI Co.		(100	)		(9,215	)		180
First Horizon National Corp.		(2,000	)		(24,549	)		(2,611	)
First Niagara Financial Group, Inc.		(4,400	)		(36,727	)		(365	)
First Republic Bank		(700	)		(35,241	)		(1,243	)
FirstEnergy Corp.		(300	)		(10,261	)		(1,436	)
FleetCor Technologies, Inc.		(300	)		(40,735	)		(3,878	)
Flowers Foods, Inc.		(500	)		(9,168	)		(427	)
FMC Technologies, Inc.		(200	)		(11,403	)		2,035
Fortune Brands Home & Security, Inc.		(300	)		(11,904	)		(1,677	)
Freeport-McMoRan, Inc.		(600	)		(18,945	)		4,929
Genesee & Wyoming, Inc.		(400	)		(35,620	)		(348	)
Gentex Corp.		(400	)		(11,116	)		(3,336	)
Hain Celestial Group, Inc./The		(600	)		(33,313	)		(1,661	)
Helix Energy Solutions Group, Inc.		(300	)		(6,795	)		285
Hertz Global Holdings, Inc.		(1,100	)		(26,144	)		(1,290	)
Hexcel Corp.		(100	)		(4,302	)		153
Hologic, Inc.		(1,000	)		(24,347	)		(2,393	)
HomeAway, Inc.		(400	)		(12,770	)		858
Incyte Corp. Ltd.		(700	)		(37,502	)		(13,675	)
Jacobs Engineering Group, Inc.		(200	)		(9,442	)		504
Jarden Corp.		(550	)		(24,963	)		(1,371	)
Jazz Pharmaceuticals PLC		(500	)		(79,767	)		(2,098	)
JB Hunt Transport Services, Inc.		(200	)		(14,591	)		(2,259	)
Kansas City Southern		(400	)		(46,621	)		(2,191	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
KAR Auction Services, Inc.		(700	)	$	(19,336	)	$	(4,919	)
Kate Spade & Co.		(900	)		(27,247	)		(1,562	)
KB Home		(1,300	)		(19,561	)		(1,954	)
Keurig Green Mountain, Inc.		(100	)		(13,621	)		382
Kinder Morgan, Inc.		(1,100	)		(45,422	)		(1,119	)
Lamar Advertising Co.		(800	)		(40,283	)		(2,629	)
Laredo Petroleum, Inc.		(1,800	)		(36,430	)		17,800
Las Vegas Sands Corp.		(200	)		(12,189	)		557
Lennar Corp.		(1,000	)		(40,198	)		(4,612	)
Level 3 Communications, Inc.		(900	)		(39,378	)		(5,064	)
LinkedIn Corp.		(300	)		(62,360	)		(6,553	)
Lions Gate Entertainment Corp.		(1,300	)		(41,312	)		(314	)
Live Nation Entertainment, Inc.		(200	)		(5,187	)		(35	)
Loews Corp.		(500	)		(21,566	)		556
Louisiana-Pacific Corp.		(2,900	)		(37,412	)		(10,612	)
Mallinckrodt PLC		(200	)		(19,008	)		(798	)
Martin Marietta Materials, Inc.		(200	)		(23,233	)		1,169
MGM Resorts International		(1,900	)		(41,024	)		402
Motorola Solutions, Inc.		(600	)		(38,759	)		(1,488	)
MRC Global, Inc.		(1,200	)		(26,990	)		8,810
Mylan, Inc.		(100	)		(5,006	)		(631	)
National Fuel Gas Co.		(400	)		(28,047	)		235
Navistar International Corp.		(1,200	)		(37,722	)		(2,454	)
NCR Corp.		(400	)		(12,451	)		795
NetSuite, Inc.		(200	)		(17,774	)		(4,060	)
News Corp.		(300	)		(4,723	)		16
Nielsen NV		(600	)		(25,019	)		(1,818	)
Noble Energy, Inc.		(500	)		(29,521	)		5,806
Northern Trust Corp.		(400	)		(27,422	)		462
Norwegian Cruise Line Holdings Ltd.		(200	)		(7,814	)		(1,538	)
NRG Energy, Inc.		(1,400	)		(44,326	)		6,596
Nuance Communications, Inc.		(900	)		(13,061	)		218
Nucor Corp.		(400	)		(20,047	)		427
Oasis Petroleum, Inc.		(200	)		(7,431	)		4,123
Oceaneering International, Inc.		(300	)		(17,886	)		243
Office Depot, Inc.		(1,500	)		(7,396	)		(5,466	)
Omnicare, Inc.		(400	)		(28,524	)		(648	)
ONEOK, Inc.		(200	)		(12,309	)		2,351
Owens Corning		(400	)		(12,335	)		(1,989	)
Owens-Illinois, Inc.		(400	)		(10,289	)		(507	)
PacWest Bancorp		(700	)		(32,163	)		341
Palo Alto Networks, Inc.		(300	)		(29,631	)		(7,140	)
Pandora Media, Inc.		(1,100	)		(25,723	)		6,110
Peabody Energy Corp.		(1,700	)		(18,617	)		5,459
Perrigo Co PLC		(100	)		(15,408	)		(1,308	)
Pharmacyclics, Inc.		(300	)		(33,096	)		(3,582	)
Post Holdings, Inc.		(1,700	)		(65,149	)		(6,064	)
Quest Diagnostics, Inc.		(100	)		(5,921	)		(785	)
Range Resources Corp.		(1,000	)		(62,295	)		8,845
Regeneron Pharmaceuticals, Inc.		(100	)		(35,383	)		(5,642	)

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

AQR Funds Annual Report December 2014

76

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rockwell Collins, Inc.		(100	)	$	(7,616	)	$	(832	)
Rosetta Resources, Inc.		(200	)		(8,123	)		3,661
Rowan Cos. PLC		(500	)		(10,208	)		(1,452	)
Royal Caribbean Cruises Ltd.		(100	)		(6,263	)		(1,980	)
salesforce.com, Inc.		(900	)		(51,144	)		(2,235	)
Salix Pharmaceuticals Ltd.		(400	)		(49,465	)		3,489
SanDisk Corp.		(200	)		(18,573	)		(1,023	)
SBA Communications Corp.		(500	)		(55,600	)		220
Scripps Networks Interactive, Inc.		(300	)		(22,813	)		232
Sealed Air Corp.		(1,400	)		(45,568	)		(13,834	)
ServiceNow, Inc.		(600	)		(34,483	)		(6,226	)
Signet Jewelers Ltd.		(100	)		(11,204	)		(1,953	)
Sirona Dental Systems, Inc.		(100	)		(7,803	)		(934	)
Six Flags Entertainment Corp.		(1,100	)		(38,138	)		(9,327	)
Sotheby’s		(1,500	)		(56,675	)		(8,095	)
Southwestern Energy Co.		(200	)		(5,906	)		448
Splunk, Inc.		(500	)		(30,292	)		817
Sprint Corp.		(12,100	)		(61,554	)		11,339
Staples, Inc.		(300	)		(3,477	)		(1,959	)
Stericycle, Inc.		(600	)		(72,359	)		(6,288	)
Stratasys Ltd.		(600	)		(68,457	)		18,591
SunEdison, Inc.		(1,800	)		(31,586	)		(3,532	)
Synovus Financial Corp.		(1,200	)		(29,276	)		(3,232	)
Target Corp.		(400	)		(24,688	)		(5,676	)
Teekay Corp.		(500	)		(26,092	)		647
Tenet Healthcare Corp.		(600	)		(34,208	)		3,806
Terex Corp.		(200	)		(5,895	)		319
Tesla Motors, Inc.		(200	)		(48,194	)		3,712
Tidewater, Inc.		(800	)		(29,247	)		3,319
Tiffany & Co.		(300	)		(28,247	)		(3,811	)
Toll Brothers, Inc.		(1,600	)		(50,321	)		(4,511	)
TransDigm Group, Inc.		(200	)		(36,596	)		(2,674	)
Trimble Navigation Ltd.		(600	)		(16,610	)		686
Triumph Group, Inc.		(600	)		(36,825	)		(3,506	)
Twenty-First Century Fox, Inc.		(600	)		(20,275	)		(2,767	)
Under Armour, Inc.		(300	)		(19,685	)		(685	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Natural Foods, Inc.		(100	)	$	(7,784	)	$	52
United Rentals, Inc.		(400	)		(39,417	)		(1,387	)
USG Corp.		(2,600	)		(72,695	)		(79	)
Vantiv, Inc.		(500	)		(15,948	)		(1,012	)
VeriFone Systems, Inc.		(100	)		(3,284	)		(436	)
Vertex Pharmaceuticals, Inc.		(100	)		(10,278	)		(1,602	)
VMware, Inc.		(200	)		(18,259	)		1,755
Waste Management, Inc.		(400	)		(18,829	)		(1,699	)
WellCare Health Plans, Inc.		(200	)		(15,270	)		(1,142	)
Wendy’s Co./The		(1,700	)		(13,559	)		(1,792	)
WESCO International, Inc.		(200	)		(15,275	)		33
Western Union Co./The		(400	)		(6,487	)		(677	)
Whole Foods Market, Inc.		(100	)		(4,610	)		(432	)
Williams Cos., Inc./The		(300	)		(15,197	)		1,715
Workday, Inc.		(100	)		(8,578	)		417
WR Grace & Co.		(100	)		(9,741	)		202
Wynn Resorts Ltd.		(200	)		(35,912	)		6,160
Yelp, Inc.		(1,000	)		(56,444	)		1,714
Zions Bancorporation		(800	)		(22,519	)		(289	)
Zoetis, Inc.		(100	)		(3,979	)		(324	)
Zynga, Inc.		(7,000	)		(16,712	)		(1,908	)
								(138,845	)
Total of Short Equity Positions								(155,165	)
Total of Long and Short Equity Positions								249,055
Net Cash and Other Receivables/ (Payables) (b)								(25,642	)
Swaps, at Value							$	223,413

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

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

Cash held as collateral at Morgan Stanley for total return basket swaps was $870,000 at December 31, 2014.

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

AQR Funds Annual Report December 2014

77

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate which is denominated in CAD based on the local currencies of the positions within the swap.	22-25 months maturity 10/14/2016		$18,861

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Aimia, Inc.		600		$	7,516		$	30
Alimentation Couche Tard, Inc.		900			28,265			9,453
Bank of Montreal		100			7,043			31
Blackberry Ltd.		2,100			19,772			3,256
Canadian Imperial Bank of Commerce		100			8,660			(66	)
Canadian Tire Corp. Ltd.		100			10,529			36
CI Financial Corp.		100			2,834			(54	)
Dollarama, Inc.		400			17,102			3,349
Encana Corp.		500			10,088			(3,129	)
Enerplus Corp.		400			6,422			(2,569	)
Finning International, Inc.		2,900			71,604			(8,627	)
Keyera Corp.		100			8,068			(1,090	)
Linamar Corp.		1,000			59,893			1,176
Magna International, Inc.		1,000			89,233			19,125
Methanex Corp.		100			6,268			(1,674	)
National Bank of Canada		200			8,577			(66	)
Pembina Pipeline Corp.		100			3,907			(263	)
Royal Bank of Canada		100			6,864			43
West Fraser Timber Co., Ltd.		100			5,249			473
								19,434
Total of Long Equity Positions								19,434
Short Positions
Canada
BCE, Inc.		(200	)		(8,253	)		(920	)
Bombardier, Inc.		(9,300	)		(29,171	)		(4,049	)
Cameco Corp.		(1,200	)		(19,096	)		(580	)
CGI Group, Inc.		(100	)		(3,261	)		(551	)
Eldorado Gold Corp.		(2,000	)		(13,143	)		955
First Quantum Minerals Ltd.		(4,400	)		(70,709	)		8,182
Franco-Nevada Corp.		(200	)		(9,250	)		(599	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Goldcorp, Inc.		(300	)	$	(6,643	)	$	1,088
Manulife Financial Corp.		(1,100	)		(20,130	)		(870	)
MEG Energy Corp.		(1,100	)		(18,784	)		274
Open Text Corp.		(100	)		(5,298	)		(522	)
Potash Corp of Saskatchewan, Inc.		(800	)		(25,531	)		(2,750	)
Rogers Communications, Inc.		(100	)		(3,657	)		(231	)
ShawCor Ltd.		(200	)		(7,286	)		(13	)
Silver Wheaton Corp.		(1,700	)		(31,515	)		(3,062	)
SNC-Lavalin Group, Inc.		(800	)		(29,516	)		(995	)
Teck Resources Ltd.		(1,700	)		(27,309	)		4,067
Yamana Gold, Inc.		(300	)		(1,675	)		463
								(113	)
United States
Valeant Pharmaceuticals International, Inc.		(100	)		(12,031	)		(2,285	)
Total of Short Equity Positions								(2,398	)
Total of Long and Short Equity Positions								17,036
Net Cash and Other Receivables/ (Payables) (b)								1,825
Swaps, at Value							$	18,861

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

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

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

AQR Funds Annual Report December 2014

78

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) which is denominated in GBP based on the local currencies of the positions within the swap.	22-25 months maturity 10/12/2016		$52,377

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
South Africa
Mondi PLC		647		$	9,747		$	764
United Kingdom
Ashtead Group PLC		312			4,628			913
Associated British Foods PLC		231			9,193			2,101
AstraZeneca PLC		335			22,284			1,377
Barratt Developments PLC		8,442			50,903			10,539
Berkeley Group Holdings PLC		452			15,493			1,889
BP PLC		2,573			17,715			(1,383	)
BT Group PLC		9,025			52,125			4,008
Bunzl PLC		839			20,494			2,444
Centrica PLC		3,538			16,819			(1,494	)
Compass Group PLC		2,287			34,710			4,382
easyJet PLC		185			3,869			919
GKN PLC		9,302			42,487			7,025
GlaxoSmithKline PLC		1,263			27,485			(383	)
Imperial Tobacco Group PLC		658			27,463			1,502
Kingfisher PLC		3,730			18,074			1,643
National Grid PLC		1,964			28,134			(266	)
Next PLC		58			5,963			188
Persimmon PLC		2,091			43,441			7,630
Petrofac Ltd.		474			5,357			(193	)
Rexam PLC		2,133			16,019			(1,003	)
Shire PLC		277			18,137			1,502
Sky PLC		1,026			14,168			151
Standard Chartered PLC		383			5,678			50
Tate & Lyle PLC		2,990			27,568			449
Taylor Wimpey PLC		4,332			7,597			1,645
Travis Perkins PLC		748			18,585			2,945
Vodafone Group PLC		6,828			21,778			1,634
								50,214
Total of Long Equity Positions								50,978
Short Positions
Switzerland
Coca-Cola HBC AG		(406	)		(8,412	)		682
Glencore PLC		(10,179	)		(52,496	)		5,512
								6,194
United Kingdom
Aberdeen Asset Management PLC		(4,023	)		(26,118	)		(765	)
Admiral Group PLC		(1,038	)		(20,744	)		(551	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Aggreko PLC		(289	)	$	(6,730	)	$	(9	)
Antofagasta PLC		(1,418	)		(15,013	)		(1,509	)
ARM Holdings PLC		(2,749	)		(39,888	)		(2,343	)
ASOS PLC		(714	)		(23,794	)		(4,593	)
Burberry Group PLC		(177	)		(4,024	)		(467	)
Capita PLC		(741	)		(13,216	)		791
Diageo PLC		(1,481	)		(40,015	)		(2,411	)
Drax Group PLC		(1,182	)		(11,332	)		2,868
Experian PLC		(914	)		(13,358	)		(2,050	)
G4S PLC		(3,743	)		(14,560	)		(1,586	)
Hargreaves Lansdown PLC		(1,705	)		(25,115	)		(1,563	)
Informa PLC		(553	)		(4,013	)		(26	)
Inmarsat PLC		(3,614	)		(45,425	)		614
Intertek Group PLC		(519	)		(20,296	)		1,512
Marks & Spencer Group PLC		(2,985	)		(18,809	)		(3,295	)
Meggitt PLC		(2,595	)		(17,600	)		(3,275	)
Pearson PLC		(547	)		(10,140	)		38
Royal Bank of Scotland Group PLC		(2,522	)		(14,466	)		(878	)
RSA Insurance Group PLC		(3,641	)		(26,243	)		1,661
Serco Group PLC		(14,082	)		(51,234	)		16,100
Spectris PLC		(431	)		(14,195	)		120
Standard Life PLC		(2,890	)		(17,860	)		(41	)
Telecity Group PLC		(2,330	)		(25,656	)		(3,446	)
Tesco PLC		(6,137	)		(17,959	)		65
William Hill PLC		(1,665	)		(9,262	)		(95	)
WM Morrison Supermarkets PLC		(5,863	)		(14,928	)		(1,802	)
								(6,936	)
Total of Short Equity Positions								(742	)
Total of Long and Short Equity Positions								50,236
Net Cash and Other Receivables/ (Payables) (b)								2,141
Swaps, at Value							$	52,377

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

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

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

AQR Funds Annual Report December 2014

79

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate which is denominated in JPY based on the local currencies of the positions within the swap.	22-25 months maturity 10/14/2016		$10,594

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Aozora Bank Ltd.		2,000	$	6,279	$	(88	)
Asahi Kasei Corp.		3,000		22,474		4,893
Astellas Pharma, Inc.		300		4,064		112
Bandai Namco Holdings, Inc.		1,600		36,384		(2,509	)
Bank of Yokohama Ltd./The		4,000		19,032		2,693
Calbee, Inc.		900		26,141		4,861
Central Japan Railway Co.		300		35,298		9,665
Chiba Bank Ltd.		2,000		12,045		1,061
Chugai Pharmaceutical Co., Ltd.		900		24,749		(2,652	)
Citizen Holdings Co., Ltd.		7,100		40,258		14,373
Daicel Corp.		2,000		19,638		3,723
Dentsu, Inc.		200		6,472		1,936
Fuji Electric Co., Ltd.		7,000		27,619		289
Fuji Heavy Industries Ltd.		1,600		48,104		8,514
FUJIFILM Holdings Corp.		800		23,943		467
Fujitsu Ltd.		8,000		45,474		(2,821	)
Fukuoka Financial Group, Inc.		4,000		16,283		4,339
Gree, Inc.		2,200		13,828		(584	)
Hirose Electric Co., Ltd.		100		11,090		512
Hitachi High-Technologies Corp.		2,100		52,608		7,718
Hoya Corp.		1,300		38,138		5,834
Ibiden Co., Ltd		1,000		14,359		407
Isuzu Motors Ltd.		700		8,684		(158	)
ITOCHU Corp.		2,700		28,623		200
Japan Airlines Co., Ltd.		1,400		42,572		(1,063	)
JGC Corp.		2,000		46,626		(5,453	)
JTEKT Corp.		700		9,934		1,847
Kao Corp.		300		10,520		1,310
Konica Minolta, Inc.		2,000		19,561		2,231
Mabuchi Motor Co., Ltd.		400		17,032		(1,155	)
Marubeni Corp.		600		3,555		35
Mazda Motor Corp.		700		17,030		(219	)
MEIJI Holdings Co., Ltd.		100		7,221		1,877
Mitsubishi Electric Corp.		5,000		56,104		3,286
Mitsubishi Motors Corp.		4,800		47,484		(3,633	)
Mitsubishi Tanabe Pharma Corp.		500		6,861		468

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsui & Co., Ltd.		1,500	$	20,206	$	(117	)
Murata Manufacturing Co., Ltd.		100		9,778		1,134
NGK Spark Plug Co., Ltd.		700		16,836		4,434
Nippon Steel & Sumitomo Metal Corp.		8,000		17,688		2,157
Nitori Holdings Co., Ltd.		300		16,809		(691	)
NOK Corp.		500		13,048		(321	)
Omron Corp.		900		35,999		4,263
Otsuka Corp.		300		10,059		(547	)
Otsuka Holdings Co., Ltd.		1,100		35,217		(2,239	)
Panasonic Corp.		3,500		36,483		4,742
Resona Holdings, Inc.		4,100		20,637		74
Rohm Co., Ltd.		1,100		58,974		7,304
Secom Co., Ltd.		300		15,667		1,569
Sekisui Chemical Co., Ltd.		1,000		10,202		1,829
Seven Bank Ltd.		1,800		6,383		1,172
Shimizu Corp.		1,000		6,856		(64	)
Shionogi & Co., Ltd.		500		10,274		2,643
Showa Shell Sekiyu KK		800		6,827		1,053
Sony Corp.		800		17,088		(761	)
Sumitomo Heavy Industries Ltd.		1,000		4,782		597
Sumitomo Metal Mining Co., Ltd.		1,000		12,212		2,703
Sumitomo Rubber Industries Ltd.		500		6,288		1,145
Suruga Bank Ltd.		300		5,091		422
Suzuki Motor Corp.		1,900		51,449		5,489
Sysmex Corp.		300		10,254		3,060
Taiheiyo Cement Corp.		3,000		9,930		(518	)
Taisei Corp.		10,000		48,703		8,017
Tohoku Electric Power Co., Inc.		3,400		32,625		6,939
Tokyo Gas Co., Ltd.		9,000		44,074		4,487
TOTO Ltd.		2,000		19,362		3,904
West Japan Railway Co.		900		36,476		6,075
Yamaha Corp.		300		3,441		980
Yamaha Motor Co., Ltd.		1,800		30,160		5,851
						139,101
Total of Long Equity Positions						139,101

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

AQR Funds Annual Report December 2014

80

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Japan
Advantest Corp.		(3,700	)	$	(43,204	)	$	(2,655	)
Aeon Co., Ltd.		(5,900	)		(53,696	)		(5,596	)
AEON Financial Service Co., Ltd.		(2,600	)		(50,155	)		(1,198	)
Chiyoda Corp.		(1,000	)		(8,581	)		296
Credit Saison Co., Ltd.		(400	)		(7,396	)		(42	)
Daikin Industries Ltd.		(700	)		(41,230	)		(3,656	)
Daiwa Securities Group, Inc.		(2,000	)		(16,257	)		597
Denso Corp.		(700	)		(28,060	)		(4,565	)
Disco Corp.		(100	)		(5,893	)		(2,105	)
Don Quijote Holdings Co., Ltd.		(300	)		(17,448	)		(3,175	)
Eisai Co., Ltd.		(300	)		(10,903	)		(699	)
Fast Retailing Co., Ltd.		(200	)		(60,216	)		(12,563	)
GS Yuasa Corp.		(9,000	)		(43,757	)		5,492
Hitachi Construction Machinery Co., Ltd.		(700	)		(11,704	)		(3,096	)
Hitachi Ltd.		(1,000	)		(6,543	)		(837	)
Hokkaido Electric Power Co., Inc.		(2,700	)		(17,451	)		(4,162	)
Honda Motor Co., Ltd.		(800	)		(23,593	)		123
IHI Corp.		(4,000	)		(18,025	)		(2,233	)
Isetan Mitsukoshi Holdings Ltd.		(3,500	)		(39,024	)		(4,286	)
J Front Retailing Co., Ltd.		(700	)		(8,581	)		473
Japan Display, Inc.		(1,600	)		(5,089	)		206
Japan Steel Works Ltd./The		(10,000	)		(33,777	)		(1,605	)
JFE Holdings, Inc.		(300	)		(6,853	)		162
Kakaku.com, Inc.		(1,000	)		(15,237	)		930
Kansai Electric Power Co., Inc./The		(3,900	)		(33,392	)		(3,709	)
Kintetsu Corp.		(12,000	)		(35,171	)		(4,284	)
Komatsu Ltd.		(700	)		(13,853	)		(1,623	)
Konami Corp.		(1,500	)		(26,778	)		(722	)
Kubota Corp.		(1,000	)		(12,880	)		(1,634	)
Kyocera Corp.		(200	)		(8,807	)		(345	)
Kyowa Hakko Kirin Co., Ltd.		(1,000	)		(10,937	)		1,521
Kyushu Electric Power Co., Inc.		(2,100	)		(19,625	)		(1,407	)
LIXIL Group Corp.		(900	)		(16,653	)		(2,288	)
Marui Group Co., Ltd.		(7,900	)		(57,005	)		(14,250	)
Mitsubishi Gas Chemical Co., Inc.		(1,000	)		(5,665	)		646
Mitsui OSK Lines Ltd.		(9,000	)		(25,190	)		(1,474	)
Nidec Corp.		(300	)		(18,339	)		(1,037	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nissan Motor Co., Ltd.		(2,700	)	$	(22,554	)	$	(995	)
Nomura Holdings, Inc.		(1,300	)		(8,138	)		781
Obayashi Corp.		(4,000	)		(24,604	)		(1,181	)
Olympus Corp.		(1,000	)		(30,822	)		(4,208	)
Ono Pharmaceutical Co., Ltd.		(100	)		(7,559	)		(1,294	)
Rakuten, Inc.		(4,100	)		(44,023	)		(12,990	)
Ricoh Co., Ltd.		(1,000	)		(9,472	)		(637	)
Sega Sammy Holdings, Inc.		(1,500	)		(20,224	)		1,033
Seiko Epson Corp.		(100	)		(4,452	)		267
Shimano, Inc.		(100	)		(10,531	)		(2,421	)
Softbank Corp.		(600	)		(36,628	)		914
Sumco Corp.		(2,400	)		(35,076	)		717
Sumitomo Chemical Co., Ltd.		(3,000	)		(9,096	)		(2,714	)
Sumitomo Dainippon Pharma Co., Ltd.		(400	)		(4,496	)		622
Terumo Corp.		(300	)		(6,384	)		(424	)
Toray Industries, Inc.		(1,000	)		(7,878	)		(112	)
Toyota Industries Corp.		(200	)		(8,361	)		(1,890	)
Toyota Motor Corp.		(400	)		(20,720	)		(4,208	)
Unicharm Corp.		(200	)		(4,336	)		(458	)
Yahoo Japan Corp.		(15,500	)		(56,052	)		501
Yakult Honsha Co., Ltd.		(200	)		(8,976	)		(1,582	)
Yamato Holdings Co., Ltd.		(1,700	)		(35,591	)		1,928
Yaskawa Electric Corp.		(5,800	)		(66,967	)		(7,118	)
Yokogawa Electric Corp.		(2,300	)		(24,840	)		(399	)
Yokohama Rubber Co., Ltd./The		(1,000	)		(7,652	)		(1,453	)
								(112,121	)
Total of Short Equity Positions								(112,121	)
Total of Long and Short Equity Positions								26,980
Net Cash and Other Receivables/ (Payables) (b)								(16,386	)
Swaps, at Value							$	10,594

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

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

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

AQR Funds Annual Report December 2014

81

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, which is denominated in EUR based on the local currencies of the positions within the swap.	22-25 months maturity 10/12/2016		$4,778

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Accor SA		377		$	15,207		$	1,740
Cie Generale des Etablissements Michelin		98			8,402			444
Eutelsat Communications SA		266			8,013			589
GDF Suez		485			11,209			101
Iliad SA		78			14,809			3,917
Orange SA		2,710			36,064			10,024
Peugeot SA		1,166			14,244			43
Sanofi		468			44,758			(2,091	)
SCOR SE		145			4,241			152
SES SA		374			12,325			1,094
Sodexo SA		145			12,815			1,378
Total SA		525			29,986			(3,089	)
Vivendi SA		574			14,394			(107	)
								14,195
Total of Long Equity Positions								14,195
Short Positions
France
Carrefour SA		(297	)		(8,441	)		(597	)
Edenred		(570	)		(13,740	)		(2,024	)
Eiffage SA		(350	)		(17,416	)		(329	)
Essilor International SA		(536	)		(54,147	)		(5,628	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
LVMH Moet Hennessy Louis Vuitton SA		(163	)	$	(24,791	)	$	(1,029	)
LVMH Moet Hennessy Louis Vuitton SA, Rights		(163	)		(21	)		(2,852	)
Renault SA		(58	)		(4,211	)		(14	)
Vallourec SA		(426	)		(17,563	)		6,017
Veolia Environnement SA		(392	)		(6,351	)		(592	)
								(7,048	)
Total of Short Equity Positions								(7,048	)
Total of Long and Short Equity Positions								7,147
Net Cash and Other Receivables/ (Payables) (b)								(2,369	)
Swaps, at Value							$	4,778

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

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

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

AQR Funds Annual Report December 2014

82

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1Week Forward FX Swap Rate which is denominated in HKD based on the local currencies of the positions within the swap.	22-25 months maturity 10/14/2016		$7,103

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Hong Kong
Bank of East Asia Ltd.		2,400		$	9,622		$	16
BOC Hong Kong Holdings Ltd.		1,500			4,746			252
Cheung Kong Holdings Ltd.		4,000			67,530			(543	)
CLP Holdings Ltd.		2,000			17,241			77
Hutchison Whampoa Ltd.		2,000			25,255			(2,392	)
Hysan Development Co., Ltd.		11,000			50,394			(1,576	)
Li & Fung Ltd.		24,000			22,995			(610	)
MGM China Holdings Ltd.		6,400			18,641			(2,481	)
MTR Corp. Ltd.		11,000			44,480			524
Power Assets Holdings Ltd.		3,000			27,608			1,396
Sands China Ltd.		400			2,168			(220	)
Sino Land Co., Ltd.		26,000			41,441			297
SJM Holdings Ltd.		13,000			23,096			(2,544	)
Swire Pacific Ltd.		500			6,456			34
Swire Properties Ltd.		3,600			10,878			(285	)
								(8,055	)
Total of Long Equity Positions								(8,055	)
Short Positions
Hong Kong
AIA Group Ltd.		(2,000	)		(10,594	)		(437	)
ASM Pacific Technology Ltd.		(3,600	)		(34,488	)		211
Cathay Pacific Airways Ltd.		(4,000	)		(8,286	)		(435	)
First Pacific Co., Ltd.		(12,000	)		(12,808	)		958

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Galaxy Entertainment Group Ltd.		(2,000	)	$	(10,924	)	$	(190	)
Hang Lung Properties Ltd.		(11,000	)		(32,321	)		1,634
Hang Seng Bank Ltd.		(800	)		(13,074	)		(223	)
Hong Kong & China Gas Co., Ltd.		(35,000	)		(76,921	)		(2,821	)
Melco International Development Ltd.		(24,000	)		(56,172	)		3,633
Sun Hung Kai Properties Ltd.		(1,000	)		(14,275	)		(876	)
Techtronic Industries Co., Ltd.		(4,500	)		(14,612	)		175
Wynn Macau Ltd.		(12,800	)		(40,632	)		4,922
Xinyi Glass Holdings Ltd.		(72,000	)		(45,225	)		9,062
								15,613
Total of Short Equity Positions								15,613
Total of Long and Short Equity Positions								7,558
Net Cash and Other Receivables/ (Payables) (b)								(455	)
Swaps, at Value							$	7,103

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

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

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

AQR Funds Annual Report December 2014

83

Schedule of Investments December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate which is denominated in AUD based on the local currencies of the positions within the swap.	22-25 months maturity 10/13/2016		$12,681

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia
Amcor Ltd.		1,103		$	10,103		$	2,032
Aurizon Holdings Ltd.		5,156			18,965			330
Boral Ltd.		2,633			10,482			817
Caltex Australia Ltd.		486			11,510			1,975
Coca-Cola Amatil Ltd.		2,078			14,744			945
Incitec Pivot Ltd.		3,305			7,590			959
Lend Lease Group		371			4,402			540
Macquarie Group Ltd.		782			36,279			598
Qantas Airways Ltd.		6,875			13,359			(6	)
Rio Tinto Ltd.		284			13,700			(386	)
Sonic Healthcare Ltd.		427			6,000			424
Telstra Corp. Ltd.		9,074			42,690			1,363
								9,591
Total of Long Equity Positions								9,591
Short Positions
Australia
Cochlear Ltd.		(222	)		(12,322	)		(1,684	)
Fortescue Metals Group Ltd.		(4,057	)		(9,280	)		372
Iluka Resources Ltd.		(6,276	)		(36,840	)		6,699
QBE Insurance Group Ltd.		(3,335	)		(30,740	)		457

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
REA Group Ltd.		(121	)	$	(4,533	)	$	97
Santos Ltd.		(750	)		(5,106	)		96
Seek Ltd.		(2,023	)		(25,532	)		(2,676	)
								3,361
Total of Short Equity Positions								3,361
Total of Long and Short Equity Positions								12,952
Net Cash and Other Receivables/ (Payables) (b)								(271	)
Swaps, at Value							$	12,681

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

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

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

AQR Funds Annual Report December 2014

84

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

MONEY MARKET FUNDS - 90.4%	SHARES		VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% ^(a)		33,004,956	$	33,004,956
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b)		100,000		100,000
TOTAL MONEY MARKET FUNDS (Cost $33,104,956)				33,104,956
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 90.4% (Cost $33,104,956)				33,104,956
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.6% (c)			3,513,613
NET ASSETS - 100.0%			$	36,618,569

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for swap contracts.

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

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

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

Interest rate swap contracts outstanding as of December 31, 2014:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
Credit Suisse International	2.500%			(1)	AUD		4,900,000		$(4,284)		03/09/2017		$(7,319)
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		3.000	%	AUD		2,340,000		1,431		03/09/2017		22,617
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		3.000	%	AUD		9,900,000		26,605		03/09/2017		75,133
Credit Suisse International	3.000%			(1)	AUD		2,850,000		(9,331)		03/09/2017		(19,956)
Credit Suisse International	3.000%			(1)	AUD		2,390,000		(8,572)		03/09/2017		(15,989)
Credit Suisse International	3.000%			(1)	AUD		6,340,000		(43,086)		03/09/2017		(22,068)
Credit Suisse International	3.000%			(1)	AUD		2,630,000		(11,110)		03/09/2017		(15,918)
Credit Suisse International	3.000%			(1)	AUD		3,840,000		(14,735)		03/09/2017		(24,726)
Credit Suisse International	4.000%			(2)	AUD		570,000		729		03/13/2025		(34,686)
Credit Suisse International	4.000%			(2)	AUD		2,350,000		(33,218)		03/13/2025		(106,781)
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		3.500	%	AUD		1,460,000		(5,186)		03/13/2025		40,134
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		3.500	%	AUD		1,120,000		20,994		03/13/2025		5,815
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		4.000	%	AUD		900,000		18,473		03/13/2025		35,144
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		4.000	%	AUD		560,000		11,153		03/13/2025		22,208
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		4.000	%	AUD		690,000		15,656		03/13/2025		25,450
Credit Suisse International	6 Month Australian Bank-Bill Reference Rate		4.000	%	AUD		660,000		9,029		03/13/2025		30,290

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

AQR Funds Annual Report December 2014

85

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International	1.500%			(3)	CAD		2,510,000		$ (3,293)		03/13/2017		$ 2,479
Credit Suisse International	1.500%			(3)	CAD		36,110,000		51,618		03/13/2017		(63,329)
Credit Suisse International	2.500%			(3)	CAD		550,000		4,230		03/17/2025		(12,227)
Credit Suisse International	2.500%			(3)	CAD		540,000		2,919		03/17/2025		(10,771)
Credit Suisse International	2.500%			(3)	CAD		610,000		1,747		03/17/2025		(10,616)
Credit Suisse International	2.500%			(3)	CAD		520,000		3,948		03/17/2025		(11,509)
Credit Suisse International	2.500%			(3)	CAD		520,000		3,287		03/17/2025		(10,848)
Credit Suisse International	2.500%			(3)	CAD		510,000		5,581		03/17/2025		(12,997)
Credit Suisse International	2.500%			(3)	CAD		600,000		6,731		03/17/2025		(15,455)
Credit Suisse International	2.500%			(3)	CAD		570,000		(4,446)		03/17/2025		(3,842)
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		640,000		(1,944)		03/13/2017		2,152
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,490,000		(98)		03/13/2017		905
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,300,000		(2,526)		03/13/2017		3,272
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,290,000		(875)		03/13/2017		1,617
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,330,000		574		03/13/2017		182
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,290,000		(2,835)		03/13/2017		3,577
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,320,000		(334)		03/13/2017		1,086
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,340,000		(255)		03/13/2017		1,014
Credit Suisse International	3 Month London Interbank Offered Rate		1.500	%	CAD		2,310,000		(503)		03/13/2017		1,252
Credit Suisse International	3 Month London Interbank Offered Rate		2.500	%	CAD		8,140,000		(62,289)		03/17/2025		180,646
Credit Suisse International	3 Month London Interbank Offered Rate		2.500	%	CAD		520,000		7,189		03/17/2025		372
Credit Suisse International †	0.500%			(4)	EUR		1,690,000		(9,947)		03/15/2017		(2,587)
Credit Suisse International †	0.500%			(4)	EUR		9,110,000		(50,703)		03/15/2017		(16,866)
Credit Suisse International †	0.500%			(4)	EUR		10,270,000		(43,754)		03/15/2017		(32,419)
Credit Suisse International †	1.000%			(4)	EUR		350,000		(4,041)		03/19/2025		(2,444)
Credit Suisse International †	1.000%			(4)	EUR		570,000		(678)		03/19/2025		(9,884)
Credit Suisse International †	1.500%			(4)	EUR		340,000		(11,791)		03/19/2025		(14,985)
Credit Suisse International †	1.500%			(4)	EUR		340,000		(11,811)		03/19/2025		(14,965)
Credit Suisse International †	1.500%			(4)	EUR		350,000		(16,203)		03/19/2025		(11,360)
Credit Suisse International †	1.500%			(4)	EUR		370,000		(15,946)		03/19/2025		(13,193)
Credit Suisse International †	1.500%			(4)	EUR		340,000		(16,370)		03/19/2025		(10,406)

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

AQR Funds Annual Report December 2014

86

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International †	1.500%			(4)	EUR		340,000		$ (15,499	)		03/19/2025		$ (11,277	)
Credit Suisse International †	1.500%			(4)	EUR		330,000		(6,211	)		03/19/2025		(19,777	)
Credit Suisse International †	1.500%			(4)	EUR		350,000		(8,337	)		03/19/2025		(19,226	)
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,620,000		10,350			03/15/2017		1,665
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,600,000		8,110			03/15/2017		3,757
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,600,000		8,764			03/15/2017		3,103
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,570,000		8,055			03/15/2017		3,589
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,680,000		10,063			03/15/2017		2,398
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,630,000		8,664			03/15/2017		3,426
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,610,000		9,431			03/15/2017		2,511
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,620,000		10,287			03/15/2017		1,728
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		1,620,000		9,576			03/15/2017		2,440
Credit Suisse International †	6 Month Euro Interbank Offered Rate		0.500	%	EUR		2,690,000		17,104			03/15/2017		2,848
Credit Suisse International †	6 Month Euro Interbank Offered Rate		1.500	%	EUR		340,000		10,078			03/19/2025		16,698
Credit Suisse International †	6 Month Euro Interbank Offered Rate		1.500	%	EUR		2,190,000		73,183			03/19/2025		99,285
Credit Suisse International †	6 Month Euro Interbank Offered Rate		1.500	%	EUR		1,900,000		46,107			03/19/2025		103,524
Credit Suisse International †	1.500%			(5)	GBP		1,280,000		(7,295	)		03/15/2017		(11,649	)
Credit Suisse International †	1.500%			(5)	GBP		1,590,000		(18,683	)		03/15/2017		(4,849	)
Credit Suisse International †	1.500%			(5)	GBP		1,260,000		(7,395	)		03/15/2017		(11,253	)
Credit Suisse International †	1.500%			(5)	GBP		1,420,000		(9,006	)		03/15/2017		(12,010	)
Credit Suisse International †	1.500%			(5)	GBP		1,300,000		(15,690	)		03/15/2017		(3,550	)
Credit Suisse International †	1.500%			(5)	GBP		1,300,000		(11,919	)		03/15/2017		(7,321	)
Credit Suisse International †	1.500%			(5)	GBP		1,290,000		(18,673	)		03/15/2017		(419	)
Credit Suisse International †	1.500%			(5)	GBP		1,430,000		(7,278	)		03/15/2017		(13,886	)
Credit Suisse International †	2.000%			(5)	GBP		1,260,000		(14,286	)		03/15/2017		(23,751	)
Credit Suisse International †	3.000%			(5)	GBP		280,000		(12,813	)		03/19/2025		(32,922	)
Credit Suisse International †	3.000%			(5)	GBP		90,000		(4,800	)		03/19/2025		(9,901	)
Credit Suisse International †	3.000%			(5)	GBP		8,160,000		(488,112	)		03/19/2025		(844,737	)
Credit Suisse International †	6 Month London Interbank Offered Rate		2.000	%	GBP		370,000		3,976			03/19/2025		2,409
Credit Suisse International †	6 Month London Interbank Offered Rate		2.000	%	GBP		36,100,000		389,635			03/15/2017		700,134
Credit Suisse International †	6 Month London Interbank Offered Rate		2.000	%	GBP		1,580,000		19,837			03/15/2017		27,859

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

AQR Funds Annual Report December 2014

87

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		350,000		$ 6,068			03/19/2025		$ 25,537
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		280,000		17,422			03/19/2025		7,862
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		410,000		22,223			03/19/2025		14,800
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		280,000		3,611			03/19/2025		21,673
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		330,000		11,097			03/19/2025		18,701
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		460,000		7,174			03/19/2025		34,363
Credit Suisse International †	6 Month London Interbank Offered Rate		2.500	%	GBP		280,000		3,858			03/19/2025		21,426
Credit Suisse International †	6 Month London Interbank Offered Rate		3.000	%	GBP		480,000		18,313			03/19/2025		60,090
Credit Suisse International †	0.250%			(5)	JPY		978,640,000		(10,532	)		03/15/2017		(5,949	)
Credit Suisse International †	0.250%			(5)	JPY		358,050,000		(4,777	)		03/15/2017		(1,253	)
Credit Suisse International †	0.250%			(5)	JPY		1,827,290,000		(21,338	)		03/15/2017		(9,434	)
Credit Suisse International †	0.250%			(5)	JPY		666,400,000		(9,213	)		03/15/2017		(2,009	)
Credit Suisse International †	0.250%			(5)	JPY		484,740,000		(7,904	)		03/15/2017		(259	)
Credit Suisse International †	0.250%			(5)	JPY		241,810,000		(2,947	)		03/15/2017		(1,125	)
Credit Suisse International †	0.250%			(5)	JPY		350,950,000		(3,891	)		03/15/2017		(2,019	)
Credit Suisse International †	0.250%			(5)	JPY		1,535,700,000		(23,648	)		03/15/2017		(2,214	)
Credit Suisse International †	0.250%			(5)	JPY		978,640,000		(10,563	)		03/15/2017		(5,917	)
Credit Suisse International †	0.750%			(5)	JPY		58,720,000		(10,148	)		03/19/2025		(26	)
Credit Suisse International †	0.750%			(5)	JPY		47,600,000		(3,301	)		03/19/2025		(4,946	)
Credit Suisse International †	6 Month London Interbank Offered Rate		0.250	%	JPY		215,120,000		3,404			03/15/2017		219
Credit Suisse International †	6 Month London Interbank Offered Rate		0.250	%	JPY		236,290,000		4,498			03/15/2017		(518	)
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		48,510,000		1,151			03/19/2025		7,253
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		137,820,000		7,259			03/19/2025		16,619
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		202,260,000		10,780			03/19/2025		24,262
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		202,260,000		10,798			03/19/2025		24,244
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		76,150,000		4,390			03/19/2025		8,804
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		309,740,000		32,346			03/19/2025		21,319
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		70,870,000		2,274			03/19/2025		10,005
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		375,470,000		12,059			03/19/2025		52,994
Credit Suisse International †	6 Month London Interbank Offered Rate		0.750	%	JPY		97,020,000		8,612			03/19/2025		8,198
Credit Suisse International †	1.500%			(6)	NOK		108,050,000		116,109			03/15/2017		(211,180	)

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

AQR Funds Annual Report December 2014

88

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International †	1.500%			(6)	NOK		14,970,000		$ 7,851			03/15/2017		$ (21,023	)
Credit Suisse International †	1.500%			(6)	NOK		17,340,000		(1,680	)		03/15/2017		(13,577	)
Credit Suisse International †	1.500%			(6)	NOK		15,030,000		1,202			03/15/2017		(14,426	)
Credit Suisse International †	1.500%			(6)	NOK		14,840,000		13,058			03/15/2017		(26,116	)
Credit Suisse International †	1.500%			(6)	NOK		14,260,000		3,075			03/15/2017		(15,622	)
Credit Suisse International †	1.500%			(6)	NOK		45,930,000		(46,862	)		03/15/2017		6,449
Credit Suisse International †	1.500%			(6)	NOK		13,370,000		11,498			03/15/2017		(23,262	)
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.000	%	NOK		9,130,000		11,831			03/19/2025		(4,427	)
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		3,020,000		(1,426	)		03/19/2025		22,716
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		2,980,000		(9,747	)		03/19/2025		30,755
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		3,170,000		11,028			03/19/2025		11,320
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		3,120,000		5,123			03/19/2025		16,872
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		24,370,000		(56,604	)		03/19/2025		228,407
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		3,060,000		4,533			03/19/2025		17,039
Credit Suisse International †	6 Month Norwegian Interbank Offered Rate		2.500	%	NOK		2,990,000		(5,109	)		03/19/2025		26,188
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		4.500	%	NZD		5,000		—			03/15/2017		50
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		4.500	%	NZD		1,700,000		15,874			03/12/2025		24,746
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		4.500	%	NZD		1,810,000		38,127			03/12/2025		5,121
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		4.500	%	NZD		650,000		7,978			03/12/2025		7,553
Credit Suisse International	3 Month Australian Bank-Bill Reference Rate		4.500	%	NZD		5,000		18			03/15/2017		31
Credit Suisse International	4.000%			(1)	NZD		7,800,000		(21,812	)		03/15/2017		2,151
Credit Suisse International	4.000%			(1)	NZD		2,730,000		(5,229	)		03/15/2017		(1,652	)
Credit Suisse International	4.000%			(2)	NZD		7,150,000		(7,773	)		03/15/2017		(10,250	)
Credit Suisse International †	0.500%			(7)	SEK		14,980,000		(4,291	)		03/15/2017		(3,776	)
Credit Suisse International †	0.500%			(7)	SEK		31,750,000		(9,408	)		03/15/2017		(7,691	)
Credit Suisse International †	0.500%			(7)	SEK		14,990,000		(5,751	)		03/15/2017		(2,321	)
Credit Suisse International †	0.500%			(7)	SEK		14,680,000		(1,047	)		03/15/2017		(6,858	)
Credit Suisse International †	1.000%			(7)	SEK		14,530,000		(12,932	)		03/15/2017		(13,457	)

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

AQR Funds Annual Report December 2014

89

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International †	1.500%			(7)	SEK		3,310,000		$ (4,370	)		03/19/2025		$ (3,720	)
Credit Suisse International †	1.500%			(7)	SEK		3,260,000		(1,821	)		03/19/2025		(6,147	)
Credit Suisse International †	2.000%			(7)	SEK		37,990,000		(105,287	)		03/19/2025		(221,679	)
Credit Suisse International †	2.000%			(7)	SEK		3,230,000		(19,627	)		03/19/2025		(8,172	)
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		0.500	%	SEK		16,780,000		6,402			03/15/2017		2,634
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		0.500	%	SEK		15,210,000		5,763			03/15/2017		2,428
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		0.500	%	SEK		14,910,000		5,170			03/15/2017		2,859
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		1.000	%	SEK		172,630,000		147,761			03/15/2017		165,764
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		2.000	%	SEK		3,620,000		15,108			03/19/2025		16,048
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		2.000	%	SEK		6,730,000		36,801			03/19/2025		21,122
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		2.000	%	SEK		3,730,000		9,261			03/19/2025		22,842
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		2.000	%	SEK		3,250,000		18,280			03/19/2025		9,691
Credit Suisse International †	3 Month Stockholm Interbank Offered Rate		2.000	%	SEK		3,250,000		19,981			03/19/2025		7,990
Credit Suisse International †	1.000%			(3)	USD		10,000		—			03/20/2017		11
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		6,700,000		29,428			03/20/2017		(3,593	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		3,250,000		(835	)		03/20/2017		13,367
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		4,190,000		19,618			03/20/2017		(3,461	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		11,060,000		43,823			03/20/2017		(1,174	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		3,120,000		(2,245	)		03/20/2017		14,276
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,240,000		13,573			03/20/2017		(4,935	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,790,000		5,837			03/20/2017		4,921
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,050,000		(222	)		03/20/2017		8,127
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,020,000		12,460			03/20/2017		(4,671	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,180,000		10,021			03/20/2017		(1,615	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		3,570,000		29,375			03/20/2017		(15,609	)
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,110,000		(80	)		03/20/2017		8,217
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		460,000		(1,266	)		03/20/2017		3,040
Credit Suisse International †	3 Month London Interbank Offered Rate		1.250	%	USD		2,510,000		12,959			03/20/2017		(3,280	)
Credit Suisse International †	3 Month London Interbank Offered Rate		3.000	%	USD		10,000		284			03/18/2025		312
Credit Suisse International †	3.000%			(3)	USD		480,000		(17,638	)		03/18/2025		(10,976	)
Credit Suisse International †	3.000%			(3)	USD		690,000		(8,529	)		03/18/2025		(32,603	)

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

AQR Funds Annual Report December 2014

90

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND		CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
Credit Suisse International †	3.000%		(3)	USD		470,000		$ (1,899	)		03/18/2025		$ (26,118	)
Credit Suisse International †	3.000%		(3)	USD		750,000		(7,103	)		03/18/2025		(37,606	)
Credit Suisse International †	3.000%		(3)	USD		1,540,000		(51,307	)		03/18/2025		(40,495	)
Credit Suisse International †	3.000%		(3)	USD		760,000		(45,550	)		03/18/2025		245
Credit Suisse International †	3.000%		(3)	USD		2,440,000		(131,008	)		03/18/2025		(14,444	)
Credit Suisse International †	3.000%		(3)	USD		470,000		(3,096	)		03/18/2025		(24,921	)
Credit Suisse International †	3.000%		(3)	USD		460,000		(20,199	)		03/18/2025		(7,222	)
Credit Suisse International †	3.000%		(3)	USD		110,000		165			03/18/2025		(6,722	)
Credit Suisse International †	3.000%		(3)	USD		920,000		(33,769	)		03/18/2025		(21,074	)
Credit Suisse International †	3.000%		(3)	USD		460,000		(19,737	)		03/18/2025		(7,683	)
Credit Suisse International †	3.000%		(3)	USD		620,000		2,074			03/18/2025		(39,033	)
Credit Suisse International †	3.000%		(3)	USD		460,000		(17,548	)		03/18/2025		(9,873	)
								$(113,330	)				$(8,427	)

† Forward effective date swap. (See Note 4).

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

(3) 3 Month London Interbank Offered Rate

(4) 6 Month Euro Interbank Offered Rate

(5) 6 Month London Interbank Offered Rate

(6) 6 Month Norwegian Interbank Offered Rate

(7) 3 Month Stockholm Interbank Offered Rate

Cash held as collateral at Credit Suisse International for interest rate swap contracts was $843,421 at December 31, 2014.

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE		CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures		3/2015	CAD		(407,524	)		$(7,030	)
Bank of America	Bovespa Index February Futures		2/2015	BRL		(256,943	)		1,739
CitiBank	Corn March Futures^		2/2015	USD		(311,124	)		(6,476	)
Bank of America	Long Gilt March Futures		3/2015	GBP		465,540			19,734
Bank of America	MSCI Taiwan Stock Index January Futures		1/2015	USD		135,275			1,965
Barclays Capital	Natural Gas December Futures^		1/2015	USD		153,500			(25,939	)
Barclays Capital	Natural Gas December Futures^		1/2015	USD		(171,320	)		43,758
CitiBank	Natural Gas December Futures^		1/2015	USD		185,000			(25,549	)
CitiBank	Natural Gas December Futures^		1/2015	USD		(214,100	)		54,649
Barclays Capital	Natural Gas January Futures^		2/2015	USD		(74,400	)		16,620
CitiBank	Natural Gas January Futures^		2/2015	USD		(186,200	)		41,750
Bank of America	SGX S&P CNX Nifty Index January Futures		1/2015	USD		149,756			706
CitiBank	Soybean March Futures^		2/2015	USD		(51,891	)		716
CitiBank	Soybean Meal March Futures^		2/2015	USD		(35,676	)		916
Bank of America	Swiss Market Index March Futures		3/2015	CHF		89,597			(533	)

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

AQR Funds Annual Report December 2014

91

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE		CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Taiwan Stock Exchange January Futures		1/2015	TWD		3,601,459			$ 3,492
Bank of America	Tel Aviv 25 Index January Futures		1/2015	ILS		444,993			(1,396	)
Bank of America	U.S. Treasury 10-Year Note March Futures		3/2015	USD		6,808,499			38,532
CitiBank	Wheat March Futures^		2/2015	USD		(134,860	)		(12,577	)
Bank of America	WIG20 Index March Futures		3/2015	PLN		(46,628	)		57
									$145,134

Money Market Fund is pledged as collateral at CitiBank for total return swap contracts in the amount of $100,000 at December 31, 2014. Cash held as collateral for Bank of America for total return swap contracts was $10,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	J.P. Morgan	LME Aluminum Futures^		1/2015		$48,364		$45,685		$(2,679	)
1	J.P. Morgan	LME Aluminum Futures^		1/2015		50,085		45,844		(4,241	)
2	J.P. Morgan	LME Aluminum Futures^		1/2015		99,887		91,777		(8,110	)
1	J.P. Morgan	LME Aluminum Futures^		2/2015		50,998		45,966		(5,032	)
1	J.P. Morgan	LME Aluminum Futures^		2/2015		51,503		46,046		(5,457	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		49,003		46,150		(2,853	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		48,553		46,202		(2,351	)
2	J.P. Morgan	LME Aluminum Futures^		3/2015		94,856		92,420		(2,436	)
2	J.P. Morgan	LME Aluminum Futures^		3/2015		95,506		92,510		(2,996	)
1	J.P. Morgan	LME Copper Futures^		1/2015		166,602		159,186		(7,416	)
1	J.P. Morgan	LME Copper Futures^		1/2015		166,107		159,142		(6,965	)
1	J.P. Morgan	LME Copper Futures^		2/2015		167,159		158,257		(8,902	)
1	J.P. Morgan	LME Copper Futures^		3/2015		162,422		157,750		(4,672	)
1	J.P. Morgan	LME Copper Futures^		3/2015		160,578		157,700		(2,878	)
1	J.P. Morgan	LME Copper Futures^		3/2015		160,128		157,594		(2,534	)
1	J.P. Morgan	LME Nickel Futures^		1/2015		99,902		90,449		(9,453	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		53,253		54,425		1,172
1	J.P. Morgan	LME Zinc Futures^		3/2015		54,603		54,404		(199	)
11	Barclays Capital	Amsterdam Index Futures		1/2015		1,066,966		1,131,397		64,431
19	Barclays Capital	BIST 30 Futures		2/2015		85,774		87,043		1,269
15	Barclays Capital	CAC40 Index Futures		1/2015		724,658		776,308		51,650
7	Barclays Capital	Euro Stoxx 50 Index		3/2015		267,534		265,376		(2,158	)
6	Barclays Capital	FTSE 100 Index Futures		3/2015		606,391		609,958		3,567
1	Barclays Capital	FTSE/JSE Top 40 Index Futures		3/2015		36,520		38,260		1,740
10	Barclays Capital	IBEX 35 Index Futures		1/2015		1,189,307		1,239,612		50,305
1	Barclays Capital	KOSPI Index 200 Futures		3/2015		112,043		110,995		(1,048	)
3	Barclays Capital	MSCI Singapore Index Futures		1/2015		171,758		172,846		1,088
3	Barclays Capital	MSCI Taiwan Stock Index Futures		1/2015		101,543		102,929		1,386
35	Barclays Capital	OMXS30 Index Futures		1/2015		645,642		658,533		12,891
59	Barclays Capital	S&P 500 E-Mini Futures		3/2015		5,876,821		6,054,580		177,759
5	Barclays Capital	SET50 Index Futures		3/2015		30,781		30,064		(717	)
9	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		150,231		150,462		231
22	Barclays Capital	TOPIX Index Futures		3/2015		2,634,134		2,585,156		(48,978	)
190	J.P. Morgan	3-Month Euro Euribor Futures		6/2015		57,431,685		57,445,767		14,082
131	J.P. Morgan	3-Month Euro Euribor Futures		9/2015		39,599,505		39,609,322		9,817
53	J.P. Morgan	90-Day Sterling Futures		3/2015		10,248,120		10,263,771		15,651
119	J.P. Morgan	90-Day Sterling Futures		6/2015		23,001,192		23,035,798		34,606
131	J.P. Morgan	90-Day Sterling Futures		9/2015		25,288,728		25,338,319		49,591
114	J.P. Morgan	90-Day Sterling Futures		12/2015		22,015,682		22,027,929		12,247

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

AQR Funds Annual Report December 2014

92

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
35	J.P. Morgan	Euro - Bund Futures		3/2015		$ 6,482,793			$ 6,601,367			$ 118,574
31	J.P. Morgan	Long Gilt Futures		3/2015		5,671,555			5,775,283			103,728
						205,218,872			205,812,582			593,710
Short Contracts:
5	Goldman Sachs	Brent Crude Futures^		1/2015		(335,153	)		(286,650	)		48,503
20	Goldman Sachs	Corn Futures^		3/2015		(389,855	)		(397,000	)		(7,145	)
1	J.P. Morgan	LME Aluminum Futures^		1/2015		(48,248	)		(45,685	)		2,563
1	J.P. Morgan	LME Aluminum Futures^		1/2015		(50,248	)		(45,844	)		4,404
2	J.P. Morgan	LME Aluminum Futures^		1/2015		(99,846	)		(91,778	)		8,068
1	J.P. Morgan	LME Aluminum Futures^		2/2015		(51,123	)		(45,966	)		5,157
1	J.P. Morgan	LME Aluminum Futures^		2/2015		(51,166	)		(46,045	)		5,121
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(49,069	)		(46,149	)		2,920
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(48,543	)		(46,201	)		2,342
7	J.P. Morgan	LME Aluminum Futures^		3/2015		(337,955	)		(323,531	)		14,424
2	J.P. Morgan	LME Aluminum Futures^		3/2015		(94,876	)		(92,420	)		2,456
2	J.P. Morgan	LME Aluminum Futures^		3/2015		(95,282	)		(92,510	)		2,772
1	J.P. Morgan	LME Copper Futures^		1/2015		(166,241	)		(159,185	)		7,056
1	J.P. Morgan	LME Copper Futures^		1/2015		(166,573	)		(159,143	)		7,430
1	J.P. Morgan	LME Copper Futures^		2/2015		(167,123	)		(158,258	)		8,865
2	J.P. Morgan	LME Copper Futures^		3/2015		(322,607	)		(315,400	)		7,207
1	J.P. Morgan	LME Copper Futures^		3/2015		(162,103	)		(157,750	)		4,353
1	J.P. Morgan	LME Copper Futures^		3/2015		(159,894	)		(157,593	)		2,301
1	J.P. Morgan	LME Lead Futures^		3/2015		(50,724	)		(46,450	)		4,274
1	J.P. Morgan	LME Nickel Futures^		1/2015		(99,061	)		(90,450	)		8,611
1	J.P. Morgan	LME Nickel Futures^		3/2015		(97,521	)		(90,834	)		6,687
2	J.P. Morgan	LME Zinc Futures^		3/2015		(107,857	)		(108,825	)		(968	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		(53,257	)		(54,425	)		(1,168	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		(54,548	)		(54,404	)		144
24	Goldman Sachs	Natural Gas Futures^		1/2015		(810,427	)		(693,360	)		117,067
1	Goldman Sachs	Silver Futures^		3/2015		(80,972	)		(77,995	)		2,977
10	Goldman Sachs	Soybean Futures^		3/2015		(523,152	)		(511,750	)		11,402
11	Goldman Sachs	Soybean Meal Futures^		3/2015		(393,958	)		(382,360	)		11,598
34	Goldman Sachs	Soybean Oil Futures^		3/2015		(655,266	)		(655,656	)		(390	)
19	Goldman Sachs	Wheat Futures^		3/2015		(506,362	)		(560,262	)		(53,900	)
7	Goldman Sachs	WTI Crude Futures^		1/2015		(422,254	)		(372,890	)		49,364
3	Barclays Capital	DAX Index Futures		3/2015		(878,430	)		(893,335	)		(14,905	)
2	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures		1/2015		(50,064	)		(50,079	)		(15	)
13	Barclays Capital	FTSE/MIB Index Futures		3/2015		(1,455,821	)		(1,499,839	)		(44,018	)
4	Barclays Capital	Hang Seng Index Futures		1/2015		(609,237	)		(609,931	)		(694	)
4	Barclays Capital	H-SHARES Index Futures		1/2015		(308,718	)		(309,208	)		(490	)
1	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		3/2015		(27,487	)		(29,274	)		(1,787	)
1	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		(144,845	)		(146,600	)		(1,755	)
17	Barclays Capital	SPI 200 Index Futures		3/2015		(1,780,677	)		(1,867,740	)		(87,063	)
269	J.P. Morgan	10-Year Japanese Government Bond		3/2015		(32,995,911	)		(33,201,669	)		(205,758	)
127	J.P. Morgan	90-Day EURODollar Futures		6/2015		(31,609,768	)		(31,611,888	)		(2,120	)
75	J.P. Morgan	90-Day EURODollar Futures		9/2015		(18,630,880	)		(18,628,125	)		2,755
81	J.P. Morgan	90-Day EURODollar Futures		12/2015		(20,076,970	)		(20,064,712	)		12,258
99	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		(10,234,694	)		(10,357,141	)		(122,447	)
11	J.P. Morgan	Canadian 10-Year Bond Futures		3/2015		(1,294,981	)		(1,311,517	)		(16,536	)
62	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		3/2015		(13,166,456	)		(13,165,928	)		528
248	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		6/2015		(52,650,003	)		(52,655,707	)		(5,704	)
212	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		9/2015		(44,999,221	)		(44,993,888	)		5,333

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

AQR Funds Annual Report December 2014

93

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
59	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		12/2015		$ (12,519,658	)		$ (12,515,536	)		$ 4,122
5	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		6/2015		(1,260,354	)		(1,260,561	)		(207	)
5	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		9/2015		(1,260,477	)		(1,260,938	)		(461	)
4	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		12/2015		(1,008,463	)		(1,008,751	)		(288	)
14	J.P. Morgan	U.S. Treasury 10-Year Note Futures		3/2015		(1,769,145	)		(1,775,156	)		(6,011	)
						(255,383,524	)		(255,584,292	)		(200,768	)
						$(50,164,652	)		$(49,771,710	)		$392,942

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $868,576, $219,382 and $1,132,233, respectively at December 31, 2014.

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

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		513,000		$415,675		$416,629		$954
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		663,000		254,786		244,523		(10,263	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		2,259,000		1,966,926		1,941,315		(25,611	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		1,266,000		1,304,284		1,275,101		(29,183	)
Chinese Renminbi, Expiring 03/18/15*	Credit Suisse International	CNY		7,250,000		1,171,156		1,158,974		(12,182	)
Columbian Peso, Expiring 03/18/15*	Credit Suisse International	COP		840,000,000		356,888		352,121		(4,767	)
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		3,210,000		144,695		140,355		(4,340	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		2,807,000		3,484,338		3,398,863		(85,475	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		917,000		1,437,165		1,428,410		(8,755	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		106,009,000		428,050		404,429		(23,621	)
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		5,800,000,000		464,595		462,225		(2,370	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		390,000		99,234		100,013		779
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		25,103,000		399,212		391,744		(7,468	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		276,563,000		2,320,730		2,310,413		(10,317	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		814,673,000		740,884		738,709		(2,175	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		17,149,000		1,168,046		1,157,119		(10,927	)

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

AQR Funds Annual Report December 2014

94

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		400,000			$ 114,990			$ 113,721			$ (1,269	)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		4,325,000			3,318,682			3,350,068			31,386
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		4,500,000			100,000			100,256			256
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		53,000			15,693			14,921			(772	)
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		30,569,000			475,918			482,718			6,800
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		8,871,000			1,179,452			1,138,258			(41,194	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		1,189,000			907,147			896,471			(10,676	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		874,000			382,434			368,435			(13,999	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		400,000			12,884			12,663			(221	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		911,000			80,041			77,825			(2,216	)
							$22,743,905			$22,476,279			$(267,626	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(3,618,000	)		$(2,987,048	)		$(2,938,332	)		$48,716
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(2,062,000	)		(768,706	)		(760,496	)		8,210
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(4,961,000	)		(4,316,645	)		(4,263,332	)		53,313
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(907,000	)		(936,213	)		(913,519	)		22,694
Chilean Peso, Expiring 03/18/15*	Credit Suisse International	CLP		(105,000,000	)		(170,597	)		(171,815	)		(1,218	)
Columbian Peso, Expiring 03/18/15*	Credit Suisse International	COP		(1,212,000,000	)		(536,003	)		(508,060	)		27,943
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		(200,000	)		(8,918	)		(8,745	)		173
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(1,883,000	)		(2,328,540	)		(2,280,034	)		48,506
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(4,405,000	)		(6,881,129	)		(6,861,659	)		19,470
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(42,792,000	)		(167,659	)		(163,253	)		4,406
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		(5,180,000,000	)		(394,564	)		(412,814	)		(18,250	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(660,000	)		(166,378	)		(169,253	)		(2,875	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		(6,107,000	)		(95,140	)		(95,303	)		(163	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(64,206,000	)		(550,240	)		(536,378	)		13,862
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(451,892,000	)		(407,672	)		(409,756	)		(2,084	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(15,016,000	)		(1,036,028	)		(1,013,196	)		22,832
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		(1,660,000	)		(480,286	)		(471,942	)		8,344

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

AQR Funds Annual Report December 2014

95

Consolidated Schedule of Investments December 31, 2014

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(25,826,000	)		$ (3,627,814	)		$ (3,458,065	)		$ 169,749
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(47,000	)		(36,525	)		(36,405	)		120
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		(2,900,000	)		(64,711	)		(64,609	)		102
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(814,000	)		(239,647	)		(229,170	)		10,477
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(30,569,000	)		(538,978	)		(482,718	)		56,260
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(2,012,000	)		(1,530,452	)		(1,516,991	)		13,461
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(982,000	)		(412,267	)		(413,964	)		(1,697	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(2,505,000	)		(217,344	)		(214,001	)		3,343
							(28,899,504	)		(28,393,810	)		505,694
							$(6,155,599)			$(5,917,531)			$238,068

Cash held as collateral for Credit Suisse International for forward currency exchange contracts was $280,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Columbian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

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

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2014

96

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

MONEY MARKET FUNDS - 91.0%	SHARES		VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)		38,297,057	$	38,297,057
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)
(cost $49,827,080)		11,530,023		11,530,023
				49,827,080
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 91.0% (cost $49,827,080)				49,827,080
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.0% (c)			4,955,067
NET ASSETS - 100.0%			$	54,782,147

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

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

Total return swap contract outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Swiss Market Index March Futures	3/2015	CHF		1,053,556		$15,442

Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $8,200,000 at December 31, 2014.

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
3	Barclays Capital	Amsterdam Index Futures		1/2015		$286,756			$308,563			$21,807
23	Barclays Capital	CAC40 Index Futures		1/2015		1,113,973			1,190,338			76,365
4	Barclays Capital	DAX Index Futures		3/2015		1,145,167			1,191,112			45,945
26	Barclays Capital	FTSE 100 Index Futures		3/2015		2,501,896			2,643,152			141,256
2	Barclays Capital	FTSE/MIB Index Futures		3/2015		226,723			230,745			4,022
3	Barclays Capital	Hang Seng Index Futures		1/2015		458,477			457,448			(1,029	)
4	Barclays Capital	IBEX 35 Index Futures		1/2015		477,483			495,844			18,361
1	Barclays Capital	MSCI Singapore Index Futures		1/2015		57,429			57,615			186
26	Barclays Capital	OMXS30 Index Futures		1/2015		479,441			489,195			9,754
158	Barclays Capital	S&P 500 E-Mini Futures		3/2015		15,691,503			16,213,960			522,457
17	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		2,351,214			2,492,202			140,988
6	Barclays Capital	SPI 200 Index Futures		3/2015		627,857			659,203			31,346
19	Barclays Capital	TOPIX Index Futures		3/2015		2,264,605			2,232,635			(31,970	)
						27,682,524			28,662,012			979,488
Short Contracts:
37	Barclays Capital	Euro Stoxx 50 Index		3/2015		(1,353,455	)		(1,402,702	)		(49,247	)
						$26,329,069			$27,259,310			$930,241

Cash held as collateral at Barclays Capital for futures contracts was $341,069 at December 31, 2014.

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

AQR Funds Annual Report December 2014

97

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		446,500		$371,524		$362,622		$(8,902	)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		446,500		371,516		362,623		(8,893	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		598,000		524,447		513,903		(10,544	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		597,999		524,447		513,902		(10,545	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		445,000		457,447		448,199		(9,248	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		445,000		457,442		448,199		(9,243	)
Danish Krone, Expiring 03/18/15	CitiBank	DKK		444,500		74,215		72,272		(1,943	)
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		444,500		74,216		72,272		(1,944	)
Euro, Expiring 03/18/15	CitiBank	EUR		1,175,001		1,451,092		1,422,752		(28,340	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		1,175,000		1,451,090		1,422,751		(28,339	)
British Pound, Expiring 03/18/15	CitiBank	GBP		655,501		1,024,433		1,021,073		(3,360	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		655,500		1,024,439		1,021,071		(3,368	)
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		1,222,500		157,668		157,642		(26	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		1,222,500		157,667		157,642		(25	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		101,000		25,464		25,901		437
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		119,000		30,106		30,517		411
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		122,858,501		1,029,211		1,026,362		(2,849	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		122,858,500		1,029,204		1,026,362		(2,842	)
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		264,500		37,401		35,415		(1,986	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		264,500		37,400		35,416		(1,984	)
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		8,500		6,525		6,584		59
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		8,499		6,523		6,584		61
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		1,128,001		150,106		144,737		(5,369	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		1,128,000		150,106		144,736		(5,370	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		96,500		73,499		72,759		(740	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		96,500		73,501		72,758		(743	)
						$10,770,689		$10,625,054		$(145,635	)

Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $30,001 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $150,000 at December 31, 2014.

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

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Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

Total Return Basket Swaps* Outstanding at December 31, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	26 months maturity 11/09/2015		$254,435

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Agnico Eagle Mines Ltd.		1,600	$	51,744	$	(11,916	)
Aimia, Inc.		8,300		104,673		(298	)
Alimentation Couche Tard, Inc.		5,900		167,161		80,102
Bank of Montreal		700		49,237		278
Blackberry Ltd.		20,700		221,617		5,374
Canadian Imperial Bank of Commerce		1,300		113,264		(1,548	)
Canadian Natural Resources Ltd.		3,700		117,616		(3,213	)
Canadian Tire Corp. Ltd.		1,758		162,461		23,266
Cenovus Energy, Inc.		1,900		40,542		(1,341	)
CI Financial Corp.		700		20,814		(1,359	)
Dollarama, Inc.		4,200		164,159		50,577
Encana Corp.		6,700		119,100		(25,849	)
Enerplus Corp.		1,200		27,307		(15,750	)
Finning International, Inc.		24,746		620,825		(83,434	)
Gibson Energy, Inc.		3,600		88,935		(4,684	)
Gildan Activewear, Inc.		616		30,489		4,345
Intact Financial Corp.		600		40,968		2,336
Keyera Corp.		1,200		89,902		(6,166	)
Linamar Corp.		9,700		506,283		86,087
Magna International, Inc.		8,463		818,579		98,504
Methanex Corp.		600		35,658		(8,096	)
Metro, Inc.		535		34,854		8,110
National Bank of Canada		1,600		66,581		1,506
Open Text Corp.		968		42,913		13,419
Pembina Pipeline Corp.		1,500		53,317		1,348
Precision Drilling Corp.		3,200		38,854		(19,408	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Royal Bank of Canada		1,500		$	103,527		$	71
Saputo, Inc.		800			21,976			2,070
Shaw Communications, Inc.		900			22,155			2,131
ShawCor Ltd.		2,100			89,669			(13,029	)
Suncor Energy, Inc.		1,400			43,278			1,187
Toronto-Dominion Bank/The		1,000			47,402			378
Vermilion Energy, Inc.		400			25,935			(6,310	)
West Fraser Timber Co., Ltd.		2,300			117,304			14,286
								192,974
Total of Long Equity Positions								192,974
Short Positions
Canada
Agrium, Inc.		(500	)		(47,345	)		5
Barrick Gold Corp.		(16,000	)		(193,457	)		21,035
BCE, Inc.		(1,700	)		(66,740	)		(11,229	)
Bombardier, Inc.		(82,000	)		(281,039	)		(11,868	)
CAE, Inc.		(8,300	)		(108,307	)		574
Cameco Corp.		(5,800	)		(106,541	)		11,439
Canadian Pacific Railway Ltd.		(900	)		(173,882	)		552
Canadian Utilities Ltd.		(9,800	)		(333,135	)		(11,949	)
CGI Group, Inc.		(6,400	)		(220,976	)		(23,004	)
Eldorado Gold Corp.		(19,900	)		(129,782	)		8,512
Enbridge, Inc.		(657	)		(26,050	)		(7,733	)
First Quantum Minerals Ltd.		(34,423	)		(547,581	)		58,406
Fortis, Inc.		(4,500	)		(138,185	)		(12,719	)

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

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Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Franco-Nevada Corp.		(2,100	)	$	(107,344	)	$	3,934
Goldcorp, Inc.		(5,900	)		(133,397	)		24,163
Loblaw Cos., Ltd.		(700	)		(32,317	)		(5,142	)
Lundin Mining Corp.		(17,300	)		(77,727	)		(7,448	)
Manulife Financial Corp.		(5,114	)		(92,648	)		(4,983	)
MEG Energy Corp.		(12,700	)		(246,146	)		32,438
Penn West Petroleum Ltd.		(18,902	)		(88,888	)		49,355
Potash Corp of Saskatchewan, Inc.		(10,162	)		(328,725	)		(30,505	)
Power Financial Corp.		(1,300	)		(37,644	)		(2,839	)
Rogers Communications, Inc.		(2,900	)		(105,760	)		(7,008	)
Silver Wheaton Corp.		(13,300	)		(275,527	)		5,017
SNC-Lavalin Group, Inc.		(8,898	)		(326,259	)		(13,103	)
Sun Life Financial, Inc.		(339	)		(10,671	)		(1,561	)
Teck Resources Ltd.		(15,600	)		(256,662	)		43,398
								107,737

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
Valeant Pharmaceuticals International, Inc.		(1,100	)	$	(130,977	)	$	(26,506	)
Total of Short Equity Positions								81,231
Total of Long and Short Equity Positions								274,205
Net Cash and Other Receivables/ (Payables) (b)								(19,770	)
Swaps, at Value							$	254,435

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

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

Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $3,300,022 at December 31, 2014.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	25 months maturity 08/20/2015		$320,730

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
South Africa
Mondi PLC		3,298	$	54,779	$	(1,202	)
United Kingdom
Amec Foster Wheeler PLC		2,624		47,364		(12,707	)
Anglo American PLC		6,295		125,494		(9,009	)
Ashtead Group PLC		1,759		22,974		8,265
Associated British Foods PLC		2,336		106,326		7,886
AstraZeneca PLC		2,615		179,802		4,897
BAE Systems PLC		3,394		22,588		2,233
Barratt Developments PLC		47,982		296,911		52,308
Berkeley Group Holdings PLC		5,898		226,305		501

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
BT Group PLC		35,158	$	207,515	$	11,160
Bunzl PLC		5,715		147,404		8,837
Centrica PLC		25,306		112,766		(3,155	)
Compass Group PLC		7,719		121,178		10,762
Direct Line Insurance Group PLC		17,536		78,130		1,195
Drax Group PLC		2,595		32,889		(14,306	)
DS Smith PLC		6,767		34,905		(1,160	)
easyJet PLC		2,709		64,843		5,264
GKN PLC		44,548		247,659		(10,542	)
Hays PLC		18,527		36,200		5,483
Imperial Tobacco Group PLC		3,343		146,135		1,022
International Consolidated Airlines Group SA		13,432		78,279		22,838

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

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100

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
ITV PLC		11,822		$	33,264		$	6,171
John Wood Group PLC		4,224			42,417			(3,341	)
Kingfisher PLC		20,923			96,441			14,161
National Grid PLC		16,962			244,272			(3,586	)
Next PLC		1,634			167,778			5,523
Persimmon PLC		10,556			228,425			29,394
Petrofac Ltd.		5,143			57,906			(1,878	)
Rexam PLC		16,104			117,050			(3,678	)
Royal Mail PLC		3,105			21,830			(1,134	)
Shire PLC		4,491			289,650			28,762
Sky PLC		3,614			48,050			2,388
Smith & Nephew PLC		4,802			77,505			9,088
SSE PLC		2,579			63,927			1,237
Standard Chartered PLC		3,160			46,747			514
Tate & Lyle PLC		4,277			40,256			(179	)
Taylor Wimpey PLC		50,665			93,196			14,894
Travis Perkins PLC		2,031			55,836			2,624
Vodafone Group PLC		38,927			133,962			(480	)
Weir Group PLC/The		4,664			132,943			801
Whitbread PLC		717			45,948			7,116
								200,169
Total of Long Equity Positions								198,967
Short Positions
Switzerland
Coca-Cola HBC AG		(818	)		(17,041	)		1,466
Glencore PLC		(103,916	)		(528,832	)		49,174
								50,640
United Kingdom
Aberdeen Asset Management PLC		(37,928	)		(249,661	)		(3,818	)
Aggreko PLC		(1,621	)		(44,122	)		6,320
Antofagasta PLC		(22,663	)		(254,380	)		(9,689	)
ARM Holdings PLC		(24,463	)		(349,555	)		(26,255	)
ASOS PLC		(7,089	)		(268,403	)		(13,440	)
Burberry Group PLC		(3,645	)		(84,164	)		(8,314	)
Croda International PLC		(718	)		(26,268	)		(3,367	)
Diageo PLC		(2,204	)		(60,074	)		(3,064	)
Eurasian Natural Resources Corp. Ltd.		(15	)		(52	)		(1	)
Experian PLC		(6,992	)		(113,051	)		(4,813	)
G4S PLC		(11,199	)		(42,559	)		(5,749	)
Hargreaves Lansdown PLC		(14,613	)		(233,326	)		4,679
Informa PLC		(1,929	)		(14,561	)		473

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Inmarsat PLC		(36,981	)	$	(458,800	)	$	256
Intertek Group PLC		(1,985	)		(81,751	)		9,909
Man Group PLC		(26,453	)		(40,508	)		(25,317	)
Marks & Spencer Group PLC		(30,259	)		(217,188	)		(6,886	)
Meggitt PLC		(6,060	)		(42,823	)		(5,925	)
Old Mutual PLC		(5,059	)		(14,181	)		(729	)
Pearson PLC		(629	)		(9,878	)		(1,739	)
Royal Bank of Scotland Group PLC		(11,303	)		(58,011	)		(10,759	)
RSA Insurance Group PLC		(18,601	)		(132,756	)		7,172
Serco Group PLC		(118,179	)		(438,761	)		143,902
Spectris PLC		(3,964	)		(110,727	)		(18,730	)
Standard Life PLC		(1,641	)		(9,413	)		(752	)
Tesco PLC		(71,860	)		(236,395	)		26,873
William Hill PLC		(2,495	)		(14,532	)		512
WM Morrison Supermarkets PLC		(57,513	)		(167,071	)		2,971
								53,720
Total of Short Equity Positions								104,360
Total of Long and Short Equity Positions								303,327
Net Cash and Other Receivables/ (Payables) (b)								17,403
Swaps, at Value							$	320,730

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

101

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	25 months maturity 08/20/2015		$159,723

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Aozora Bank Ltd.		27,000	$	80,811	$	2,764
Asahi Kasei Corp.		16,000		123,394		22,565
Astellas Pharma, Inc.		12,100		167,895		562
Bandai Namco Holdings, Inc.		11,400		243,074		(1,721	)
Bank of Yokohama Ltd./The		9,000		47,472		1,410
Bridgestone Corp.		1,400		44,570		3,982
Brother Industries Ltd.		1,500		22,466		4,725
Calbee, Inc.		3,900		106,814		27,529
Casio Computer Co., Ltd.		1,900		16,731		12,334
Central Japan Railway Co.		1,100		113,388		51,476
Chiyoda Corp.		3,000		27,289		(2,434	)
Chubu Electric Power Co., Inc.		3,900		46,571		(742	)
Chugai Pharmaceutical Co., Ltd.		4,600		122,615		(9,674	)
Citizen Holdings Co., Ltd.		7,900		52,877		7,909
Dai Nippon Printing Co., Ltd.		7,000		55,930		7,116
Daicel Corp.		21,000		239,723		5,567
Daihatsu Motor Co., Ltd.		2,700		46,340		(11,076	)
Dentsu, Inc.		800		27,272		6,361
Electric Power Development Co., Ltd.		1,000		27,132		6,659
Fuji Electric Co., Ltd.		39,000		147,344		8,144
Fuji Heavy Industries Ltd.		15,600		440,747		111,294
FUJIFILM Holdings Corp.		7,600		219,500		12,403
Fujitsu Ltd.		68,000		373,126		(10,573	)
Fukuoka Financial Group, Inc.		8,000		35,199		6,045
Gree, Inc.		12,500		83,190		(7,942	)
Hino Motors Ltd.		3,000		37,380		2,109
Hirose Electric Co., Ltd.		100		12,467		(865	)
Hitachi Chemical Co., Ltd.		1,800		26,969		4,831
Hitachi High-Technologies Corp.		9,500		254,596		18,307
Hitachi Metals Ltd.		5,000		86,293		(1,339	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hoya Corp.		9,700	$	289,505	$	38,596
Inpex Corp.		1,900		24,180		(3,027	)
Isuzu Motors Ltd.		11,300		144,303		(6,665	)
ITOCHU Corp.		8,400		84,022		5,649
Japan Airlines Co., Ltd.		18,700		511,064		43,373
JGC Corp.		7,000		185,322		(41,214	)
JTEKT Corp.		3,700		47,997		14,274
JX Holdings, Inc.		4,700		19,207		(917	)
Kajima Corp.		25,000		98,486		4,322
Keyence Corp.		200		80,808		8,311
Kobe Steel Ltd.		50,000		60,985		25,140
Konica Minolta, Inc.		5,100		39,511		16,059
Mabuchi Motor Co., Ltd.		6,000		229,310		8,833
Marubeni Corp.		8,000		48,542		(675	)
Mazda Motor Corp.		9,000		197,732		18,408
MEIJI Holdings Co., Ltd.		900		79,576		2,305
Mitsubishi Chemical Holdings Corp.		9,800		50,401		(2,866	)
Mitsubishi Electric Corp.		24,000		255,533		29,541
Mitsubishi Materials Corp.		11,000		27,558		8,934
Mitsubishi Motors Corp.		41,600		399,182		(19,147	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		4,300		20,060		162
Mitsui & Co., Ltd.		12,900		174,591		(1,820	)
Murata Manufacturing Co., Ltd.		1,000		88,599		20,522
Nagoya Railroad Co., Ltd.		13,000		48,256		145
Nippon Express Co., Ltd.		17,000		81,520		4,633
Nippon Steel & Sumitomo Metal Corp.		25,000		56,082		5,933
Nippon Telegraph & Telephone Corp.		3,800		181,989		12,125
Nippon Yusen KK		5,000		12,184		1,939
Nissin Foods Holdings Co., Ltd.		700		34,676		(1,311	)
Nitori Holdings Co., Ltd.		2,500		141,148		(6,827	)
NOK Corp.		9,000		212,621		16,461
NTT Data Corp.		1,000		32,225		5,030
Omron Corp.		2,900		97,947		31,786
Oriental Land Co., Ltd.		700		125,478		35,952
Osaka Gas Co., Ltd.		23,000		86,135		(231	)
Otsuka Corp.		2,600		92,262		(9,829	)
Otsuka Holdings Co., Ltd.		7,700		242,538		(11,696	)

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

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102

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Panasonic Corp.		33,000		$	336,855		$	51,834
Resona Holdings, Inc.		29,200			141,125			6,379
Rohm Co., Ltd.		6,400			340,194			45,427
Santen Pharmaceutical Co., Ltd.		1,300			71,692			(1,707	)
Secom Co., Ltd.		1,200			56,729			12,217
Sekisui Chemical Co., Ltd.		20,000			232,088			8,531
Seven Bank Ltd.		3,900			14,258			2,112
Shimadzu Corp.		6,000			63,449			(2,417	)
Shimizu Corp.		32,000			219,004			(1,658	)
Showa Shell Sekiyu KK		6,000			53,319			5,779
Sojitz Corp.		34,600			48,920			(601	)
Sony Corp.		9,300			198,552			(8,746	)
Sumitomo Electric Industries Ltd.		900			10,207			1,034
Sumitomo Heavy Industries Ltd.		15,000			78,423			2,262
Sumitomo Metal Mining Co., Ltd.		2,000			23,199			6,631
Sumitomo Mitsui Financial Group, Inc.		600			25,846			(4,155	)
Suruga Bank Ltd.		1,900			30,584			4,333
Suzuki Motor Corp.		8,800			223,176			40,537
Sysmex Corp.		500			18,358			3,833
T&D Holdings, Inc.		3,100			31,900			5,262
Taiheiyo Cement Corp.		5,000			15,839			(152	)
Taisei Corp.		22,000			101,380			23,404
TDK Corp.		2,800			131,505			33,402
THK Co., Ltd.		600			11,378			3,041
Tohoku Electric Power Co., Inc.		19,300			207,818			16,766
Tokio Marine Holdings, Inc.		1,400			34,407			11,062
Tokyo Electric Power Co., Inc.		14,600			48,118			11,264
Tokyo Gas Co., Ltd.		43,000			213,871			18,143
Toppan Printing Co., Ltd.		3,000			20,041			(549	)
TOTO Ltd.		24,000			295,676			(16,491	)
Toyo Suisan Kaisha Ltd.		1,000			27,294			4,905
USS Co., Ltd.		6,700			95,683			7,260
West Japan Railway Co.		4,000			183,920			5,193
Yamaha Motor Co., Ltd.		11,300			217,720			8,353
								832,422
Total of Long Equity Positions								832,422
Short Positions
Japan
Acom Co., Ltd.		(114,500	)		(306,683	)		(42,868	)
Advantest Corp.		(33,900	)		(366,439	)		(53,730	)
Aeon Co., Ltd.		(54,200	)		(533,126	)		(11,556	)
AEON Financial Service Co., Ltd.		(19,100	)		(383,777	)		6,535
Amada Co., Ltd.		(2,000	)		(12,308	)		(4,830	)
Asahi Group Holdings Ltd.		(500	)		(10,903	)		(4,565	)
Asics Corp.		(1,800	)		(28,037	)		(15,296	)
Canon, Inc.		(400	)		(10,419	)		(2,293	)
Credit Saison Co., Ltd.		(2,800	)		(50,583	)		(1,487	)
Daiichi Sankyo Co., Ltd.		(1,600	)		(23,468	)		1,096
Daikin Industries Ltd.		(5,600	)		(362,895	)		3,801

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Daiwa Securities Group, Inc.		(18,000	)	$	(146,028	)	$	5,086
Denso Corp.		(3,200	)		(127,629	)		(21,516	)
Disco Corp.		(200	)		(9,790	)		(6,206	)
Don Quijote Holdings Co., Ltd.		(1,400	)		(73,882	)		(22,363	)
Eisai Co., Ltd.		(1,200	)		(39,225	)		(7,183	)
Fast Retailing Co., Ltd.		(900	)		(301,964	)		(25,541	)
GS Yuasa Corp.		(32,000	)		(152,359	)		16,303
Hitachi Construction Machinery Co., Ltd.		(1,800	)		(31,111	)		(6,947	)
Hitachi Ltd.		(10,000	)		(62,360	)		(11,447	)
Hokkaido Electric Power Co., Inc.		(22,800	)		(128,919	)		(53,594	)
Honda Motor Co., Ltd.		(1,500	)		(47,547	)		3,541
IHI Corp.		(28,000	)		(135,530	)		(6,275	)
Isetan Mitsukoshi Holdings Ltd.		(38,000	)		(464,767	)		(5,453	)
J Front Retailing Co., Ltd.		(10,700	)		(126,646	)		2,719
Japan Display, Inc.		(38,500	)		(121,309	)		3,807
Japan Steel Works Ltd./The		(77,000	)		(273,327	)		891
JFE Holdings, Inc.		(1,200	)		(27,387	)		626
Kakaku.com, Inc.		(8,100	)		(117,238	)		1,354
Kansai Electric Power Co., Inc./The		(23,800	)		(203,461	)		(22,951	)
Kawasaki Heavy Industries Ltd.		(5,000	)		(19,775	)		(2,963	)
Kintetsu Corp.		(8,000	)		(23,869	)		(2,434	)
Komatsu Ltd.		(2,100	)		(38,004	)		(8,423	)
Konami Corp.		(3,700	)		(74,195	)		6,361
Kubota Corp.		(13,000	)		(190,582	)		1,890
Kyocera Corp.		(1,200	)		(52,196	)		(2,716	)
Kyowa Hakko Kirin Co., Ltd.		(1,000	)		(11,304	)		1,888
Kyushu Electric Power Co., Inc.		(11,800	)		(114,706	)		(3,473	)
LIXIL Group Corp.		(2,500	)		(45,568	)		(7,046	)
Marui Group Co., Ltd.		(47,500	)		(394,747	)		(33,689	)
Mitsubishi Gas Chemical Co., Inc.		(2,000	)		(9,020	)		(1,018	)
Mitsui Chemicals, Inc.		(19,000	)		(38,288	)		(15,527	)
Mitsui OSK Lines Ltd.		(72,000	)		(203,863	)		(9,454	)
Nidec Corp.		(3,000	)		(178,916	)		(14,841	)
Nikon Corp.		(2,400	)		(39,785	)		7,896
Nippon Electric Glass Co., Ltd.		(52,000	)		(222,098	)		(11,880	)
Nissan Motor Co., Ltd.		(11,300	)		(90,866	)		(7,690	)
Nomura Holdings, Inc.		(20,100	)		(114,072	)		325
Obayashi Corp.		(49,000	)		(288,406	)		(27,457	)
Odakyu Electric Railway Co., Ltd.		(3,000	)		(25,814	)		(760	)
Olympus Corp.		(3,500	)		(89,398	)		(33,208	)
Ono Pharmaceutical Co., Ltd.		(200	)		(14,403	)		(3,304	)
Rakuten, Inc.		(47,600	)		(523,435	)		(138,473	)
Ricoh Co., Ltd.		(10,100	)		(99,588	)		(2,514	)
Sega Sammy Holdings, Inc.		(13,200	)		(182,608	)		13,725
Showa Denko KK		(13,000	)		(15,531	)		(470	)
Softbank Corp.		(1,500	)		(98,427	)		9,142

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

AQR Funds Annual Report December 2014

103

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumco Corp.		(9,900	)	$	(146,885	)	$	5,156
Sumitomo Corp.		(2,100	)		(19,543	)		(2,026	)
Sumitomo Dainippon Pharma Co., Ltd.		(5,900	)		(87,930	)		30,796
Takeda Pharmaceutical Co., Ltd.		(1,000	)		(37,633	)		(3,765	)
Teijin Ltd.		(11,000	)		(21,226	)		(8,011	)
Terumo Corp.		(2,100	)		(41,924	)		(5,738	)
Toray Industries, Inc.		(6,000	)		(47,168	)		(772	)
Toshiba Corp.		(27,000	)		(110,746	)		(3,122	)
Toyota Industries Corp.		(200	)		(7,255	)		(2,995	)
Toyota Motor Corp.		(2,500	)		(132,952	)		(22,842	)
Unicharm Corp.		(900	)		(13,008	)		(8,564	)
Yahoo Japan Corp.		(121,000	)		(427,957	)		(5,698	)
Yakult Honsha Co., Ltd.		(200	)		(6,513	)		(4,044	)
Yamato Holdings Co., Ltd.		(14,800	)		(300,834	)		7,769
Yaskawa Electric Corp.		(49,300	)		(582,609	)		(47,106	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Yokogawa Electric Corp.		(15,600	)	$	(183,346	)	$	12,166
Yokohama Rubber Co., Ltd./The		(3,000	)		(23,719	)		(3,595	)
								(628,846	)
Total of Short Equity Positions								(628,846	)
Total of Long and Short Equity Positions								203,576
Net Cash and Other Receivables/ (Payables) (b)								(43,853	)
Swaps, at Value							$	159,723

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

104

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Association of Singapore Banks Rate plus or minus a specified spread, which is denominated in SGD based on the local currencies of the positions within the swap.	25 months maturity 08/20/2015		$16,037

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Singapore
ComfortDelGro Corp. Ltd.		145,000		$	279,192		$	4,561
Noble Group Ltd.		181,000			151,478			2,940
Singapore Airlines Ltd.		8,000			62,676			7,112
								14,613
Total of Long Equity Positions								14,613
Short Positions
Singapore
CapitaLand Ltd.		(88,000	)		(207,345	)		(11,454	)
Global Logistic Properties Ltd.		(65,000	)		(125,183	)		3,996

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore (continued)
Golden Agri-Resources Ltd.		(71,000	)	$	(27,630	)	$	3,057
Keppel Corp. Ltd.		(3,000	)		(24,012	)		4,016
								(385	)
Total of Short Equity Positions								(385	)
Total of Long and Short Equity Positions								14,228
Net Cash and Other Receivables/ (Payables) (b)								1,809
Swaps, at Value							$	16,037

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

105

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	22-26 months maturity ranging from 05/22/2015 - 08/22/2015		$62,785

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Hong Kong
Bank of East Asia Ltd.		31,200		$	124,489		$	811
BOC Hong Kong Holdings Ltd.		7,000			22,765			560
Cheung Kong Holdings Ltd.		36,000			614,913			(12,027	)
CLP Holdings Ltd.		19,000			164,447			82
Hutchison Whampoa Ltd.		11,000			141,284			(15,536	)
Hysan Development Co., Ltd.		100,000			451,929			(8,129	)
Kerry Properties Ltd.		20,500			70,519			3,434
Li & Fung Ltd.		224,000			221,477			(12,550	)
MGM China Holdings Ltd.		32,400			115,060			(33,253	)
MTR Corp. Ltd.		83,500			328,923			12,697
Power Assets Holdings Ltd.		26,500			244,637			11,565
Sands China Ltd.		10,800			71,814			(19,238	)
Sino Land Co., Ltd.		216,000			351,845			(5,100	)
SJM Holdings Ltd.		140,000			280,722			(59,396	)
Swire Pacific Ltd.		5,000			57,020			7,883
Swire Properties Ltd.		17,400			55,722			(4,524	)
								(132,721	)
United States
Samsonite International SA		4,800			15,065			(840	)
Total of Long Equity Positions								(133,561	)
Short Positions
Hong Kong
AIA Group Ltd.		(6,200	)		(31,290	)		(2,906	)
ASM Pacific Technology Ltd.		(26,800	)		(266,883	)		11,709
Cathay Pacific Airways Ltd.		(105,000	)		(214,549	)		(14,385	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Galaxy Entertainment Group Ltd.		(25,000	)	$	(148,501	)	$	9,583
Hang Lung Properties Ltd.		(73,000	)		(213,207	)		9,559
Hong Kong & China Gas Co., Ltd.		(325,200	)		(732,474	)		(8,443	)
Melco International Development Ltd.		(258,000	)		(623,487	)		58,694
Sun Hung Kai Properties Ltd.		(5,031	)		(67,729	)		(8,493	)
Techtronic Industries Co., Ltd.		(31,000	)		(95,695	)		(3,756	)
Wharf Holdings Ltd.		(22,000	)		(157,158	)		(782	)
Wynn Macau Ltd.		(108,000	)		(359,567	)		58,263
Xinyi Glass Holdings Ltd.		(546,000	)		(362,787	)		88,548
								197,591
Total of Short Equity Positions								197,591
Total of Long and Short Equity Positions								64,030
Net Cash and Other Receivables/ (Payables) (b)								(1,245	)
Swaps, at Value							$	62,785

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

106

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	25 months maturity 08/20/2015		$123,265

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Amcor Ltd.		21,382		$	191,135		$	44,117
BlueScope Steel Ltd.		4,351			17,775			1,919
Boral Ltd.		8,761			36,270			1,326
Caltex Australia Ltd.		2,917			41,727			39,212
Challenger Ltd.		29,188			162,940			(8,754	)
Coca-Cola Amatil Ltd.		5,000			38,349			(599	)
CSL Ltd.		468			27,216			5,659
Macquarie Group Ltd.		7,781			370,280			(3,352	)
Qantas Airways Ltd.		90,622			160,798			15,218
Rio Tinto Ltd.		873			43,035			(2,108	)
Sonic Healthcare Ltd.		1,015			14,490			780
Telstra Corp. Ltd.		86,031			397,302			20,364
WorleyParsons Ltd.		1,652			21,459			(7,927	)
								105,855
Ireland
James Hardie Industries PLC		2,088			20,382			1,908
Total of Long Equity Positions								107,763
Short Positions
Australia
AMP Ltd.		(7,147	)		(29,570	)		(2,261	)
Cochlear Ltd.		(1,610	)		(73,889	)		(27,681	)
Flight Centre Travel Group Ltd.		(1,062	)		(34,484	)		6,372
Fortescue Metals Group Ltd.		(24,617	)		(64,361	)		10,311
Iluka Resources Ltd.		(48,435	)		(288,641	)		56,030

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Orica Ltd.		(2,982	)	$	(45,714	)	$	20
QBE Insurance Group Ltd.		(17,330	)		(163,554	)		6,190
REA Group Ltd.		(1,082	)		(40,018	)		347
Santos Ltd.		(8,716	)		(59,361	)		1,140
Seek Ltd.		(8,307	)		(83,742	)		(32,091	)
Westpac Banking Corp.		(2,617	)		(74,409	)		4,023
								22,400
Total of Short Equity Positions								22,400
Total of Long and Short Equity Positions								130,163
Net Cash and Other Receivables/ (Payables) (b)								(6,898	)
Swaps, at Value							$	123,265

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Annual Report December 2014

107

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity 05/22/2015		$(2,219	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Hong Kong
Jardine Matheson Holdings Ltd.		(3,600	)	$	(216,557	)	$	(2,195	)
Net Cash and Other Receivables/ (Payables) (b)								(24	)
Swaps, at Value							$	(2,219	)

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

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

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

Total Return Basket Swaps* Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified, which is denominated in USD based on the local currencies of the positions within the swap.	2-13 months maturity 02/20/2015		$2,324,811

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		6,400	$	273,898	$	(16,490	)
Ireland
Seagate Technology PLC		1,000		50,756		15,744
Singapore
Flextronics International Ltd.		43,200		457,176		25,800

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
TE Connectivity Ltd.		3,900	$	235,579	$	11,096
United Kingdom
Delphi Automotive PLC		2,300		157,247		10,009
United States
Abbott Laboratories		600		21,864		5,148
AbbVie, Inc.		6,500		422,683		2,677
Abercrombie & Fitch Co.		4,000		122,841		(8,281	)
Activision Blizzard, Inc.		17,700		342,144		14,511
Acuity Brands, Inc.		500		69,996		39

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

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108

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Adobe Systems, Inc.		1,000	$	74,648	$	(1,948	)
Advance Auto Parts, Inc.		200		23,335		8,521
AES Corp.		3,500		47,627		568
Aetna, Inc.		6,700		535,474		59,687
Aflac, Inc.		2,800		166,709		4,343
AGCO Corp.		500		27,705		(5,105	)
Agilent Technologies, Inc.		1,000		39,030		1,910
Akamai Technologies, Inc.		4,900		290,257		18,247
Alaska Air Group, Inc.		3,000		130,115		49,165
Alexion Pharmaceuticals, Inc.		2,100		355,718		32,845
Alliant Techsystems, Inc.		400		52,776		(6,276	)
Alnylam Pharmaceuticals, Inc.		300		27,876		1,224
Amdocs Ltd.		1,700		77,703		1,610
American Airlines Group, Inc.		3,200		125,894		45,722
American International Group, Inc.		900		46,029		4,380
Ameriprise Financial, Inc.		4,900		596,325		51,700
Amgen, Inc.		2,900		445,399		16,542
ANN, Inc.		2,200		84,378		(4,122	)
ANSYS, Inc.		800		61,537		4,063
Anthem, Inc.		1,600		160,361		40,711
AO Smith Corp.		1,400		65,327		13,647
American Electric Power Co., Inc.		3,200		182,652		11,652
American Express Co.		700		62,093		3,035
Apollo Education Group, Inc.		10,300		307,294		44,039
Apple, Inc.		900		101,536		(2,194	)
Applied Materials, Inc.		1,600		35,953		3,919
Archer-Daniels-Midland Co.		7,100		348,575		20,625
ARRIS Group, Inc.		15,400		451,695		13,231
Arrow Electronics, Inc.		9,900		569,753		3,358
Ashland, Inc.		300		28,587		7,341
Assurant, Inc.		800		53,271		1,473
Assured Guaranty Ltd.		1,900		39,797		9,584
Atmel Corp.		27,600		219,442		12,260
Atwood Oceanics, Inc.		600		28,667		(11,645	)
Autodesk, Inc.		700		34,192		7,850
Avery Dennison Corp.		900		44,693		1,999
Avnet, Inc.		5,500		238,648		(2,038	)
Avon Products, Inc.		8,300		80,346		(2,409	)
Axis Capital Holdings Ltd.		300		13,668		1,659
Babcock & Wilcox Co./The		1,900		55,984		1,586
Bed Bath & Beyond, Inc.		1,500		102,054		12,201
Best Buy Co., Inc.		6,900		234,594		34,368
Big Lots, Inc.		19,000		803,508		(43,128	)
Biogen Idec, Inc.		2,000		641,921		36,979
Boston Scientific Corp.		16,700		217,647		3,628
Brinker International, Inc.		2,500		139,470		7,255
Bristol-Myers Squibb Co.		300		16,154		1,555
Broadcom Corp.		6,100		238,798		25,515
Broadridge Financial Solutions, Inc.		3,800		166,526		8,958

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Brocade Communications Systems, Inc.		63,300	$	660,421	$	89,051
CA, Inc.		9,200		277,878		2,262
Capital One Financial Corp.		800		65,229		811
Cardinal Health, Inc.		900		60,188		12,469
Carter’s, Inc.		1,200		93,123		11,649
CBOE Holdings, Inc.		1,300		64,726		17,720
CBS Corp.		600		36,803		(3,599	)
Celanese Corp.		1,300		76,147		1,801
Celgene Corp.		1,600		152,104		26,872
Centene Corp.		1,100		109,127		5,108
CF Industries Holdings, Inc.		300		71,602		10,160
Chico’s FAS, Inc.		7,800		122,307		4,131
Cigna Corp.		4,100		399,570		22,361
Cimarex Energy Co.		300		29,716		2,084
Cintas Corp.		1,900		129,638		19,398
Cisco Systems, Inc.		9,400		247,019		14,442
Citrix Systems, Inc.		3,200		206,445		(2,285	)
Civeo Corp.		9,500		116,865		(77,820	)
Cleco Corp.		400		21,377		439
Cliffs Natural Resources, Inc.		50,800		377,685		(14,973	)
Coach, Inc.		7,200		248,742		21,690
Coca-Cola Enterprises, Inc.		4,000		175,011		1,869
Cognizant Technology Solutions Corp.		3,300		170,902		2,876
CommVault Systems, Inc.		1,500		62,314		15,221
Compass Minerals International, Inc.		700		60,226		555
Computer Sciences Corp.		1,900		113,372		6,423
Con-way, Inc.		2,600		127,143		725
Corning, Inc.		14,100		295,703		27,610
CR Bard, Inc.		2,300		391,290		(8,064	)
CSX Corp.		3,300		120,943		(1,384	)
Cummins, Inc.		1,800		252,944		6,562
CVS Health Corp.		1,500		137,569		6,896
Danaher Corp.		1,200		96,818		6,034
Deckers Outdoor Corp.		1,300		105,393		12,959
Delta Air Lines, Inc.		21,400		870,715		181,951
Dillards, Inc.		1,500		141,826		45,944
Discover Financial Services		1,100		59,989		12,050
DISH Network Corp.		800		49,498		8,814
Dollar General Corp.		4,500		296,490		21,660
Dollar Tree, Inc.		6,900		454,786		30,836
Domino’s Pizza, Inc.		200		14,658		4,176
Dover Corp.		800		67,047		(9,671	)
Dow Chemical Co./The		2,300		113,832		(8,929	)
DR Horton, Inc.		900		18,726		4,035
Dr. Pepper Snapple Group, Inc.		3,100		220,166		2,042
DST Systems, Inc.		1,800		170,037		(567	)
DSW, Inc.		1,100		40,579		451
DTE Energy Co.		400		26,459		8,089
Dun & Bradstreet Corp./The		500		57,094		3,386

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

AQR Funds Annual Report December 2014

109

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
eBay, Inc.		8,400	$	448,513	$	22,895
Edwards Lifesciences Corp.		4,300		504,878		42,856
Electronic Arts, Inc.		5,400		213,739		40,142
EMC Corp.		3,500		98,910		5,180
Emerson Electric Co.		600		39,632		(2,594	)
EOG Resources, Inc.		300		35,367		(7,746	)
Equifax, Inc.		500		37,666		2,769
Exelis, Inc.		10,600		188,039		(2,221	)
Expedia, Inc.		800		59,555		8,733
F5 Networks, Inc.		400		48,505		3,681
Facebook, Inc.		800		51,799		10,617
Fairchild Semiconductor International, Inc.		17,500		249,620		45,780
FedEx Corp.		1,100		195,629		(4,603	)
Fifth Third BanCorp.		1,000		21,550		(1,175	)
First Solar, Inc.		400		22,074		(4,236	)
Flowserve Corp.		400		30,848		(6,916	)
Fluor Corp.		500		40,609		(10,294	)
FNF Group		700		21,190		2,925
Foot Locker, Inc.		5,900		294,301		37,161
Ford Motor Co.		10,800		165,044		2,356
Fortinet, Inc.		1,900		48,753		9,501
Fossil Group, Inc.		2,600		285,454		2,470
Franklin Resources, Inc.		1,300		73,368		(1,387	)
GameStop Corp.		700		25,908		(2,248	)
Gannett Co., Inc.		9,600		293,407		13,121
Gap, Inc./The		6,900		263,497		27,062
General Dynamics Corp.		4,200		599,951		(21,947	)
General Motors Co.		4,900		154,447		16,612
Genworth Financial, Inc.		17,800		151,045		255
Gilead Sciences, Inc.		12,000		1,194,114		(62,994	)
Goodyear Tire & Rubber Co./The		2,500		66,556		4,869
Google, Inc.		300		170,169		(10,971	)
Guess?, Inc.		600		15,936		(3,288	)
Halliburton Co.		6,600		276,784		(17,206	)
Harman International Industries, Inc.		1,700		174,858		6,549
Harris Corp.		200		14,108		256
HCA Holdings, Inc.		8,000		543,418		43,702
Health Net, Inc.		11,900		534,349		102,658
Hess Corp.		800		61,454		(2,398	)
Hewlett-Packard Co.		16,100		558,949		87,144
Home Depot, Inc./The		2,600		262,070		10,852
Hubbell, Inc.		1,000		109,068		(2,238	)
Humana, Inc.		2,900		349,133		67,394
Huntington Ingalls Industries, Inc.		3,100		328,042		20,584
IAC/InterActiveCorp.		2,200		153,685		(19,947	)
IDEX Corp.		400		29,303		1,833
IDEXX Laboratories, Inc.		600		87,107		1,855
IHS, Inc.		2,200		263,168		(12,632	)
Illinois Tool Works, Inc.		100		8,266		1,204
Informatica Corp.		4,700		161,767		17,467
Ingersoll-Rand PLC		800		47,286		3,426
Ingram Micro, Inc.		7,400		206,429		(1,893	)
Integrated Device Technology, Inc.		13,700		217,406		51,114
Intel Corp.		9,800		335,678		19,964
International Business Machines Corp.		800		130,516		(2,164	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
International Paper Co.		4,500	$	245,920	$	(4,810	)
Interpublic Group of Cos., Inc./The		3,000		56,904		5,406
Intuit, Inc.		200		14,759		3,679
Invesco Ltd.		5,100		188,864		12,688
ITT Corp.		3,300		141,524		(8,006	)
Jabil Circuit, Inc.		10,500		221,340		7,875
JetBlue Airways Corp.		5,300		80,951		3,107
Johnson & Johnson		1,200		120,681		4,803
JPMorgan Chase & Co.		1,700		99,630		6,756
Juniper Networks, Inc.		11,700		243,286		17,858
KBR, Inc.		10,100		209,597		(38,402	)
KeyCorp.		1,000		13,540		360
Kimberly-Clark Corp.		100		9,611		1,943
KLA-Tencor Corp.		600		37,644		4,548
Knowles Corp.		1,400		27,461		5,509
Kroger Co./The		2,600		114,270		52,676
L Brands, Inc.		600		50,954		976
L-3 Communications Holdings, Inc.		2,300		279,948		10,335
Lam Research Corp.		700		45,155		10,383
Lear Corp.		2,900		260,501		23,931
Lennox International, Inc.		900		77,658		7,905
Lexmark International, Inc.		4,600		192,344		(2,502	)
LifePoint Hospitals, Inc.		2,100		143,858		7,153
Lincoln Electric Holdings, Inc.		700		47,233		1,130
Lincoln National Corp.		2,100		111,641		9,466
Lockheed Martin Corp.		1,100		197,694		14,133
Lowe’s Cos., Inc.		3,700		230,194		24,366
LyondellBasell Industries NV		8,000		699,567		(64,447	)
Macy’s, Inc.		600		34,235		5,215
ManpowerGroup, Inc.		3,900		286,628		(20,765	)
Marathon Oil Corp.		900		29,912		(4,451	)
Marathon Petroleum Corp.		2,500		218,276		7,374
Marvell Technology Group Ltd.		20,700		293,554		6,596
Masco Corp.		4,900		108,135		15,345
MasterCard, Inc.		500		39,140		3,940
McGraw Hill Financial, Inc.		1,300		104,306		11,368
Medivation, Inc.		400		44,018		(4,174	)
Medtronic, Inc.		1,100		64,139		15,281
Merck & Co., Inc.		6,700		394,474		(13,981	)
MetLife, Inc.		200		9,904		914
Micron Technology, Inc.		7,100		230,129		18,441
Microsoft Corp.		8,900		386,405		27,000
Molson Coors Brewing Co.		2,200		164,681		(737	)
Monster Beverage Corp.		2,500		199,495		71,380
Moody’s Corp.		500		48,174		(269	)
Morgan Stanley		2,800		95,255		13,385
Mosaic Co./The		400		19,332		(1,072	)
Myriad Genetics, Inc.		2,100		55,658		15,868
NASDAQ OMX Group, Inc./The		4,700		192,792		32,620
National Oilwell Varco, Inc.		300		22,725		(3,066	)
Navient Corp.		17,900		328,754		58,065

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

AQR Funds Annual Report December 2014

110

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NCR Corp.		4,900	$	137,363	$	5,423
NetApp, Inc.		9,900		401,553		8,802
NeuStar, Inc.		1,300		32,695		3,445
Newfield Exploration Co.		2,500		80,505		(12,705	)
News Corp.		800		13,008		(456	)
NIKE, Inc.		3,300		302,219		15,076
Norfolk Southern Corp.		500		55,286		(481	)
Northrop Grumman Corp.		3,000		399,255		42,915
NVIDIA Corp.		13,700		268,975		5,710
Oil States International, Inc.		1,700		71,755		11,375
Old Republic International Corp.		1,000		16,790		(2,160	)
ON Semiconductor Corp.		21,900		179,350		42,497
Oracle Corp.		9,300		366,005		52,216
O’Reilly Automotive, Inc.		200		37,628		896
Oshkosh Corp.		1,500		78,395		(5,420	)
Parker Hannifin Corp.		1,200		144,152		10,588
Patterson-UTI Energy, Inc.		10,300		214,144		(43,267	)
PepsiCo, Inc.		300		28,949		(581	)
Pfizer, Inc.		9,500		287,683		8,242
Pilgrim’s Pride Corp.		9,100		279,499		18,890
Pitney Bowes, Inc.		16,000		400,866		(10,946	)
Priceline Group, Inc./The		100		123,391		(9,370	)
Procter & Gamble Co./The		500		44,975		570
PTC, Inc.		6,400		236,602		(2,042	)
Public Service Enterprise Group, Inc.		6,200		247,977		8,765
PulteGroup, Inc.		7,100		134,953		17,413
Quintiles Transnational Holdings, Inc.		1,100		62,854		1,903
Rackspace Hosting, Inc.		6,100		208,601		76,940
Ralph Lauren Corp.		500		80,138		12,442
Raytheon Co.		2,000		191,815		24,525
Red Hat, Inc.		200		11,427		2,401
Reinsurance Group of America, Inc.		2,600		210,469		17,343
Reliance Steel & Aluminum Co.		300		22,824		(4,443	)
RF Micro Devices, Inc.		5,900		54,168		43,713
Rite Aid Corp.		28,600		148,631		66,441
Robert Half International, Inc.		200		8,387		3,289
Rock-Tenn Co.		4,600		235,904		44,604
Rockwell Automation, Inc.		800		91,553		(2,593	)
Ross Stores, Inc.		1,100		84,003		19,683
Ryder System, Inc.		500		37,150		9,275
SeaWorld Entertainment, Inc.		3,400		60,055		805
SEI Investments Co.		3,400		124,079		12,057
Skyworks Solutions, Inc.		5,800		269,720		151,998
SM Energy Co.		3,800		147,993		(1,389	)
Snap-on, Inc.		100		9,989		3,685
SolarWinds, Inc.		900		46,316		(1,469	)
Sonoco Products Co.		1,000		43,430		270
Southwest Airlines Co.		3,600		76,365		75,987
Spirit AeroSystems Holdings, Inc.		7,300		285,301		28,891

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Spirit Airlines, Inc.		1,600	$	134,866	$	(13,938	)
SPX Corp.		400		39,888		(5,520	)
State Street Corp.		5,500		402,232		29,518
Stryker Corp.		100		7,820		1,613
Superior Energy Services, Inc.		11,800		275,137		(37,367	)
SUPERVALU, Inc.		37,400		329,740		33,040
Symantec Corp.		13,900		345,795		10,810
Teradyne, Inc.		2,200		41,989		1,549
Tesoro Corp.		500		36,320		855
Texas Instruments, Inc.		700		35,950		1,476
Thermo Fisher Scientific, Inc.		500		59,334		3,311
Thoratec Corp.		6,800		189,919		30,809
Time Warner, Inc.		2,700		219,671		10,963
Timken Co./The		10,300		443,310		(3,706	)
TJX Cos., Inc./The		3,700		221,710		32,036
Towers Watson & Co.		800		94,944		(4,408	)
Travelers Cos., Inc./The		100		8,647		1,938
Trinity Industries, Inc.		3,800		136,306		(29,868	)
TripAdvisor, Inc.		1,800		124,068		10,320
Tupperware Brands Corp.		1,800		116,231		(2,831	)
Tyco International PLC		300		13,284		(126	)
Tyson Foods, Inc.		5,700		229,726		(1,213	)
Ulta Salon Cosmetics & Fragrance, Inc.		400		51,992		(856	)
Union Pacific Corp.		1,200		132,267		10,689
United States Steel Corp.		6,200		199,673		(33,885	)
United Therapeutics Corp.		6,100		744,370		45,519
UnitedHealth Group, Inc.		400		32,635		7,801
Universal Health Services, Inc.		100		10,940		186
Unum Group		6,500		216,916		9,803
Urban Outfitters, Inc.		6,600		204,276		27,582
Valero Energy Corp.		8,900		438,914		1,636
VCA, Inc.		1,700		54,784		28,125
VF Corp.		1,000		58,717		16,183
Viacom, Inc.		1,800		140,551		(5,101	)
Voya Financial, Inc.		4,000		162,677		6,843
WABCO Holdings, Inc.		900		91,058		3,244
Waddell & Reed Financial, Inc.		7,200		374,348		(15,644	)
Waters Corp.		500		57,590		(1,230	)
Western Digital Corp.		4,000		370,134		72,666
Westlake Chemical Corp.		1,300		83,545		(4,128	)
Whirlpool Corp.		1,300		204,983		46,879
Whiting Petroleum Corp.		2,200		93,062		(20,462	)
Williams-Sonoma, Inc.		2,900		213,751		5,721
Xerox Corp.		17,000		212,650		22,970
Xilinx, Inc.		900		38,969		(8	)
Yahoo!, Inc.		2,400		84,904		36,320
Yum! Brands, Inc.		600		43,610		100
Zebra Technologies Corp.		3,500		245,528		25,407
						3,124,863
Total of Long Equity Positions						3,171,022

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

AQR Funds Annual Report December 2014

111

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Hong Kong
Michael Kors Holdings Ltd.		(6,600	)	$	(510,749	)	$	15,089
Ireland
Alkermes PLC		(8,400	)		(405,117	)		(86,787	)
Endo International PLC		(8,800	)		(583,856	)		(50,800	)
								(137,587	)
Netherlands
Chicago Bridge & Iron Co. NV		(17,100	)		(879,781	)		161,923
Core Laboratories NV		(5,600	)		(751,021	)		77,117
Sensata Technologies Holding NV		(11,400	)		(535,191	)		(62,283	)
								176,757
Panama
Copa Holdings SA		(1,500	)		(183,073	)		27,612
Switzerland
Weatherford International PLC		(3,600	)		(50,162	)		8,942
United Kingdom
Aon PLC		(1,100	)		(101,126	)		(3,187	)
Ensco PLC		(10,000	)		(349,195	)		49,695
Liberty Global PLC		(7,600	)		(333,103	)		(48,455	)
Noble Corp. PLC		(8,100	)		(139,631	)		5,414
Willis Group Holdings PLC		(7,000	)		(293,970	)		(19,700	)
								(16,233	)
United States
Actavis PLC		(1,500	)		(380,412	)		(5,703	)
ADT Corp./The		(8,400	)		(277,148	)		(27,184	)
AECOM Technology Corp.		(6,100	)		(196,306	)		11,049
Air Lease Corp.		(2,800	)		(100,000	)		3,932
Airgas, Inc.		(400	)		(45,650	)		(422	)
Alcoa, Inc.		(3,800	)		(61,711	)		1,709
Allegheny Technologies, Inc.		(8,100	)		(273,920	)		(7,717	)
Alliance Data Systems Corp.		(2,300	)		(634,855	)		(23,060	)
Altera Corp.		(1,000	)		(32,164	)		(4,776	)
Amazon.com, Inc.		(1,000	)		(314,432	)		4,082
AMC Networks, Inc.		(400	)		(26,102	)		594
American Eagle Outfitters, Inc.		(4,000	)		(46,478	)		(9,042	)
AmerisourceBergen Corp.		(400	)		(31,169	)		(4,895	)
AMETEK, Inc.		(2,400	)		(128,062	)		1,750
Amphenol Corp.		(3,100	)		(146,764	)		(20,047	)
Apache Corp.		(1,100	)		(75,962	)		7,025
Armstrong World Industries, Inc.		(1,200	)		(67,578	)		6,234
Arthur J Gallagher & Co.		(500	)		(23,125	)		(415	)
AT&T, Inc.		(4,300	)		(146,379	)		1,942
AutoNation, Inc.		(700	)		(33,167	)		(9,120	)
Avis Budget Group, Inc.		(2,200	)		(131,151	)		(14,775	)
B/E Aerospace, Inc.		(3,000	)		(162,326	)		(11,734	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ball Corp.		(300	)	$	(19,811	)	$	(640	)
Bill Barrett Corp.		(11,700	)		(206,669	)		73,406
BioMarin Pharmaceutical, Inc.		(4,100	)		(328,548	)		(42,092	)
Boeing Co./The		(600	)		(75,078	)		(2,910	)
BorgWarner, Inc.		(3,400	)		(192,064	)		5,234
Brookdale Senior Living, Inc.		(18,300	)		(598,480	)		(72,581	)
Brown-Forman Corp.		(900	)		(74,615	)		(4,441	)
Cabela’s, Inc.		(8,300	)		(459,567	)		22,074
Cablevision Systems Corp.		(1,200	)		(19,634	)		(5,134	)
Cabot Oil & Gas Corp.		(8,000	)		(254,229	)		17,349
Calpine Corp.		(2,100	)		(40,019	)		(6,454	)
Campbell Soup Co.		(1,700	)		(71,377	)		(3,423	)
CarMax, Inc.		(6,600	)		(337,361	)		(102,067	)
Carnival Corp.		(2,000	)		(80,698	)		(9,962	)
Catamaran Corp.		(7,100	)		(333,218	)		(34,207	)
CenterPoint Energy, Inc.		(500	)		(12,000	)		285
CenturyLink, Inc.		(3,100	)		(90,936	)		(31,762	)
CH Robinson Worldwide, Inc.		(1,000	)		(54,817	)		(20,073	)
Charles Schwab Corp./The		(700	)		(18,739	)		(2,394	)
Charter Communications, Inc.		(300	)		(41,084	)		(8,902	)
Cheniere Energy, Inc.		(3,300	)		(232,608	)		288
Chesapeake Energy Corp.		(3,500	)		(73,141	)		4,646
Church & Dwight Co., Inc.		(300	)		(19,659	)		(3,984	)
Ciena Corp.		(11,600	)		(226,096	)		940
Citigroup, Inc.		(2,000	)		(102,032	)		(6,188	)
Clean Harbors, Inc.		(4,900	)		(262,777	)		27,332
Clorox Co./The		(700	)		(61,446	)		(11,501	)
CME Group, Inc.		(2,300	)		(208,554	)		4,659
Cobalt International Energy, Inc.		(9,500	)		(92,325	)		7,870
Colfax Corp.		(7,300	)		(377,291	)		830
Community Health Systems, Inc.		(3,100	)		(144,202	)		(22,950	)
ConAgra Foods, Inc.		(1,100	)		(34,461	)		(5,447	)
Concho Resources, Inc.		(700	)		(73,831	)		4,006
CONSOL Energy, Inc.		(5,100	)		(184,997	)		12,566
Constellation Brands, Inc.		(400	)		(35,593	)		(3,675	)
CoStar Group, Inc.		(2,500	)		(394,847	)		(64,228	)
Covanta Holding Corp.		(23,700	)		(556,513	)		34,876
Cree, Inc.		(5,200	)		(207,959	)		40,415
Crown Holdings, Inc.		(4,100	)		(194,919	)		(13,771	)
Cubist Pharmaceuticals, Inc.		(4,300	)		(303,002	)		(129,793	)
Cullen/Frost Bankers, Inc.		(3,300	)		(241,104	)		7,992
Darden Restaurants, Inc.		(700	)		(34,097	)		(6,944	)
Dean Foods Co.		(6,200	)		(88,909	)		(31,247	)
Denbury Resources, Inc.		(2,300	)		(28,068	)		9,369
Discovery Communications, Inc.		(600	)		(23,328	)		2,658
DreamWorks Animation SKG, Inc.		(11,300	)		(267,735	)		15,406
Dril-Quip, Inc.		(700	)		(53,760	)		49

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

AQR Funds Annual Report December 2014

112

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dunkin’ Brands Group, Inc.		(1,800	)	$	(81,537	)	$	4,767
E*TRADE Financial Corp.		(2,900	)		(70,592	)		253
Eagle Materials, Inc.		(1,500	)		(131,267	)		17,222
Ecolab, Inc.		(1,900	)		(212,120	)		13,532
EI du Pont de Nemours & Co.		(500	)		(35,253	)		(1,717	)
Energen Corp.		(500	)		(31,206	)		(674	)
EQT Corp.		(700	)		(61,769	)		8,779
Equinix, Inc.		(1,130	)		(207,973	)		(48,232	)
Estee Lauder Cos., Inc./The		(200	)		(15,144	)		(96	)
Expeditors International of Washington, Inc.		(800	)		(32,579	)		(3,109	)
Express Scripts Holding Co.		(400	)		(30,056	)		(3,812	)
Fastenal Co.		(14,500	)		(651,829	)		(37,791	)
FEI Co.		(1,400	)		(126,356	)		(134	)
First Horizon National Corp.		(14,000	)		(174,513	)		(15,607	)
First Niagara Financial Group, Inc.		(34,000	)		(277,037	)		(9,583	)
First Republic Bank		(7,400	)		(376,292	)		(9,396	)
FirstEnergy Corp.		(600	)		(20,216	)		(3,178	)
FleetCor Technologies, Inc.		(1,400	)		(198,291	)		(9,903	)
Flowers Foods, Inc.		(2,900	)		(61,075	)		5,424
FMC Technologies, Inc.		(2,200	)		(112,939	)		9,891
Fortune Brands Home & Security, Inc.		(2,200	)		(97,843	)		(1,751	)
Freeport-McMoRan, Inc.		(2,400	)		(73,393	)		17,329
Freescale Semiconductor Ltd.		(4,300	)		(82,020	)		(26,469	)
Genesee & Wyoming, Inc.		(2,900	)		(278,330	)		17,562
Gentex Corp.		(4,300	)		(143,859	)		(11,499	)
Groupon, Inc.		(23,600	)		(151,105	)		(43,831	)
Hain Celestial Group, Inc./The		(6,000	)		(320,475	)		(29,265	)
Hanesbrands, Inc.		(800	)		(90,589	)		1,293
Harley-Davidson, Inc.		(300	)		(19,834	)		61
Helix Energy Solutions Group, Inc.		(6,000	)		(140,152	)		9,952
Helmerich & Payne, Inc.		(300	)		(26,036	)		5,810
Hertz Global Holdings, Inc.		(13,100	)		(316,964	)		(9,750	)
Hexcel Corp.		(3,500	)		(147,308	)		2,093
Hilton Worldwide Holdings, Inc.		(1,400	)		(35,716	)		(810	)
Hologic, Inc.		(7,000	)		(170,467	)		(16,713	)
HomeAway, Inc.		(6,100	)		(188,673	)		7,015
Hospira, Inc.		(600	)		(26,396	)		(10,354	)
Illumina, Inc.		(200	)		(28,981	)		(7,935	)
Incyte Corp. Ltd.		(6,900	)		(447,763	)		(56,696	)
Intercontinental Exchange, Inc.		(500	)		(112,544	)		2,900
Intuitive Surgical, Inc.		(100	)		(41,086	)		(11,808	)
Jacobs Engineering Group, Inc.		(800	)		(41,353	)		5,601
Janus Capital Group, Inc.		(4,600	)		(71,224	)		(2,974	)
Jarden Corp.		(8,100	)		(365,606	)		(22,222	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Jazz Pharmaceuticals PLC		(3,900	)	$	(645,281	)	$	6,734
JB Hunt Transport Services, Inc.		(3,400	)		(263,502	)		(22,948	)
JDS Uniphase Corp.		(2,900	)		(38,011	)		(1,777	)
Johnson Controls, Inc.		(1,000	)		(49,571	)		1,231
Joy Global, Inc.		(700	)		(37,113	)		4,549
Kansas City Southern		(3,400	)		(395,484	)		(19,418	)
Kate Spade & Co.		(6,000	)		(159,140	)		(32,920	)
KB Home		(7,800	)		(129,891	)		801
Keurig Green Mountain, Inc.		(1,200	)		(153,736	)		(5,138	)
Kinder Morgan, Inc.		(10,700	)		(443,634	)		(9,083	)
Kirby Corp.		(400	)		(39,944	)		7,648
KLX, Inc.		(1,000	)		(51,823	)		10,573
Kohl’s Corp.		(400	)		(21,524	)		(2,892	)
Laboratory Corp. of America Holdings		(200	)		(18,860	)		(2,720	)
Lamar Advertising Co.		(6,800	)		(358,607	)		(6,145	)
Laredo Petroleum, Inc.		(9,700	)		(202,567	)		102,172
Las Vegas Sands Corp.		(1,300	)		(78,212	)		2,604
Lennar Corp.		(6,300	)		(262,385	)		(19,918	)
Level 3 Communications, Inc.		(8,500	)		(368,595	)		(51,135	)
Life Time Fitness, Inc.		(1,600	)		(87,078	)		(3,514	)
LinkedIn Corp.		(2,500	)		(529,437	)		(44,838	)
Lions Gate Entertainment Corp.		(11,800	)		(364,860	)		(12,976	)
Live Nation Entertainment, Inc.		(3,400	)		(86,785	)		(1,989	)
Loews Corp.		(9,100	)		(389,138	)		6,756
Louisiana-Pacific Corp.		(24,000	)		(366,120	)		(31,320	)
M&T Bank Corp.		(2,700	)		(329,869	)		(9,305	)
Madison Square Garden Co./The		(300	)		(14,900	)		(7,678	)
Mallinckrodt PLC		(2,400	)		(220,120	)		(17,552	)
Manitowoc Co., Inc./The		(6,300	)		(121,347	)		(17,883	)
Marriott International, Inc.		(700	)		(34,745	)		(19,876	)
Martin Marietta Materials, Inc.		(3,000	)		(356,770	)		25,810
McCormick & Co., Inc.		(1,000	)		(69,194	)		(5,106	)
McKesson Corp.		(800	)		(169,797	)		3,733
MDU Resources Group, Inc.		(800	)		(22,258	)		3,458
MeadWestvaco Corp.		(600	)		(21,870	)		(4,764	)
MEDNAX, Inc.		(500	)		(26,885	)		(6,170	)
Mettler-Toledo International, Inc.		(400	)		(102,112	)		(18,872	)
MGM Resorts International		(19,300	)		(421,106	)		8,472
Mohawk Industries, Inc.		(300	)		(39,662	)		(6,946	)
Motorola Solutions, Inc.		(7,700	)		(494,323	)		(22,193	)
MRC Global, Inc.		(11,700	)		(232,546	)		55,291
MSC Industrial Direct Co., Inc.		(800	)		(67,509	)		2,509
Mylan, Inc.		(200	)		(9,622	)		(1,652	)
National Fuel Gas Co.		(3,100	)		(215,268	)		(275	)
Navistar International Corp.		(12,700	)		(442,688	)		17,492
Netflix, Inc.		(500	)		(187,559	)		16,754
NetSuite, Inc.		(3,700	)		(371,192	)		(32,737	)

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

AQR Funds Annual Report December 2014

113

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Newell Rubbermaid, Inc.		(1,900	)	$	(72,267	)	$	(104	)
Nielsen NV		(5,000	)		(220,401	)		(3,249	)
Noble Energy, Inc.		(3,800	)		(216,807	)		36,573
Nordstrom, Inc.		(500	)		(36,784	)		(2,911	)
Northern Trust Corp.		(3,000	)		(201,732	)		(468	)
Norwegian Cruise Line Holdings Ltd.		(5,200	)		(189,907	)		(53,245	)
NRG Energy, Inc.		(12,500	)		(367,507	)		30,632
Nuance Communications, Inc.		(4,600	)		(70,631	)		4,989
Nucor Corp.		(4,900	)		(262,948	)		22,603
Oasis Petroleum, Inc.		(900	)		(38,772	)		23,886
Oceaneering International, Inc.		(1,400	)		(96,380	)		14,046
Office Depot, Inc.		(17,700	)		(77,672	)		(74,106	)
Omnicare, Inc.		(4,800	)		(334,908	)		(15,156	)
ONEOK, Inc.		(1,500	)		(88,664	)		13,979
Owens Corning		(2,500	)		(91,889	)		2,364
Owens-Illinois, Inc.		(700	)		(23,795	)		4,902
PacWest Bancorp		(6,300	)		(277,653	)		(8,745	)
Palo Alto Networks, Inc.		(2,000	)		(176,397	)		(68,743	)
Pandora Media, Inc.		(11,500	)		(250,776	)		45,731
Patterson Cos., Inc.		(1,000	)		(46,140	)		(1,960	)
Peabody Energy Corp.		(38,700	)		(417,500	)		117,962
PerkinElmer, Inc.		(1,300	)		(56,020	)		(829	)
Perrigo Co PLC		(600	)		(92,880	)		(7,416	)
PG&E Corp.		(500	)		(22,300	)		(4,320	)
Pharmacyclics, Inc.		(3,100	)		(395,680	)		16,674
Polaris Industries, Inc.		(500	)		(74,624	)		(996	)
Post Holdings, Inc.		(16,100	)		(570,256	)		(104,173	)
Praxair, Inc.		(1,800	)		(227,204	)		(6,004	)
PVH Corp.		(400	)		(47,908	)		(3,360	)
Quest Diagnostics, Inc.		(500	)		(27,850	)		(5,680	)
Range Resources Corp.		(9,100	)		(601,808	)		115,413
Regeneron Pharmaceuticals, Inc.		(800	)		(285,797	)		(42,403	)
Rockwell Collins, Inc.		(700	)		(53,066	)		(6,070	)
Roper Industries, Inc.		(600	)		(82,568	)		(11,242	)
Rosetta Resources, Inc.		(3,600	)		(119,159	)		38,843
Rowan Cos. PLC		(3,700	)		(78,315	)		(7,969	)
Royal Caribbean Cruises Ltd.		(700	)		(37,006	)		(20,695	)
salesforce.com, Inc.		(8,200	)		(486,229	)		(113	)
Salix Pharmaceuticals Ltd.		(3,800	)		(441,787	)		5,015
SanDisk Corp.		(2,700	)		(254,123	)		(10,423	)
SBA Communications Corp.		(4,000	)		(429,390	)		(13,650	)
Schlumberger Ltd.		(2,000	)		(192,677	)		21,857
Scripps Networks Interactive, Inc.		(3,700	)		(272,755	)		(5,744	)
Seadrill Ltd.		(22,600	)		(398,574	)		128,730
Sealed Air Corp.		(12,100	)		(421,516	)		(91,887	)
Seattle Genetics, Inc.		(2,500	)		(82,715	)		2,390
ServiceNow, Inc.		(5,000	)		(318,412	)		(20,838	)
Sherwin-Williams Co./The		(100	)		(22,696	)		(3,608	)
Signet Jewelers Ltd.		(1,400	)		(169,684	)		(14,514	)
Sirius XM Holdings, Inc.		(42,900	)		(143,830	)		(6,320	)
Sirona Dental Systems, Inc.		(1,100	)		(87,394	)		(8,713	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Six Flags Entertainment Corp.		(4,300	)	$	(169,577	)	$	(15,968	)
Sotheby’s		(9,300	)		(365,103	)		(36,471	)
Southern Co./The		(900	)		(40,006	)		(4,193	)
Southwestern Energy Co.		(3,800	)		(119,178	)		15,476
Splunk, Inc.		(4,900	)		(304,350	)		15,495
Sprint Corp.		(92,900	)		(506,312	)		120,777
Staples, Inc.		(3,600	)		(41,905	)		(23,327	)
Starbucks Corp.		(400	)		(30,939	)		(1,881	)
Stericycle, Inc.		(6,000	)		(743,440	)		(43,040	)
Stratasys Ltd.		(6,900	)		(734,684	)		161,225
SunEdison, Inc.		(15,500	)		(278,910	)		(23,495	)
Synovus Financial Corp.		(11,900	)		(304,160	)		(18,211	)
Tableau Software, Inc.		(300	)		(23,806	)		(1,622	)
Target Corp.		(2,200	)		(135,078	)		(31,924	)
TECO Energy, Inc.		(1,200	)		(20,549	)		(4,039	)
Teekay Corp.		(4,600	)		(246,452	)		12,358
Tempur Sealy International, Inc.		(1,800	)		(98,724	)		(114	)
Tenet Healthcare Corp.		(6,000	)		(272,200	)		(31,820	)
Terex Corp.		(1,200	)		(40,048	)		6,592
Tesla Motors, Inc.		(3,400	)		(802,625	)		46,431
Textron, Inc.		(1,900	)		(69,532	)		(10,477	)
Tidewater, Inc.		(6,500	)		(229,278	)		18,613
Tiffany & Co.		(3,100	)		(304,192	)		(27,074	)
Toll Brothers, Inc.		(10,300	)		(349,872	)		(3,109	)
Total System Services, Inc.		(500	)		(14,937	)		(2,043	)
Tractor Supply Co.		(200	)		(14,151	)		(1,613	)
TransDigm Group, Inc.		(600	)		(103,652	)		(14,158	)
Trimble Navigation Ltd.		(6,000	)		(178,170	)		18,930
Triumph Group, Inc.		(1,000	)		(73,892	)		6,672
Twenty-First Century Fox, Inc.		(1,700	)		(59,215	)		(6,073	)
Umpqua Holdings Corp.		(2,700	)		(46,488	)		561
Under Armour, Inc.		(4,400	)		(262,500	)		(36,260	)
United Continental Holdings, Inc.		(3,900	)		(192,282	)		(68,589	)
United Natural Foods, Inc.		(2,300	)		(167,786	)		(10,062	)
United Rentals, Inc.		(2,800	)		(282,882	)		(2,746	)
US Bancorp.		(2,100	)		(96,604	)		2,209
USG Corp.		(25,300	)		(692,410	)		(15,737	)
Vantiv, Inc.		(7,000	)		(230,394	)		(7,046	)
Varian Medical Systems, Inc.		(700	)		(57,189	)		(3,368	)
VeriFone Systems, Inc.		(3,200	)		(106,224	)		(12,816	)
VeriSign, Inc.		(400	)		(19,202	)		(3,598	)
Vertex Pharmaceuticals, Inc.		(900	)		(101,406	)		(5,514	)
Visa, Inc.		(1,100	)		(249,180	)		(39,240	)
VMware, Inc.		(700	)		(65,764	)		8,000
Vulcan Materials Co.		(1,600	)		(102,420	)		(2,748	)
Waste Management, Inc.		(300	)		(12,226	)		(3,170	)
WellCare Health Plans, Inc.		(2,500	)		(183,411	)		(21,739	)
Wendy’s Co./The		(1,342	)		(12,051	)		(67	)
WESCO International, Inc.		(800	)		(68,734	)		7,766
Western Union Co./The		(3,800	)		(60,357	)		(7,701	)
Whole Foods Market, Inc.		(4,800	)		(215,818	)		(26,198	)

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

AQR Funds Annual Report December 2014

114

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Williams Cos., Inc./The		(4,000	)	$	(181,349	)	$	1,589
Workday, Inc.		(1,000	)		(94,033	)		12,423
WPX Energy, Inc.		(1,000	)		(21,327	)		9,696
WR Grace & Co.		(300	)		(28,706	)		89
Wynn Resorts Ltd.		(1,400	)		(254,953	)		46,689
Yelp, Inc.		(8,800	)		(515,853	)		34,229
Zions Bancorporation		(7,000	)		(202,049	)		2,479
Zoetis, Inc.		(4,100	)		(156,815	)		(19,608	)
Zynga, Inc.		(71,300	)		(183,784	)		(5,874	)
								(907,570	)
Total of Short Equity Positions								(832,990	)
Total of Long and Short Equity Positions								2,338,032
Net Cash and Other Receivables/ (Payables) (b)								(13,221	)
Swaps, at Value							$	2,324,811

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	2-13 months maturity ranging from 01/21/2015 - 02/20/2015		$1,556

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Belgium
Belgacom SA		11,039	$	350,998	$	49,536
Delhaize Group SA		1,493		99,442		9,286
UCB SA		648		51,072		(1,800	)
						57,022
Finland
Fortum OYJ		5,734		115,965		8,529
Metso OYJ		2,973		91,385		(2,374	)
Neste Oil OYJ		2,108		36,638		14,708
Orion OYJ		13,536		443,481		(22,505	)
						(1,642	)
France
AtoS		243		19,493		(185	)
AXA SA		3,772		82,416		4,502

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Casino Guichard Perrachon SA		261	$	28,858	$	(4,855	)
Cie Generale des Etablissements Michelin		513		50,029		(3,723	)
Electricite de France SA		1,606		54,854		(10,643	)
Eutelsat Communications SA		3,483		104,128		8,511
GDF Suez		7,062		169,624		(4,945	)
Iliad SA		718		158,683		13,692
Lagardere SCA		8,713		217,582		9,321
Orange SA		15,304		214,093		46,178
Peugeot SA		6,006		76,474		(2,886	)
Safran SA		956		59,062		(81	)
Sanofi		5,949		547,907		(5,534	)
SCOR SE		2,532		73,697		3,024
SES SA		532		16,370		2,718
Sodexo SA		850		82,333		869
Suez Environnement Co.		1,473		26,111		(446	)

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

AQR Funds Annual Report December 2014

115

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Technip SA		1,642	$	99,924	$	(2,114	)
Thales SA		1,433		84,572		(7,036	)
Total SA		9,916		553,323		(45,306	)
Vivendi SA		10,871		271,891		(1,306	)
						(245	)
Germany
Bayer AG		1,674		232,216		(4,036	)
Deutsche Post AG		1,335		41,911		1,425
E.ON SE		8,045		130,929		6,574
Hannover Rueck SE		2,371		193,564		20,327
HUGO BOSS AG		2,155		267,711		(4,086	)
Merck KGaA		3,170		273,099		25,224
Muenchener Rueckversicherungs AG		1,194		222,025		15,745
OSRAM Licht AG		2,319		73,667		17,377
Porsche Automobil Holding SE		1,090		90,296		(2,145	)
ProSiebenSat.1 Media AG		3,495		141,315		4,718
RWE AG		2,614		86,393		(5,713	)
Stada Arzneimittel AG		457		20,822		(6,956	)
Symrise AG		1,136		64,409		4,029
TUI AG		19,588		291,968		32,807
United Internet AG		7,430		303,599		31,084
						136,374
Italy
Autogrill SpA		14,499		113,779		(4,435	)
Enel Green Power SpA		7,074		16,701		(1,880	)
Enel SpA		123,261		573,198		(23,760	)
Eni SpA		23,211		462,823		(56,247	)
Finmeccanica SpA		11,424		102,526		3,658
Mediobanca SpA		12,005		98,029		(482	)
Pirelli & C. SpA		7,774		106,155		(1,304	)
Snam SpA		38,192		195,067		(6,046	)
Tenaris SA		2,600		40,531		(1,243	)
Terna Rete Elettrica Nazionale SpA		9,867		42,892		1,926
UnipolSai SpA		53,127		131,428		11,609
						(78,204	)
Netherlands
Delta Lloyd NV		12,585		275,706		1,042
Fugro NV		11,278		262,007		(27,755	)
Heineken NV		1,220		83,737		2,893
Koninklijke Ahold NV		13,019		219,673		11,712
Koninklijke Boskalis Westminster NV		4,500		235,046		11,127
Royal Dutch Shell PLC		7,009		249,239		(15,635	)
Wolters Kluwer NV		3,568		89,263		19,615
						2,999
Spain
Acerinox SA		15,123		218,449		9,708
ACS Actividades de Construccion y Servicios SA		1,687		53,097		5,704
Banco Santander SA		27,186		227,298		878
Enagas SA		2,258		62,966		8,254
Endesa SA		9,821		191,661		4,948

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain (continued)
Gas Natural SDG SA		2,594		$	57,114		$	8,049
Iberdrola SA		42,923			287,837			1,496
Repsol SA		1,782			37,775			(4,415	)
Tecnicas Reunidas SA		2,815			132,066			(9,023	)
								25,599
United Kingdom
Fiat Chrysler Automobiles NV		4,258			37,782			11,695
Reed Elsevier NV		21,381			485,080			25,511
								37,206
Total of Long Equity Positions								179,109
Short Positions
Finland
Kone OYJ		(1,039	)		(39,585	)		(7,718	)
Nokia OYJ		(9,013	)		(65,677	)		(5,605	)
Nokian Renkaat OYJ		(11,852	)		(352,985	)		63,872
Stora Enso OYJ		(4,540	)		(35,913	)		(4,679	)
Wartsila OYJ		(540	)		(26,235	)		2,066
								47,936
France
Airbus Group NV		(1,749	)		(95,735	)		9,268
Alcatel-Lucent		(225,726	)		(712,929	)		(94,543	)
Bouygues SA		(1,120	)		(41,891	)		1,450
Bureau Veritas SA		(18,195	)		(424,762	)		21,634
Carrefour SA		(1,886	)		(52,085	)		(5,309	)
Edenred		(2,559	)		(67,174	)		(3,598	)
Eiffage SA		(3,617	)		(178,999	)		(4,381	)
Essilor International SA		(1,798	)		(173,090	)		(27,422	)
Faurecia		(1,988	)		(60,623	)		(13,169	)
LVMH Moet Hennessy Louis Vuitton SA		(1,545	)		(242,488	)		(2,243	)
LVMH Moet Hennessy Louis Vuitton SA		(1,545	)		196			(27,032	)
Renault SA		(1,980	)		(136,678	)		(7,538	)
Schneider Electric SE		(674	)		(55,829	)		6,743
Valeo SA		(94	)		(11,424	)		(272	)
Vallourec SA		(3,820	)		(142,743	)		39,215
Veolia Environnement SA		(5,580	)		(75,702	)		(23,136	)
Vinci SA		(615	)		(32,772	)		(808	)
Wendel SA		(324	)		(35,892	)		(410	)
								(131,551	)
Germany
adidas AG		(3,627	)		(258,969	)		7,090
Bayerische Motoren Werke AG		(2,465	)		(248,238	)		(17,781	)
Bilfinger SE		(2,343	)		(132,335	)		1,363
Commerzbank AG		(11,846	)		(170,149	)		14,769
Continental AG		(142	)		(26,572	)		(3,379	)
Daimler AG		(1,179	)		(89,390	)		(8,531	)
Deutsche Bank AG		(5,920	)		(230,249	)		52,978
Deutsche Lufthansa AG		(2,758	)		(48,270	)		2,568
GEA Group AG		(659	)		(27,169	)		(1,805	)
Infineon Technologies AG		(4,384	)		(46,191	)		(199	)

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

AQR Funds Annual Report December 2014

116

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
LANXESS AG		(973	)	$	(59,862	)	$	14,800
Metro AG		(6,376	)		(193,751	)		(1,148	)
Rheinmetall AG		(3,187	)		(133,758	)		(5,001	)
Salzgitter AG		(2,012	)		(56,498	)		196
SAP SE		(498	)		(35,485	)		710
ThyssenKrupp AG		(5,227	)		(127,609	)		(5,543	)
Volkswagen AG		(506	)		(106,913	)		(5,548	)
Wacker Chemie AG		(816	)		(84,877	)		(4,635	)
Wirecard AG		(1,532	)		(52,060	)		(14,742	)
								26,162
Italy
A2A SpA		(16,250	)		(17,470	)		1,004
Banca Monte dei Paschi di Siena SpA		(20,282	)		(25,334	)		13,780
Banca Popolare dell’Emilia Romagna SC		(5,014	)		(40,847	)		7,975
Banco Popolare SC		(2,168	)		(27,427	)		1,342
Buzzi Unicem SpA		(5,657	)		(78,073	)		6,472
Mediaset SpA		(20,697	)		(71,670	)		(13,489	)
Mediolanum SpA		(13,246	)		(85,182	)		769
Moncler SpA		(17,302	)		(235,013	)		3,830
Prysmian SpA		(2,322	)		(41,748	)		(568	)
Saipem SpA		(16,968	)		(225,920	)		48,050
Salvatore Ferragamo SpA		(14,289	)		(354,435	)		2,771
Telecom Italia SpA		(378,595	)		(402,474	)		(1,293	)
World Duty Free SpA		(40,135	)		(341,534	)		(43,803	)
								26,840
Luxembourg
ArcelorMittal		(5,241	)		(61,120	)		3,701
Netherlands
ASML Holding NV		(2,252	)		(171,694	)		(71,629	)
Koninklijke KPN NV		(41,439	)		(132,997	)		2,159
Koninklijke Philips NV		(1,905	)		(49,518	)		(5,701	)
Randstad Holding NV		(2,025	)		(85,908	)		(11,527	)
SBM Offshore NV		(17,488	)		(235,657	)		29,983
TNT Express NV		(39,044	)		(239,008	)		(21,275	)
								(77,990	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain
Amadeus IT Holding SA		(6,485	)	$	(219,610	)	$	(38,671	)
Banco Popular Espanol SA		(21,997	)		(115,797	)		6,145
Bankia SA		(53,653	)		(91,659	)		12,042
Distribuidora Internacional de Alimentacion SA		(7,058	)		(48,437	)		611
Ferrovial SA		(1,920	)		(35,843	)		(2,112	)
Grifols SA		(7,362	)		(303,550	)		9,780
Inditex SA		(14,440	)		(378,558	)		(33,349	)
Indra Sistemas SA		(7,787	)		(77,285	)		1,631
Mediaset Espana Comunicacion SA		(4,595	)		(45,915	)		(11,853	)
Red Electrica Corp. SA		(393	)		(24,919	)		(9,724	)
								(65,500	)
Switzerland
STMicroelectronics NV		(1,778	)		(13,579	)		285
United Kingdom
CNH Industrial NV		(53,347	)		(420,683	)		(11,165	)
Total of Short Equity Positions								(181,282	)
Total of Long and Short Equity Positions								(2,173	)
Net Cash and Other Receivables/ (Payables) (b)								3,729
Swaps, at Value							$	1,556

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

117

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	2-13 months maturity ranging from 02/19/2015 - 02/20/2015		$132,906

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Switzerland
Actelion Ltd.		5,535		$	560,565		$	76,631
Baloise Holding AG		181			21,465			1,668
Galenica AG		41			35,492			(2,801	)
Geberit AG		314			104,937			1,290
Lonza Group AG		1,198			123,648			11,237
Novartis AG		1,186			95,336			14,658
Roche Holding AG		671			178,133			3,669
Sonova Holding AG		334			49,556			(488	)
Swiss Life Holding AG		546			120,105			8,943
Swiss Re AG		2,453			197,929			7,563
Zurich Insurance Group AG		371			111,442			4,496
								126,866
Total of Long Equity Positions								126,866
Short Positions
Switzerland
Cie Financiere Richemont SA		(1,314	)		(107,626	)		(8,871	)
Credit Suisse Group AG		(13,730	)		(359,518	)		14,603
Dufry AG		(2,579	)		(372,903	)		(12,564	)
Holcim Ltd.		(2,634	)		(187,210	)		(1,080	)
Julius Baer Group Ltd.		(4,497	)		(193,860	)		(11,464	)
Sulzer AG		(250	)		(34,526	)		7,784

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Swatch Group AG/The		(1,069	)	$	(502,036	)	$	27,126
Syngenta AG		(78	)		(27,514	)		2,425
UBS Group AG		(8,007	)		(138,960	)		1,322
								19,281
Total of Short Equity Positions								19,281
Total of Long and Short Equity Positions								146,147
Net Cash and Other Receivables/ (Payables) (b)								(13,241	)
Swaps, at Value							$	132,906

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

118

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate, plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap.	2-13 months maturity ranging from 02/19/2015 - 02/20/2015		$37,635

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Denmark
AP Moeller - Maersk A/S		32		$	68,631		$	(4,984	)
Coloplast A/S		267			15,493			6,850
Novo Nordisk A/S		1,619			67,624			860
Pandora A/S		5,107			368,412			45,547
TDC A/S		21,139			170,101			(8,876	)
								39,397
Total of Long Equity Positions								39,397
Short Positions
Denmark
Carlsberg A/S		(172	)		(14,649	)		1,439

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
GN Store Nord A/S		(2,136	)	$	(47,773	)	$	1,106
								2,545
Total of Short Equity Positions								2,545
Total of Long and Short Equity Positions								41,942
Net Cash and Other Receivables/ (Payables) (b)								(4,307	)
Swaps, at Value							$	37,635

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

119

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate, plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap.	3-13 months maturity ranging from 02/19/2015 - 02/20/2015		$(77,948	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Norway
Norsk Hydro ASA		72,831	$	360,042	$	50,218
Orkla ASA		8,315		59,202		(2,598	)
Statoil ASA		9,345		208,910		(44,374	)
Telenor ASA		3,939		72,597		7,083
Yara International ASA		555		18,776		5,940
						16,269
Total of Long Equity Positions						16,269

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Norway
Marine Harvest ASA		(1,478	)	$	(16,552	)	$	(3,742	)
Schibsted ASA		(4,799	)		(207,771	)		(96,578	)
								(100,320	)
Total of Short Equity Positions								(100,320	)
Total of Long and Short Equity Positions								(84,051	)
Net Cash and Other Receivables/ (Payables) (b)								6,103
Swaps, at Value							$	(77,948	)

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

120

Schedule of Investments December 31, 2014

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	2-13 months maturity ranging from 02/19/2015 - 02/20/2015		$121,957

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Sweden
Boliden AB		13,708		$	209,840		$	9,280
Electrolux AB		14,766			395,167			36,284
Husqvarna AB		32,305			225,074			12,383
Meda AB		1,339			15,825			3,377
Securitas AB		16,101			143,797			50,988
Skanska AB		2,147			38,121			7,976
Tele2 AB		6,754			78,877			2,966
Telefonaktiebolaget LM Ericsson		9,610			101,667			14,692
TeliaSonera AB		31,263			202,188			(1,187	)
								136,759
Total of Long Equity Positions								136,759
Short Positions
Sweden
Alfa Laval AB		(4,401	)		(85,217	)		1,995
Atlas Copco AB		(1,018	)		(26,746	)		(1,581	)
Getinge AB		(8,103	)		(183,200	)		(1,324	)
Hexagon AB		(9,648	)		(285,218	)		(12,419	)
Sandvik AB		(7,204	)		(75,458	)		5,413

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions (continued)
Volvo AB		(19,918	)	$	(216,071	)	$	1,286
								(6,630	)
Total of Short Equity Positions								(6,630	)
Total of Long and Short Equity Positions								130,129
Net Cash and Other Receivables/ (Payables) (b)								(8,172	)
Swaps, at Value							$	121,957

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

121

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

MONEY MARKET FUNDS - 20.4%	SHARES		VALUE (Note 5)
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^		65,081,296	$	65,081,296
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^		260,325,183		260,325,183
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^		721,381,083		721,381,083
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^		45,821,688		45,821,688
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^		325,406,479		325,406,479
TOTAL MONEY MARKET FUNDS (cost $1,418,015,729)				1,418,015,729

SHORT-TERM INVESTMENTS - 72.4%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.050%, 01/08/2015 ^(c)	$	489,685	$	489,684,021
U.S. Treasury Bill, 0.055%, 01/29/2015 ^(b)(c)		729,213		729,199,145
U.S. Treasury Bill, 0.045%, 02/05/2015 (c)		355,967		355,958,457
U.S. Treasury Bill, 0.037%, 04/09/2015 ^(c)		478,937		478,901,559
U.S. Treasury Bill, 0.066%, 05/21/2015 (c)		227,352		227,301,528
U.S. Treasury Bill, 0.067%, 05/28/2015 ^(c)		134,500		134,464,491
U.S. Treasury Bill, 0.071%, 06/04/2015 ^(c)		934,500		934,222,453
U.S. Treasury Bill, 0.101%, 06/11/2015 ^(c)		800,000		799,768,800
U.S. Treasury Bill, 0.107%, 06/18/2015 ^(c)		678,847		678,579,534
U.S. Treasury Bill, 0.126%, 06/25/2015 (c)		200,000		199,915,400
TOTAL SHORT-TERM INVESTMENTS (cost $5,027,700,959)				5,027,995,388
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 92.8% (cost $6,445,716,688)				6,446,011,117
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2% (d)			498,678,436
NET ASSETS - 100.0%			$	6,944,689,553

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

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

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

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

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Soybean Oil March Futures^	2/2015	USD		(74,701,506	)		$(467,526	)
Barclays Capital	WTI Crude January Futures^	2/2015	USD		(14,141,820	)		1,836,116
Barclays Capital	WTI Crude January Futures^	2/2015	USD		779,240			(33,454	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(83,091,824	)		10,804,434
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(34,401,517	)		1,132,477
CitiBank	Corn March Futures^	2/2015	USD		(115,038,099	)		(2,393,727	)
CitiBank	Corn March Futures^	2/2015	USD		90,730,782			63,098
CitiBank	LME Copper March Futures^	2/2015	USD		(73,377,500	)		4,152,750
CitiBank	LME Aluminum March Futures^	3/2015	USD		(9,307,200	)		618,075

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

AQR Funds Annual Report December 2014

122

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	LME Aluminum March Futures^	3/2015	USD		9,459,925			$ (770,800	)
CitiBank	LME Nickel March Futures^	3/2015	USD		97,590			(6,756	)
CitiBank	LME Zinc March Futures^	3/2015	USD		(53,925	)		(488	)
CitiBank	LME Zinc March Futures^	3/2015	USD		55,275			(863	)
CitiBank	Platinum April Futures^	3/2015	USD		(101,611,768	)		(893,357	)
CitiBank	Cocoa March Futures^	2/2015	USD		24,112,796			(192,554	)
CitiBank	Cocoa March Futures^	2/2015	USD		(23,533,951	)		(386,165	)
CitiBank	Cocoa March Futures^	2/2015	GBP		42,528,761			1,815,499
CitiBank	Cocoa March Futures^	2/2015	GBP		(22,995,286	)		(1,167,052	)
CitiBank	Soybean Meal March Futures^	2/2015	USD		16,659,644			(322,444	)
CitiBank	Soybean March Futures^	2/2015	USD		(22,313,238	)		307,888
CitiBank	Soybean March Futures^	2/2015	USD		41,380,319			(747,127	)
CitiBank	Wheat March Futures^	2/2015	USD		(167,110,315	)		(15,883,975	)
CitiBank	Wheat March Futures^	2/2015	USD		178,421,084			(1,672,468	)
Merrill Lynch	Gold 100 OZ February Futures^	1/2015	USD		234,488,280			(2,785,152	)
Merrill Lynch	Gold 100 OZ February Futures^	1/2015	USD		(312,477,110	)		(573,302	)
Barclays Capital	Silver March Futures^	2/2015	USD		(4,799,210	)		275,380
Merrill Lynch	Silver March Futures^	2/2015	USD		39,791,000			(1,737,215	)
Merrill Lynch	Silver March Futures^	2/2015	USD		(122,785,980	)		1,255,067
Barclays Capital	Silver March Futures^	2/2015	USD		4,754,550			(230,740	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(10,668,143	)		964,732
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(48,326,001	)		2,204,401
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		44,968,260			(4,985,380	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(68,056,279	)		8,453,894
Bank of America	Euro - SCHATZ March Futures	3/2015	EUR		1,116,731,982			1,298,746
Bank of America	Taiwan Stock Exchange January Futures	1/2015	TWD		271,907,912			263,680
Bank of America	U.S. Treasury 5-Year Note March Futures	3/2015	USD		5,587,056			2,640
Bank of America	H-SHARES Index January Futures	1/2015	HKD		309,136,945			487,263
Bank of America	SGX S&P CNX Nifty Index January Futures	1/2015	USD		58,430,338			266,560
Bank of America	10-Year Japanese Government Bond March Futures	3/2015	JPY		5,437,116,700			262,523
Bank of America	Euro - Bobl March Futures	3/2015	EUR		715,608,474			5,787,022
Bank of America	Swiss Market Index March Futures	3/2015	CHF		233,467,916			4,791,224
Bank of America	U.S. Treasury 2-Year Note March Futures	3/2015	USD		2,332,510,173			(4,486,736	)
Bank of America	MSCI Taiwan Stock Index January Futures	1/2015	USD		63,921,023			890,567
CitiBank	Hard Red Winter Wheat March Futures^	2/2015	USD		(19,926,440	)		(1,342,801	)
CitiBank	Hard Red Winter Wheat March Futures^	2/2015	USD		22,217,262			(947,281	)
								$5,906,673

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, Deutsche Bank and Merrill Lynch for total return swap contracts in the amount of $720, $180,001, $66 and $40,521,282, respectively at December 31, 2014. Cash held as collateral for Bank of America and Deutsche Bank for total return swap contracts was $7,990,000 and $15,400,000, respectively at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
34	Goldman Sachs	Cocoa Futures^		3/2015		$1,026,881		$1,049,250		$22,369
69	Goldman Sachs	Coffee ‘C’ Futures^		3/2015		4,968,499		4,310,775		(657,724	)
93	Goldman Sachs	Hard Red Winter Wheat Futures^		3/2015		3,163,637		2,913,225		(250,412	)
44	J.P. Morgan	LME Aluminum Futures^		1/2015		2,136,295		2,014,100		(122,195	)
86	J.P. Morgan	LME Aluminum Futures^		1/2015		4,154,123		3,937,639		(216,484	)

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

AQR Funds Annual Report December 2014

123

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
68	J.P. Morgan	LME Aluminum Futures^		1/2015		$ 3,405,751		$ 3,117,375		$ (288,376	)
62	J.P. Morgan	LME Aluminum Futures^		1/2015		3,106,017		2,842,312		(263,705	)
85	J.P. Morgan	LME Aluminum Futures^		2/2015		4,341,055		3,903,498		(437,557	)
89	J.P. Morgan	LME Aluminum Futures^		2/2015		4,534,532		4,088,015		(446,517	)
20	J.P. Morgan	LME Aluminum Futures^		2/2015		1,022,045		919,875		(102,170	)
69	J.P. Morgan	LME Aluminum Futures^		2/2015		3,519,197		3,175,950		(343,247	)
85	J.P. Morgan	LME Aluminum Futures^		3/2015		4,251,817		3,916,821		(334,996	)
8	J.P. Morgan	LME Aluminum Futures^		3/2015		394,023		368,712		(25,311	)
71	J.P. Morgan	LME Aluminum Futures^		3/2015		3,507,602		3,272,922		(234,680	)
39	J.P. Morgan	LME Aluminum Futures^		3/2015		1,924,761		1,799,489		(125,272	)
15	J.P. Morgan	LME Aluminum Futures^		3/2015		735,043		692,374		(42,669	)
28	J.P. Morgan	LME Aluminum Futures^		3/2015		1,359,480		1,292,669		(66,811	)
95	J.P. Morgan	LME Aluminum Futures^		3/2015		4,554,722		4,389,143		(165,579	)
69	J.P. Morgan	LME Aluminum Futures^		3/2015		3,427,147		3,189,094		(238,053	)
51	J.P. Morgan	LME Aluminum Futures^		3/2015		2,418,821		2,356,710		(62,111	)
12	J.P. Morgan	LME Aluminum Futures^		3/2015		575,734		554,712		(21,022	)
79	J.P. Morgan	LME Copper Futures^		1/2015		13,161,570		12,575,674		(585,896	)
28	J.P. Morgan	LME Copper Futures^		1/2015		4,696,360		4,455,997		(240,363	)
40	J.P. Morgan	LME Copper Futures^		1/2015		6,786,426		6,333,000		(453,426	)
96	J.P. Morgan	LME Copper Futures^		3/2015		15,108,274		15,149,400		41,126
12	J.P. Morgan	LME Copper Futures^		3/2015		1,915,534		1,893,150		(22,384	)
70	J.P. Morgan	LME Copper Futures^		3/2015		11,249,199		11,043,707		(205,492	)
45	J.P. Morgan	LME Copper Futures^		3/2015		7,237,254		7,101,000		(136,254	)
27	J.P. Morgan	LME Copper Futures^		3/2015		4,355,852		4,260,147		(95,705	)
73	J.P. Morgan	LME Copper Futures^		3/2015		11,598,084		11,515,750		(82,334	)
44	J.P. Morgan	LME Copper Futures^		3/2015		6,942,226		6,939,900		(2,326	)
35	J.P. Morgan	LME Copper Futures^		3/2015		5,575,600		5,516,875		(58,725	)
68	J.P. Morgan	LME Zinc Futures^		1/2015		3,930,547		3,684,121		(246,426	)
61	J.P. Morgan	LME Zinc Futures^		1/2015		3,526,682		3,305,057		(221,625	)
16	J.P. Morgan	LME Zinc Futures^		1/2015		929,997		867,000		(62,997	)
101	J.P. Morgan	LME Zinc Futures^		1/2015		5,899,584		5,473,266		(426,318	)
61	J.P. Morgan	LME Zinc Futures^		1/2015		3,306,332		3,306,200		(132	)
56	J.P. Morgan	LME Zinc Futures^		1/2015		3,123,941		3,034,934		(89,007	)
117	J.P. Morgan	LME Zinc Futures^		2/2015		6,535,451		6,339,206		(196,245	)
60	J.P. Morgan	LME Zinc Futures^		2/2015		3,387,889		3,252,870		(135,019	)
24	J.P. Morgan	LME Zinc Futures^		2/2015		1,379,837		1,303,644		(76,193	)
17	J.P. Morgan	LME Zinc Futures^		3/2015		925,274		924,775		(499	)
72	J.P. Morgan	LME Zinc Futures^		3/2015		3,893,256		3,918,222		24,966
58	J.P. Morgan	LME Zinc Futures^		3/2015		3,233,197		3,155,925		(77,272	)
41	J.P. Morgan	LME Zinc Futures^		3/2015		2,183,367		2,231,425		48,058
43	J.P. Morgan	LME Zinc Futures^		3/2015		2,328,573		2,338,394		9,821
729	Goldman Sachs	Soybean Futures^		3/2015		38,135,167		37,306,575		(828,592	)
1,135	Goldman Sachs	Soybean Meal Futures^		3/2015		40,587,238		39,452,600		(1,134,638	)
7,652	J.P. Morgan	3-Month Euro Euribor Futures		9/2016		1,467,424,474		1,472,762,203		5,337,729
925	Barclays Capital	Amsterdam Index Futures		1/2015		95,284,857		95,140,181		(144,676	)
395	Barclays Capital	DAX Index Futures		3/2015		115,189,860		117,622,379		2,432,519
3,614	Barclays Capital	DJIA Mini E-CBOT Futures		3/2015		312,552,763		320,778,640		8,225,877
1,494	Barclays Capital	E-Mini Russell 2000 Futures		3/2015		177,584,585		179,384,580		1,799,995
635	Barclays Capital	Euro Stoxx 50 Index		3/2015		24,259,664		24,073,400		(186,264	)
178	Barclays Capital	Hang Seng Index Futures		1/2015		27,395,578		27,141,922		(253,656	)
968	Barclays Capital	H-SHARES Index Futures		1/2015		74,543,480		74,828,341		284,861
109	Barclays Capital	IBEX 35 Index Futures		1/2015		13,285,791		13,511,766		225,975
698	Barclays Capital	MSCI Singapore Index Futures		1/2015		39,962,259		40,215,422		253,163
3,126	Barclays Capital	NASDAQ 100 E-Mini Futures		3/2015		260,609,312		264,631,530		4,022,218
2,733	Barclays Capital	S&P 500 E-Mini Futures		3/2015		274,687,037		280,460,460		5,773,423
1,799	Barclays Capital	S&P MID 400 E-Mini Futures		3/2015		256,382,958		260,603,140		4,220,182
407	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		58,509,442		59,666,242		1,156,800
3,994	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		66,642,450		66,771,692		129,242
1,976	Barclays Capital	TOPIX Index Futures		3/2015		229,585,638		232,194,023		2,608,385
1,008	J.P. Morgan	10-Year Japanese Government Bond		3/2015		1,236,089,526		1,243,716,146		7,626,620
1,425	J.P. Morgan	3-Month Euro Euribor Futures		12/2015		430,672,771		430,843,258		170,487
2,921	J.P. Morgan	3-Month Euro Euribor Futures		3/2016		882,290,106		883,064,727		774,621

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

AQR Funds Annual Report December 2014

124

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
4,317	J.P. Morgan	3-Month Euro Euribor Futures		6/2016		$ 1,303,422,906			$ 1,304,901,823			$ 1,478,917
5,649	J.P. Morgan	3-Month Euro Euribor Futures		9/2016		1,705,939,396			1,707,098,757			1,159,361
5,571	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		1,682,135,960			1,683,106,234			970,274
755	J.P. Morgan	90-Day EURODollar Futures		12/2015		187,188,518			187,022,938			(165,580	)
555	J.P. Morgan	90-Day EURODollar Futures		3/2016		137,220,246			137,112,750			(107,496	)
753	J.P. Morgan	90-Day EURODollar Futures		6/2016		185,722,553			185,558,025			(164,528	)
1,271	J.P. Morgan	90-Day EURODollar Futures		9/2016		312,796,905			312,459,463			(337,442	)
1,996	J.P. Morgan	90-Day EURODollar Futures		12/2016		490,481,792			489,668,700			(813,092	)
7,322	J.P. Morgan	90-Day Sterling Futures		6/2015		1,413,164,679			1,417,379,131			4,214,452
7,627	J.P. Morgan	90-Day Sterling Futures		9/2015		1,470,429,342			1,475,231,719			4,802,377
7,900	J.P. Morgan	90-Day Sterling Futures		12/2015		1,521,269,889			1,526,496,884			5,226,995
8,090	J.P. Morgan	90-Day Sterling Futures		3/2016		1,556,195,873			1,561,160,968			4,965,095
8,193	J.P. Morgan	90-Day Sterling Futures		6/2016		1,573,778,680			1,578,962,404			5,183,724
7,432	J.P. Morgan	90-Day Sterling Futures		12/2016		1,426,748,191			1,428,681,945			1,933,754
3,517	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		363,306,692			367,940,029			4,633,337
17,502	J.P. Morgan	Australia 3-Year Bond Futures		3/2015		1,584,642,820			1,590,064,544			5,421,724
4,348	J.P. Morgan	Canadian 10-Year Bond Futures		3/2015		511,072,047			518,406,748			7,334,701
2,623	J.P. Morgan	Euro - Bobl Futures		3/2015		411,945,077			413,503,655			1,558,578
1,756	J.P. Morgan	Euro - Bund Futures		3/2015		325,327,718			331,200,024			5,872,306
539	J.P. Morgan	Euro-Buxl 30-Year Bond Futures		3/2015		96,751,862			101,080,582			4,328,720
1,416	J.P. Morgan	Long Gilt Futures		3/2015		258,171,024			263,800,031			5,629,007
2,564	J.P. Morgan	U.S. Long Bond Futures		3/2015		361,799,196			370,658,250			8,859,054
5,439	J.P. Morgan	U.S. Treasury 10-Year Note Futures		3/2015		688,105,872			689,648,203			1,542,331
8,202	J.P. Morgan	U.S. Treasury 5-Year Note Futures		3/2015		977,199,178			975,461,297			(1,737,881	)
						26,858,228,860			26,964,798,630			106,569,770
Short Contracts:
1,736	Goldman Sachs	Brent Crude Futures^		1/2015		(120,821,163	)		(99,524,880	)		21,296,283
128	Goldman Sachs	Cocoa Futures^		3/2015		(3,618,659	)		(3,724,800	)		(106,141	)
1,581	Goldman Sachs	Cotton No. 2 Futures^		3/2015		(47,513,911	)		(47,643,435	)		(129,524	)
2,601	Goldman Sachs	Gas Oil Futures^		2/2015		(146,209,733	)		(135,577,125	)		10,632,608
842	Goldman Sachs	Gasoline RBOB Futures^		1/2015		(57,877,318	)		(52,059,344	)		5,817,974
685	Goldman Sachs	Gold 100 OZ Futures^		2/2015		(82,016,698	)		(81,110,850	)		905,848
1,758	Goldman Sachs	Heating Oil ULSD Futures^		1/2015		(147,746,403	)		(135,385,690	)		12,360,713
1,150	Goldman Sachs	Live Cattle Futures^		2/2015		(38,729,738	)		(37,352,000	)		1,377,738
44	J.P. Morgan	LME Aluminum Futures^		1/2015		(2,136,268	)		(2,014,100	)		122,168
86	J.P. Morgan	LME Aluminum Futures^		1/2015		(4,125,022	)		(3,937,639	)		187,383
68	J.P. Morgan	LME Aluminum Futures^		1/2015		(3,416,853	)		(3,117,375	)		299,478
62	J.P. Morgan	LME Aluminum Futures^		1/2015		(3,109,166	)		(2,842,312	)		266,854
85	J.P. Morgan	LME Aluminum Futures^		2/2015		(4,356,079	)		(3,903,497	)		452,582
89	J.P. Morgan	LME Aluminum Futures^		2/2015		(4,510,439	)		(4,088,015	)		422,424
20	J.P. Morgan	LME Aluminum Futures^		2/2015		(1,021,844	)		(919,875	)		101,969
69	J.P. Morgan	LME Aluminum Futures^		2/2015		(3,518,855	)		(3,175,949	)		342,906
85	J.P. Morgan	LME Aluminum Futures^		3/2015		(4,261,604	)		(3,916,821	)		344,783
8	J.P. Morgan	LME Aluminum Futures^		3/2015		(394,456	)		(368,712	)		25,744
71	J.P. Morgan	LME Aluminum Futures^		3/2015		(3,507,183	)		(3,272,923	)		234,260
39	J.P. Morgan	LME Aluminum Futures^		3/2015		(1,921,155	)		(1,799,489	)		121,666
15	J.P. Morgan	LME Aluminum Futures^		3/2015		(734,346	)		(692,374	)		41,972
28	J.P. Morgan	LME Aluminum Futures^		3/2015		(1,361,641	)		(1,292,669	)		68,972
395	J.P. Morgan	LME Aluminum Futures^		3/2015		(19,275,410	)		(18,256,406	)		1,019,004
95	J.P. Morgan	LME Aluminum Futures^		3/2015		(4,566,513	)		(4,389,142	)		177,371
51	J.P. Morgan	LME Aluminum Futures^		3/2015		(2,419,349	)		(2,356,710	)		62,639
12	J.P. Morgan	LME Aluminum Futures^		3/2015		(573,602	)		(554,712	)		18,890
79	J.P. Morgan	LME Copper Futures^		1/2015		(13,133,070	)		(12,575,674	)		557,396
28	J.P. Morgan	LME Copper Futures^		1/2015		(4,697,633	)		(4,455,997	)		241,636
40	J.P. Morgan	LME Copper Futures^		1/2015		(6,768,408	)		(6,333,000	)		435,408
96	J.P. Morgan	LME Copper Futures^		3/2015		(15,075,081	)		(15,149,400	)		(74,319	)
12	J.P. Morgan	LME Copper Futures^		3/2015		(1,914,863	)		(1,893,150	)		21,713
70	J.P. Morgan	LME Copper Futures^		3/2015		(11,242,127	)		(11,043,707	)		198,420
45	J.P. Morgan	LME Copper Futures^		3/2015		(7,235,708	)		(7,101,000	)		134,708
27	J.P. Morgan	LME Copper Futures^		3/2015		(4,361,897	)		(4,260,148	)		101,749

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

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125

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
985	J.P. Morgan	LME Copper Futures^		3/2015		$(156,982,609	)		$(155,334,500	)		$1,648,109
73	J.P. Morgan	LME Copper Futures^		3/2015		(11,594,272	)		(11,515,750	)		78,522
44	J.P. Morgan	LME Copper Futures^		3/2015		(6,958,669	)		(6,939,900	)		18,769
35	J.P. Morgan	LME Copper Futures^		3/2015		(5,557,779	)		(5,516,875	)		40,904
1,518	Goldman Sachs	LME Copper Futures^		3/2015		(110,809,831	)		(107,227,725	)		3,582,106
68	J.P. Morgan	LME Zinc Futures^		1/2015		(3,930,701	)		(3,684,121	)		246,580
61	J.P. Morgan	LME Zinc Futures^		1/2015		(3,531,387	)		(3,305,056	)		226,331
16	J.P. Morgan	LME Zinc Futures^		1/2015		(926,465	)		(867,000	)		59,465
101	J.P. Morgan	LME Zinc Futures^		1/2015		(5,890,607	)		(5,473,266	)		417,341
61	J.P. Morgan	LME Zinc Futures^		1/2015		(3,339,359	)		(3,306,201	)		33,158
56	J.P. Morgan	LME Zinc Futures^		1/2015		(3,125,555	)		(3,034,934	)		90,621
117	J.P. Morgan	LME Zinc Futures^		2/2015		(6,552,801	)		(6,339,206	)		213,595
60	J.P. Morgan	LME Zinc Futures^		2/2015		(3,374,858	)		(3,252,870	)		121,988
24	J.P. Morgan	LME Zinc Futures^		2/2015		(1,380,531	)		(1,303,644	)		76,887
17	J.P. Morgan	LME Zinc Futures^		3/2015		(926,589	)		(924,774	)		1,815
72	J.P. Morgan	LME Zinc Futures^		3/2015		(3,899,708	)		(3,918,222	)		(18,514	)
206	J.P. Morgan	LME Zinc Futures^		3/2015		(11,073,545	)		(11,208,975	)		(135,430	)
41	J.P. Morgan	LME Zinc Futures^		3/2015		(2,183,552	)		(2,231,425	)		(47,873	)
43	J.P. Morgan	LME Zinc Futures^		3/2015		(2,305,219	)		(2,338,394	)		(33,175	)
2,157	Goldman Sachs	Natural Gas Swap Futures^		1/2015		(79,883,511	)		(62,315,731	)		17,567,780
125	Goldman Sachs	Platinum Futures^		4/2015		(7,535,410	)		(7,559,375	)		(23,965	)
235	Goldman Sachs	Silver Futures^		3/2015		(18,708,032	)		(18,328,826	)		379,206
286	Goldman Sachs	Soybean Oil Futures^		3/2015		(5,514,459	)		(5,515,224	)		(765	)
14,999	Goldman Sachs	Sugar #11 (World Markets) Futures^		2/2015		(273,023,232	)		(243,919,738	)		29,103,494
515	Barclays Capital	CAC40 Index Futures		1/2015		(25,419,955	)		(26,653,227	)		(1,233,272	)
348	Barclays Capital	FTSE 100 Index Futures		3/2015		(33,795,022	)		(35,377,570	)		(1,582,548	)
938	J.P. Morgan	FTSE/JSE Top 40 Index Futures		3/2015		(34,365,109	)		(35,887,709	)		(1,522,600	)
118	Barclays Capital	FTSE/MIB Index Futures		3/2015		(13,212,252	)		(13,613,922	)		(401,670	)
1,463	Barclays Capital	KOSPI Index 200 Futures		3/2015		(164,264,391	)		(162,385,480	)		1,878,911
1,045	Barclays Capital	SPI 200 Index Futures		3/2015		(109,447,899	)		(114,811,040	)		(5,363,141	)
1,922	J.P. Morgan	3-Month Euro Euribor Futures		6/2015		(580,953,810	)		(581,109,292	)		(155,482	)
48	J.P. Morgan	3-Month Euro Euribor Futures		9/2015		(14,508,921	)		(14,513,340	)		(4,419	)
2,697	J.P. Morgan	90-Day EURODollar Futures		6/2015		(671,188,548	)		(671,317,012	)		(128,464	)
123	J.P. Morgan	90-Day EURODollar Futures		9/2015		(30,534,541	)		(30,550,125	)		(15,584	)
132	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		3/2015		(28,033,736	)		(28,030,686	)		3,050
1,544	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		6/2015		(327,907,892	)		(327,824,239	)		83,653
862	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		6/2015		(217,027,295	)		(217,320,761	)		(293,466	)
239	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		9/2015		(60,171,711	)		(60,272,857	)		(101,146	)
						(3,814,011,958	)		(3,711,117,912	)		102,894,046
						$23,044,216,902			$23,253,680,718			$209,463,816

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $106,447,003 and $93,946,623, respectively at December 31, 2014. Cash held as collateral for Goldman Sachs for futures contracts was $67,445,508 at December 31, 2014. U.S. Treasury Bill is pledged as collateral to Goldman Sachs for futures contracts in the amount of $55,082,098 at December 31, 2014.

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

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		169,011,000		$148,109,454		$145,242,892		$(2,866,562	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		169,010,999		148,109,255		145,242,891		(2,866,364	)

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

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126

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		122,000		$ 123,185		$ 122,877		$ (308	)
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		575,000,000		25,886,384		25,141,504		(744,880	)
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		575,000,000		25,877,104		25,141,504		(735,600	)
Euro, Expiring 03/18/15	CitiBank	EUR		496,706,000		617,402,455		601,437,444		(15,965,011	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		499,860,000		621,276,551		605,256,471		(16,020,080	)
British Pound, Expiring 03/18/15	CitiBank	GBP		89,761,000		140,634,941		139,820,529		(814,412	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		89,761,000		140,632,579		139,820,529		(812,050	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		12,040,000		1,552,387		1,552,567		180
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		10,813,000,001		43,557,881		41,251,984		(2,305,897	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		10,813,000,001		43,557,030		41,251,984		(2,305,046	)
Indonesian Rupiah, Expiring 03/18/15*	CitiBank	IDR		10,950,000,000		873,813		872,650		(1,163	)
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		10,950,000,000		873,813		872,650		(1,163	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		12,500,000		3,156,051		3,205,547		49,496
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		12,500,000		3,156,893		3,205,547		48,654
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		5,571,200,000		88,068,030		86,941,007		(1,127,023	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		5,641,200,000		89,155,430		88,033,388		(1,122,042	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		69,085,969,500		585,601,205		577,145,917		(8,455,288	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		69,143,577,500		586,060,308		577,627,176		(8,433,132	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		133,700,000,000		120,956,134		121,233,545		277,411
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		133,700,000,000		120,956,780		121,233,545		276,765
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		565,000,000		38,220,967		38,123,032		(97,935	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		565,000,000		38,229,943		38,123,032		(106,911	)
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		29,000,000		8,323,682		8,244,810		(78,872	)
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		29,000,000		8,323,841		8,244,810		(79,031	)
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		319,138,000		45,937,176		42,732,129		(3,205,047	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		319,138,000		45,936,194		42,732,129		(3,204,065	)
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		747,436,001		574,403,543		578,950,375		4,546,832
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		747,436,001		574,407,126		578,950,376		4,543,250
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		2,700,000,000		60,209,443		60,153,740		(55,703	)
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		2,700,000,000		60,209,426		60,153,740		(55,686	)
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		194,000,000		57,390,720		54,617,880		(2,772,840	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		194,000,000			$ 57,388,838			$ 54,617,880			$ (2,770,958	)
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		215,900,000			2,976,933			3,409,296			432,363
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		215,900,000			3,006,435			3,409,296			402,861
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		313,275,500			42,083,466			40,197,080			(1,886,386	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		313,275,500			42,082,805			40,197,080			(1,885,725	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		60,000,000			45,699,726			45,238,294			(461,432	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		60,000,000			45,696,067			45,238,294			(457,773	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		216,455,000			94,633,805			91,246,730			(3,387,075	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		216,455,000			94,640,549			91,246,729			(3,393,820	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		1,120,000,000			36,022,275			35,456,728			(565,547	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		1,120,000,000			36,022,277			35,456,728			(565,549	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		1,062,700,000			93,186,604			90,785,442			(2,401,162	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		1,062,700,000			93,186,323			90,785,443			(2,400,880	)
							$5,753,795,827			$5,669,965,221			$(83,830,606	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		(688,243,000	)		$(569,000,610	)		$(558,951,684	)		$10,048,926
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(688,243,000	)		(569,029,012	)		(558,951,683	)		10,077,329
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(70,530,000	)		(26,308,732	)		(26,012,496	)		296,236
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(70,530,000	)		(26,308,404	)		(26,012,496	)		295,908
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		(334,139,000	)		(288,874,627	)		(287,148,852	)		1,725,775
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(334,139,000	)		(288,879,549	)		(287,148,852	)		1,730,697
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		(1,650,000	)		(1,694,101	)		(1,661,861	)		32,240
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(10,689,000	)		(11,019,867	)		(10,765,837	)		254,030
Chilean Peso, Expiring 03/18/15*	CitiBank	CLP		(13,474,000,000	)		(21,891,573	)		(22,048,072	)		(156,499	)
Chilean Peso, Expiring 03/18/15*	Credit Suisse International	CLP		(13,474,000,000	)		(21,891,593	)		(22,048,072	)		(156,479	)
Columbian Peso, Expiring 03/18/15*	CitiBank	COP		(29,000,000,000	)		(12,664,244	)		(12,156,539	)		507,705
Columbian Peso, Expiring 03/18/15*	Credit Suisse International	COP		(29,000,000,000	)		(12,664,232	)		(12,156,539	)		507,693
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		(599,916,000	)		(27,042,221	)		(26,230,940	)		811,281
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		(599,916,000	)		(27,041,962	)		(26,230,940	)		811,022

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

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128

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/18/15	CitiBank	EUR		(464,200,015	)		$ (572,483,207	)		$ (562,077,508	)		$ 10,405,699
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(464,248,013	)		(572,544,231	)		(562,135,627	)		10,408,604
British Pound, Expiring 03/18/15	CitiBank	GBP		(102,331,503	)		(159,891,329	)		(159,401,575	)		489,754
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(102,331,503	)		(159,892,575	)		(159,401,576	)		490,999
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		(14,400,000,000	)		(56,213,937	)		(54,936,519	)		1,277,418
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(14,400,000,000	)		(56,225,645	)		(54,936,519	)		1,289,126
Indonesian Rupiah, Expiring 03/18/15*	CitiBank	IDR		(10,000,000,000	)		(779,590	)		(796,940	)		(17,350	)
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		(10,000,000,000	)		(779,589	)		(796,940	)		(17,351	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		(238,195,000	)		(60,153,299	)		(61,083,630	)		(930,331	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(238,194,999	)		(60,152,229	)		(61,083,630	)		(931,401	)
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		(65,000,000	)		(1,016,336	)		(1,014,353	)		1,983
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		(65,000,000	)		(1,016,331	)		(1,014,353	)		1,978
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		(229,415,944,501	)		(1,920,909,879	)		(1,916,546,536	)		4,363,343
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(229,415,944,499	)		(1,920,929,870	)		(1,916,546,536	)		4,383,334
Korean Won, Expiring 03/18/15*	CitiBank	KRW		(6,500,000,000	)		(5,848,321	)		(5,893,927	)		(45,606	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(6,500,000,000	)		(5,848,489	)		(5,893,927	)		(45,438	)
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		(2,505,500,000	)		(175,922,915	)		(169,057,092	)		6,865,823
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(2,505,500,000	)		(175,948,113	)		(169,057,092	)		6,891,021
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		(169,655,000	)		(48,750,935	)		(48,233,558	)		517,377
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		(169,655,000	)		(48,750,945	)		(48,233,558	)		517,387
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		(2,616,914,502	)		(365,381,654	)		(350,401,170	)		14,980,484
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(2,616,914,502	)		(365,383,811	)		(350,401,169	)		14,982,642
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		(119,898,500	)		(91,966,551	)		(92,871,205	)		(904,654	)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(119,898,500	)		(91,991,398	)		(92,871,205	)		(879,807	)
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		(2,902,750,000	)		(64,771,266	)		(64,670,838	)		100,428
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		(2,902,750,000	)		(64,771,241	)		(64,670,838	)		100,403
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		(394,745,000	)		(114,553,760	)		(111,134,721	)		3,419,039
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(394,745,000	)		(114,543,366	)		(111,134,720	)		3,408,646
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		(215,900,000	)		(3,828,214	)		(3,409,295	)		418,919
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(215,900,000	)		(3,828,201	)		(3,409,296	)		418,905
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		(5,117,352,500	)		(676,619,114	)		(656,618,940	)		20,000,174
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(5,117,352,499	)		(676,625,443	)		(656,618,941	)		20,006,502

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

AQR Funds Annual Report December 2014

129

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		(47,455,000	)		$ (36,088,437	)		$ (35,779,723	)		$ 308,714
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(47,455,000	)		(36,087,451	)		(35,779,721	)		307,730
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		(175,000,000	)		(73,189,596	)		(73,771,351	)		(581,755	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(175,000,000	)		(73,204,798	)		(73,771,351	)		(566,553	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		(2,746,850,001	)		(88,181,155	)		(86,959,209	)		1,221,946
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		(2,746,850,000	)		(88,184,664	)		(86,959,209	)		1,225,455
South African Rand, Expiring 03/18/15	CitiBank	ZAR		(825,000,000	)		(70,335,260	)		(70,478,962	)		(143,702	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(825,000,000	)		(70,351,370	)		(70,478,962	)		(127,592	)
							(11,078,255,242	)		(10,927,857,085	)		150,398,157
							$(5,324,459,415	)		$(5,257,891,864	)		$66,567,551

Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $30 and $9,588, respectively at December 31, 2014. Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $25,790,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $104,990,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian 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

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2014

130

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

MONEY MARKET FUNDS - 33.8%	SHARES		VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^		65,309,409	$	65,309,409
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^		2,620,038		2,620,038
TOTAL MONEY MARKET FUNDS (cost $67,929,447)				67,929,447

SHORT-TERM INVESTMENTS - 55.1%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.055%, 01/29/2015 (c)	$	38,554	$	38,553,268
U.S. Treasury Bill, 0.045%, 02/05/2015 (c)		2,838		2,837,932
U.S. Treasury Bill, 0.066%, 05/21/2015 (c)		51,432		51,420,582
U.S. Treasury Bill, 0.066%, 05/21/2015 ^(c)		18,099		18,094,982
TOTAL SHORT-TERM INVESTMENTS (cost $110,903,400)				110,906,764
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 88.9% (cost $178,832,847)				178,836,211
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.1% (d)				22,228,389
NET ASSETS - 100.0%			$	201,064,600

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for swap contracts.

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

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

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

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

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Japanese Government Bond March Futures	3/2015	JPY		14,690,910			$785
CitiBank	Cocoa March Futures^	2/2015	GBP		1,716,302			73,514
CitiBank	Cocoa March Futures^	2/2015	GBP		(968,034	)		(50,301	)
CitiBank	Cocoa March Futures^	2/2015	USD		1,202,776			(9,674	)
CitiBank	Cocoa March Futures^	2/2015	USD		(1,208,200	)		(13,997	)
CitiBank	Corn March Futures^	2/2015	USD		3,709,841			2,108
CitiBank	Corn March Futures^	2/2015	USD		(4,725,132	)		(98,386	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(1,879,005	)		40,770
Bank of America	Euro - Bobl March Futures	3/2015	EUR		20,066,243			156,211
Bank of America	Euro - SCHATZ March Futures	3/2015	EUR		47,057,898			54,455
Barclays Capital	Gasoline RBOB January Futures^	2/2015	USD		(2,159,237	)		242,563
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(2,894,510	)		359,554
Barclays Capital	Gasoline RBOB December Futures^	1/2015	USD		2,140,488			(247,758	)
Barclays Capital	Gasoline RBOB December Futures^	1/2015	USD		(2,701,129	)		808,372
CitiBank	Gold 100 OZ February Futures^	1/2015	USD		11,254,262			(242,132	)
CitiBank	Gold 100 OZ February Futures^	1/2015	USD		(15,676,830	)		165,120
CitiBank	Hard Red Winter Wheat March Futures^	2/2015	USD		1,298,794			(45,779	)
CitiBank	Hard Red Winter Wheat March Futures^	2/2015	USD		(1,172,469	)		(80,505	)
Barclays Capital	Heating Oil ULSD January Futures^	2/2015	USD		(1,693,440	)		153,216
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(3,132,709	)		283,294
Barclays Capital	Heating Oil ULSD December Futures^	1/2015	USD		1,721,160			(151,361	)
Barclays Capital	Heating Oil ULSD December Futures^	1/2015	USD		(2,035,152	)		465,337

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

AQR Funds Annual Report December 2014

131

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	H-SHARES Index January Futures	1/2015	HKD		14,211,210			$ 22,658
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		1,934,384			(212,944	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(2,111,890	)		98,130
CitiBank	LME Aluminum March Futures^	3/2015	USD		553,506			(45,100	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		(546,600	)		38,194
CitiBank	LME Copper March Futures^	2/2015	USD		(3,743,750	)		211,875
CitiBank	LME Nickel March Futures^	3/2015	USD		195,180			(13,512	)
Bank of America	MSCI Taiwan Stock Index January Futures	1/2015	USD		2,707,095			37,705
CitiBank	Platinum April Futures^	3/2015	USD		(4,316,236	)		(37,964	)
Bank of America	SGX S&P CNX Nifty Index January Futures	1/2015	USD		3,195,271			14,585
Barclays Capital	Silver March Futures^	2/2015	USD		(165,490	)		9,495
Barclays Capital	Silver March Futures^	2/2015	USD		163,950			(7,957	)
CitiBank	Silver March Futures^	2/2015	USD		1,678,875			(118,975	)
CitiBank	Silver March Futures^	2/2015	USD		(5,106,937	)		193,253
CitiBank	Soybean March Futures^	2/2015	USD		1,875,574			(33,263	)
CitiBank	Soybean March Futures^	2/2015	USD		(934,042	)		12,888
CitiBank	Soybean Meal March Futures^	2/2015	USD		1,383,546			(27,906	)
CitiBank	Soybean Oil March Futures^	2/2015	USD		(3,066,250	)		(19,190	)
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		(1,639,820	)		257,516
Bank of America	Swiss Market Index March Futures	3/2015	CHF		9,955,787			201,805
Bank of America	Taiwan Stock Exchange January Futures	1/2015	TWD		10,804,242			10,479
Bank of America	U.S. Treasury 2-Year Note March Futures	3/2015	USD		97,684,975			(192,163	)
Bank of America	U.S. Treasury 5-Year Note March Futures	3/2015	USD		27,728,392			(17,775	)
CitiBank	Wheat March Futures^	2/2015	USD		7,659,574			(51,782	)
CitiBank	Wheat March Futures^	2/2015	USD		(7,159,500	)		(683,953	)
Barclays Capital	WTI Crude January Futures^	2/2015	USD		570,540			(37,833	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(4,469,936	)		581,157
CitiBank	WTI Crude January Futures^	2/2015	USD		390,262			(17,370	)
Barclays Capital	WTI Crude January Futures^	2/2015	USD		(612,200	)		79,486
								$2,116,945

Money Market Fund is pledged as collateral to CitiBank and Goldman Sachs for total return swap contracts in the amount of $2,490,014 and $10,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America, Barclays Capital and Deutsche Bank for total return swap contracts in the amount of $270,000, $700,000 and $300,000, respectively at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
4	Goldman Sachs	Cocoa Futures^		3/2015		$120,966		$123,441		$2,475
2	Goldman Sachs	Hard Red Winter Wheat future^		3/2015		68,850		62,650		(6,200	)
1	J.P. Morgan	LME Aluminum Futures^		1/2015		48,552		45,775		(2,777	)
4	J.P. Morgan	LME Aluminum Futures^		1/2015		192,840		183,146		(9,694	)
2	J.P. Morgan	LME Aluminum Futures^		1/2015		100,169		91,687		(8,482	)
3	J.P. Morgan	LME Aluminum Futures^		1/2015		150,291		137,531		(12,760	)
6	J.P. Morgan	LME Aluminum Futures^		2/2015		305,699		275,597		(30,102	)
2	J.P. Morgan	LME Aluminum Futures^		2/2015		103,255		91,875		(11,380	)
4	J.P. Morgan	LME Aluminum Futures^		2/2015		201,409		183,844		(17,565	)
3	J.P. Morgan	LME Aluminum Futures^		3/2015		148,209		138,293		(9,916	)
2	J.P. Morgan	LME Aluminum Futures^		3/2015		98,706		92,282		(6,424	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		49,003		46,158		(2,845	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		48,553		46,167		(2,386	)
4	J.P. Morgan	LME Aluminum Futures^		3/2015		191,661		184,806		(6,855	)

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

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132

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	J.P. Morgan	LME Aluminum Futures^		3/2015		$ 94,856		$ 92,420		$ (2,436	)
3	J.P. Morgan	LME Copper Futures^		1/2015		499,806		477,557		(22,249	)
2	J.P. Morgan	LME Copper Futures^		1/2015		335,454		318,285		(17,169	)
1	J.P. Morgan	LME Copper Futures^		1/2015		169,647		158,377		(11,270	)
2	J.P. Morgan	LME Copper Futures^		1/2015		339,321		316,650		(22,671	)
1	J.P. Morgan	LME Copper Futures^		2/2015		166,971		157,938		(9,033	)
7	J.P. Morgan	LME Copper Futures^		3/2015		1,103,570		1,104,644		1,074
4	J.P. Morgan	LME Copper Futures^		3/2015		642,811		631,069		(11,742	)
2	J.P. Morgan	LME Copper Futures^		3/2015		321,656		315,600		(6,056	)
1	J.P. Morgan	LME Copper Futures^		3/2015		161,328		157,783		(3,545	)
2	J.P. Morgan	LME Copper Futures^		3/2015		317,756		315,500		(2,256	)
3	J.P. Morgan	LME Copper Futures^		3/2015		473,334		473,175		(159	)
1	J.P. Morgan	LME Copper Futures^		3/2015		159,303		157,625		(1,678	)
2	J.P. Morgan	LME Zinc Futures^		1/2015		115,604		108,356		(7,248	)
2	J.P. Morgan	LME Zinc Futures^		1/2015		115,629		108,363		(7,266	)
1	J.P. Morgan	LME Zinc Futures^		1/2015		58,125		54,188		(3,937	)
6	J.P. Morgan	LME Zinc Futures^		1/2015		350,470		325,144		(25,326	)
2	J.P. Morgan	LME Zinc Futures^		1/2015		108,404		108,400		(4	)
2	J.P. Morgan	LME Zinc Futures^		1/2015		111,569		108,390		(3,179	)
1	J.P. Morgan	LME Zinc Futures^		1/2015		56,233		54,180		(2,053	)
2	J.P. Morgan	LME Zinc Futures^		1/2015		112,017		108,351		(3,666	)
5	J.P. Morgan	LME Zinc Futures^		1/2015		281,885		270,854		(11,031	)
2	J.P. Morgan	LME Zinc Futures^		2/2015		112,048		108,346		(3,702	)
3	J.P. Morgan	LME Zinc Futures^		2/2015		167,576		162,544		(5,032	)
1	J.P. Morgan	LME Zinc Futures^		2/2015		56,502		54,281		(2,221	)
2	J.P. Morgan	LME Zinc Futures^		3/2015		107,856		108,840		984
1	J.P. Morgan	LME Zinc Futures^		3/2015		56,172		54,413		(1,759	)
2	J.P. Morgan	LME Zinc Futures^		3/2015		106,506		108,850		2,344
1	J.P. Morgan	LME Zinc Futures^		3/2015		54,153		54,381		228
28	Goldman Sachs	Soybean Futures^		3/2015		1,465,456		1,432,900		(32,556	)
29	Goldman Sachs	Soybean Meal Futures^		3/2015		1,036,444		1,008,040		(28,404	)
322	J.P. Morgan	90-Day Sterling Futures		9/2016		61,752,351		61,974,573		222,222
40	Barclays Capital	Amsterdam Index Futures		1/2015		4,120,837		4,114,170		(6,667	)
17	Barclays Capital	DAX Index Futures		3/2015		4,961,154		5,062,229		101,075
154	Barclays Capital	DJIA Mini E-CBOT Futures		3/2015		13,318,444		13,669,040		350,596
64	Barclays Capital	E-Mini Russell 2000 Futures		3/2015		7,606,807		7,684,480		77,673
27	Barclays Capital	Euro Stoxx 50 Index		3/2015		1,031,513		1,023,593		(7,920	)
8	Barclays Capital	Hang Seng Index Futures		1/2015		1,231,262		1,219,862		(11,400	)
39	Barclays Capital	H-SHARES Index Futures		1/2015		3,002,070		3,014,778		12,708
5	Barclays Capital	IBEX 35 Index Futures		1/2015		613,825		619,805		5,980
29	Barclays Capital	MSCI Singapore Index Futures		1/2015		1,660,326		1,670,842		10,516
134	Barclays Capital	NASDAQ 100 E-Mini Futures		3/2015		11,173,899		11,343,770		169,871
117	Barclays Capital	S&P 500 E-Mini Futures		3/2015		11,755,173		12,006,541		251,368
77	Barclays Capital	S&P MID 400 E-Mini Futures		3/2015		10,979,359		11,154,220		174,861
18	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		2,590,813		2,638,802		47,989
107	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		1,785,393		1,788,826		3,433
83	Barclays Capital	TOPIX Index Futures		3/2015		9,647,034		9,753,089		106,055
450	J.P. Morgan	10-Year Japanese Government Bond		3/2015		55,185,943		55,541,826		355,883
59	J.P. Morgan	3-Month Euro Euribor Futures		12/2015		17,831,472		17,838,422		6,950
123	J.P. Morgan	3-Month Euro Euribor Futures		3/2016		37,159,886		37,184,855		24,969
182	J.P. Morgan	3-Month Euro Euribor Futures		6/2016		54,960,289		55,013,234		52,945
237	J.P. Morgan	3-Month Euro Euribor Futures		9/2016		71,571,520		71,620,181		48,661
234	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		70,655,327		70,695,900		40,573
31	J.P. Morgan	90-Day EURODollar Futures		12/2015		7,685,735		7,679,088		(6,647	)
23	J.P. Morgan	90-Day EURODollar Futures		3/2016		5,686,554		5,682,150		(4,404	)
31	J.P. Morgan	90-Day EURODollar Futures		6/2016		7,645,791		7,639,175		(6,616	)
53	J.P. Morgan	90-Day EURODollar Futures		9/2016		13,043,452		13,029,387		(14,065	)
83	J.P. Morgan	90-Day EURODollar Futures		12/2016		20,396,289		20,361,975		(34,314	)
307	J.P. Morgan	90-Day Sterling Futures		6/2015		59,259,104		59,428,489		169,385
320	J.P. Morgan	90-Day Sterling Futures		9/2015		61,695,509		61,895,129		199,620
332	J.P. Morgan	90-Day Sterling Futures		12/2015		63,933,695		64,151,515		217,820

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

AQR Funds Annual Report December 2014

133

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
339	J.P. Morgan	90-Day Sterling Futures		3/2016		$ 65,209,040			$ 65,418,241			$ 209,201
344	J.P. Morgan	90-Day Sterling Futures		6/2016		66,079,655			66,295,993			216,338
312	J.P. Morgan	90-Day Sterling Futures		12/2016		59,896,290			59,976,961			80,671
148	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		15,288,232			15,483,401			195,169
736	J.P. Morgan	Australia 3-Year Bond Futures		3/2015		66,638,362			66,865,930			227,568
181	J.P. Morgan	Canadian 10-Year Bond Futures		3/2015		21,275,582			21,580,410			304,828
186	J.P. Morgan	Euro-Bobl Futures		3/2015		29,176,279			29,322,028			145,749
73	J.P. Morgan	Euro-Bund Futures		3/2015		13,525,148			13,768,566			243,418
23	J.P. Morgan	Euro-Buxl 30-Year Bond Futures		3/2015		4,127,283			4,313,271			185,988
59	J.P. Morgan	Long Gilt Futures		3/2015		10,755,499			10,991,668			236,169
107	J.P. Morgan	U.S. Long Bond Futures		3/2015		15,093,039			15,468,188			375,149
229	J.P. Morgan	U.S. Treasury 10-Year Note Futures		3/2015		28,969,601			29,036,484			66,883
110	J.P. Morgan	U.S. Treasury 5-Year Note Futures		3/2015		13,126,985			13,082,266			(44,719	)
						1,114,188,446			1,118,822,049			4,633,603
Short Contracts:
72	Goldman Sachs	Brent Crude Futures^		1/2015		(5,010,980	)		(4,127,760	)		883,220
2	Goldman Sachs	Cocoa Futures^		3/2015		(57,646	)		(58,200	)		(554	)
51	Goldman Sachs	Cotton No. 2 Futures^		3/2015		(1,536,725	)		(1,536,885	)		(160	)
108	Goldman Sachs	Gas Oil Futures^		2/2015		(6,070,969	)		(5,629,500	)		441,469
3	Goldman Sachs	Gasoline RBOB Futures^		1/2015		(203,948	)		(185,485	)		18,463
19	Goldman Sachs	Gold 100 OZ Futures^		2/2015		(2,274,991	)		(2,249,790	)		25,201
21	Goldman Sachs	Heating Oil ULSD Futures^		1/2015		(1,754,926	)		(1,617,235	)		137,691
47	Goldman Sachs	Live Cattle Futures^		2/2015		(1,582,649	)		(1,526,560	)		56,089
1	J.P. Morgan	LME Aluminum Futures^		1/2015		(48,552	)		(45,775	)		2,777
4	J.P. Morgan	LME Aluminum Futures^		1/2015		(191,921	)		(183,146	)		8,775
2	J.P. Morgan	LME Aluminum Futures^		1/2015		(100,496	)		(91,688	)		8,808
3	J.P. Morgan	LME Aluminum Futures^		1/2015		(150,443	)		(137,531	)		12,912
6	J.P. Morgan	LME Aluminum Futures^		2/2015		(304,075	)		(275,597	)		28,478
2	J.P. Morgan	LME Aluminum Futures^		2/2015		(103,140	)		(91,875	)		11,265
4	J.P. Morgan	LME Aluminum Futures^		2/2015		(202,567	)		(183,844	)		18,723
3	J.P. Morgan	LME Aluminum Futures^		3/2015		(148,191	)		(138,293	)		9,898
2	J.P. Morgan	LME Aluminum Futures^		3/2015		(98,521	)		(92,282	)		6,239
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(48,956	)		(46,158	)		2,798
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(48,630	)		(46,167	)		2,463
4	J.P. Morgan	LME Aluminum Futures^		3/2015		(192,183	)		(184,805	)		7,378
13	J.P. Morgan	LME Aluminum Futures^		3/2015		(631,325	)		(600,844	)		30,481
2	J.P. Morgan	LME Aluminum Futures^		3/2015		(94,876	)		(92,420	)		2,456
3	J.P. Morgan	LME Copper Futures^		1/2015		(498,724	)		(477,557	)		21,167
2	J.P. Morgan	LME Copper Futures^		1/2015		(335,545	)		(318,285	)		17,260
1	J.P. Morgan	LME Copper Futures^		1/2015		(170,073	)		(158,377	)		11,696
2	J.P. Morgan	LME Copper Futures^		1/2015		(338,420	)		(316,650	)		21,770
1	J.P. Morgan	LME Copper Futures^		2/2015		(166,497	)		(157,937	)		8,560
7	J.P. Morgan	LME Copper Futures^		3/2015		(1,102,430	)		(1,104,644	)		(2,214	)
4	J.P. Morgan	LME Copper Futures^		3/2015		(642,407	)		(631,069	)		11,338
2	J.P. Morgan	LME Copper Futures^		3/2015		(321,587	)		(315,600	)		5,987
1	J.P. Morgan	LME Copper Futures^		3/2015		(161,552	)		(157,784	)		3,768
2	J.P. Morgan	LME Copper Futures^		3/2015		(317,651	)		(315,500	)		2,151
41	J.P. Morgan	LME Copper Futures^		3/2015		(6,534,033	)		(6,465,700	)		68,333
3	J.P. Morgan	LME Copper Futures^		3/2015		(474,455	)		(473,175	)		1,280
1	J.P. Morgan	LME Copper Futures^		3/2015		(158,794	)		(157,625	)		1,169
54	Goldman Sachs	LME Copper Futures^		3/2015		(3,909,742	)		(3,814,425	)		95,317
2	J.P. Morgan	LME Zinc Futures^		1/2015		(115,609	)		(108,357	)		7,252
2	J.P. Morgan	LME Zinc Futures^		1/2015		(115,783	)		(108,362	)		7,421
1	J.P. Morgan	LME Zinc Futures^		1/2015		(57,904	)		(54,187	)		3,717
6	J.P. Morgan	LME Zinc Futures^		1/2015		(349,937	)		(325,144	)		24,793
2	J.P. Morgan	LME Zinc Futures^		1/2015		(109,487	)		(108,400	)		1,087
2	J.P. Morgan	LME Zinc Futures^		1/2015		(111,627	)		(108,391	)		3,236
1	J.P. Morgan	LME Zinc Futures^		1/2015		(56,148	)		(54,181	)		1,967
2	J.P. Morgan	LME Zinc Futures^		1/2015		(113,186	)		(108,351	)		4,835
5	J.P. Morgan	LME Zinc Futures^		1/2015		(281,666	)		(270,854	)		10,812
2	J.P. Morgan	LME Zinc Futures^		2/2015		(111,133	)		(108,346	)		2,787
3	J.P. Morgan	LME Zinc Futures^		2/2015		(168,021	)		(162,544	)		5,477

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

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Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	J.P. Morgan	LME Zinc Futures^		2/2015		$ (56,323	)		$ (54,282	)		$ 2,041
2	J.P. Morgan	LME Zinc Futures^		3/2015		(108,062	)		(108,840	)		(778	)
6	J.P. Morgan	LME Zinc Futures^		3/2015		(321,323	)		(326,474	)		(5,151	)
2	J.P. Morgan	LME Zinc Futures^		3/2015		(106,515	)		(108,850	)		(2,335	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		(53,610	)		(54,382	)		(772	)
89	Goldman Sachs	Natural Gas Futures^		1/2015		(3,296,167	)		(2,571,210	)		724,957
4	Goldman Sachs	Platinum Futures^		4/2015		(241,399	)		(241,900	)		(501	)
10	Goldman Sachs	Silver Futures^		3/2015		(796,067	)		(779,950	)		16,117
12	Goldman Sachs	Soybean Oil Futures^		3/2015		(231,385	)		(231,408	)		(23	)
539	Goldman Sachs	Sugar #11 (World Markets) Futures^		2/2015		(9,738,967	)		(8,765,434	)		973,533
22	Barclays Capital	CAC40 Index Futures		1/2015		(1,088,414	)		(1,138,584	)		(50,170	)
15	Barclays Capital	FTSE 100 Index Futures		3/2015		(1,462,284	)		(1,524,895	)		(62,611	)
38	J.P. Morgan	FTSE/JSE Top 40 Index Futures		3/2015		(1,391,935	)		(1,453,873	)		(61,938	)
5	Barclays Capital	FTSE/MIB Index Futures		3/2015		(559,666	)		(576,861	)		(17,195	)
62	Barclays Capital	KOSPI Index 200 Futures		3/2015		(6,960,471	)		(6,881,681	)		78,790
44	Barclays Capital	SPI 200 Index Futures		3/2015		(4,610,209	)		(4,834,149	)		(223,940	)
80	J.P. Morgan	3-Month Euro Euribor Futures		6/2015		(24,181,231	)		(24,187,692	)		(6,461	)
2	J.P. Morgan	3-Month Euro Euribor Futures		9/2015		(604,538	)		(604,722	)		(184	)
113	J.P. Morgan	90-Day EURODollar Futures		6/2015		(28,121,785	)		(28,127,112	)		(5,327	)
5	J.P. Morgan	90-Day EURODollar Futures		9/2015		(1,241,241	)		(1,241,875	)		(634	)
6	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		3/2015		(1,274,229	)		(1,274,122	)		107
65	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		6/2015		(13,804,444	)		(13,800,891	)		3,553
36	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		6/2015		(9,064,329	)		(9,076,041	)		(11,712	)
9	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		9/2015		(2,265,874	)		(2,269,689	)		(3,815	)
						(149,159,589	)		(145,758,202	)		3,401,387
						$965,028,857			$973,063,847			$8,034,990

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $3,918,820 and $1,560,871, respectively at December 31, 2014. Cash held as collateral for Goldman Sachs for futures contracts was $608,392 at December 31, 2014.

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

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		7,096,500		$6,218,694		$6,098,516		$(120,178	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		7,096,500		6,218,686		6,098,516		(120,170	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		1,000		1,008		1,007		(1	)
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		23,650,000		1,064,745		1,034,083		(30,662	)
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		23,750,000		1,068,825		1,038,455		(30,370	)
Euro, Expiring 03/18/15	CitiBank	EUR		20,618,500		25,627,513		24,965,952		(661,561	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		20,658,500		25,676,258		25,014,385		(661,873	)
British Pound, Expiring 03/18/15	CitiBank	GBP		3,786,000		5,931,733		5,897,444		(34,289	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		3,786,000		5,931,635		5,897,444		(34,191	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		530,000		$ 68,336		$ 68,344		$ 8
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		453,500,000		1,826,469		1,730,119		(96,350	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		453,500,000		1,826,439		1,730,119		(96,320	)
Indonesian Rupiah, Expiring 03/18/15*	CitiBank	IDR		545,000,000		43,491		43,434		(57	)
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		545,000,000		43,491		43,434		(57	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		350,000		88,471		89,756		1,285
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		350,000		88,489		89,756		1,267
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		231,500,000		3,655,835		3,612,658		(43,177	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		234,500,000		3,702,437		3,659,473		(42,964	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		2,807,053,500		23,796,048		23,450,195		(345,853	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		2,807,199,500		23,796,091		23,451,415		(344,676	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		5,612,000,001		5,077,043		5,088,726		11,683
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		5,612,000,000		5,077,065		5,088,726		11,661
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		23,250,000		1,571,970		1,568,779		(3,191	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		23,250,000		1,572,350		1,568,779		(3,571	)
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		1,150,000		330,128		326,949		(3,179	)
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		1,150,000		330,135		326,949		(3,186	)
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		13,830,500		2,003,676		1,851,884		(151,792	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		13,830,500		2,003,595		1,851,884		(151,711	)
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		31,299,500		24,053,807		24,244,027		190,220
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		31,299,500		24,053,979		24,244,026		190,047
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		110,500,000		2,464,196		2,461,846		(2,350	)
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		110,500,000		2,464,195		2,461,846		(2,349	)
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		8,100,000		2,395,813		2,280,438		(115,375	)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		8,100,000		2,395,743		2,280,438		(115,305	)
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		8,700,000		126,158		137,382		11,224
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		8,700,000		127,235		137,382		10,147
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		14,635,000		1,965,847		1,877,850		(87,997	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		14,635,000		1,965,817		1,877,850		(87,967	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		2,520,000		1,919,518		1,900,008		(19,510	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		2,520,000		1,919,369		1,900,008		(19,361	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		9,029,000		3,947,340		3,806,181		(141,159	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		9,029,000			$ 3,947,631			$ 3,806,178			$ (141,453	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		46,500,000			1,495,892			1,472,087			(23,805	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		46,500,000			1,495,892			1,472,087			(23,805	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		44,165,000			3,871,995			3,772,974			(99,021	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		44,165,000			3,871,980			3,772,974			(99,006	)
							$239,123,063			$235,592,763			$(3,530,300	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		(28,966,500	)		$(23,941,111	)		$(23,524,937	)		$416,174
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(28,966,500	)		(23,942,299	)		(23,524,938	)		417,361
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(2,980,000	)		(1,111,878	)		(1,099,066	)		12,812
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(2,980,000	)		(1,111,855	)		(1,099,066	)		12,789
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		(14,045,500	)		(12,143,003	)		(12,070,274	)		72,729
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(14,045,500	)		(12,143,211	)		(12,070,274	)		72,937
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		(8,000	)		(8,213	)		(8,057	)		156
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(387,000	)		(399,240	)		(389,782	)		9,458
Chilean Peso, Expiring 03/18/15*	CitiBank	CLP		(549,500,000	)		(892,787	)		(899,169	)		(6,382	)
Chilean Peso, Expiring 03/18/15*	Credit Suisse International	CLP		(549,500,000	)		(892,789	)		(899,169	)		(6,380	)
Columbian Peso, Expiring 03/18/15*	CitiBank	COP		(1,186,500,000	)		(518,142	)		(497,370	)		20,772
Columbian Peso, Expiring 03/18/15*	Credit Suisse International	COP		(1,186,500,000	)		(518,142	)		(497,370	)		20,772
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		(24,700,000	)		(1,113,394	)		(1,079,992	)		33,402
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		(24,700,000	)		(1,113,383	)		(1,079,992	)		33,391
Euro, Expiring 03/18/15	CitiBank	EUR		(19,283,502	)		(23,779,167	)		(23,349,468	)		429,699
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(19,284,501	)		(23,780,468	)		(23,350,677	)		429,791
British Pound, Expiring 03/18/15	CitiBank	GBP		(4,335,501	)		(6,773,839	)		(6,753,401	)		20,438
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(4,335,501	)		(6,773,889	)		(6,753,401	)		20,488
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		(606,500,000	)		(2,367,841	)		(2,313,820	)		54,021
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(606,500,000	)		(2,368,329	)		(2,313,820	)		54,509
Indonesian Rupiah, Expiring 03/18/15*	CitiBank	IDR		(450,000,000	)		(35,139	)		(35,862	)		(723	)
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		(450,000,000	)		(35,139	)		(35,862	)		(723	)

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

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137

Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		(9,875,000	)		$ (2,494,163	)		$ (2,532,382	)		$ (38,219	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(9,875,000	)		(2,494,139	)		(2,532,382	)		(38,243	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		(9,553,259,498	)		(79,982,192	)		(79,808,169	)		174,023
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(9,553,259,498	)		(79,983,061	)		(79,808,169	)		174,892
Korean Won, Expiring 03/18/15*	CitiBank	KRW		(260,000,000	)		(233,774	)		(235,757	)		(1,983	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(260,000,000	)		(233,781	)		(235,757	)		(1,976	)
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		(104,925,000	)		(7,364,244	)		(7,079,751	)		284,493
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(104,925,000	)		(7,365,339	)		(7,079,751	)		285,588
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		(7,060,000	)		(2,028,608	)		(2,007,184	)		21,424
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		(7,060,000	)		(2,028,610	)		(2,007,185	)		21,425
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		(110,685,500	)		(15,449,153	)		(14,820,633	)		628,520
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(110,685,500	)		(15,449,245	)		(14,820,634	)		628,611
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		(4,898,500	)		(3,759,001	)		(3,794,289	)		(35,288	)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(4,898,500	)		(3,760,001	)		(3,794,289	)		(34,288	)
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		(119,200,000	)		(2,659,800	)		(2,655,677	)		4,123
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		(119,200,000	)		(2,659,799	)		(2,655,677	)		4,122
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		(16,565,000	)		(4,806,788	)		(4,663,636	)		143,152
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(16,564,999	)		(4,806,350	)		(4,663,636	)		142,714
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		(8,700,000	)		(154,264	)		(137,382	)		16,882
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(8,700,000	)		(154,263	)		(137,382	)		16,881
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		(216,868,500	)		(28,670,117	)		(27,826,882	)		843,235
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(216,868,500	)		(28,670,396	)		(27,826,883	)		843,513
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		(1,990,500	)		(1,513,750	)		(1,500,781	)		12,969
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(1,990,500	)		(1,513,710	)		(1,500,781	)		12,929
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		(7,290,000	)		(3,048,855	)		(3,073,104	)		(24,249	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(7,290,000	)		(3,049,510	)		(3,073,104	)		(23,594	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		(114,950,000	)		(3,690,174	)		(3,639,064	)		51,110
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		(114,950,000	)		(3,690,321	)		(3,639,064	)		51,257
South African Rand, Expiring 03/18/15	CitiBank	ZAR		(34,200,000	)		(2,915,517	)		(2,921,673	)		(6,156	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(34,200,000	)		(2,916,190	)		(2,921,672	)		(5,482	)
							(463,308,373	)		(457,038,497	)		6,269,876
							$(224,185,310	)		$(221,445,734	)		$2,739,576

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

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Consolidated Schedule of Investments December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $11, at December 31, 2014. Additional cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $1,060,000 at December 31, 2014. Additional cash held as collateral at CitiBank for forward foreign currency exchange contracts in the amount of $2,720,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian 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

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 86.3%	SHARES		VALUE (Note 5)
COMMON STOCKS - 13.7%
Brazil - 1.1%
AMBEV SA ADR (1)		221,500	$	1,377,730
Banco Bradesco SA ADR (1)		174,860		2,337,878
Banco do Brasil SA (1)		100,100		895,108
BB Seguridade Participacoes SA (1)		35,600		430,704
BR Malls Participacoes SA (1)		30,100		186,044
BR Properties SA (1)		11,500		44,344
BRF SA ADR (1)(a)		27,600		644,460
Cia Brasileira de Distribuicao ADR (1)(a)		18,300		673,989
Cia Energetica de Minas Gerais ADR (1)(a)		131,577		653,938
Estacio Participacoes SA (1)		102,000		914,017
Fibria Celulose SA ADR (1)†(a)		26,100		316,593
Gerdau SA ADR (1)(a)		146,700		520,785
Itau Unibanco Holding SA ADR (1)		166,034		2,160,102
JBS SA (1)		154,293		650,095
Kroton Educacional SA (1)		280,000		1,632,684
Multiplan Empreendimentos Imobiliarios SA (1)		5,700		101,726
Petroleo Brasileiro SA ADR (1)(a)		170,000		1,288,600
Porto Seguro SA (1)		83,400		953,788
Qualicorp SA (1)†		53,100		555,331
Tim Participacoes SA ADR (1)(a)		33,800		750,698
Vale SA ADR (1)(a)		22,900		166,254
				17,254,868
Chile - 0.0% (b)
Banco de Chile (1)		812,591		94,153
Banco de Credito e Inversiones (1)		1,368		67,496
Enersis SA ADR (1)(a)		27,300		437,619
				599,268
China - 2.0%
Agricultural Bank of China Ltd., H Shares (a)		3,003,000		1,510,406
Bank of China Ltd., H Shares (a)		6,136,000		3,443,949
Bank of Communications Co., Ltd., H Shares (a)		596,000		554,143
Beijing Capital International Airport Co., Ltd., H Shares		160,000		127,545
China BlueChemical Ltd., H Shares (a)		542,000		191,694
China CITIC Bank Corp. Ltd., H Shares (a)		1,033,000		823,549
China Construction Bank Corp., H Shares (a)		4,752,000		3,881,351
China Merchants Bank Co., Ltd., H Shares (a)		151,500		378,167
China Petroleum & Chemical Corp. ADR (1)(a)		21,920		1,775,739
China Telecom Corp. Ltd., H Shares (a)		2,258,000		1,309,611
CNOOC Ltd. ADR (1)(a)		10,000		1,354,400
Country Garden Holdings Co., Ltd. (a)		329,000		131,277
CSPC Pharmaceutical Group Ltd. (a)		608,000		534,411
Dongfeng Motor Group Co., Ltd., H Shares (a)		1,318,000		1,843,649
Evergrande Real Estate Group Ltd.		295,000		118,879
GOME Electrical Appliances Holding Ltd. (a)		8,420,000		1,230,712
Guangzhou R&F Properties Co., Ltd., H Shares		69,600		84,739
Huaneng Power International, Inc., H Shares (a)		514,000		694,539
Industrial & Commercial Bank of China Ltd., H Shares (a)		4,824,000		3,522,448
Longfor Properties Co., Ltd.		73,000		93,597
PetroChina Co., Ltd. ADR (1)(a)		10,200		1,131,792
Sihuan Pharmaceutical Holdings Group Ltd. (a)		1,578,000		1,049,620

	SHARES		VALUE (Note 5)
China - 2.0% (continued)
Sino-Ocean Land Holdings Ltd.		136,500	$	76,963
Sinopec Shanghai Petrochemical Co., Ltd., H Shares (a)		3,121,000		909,416
SOHO China Ltd.		39,000		27,507
Tencent Holdings Ltd. (a)		211,000		3,052,944
Zhejiang Expressway Co., Ltd., H Shares (a)		428,000		495,651
				30,348,698
France - 0.1%
Lafarge SA (a)		13,675		959,986
Hong Kong - 0.8%
China Gas Holdings Ltd. (a)		524,000		820,625
China Mobile Ltd. ADR (1)		112,500		6,617,250
China Overseas Land & Investment Ltd. (a)		296,000		875,636
China Resources Land Ltd. (a)		146,000		383,691
China Resources Power Holdings Co., Ltd. (a)		352,000		897,855
Guangdong Investment Ltd . (a)		268,000		348,643
Shimao Property Holdings Ltd. (a)		102,500		226,997
Shougang Fushan Resources Group Ltd. (a)		388,000		84,297
Sino Biopharmaceutical Ltd. (a)		2,368,000		2,133,819
Yuexiu Property Co., Ltd.		354,000		67,740
				12,456,553
India - 0.5%
Dr. Reddy’s Laboratories Ltd. ADR (1)(a)		21,500		1,084,675
Infosys Ltd. ADR (1)		70,200		2,208,492
Tata Motors Ltd. ADR (1)		84,300		3,564,204
Wipro Ltd. ADR (1)(a)		105,557		1,194,905
				8,052,276
Indonesia - 0.4%
Adaro Energy Tbk PT		6,765,300		564,461
Astra Agro Lestari Tbk PT		106,000		207,122
Bank Negara Indonesia Persero Tbk PT		2,134,400		1,045,845
Bank Rakyat Indonesia Persero Tbk PT		1,111,300		1,044,600
Bumi Serpong Damai Tbk PT		513,800		74,574
Indo Tambangraya Megah Tbk PT		38,700		47,733
Indocement Tunggal Prakarsa Tbk PT		63,400		127,925
Indofood Sukses Makmur Tbk PT		1,202,600		655,639
Lippo Karawaci Tbk PT		1,115,100		91,554
Perusahaan Gas Negara Persero Tbk PT		1,974,500		955,506
Telekomunikasi Indonesia Persero Tbk PT ADR (1)		28,500		1,289,055
				6,104,014
Japan - 0.2%
Tokyo Electron Ltd. (a)		43,091		3,267,600
Korea, Republic of - 1.4%
Amorepacific Corp. †		402		811,583
AMOREPACIFIC Group †		415		375,343
Coway Co., Ltd. †		6,809		519,197
DGB Financial Group, Inc. †		6,960		71,543
Dongbu Insurance Co., Ltd. †		21,268		1,062,077
Hana Financial Group, Inc.		1,981		57,374
Hanwha Corp. †		9,693		274,052
Hanwha Life Insurance Co., Ltd. †		34,763		262,648
Hyosung Corp. †		11,899		738,451
Hyundai Department Store Co., Ltd. †		3,150		350,358
Hyundai Development Co.-Engineering & Construction †		15,243		534,478
Hyundai Mobis Co., Ltd. †		6,387		1,366,478

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Korea, Republic of - 1.4% (continued)
Industrial Bank of Korea †		38,092	$	487,295
Korea Electric Power Corp. †		48,797		1,880,296
Korea Zinc Co., Ltd. †		2,380		869,929
Korean Air Lines Co., Ltd. †		37,714		1,617,706
KT Corp. ADR (1)		6,400		90,368
LG Display Co., Ltd. ADR (1)†		82,100		1,243,815
Mirae Asset Securities Co., Ltd. †		10,922		424,726
NAVER Corp. †		1,559		998,438
Samsung Card Co., Ltd. †		15,756		633,444
Samsung Fire & Marine Insurance Co., Ltd. †		1,706		437,783
Shinhan Financial Group Co., Ltd. †		9,780		393,108
SK Holdings Co., Ltd. †		7,811		1,159,370
SK Hynix, Inc. †		74,126		3,167,806
SK Networks Co., Ltd. †		50,556		407,518
SK Telecom Co., Ltd. ADR (1)		61,400		1,658,414
				21,893,598
Malaysia - 0.3%
Alliance Financial Group Bhd		124,000		166,637
Genting Malaysia Bhd		87,500		101,607
Hong Leong Bank Bhd		3,900		15,583
IOI Corp. Bhd		334,200		458,658
Malayan Banking Bhd		146,800		384,443
MISC Bhd		251,200		518,276
Petronas Chemicals Group Bhd		181,400		282,121
RHB Capital Bhd		25,700		55,870
Tenaga Nasional Bhd		755,900		2,977,078
UEM Sunrise Bhd		109,900		44,045
				5,004,318
Mexico - 0.8%
Alfa SAB de CV, Class A (1)†(a)		417,500		932,133
America Movil SAB de CV, Class L ADR (1)(a)		224,200		4,972,756
Arca Continental SAB de CV (1)†(a)		164,400		1,040,081
Cemex SAB de CV ADR (1)†		47,112		480,071
Compartamos SAB de CV (1)†(a)		633,100		1,272,315
Fibra Uno Administracion SA de CV REIT (1)(a)		139,100		409,934
Fomento Economico Mexicano SAB de CV ADR (1)†(a)		7,700		677,831
Gruma SAB de CV, Class B (1)(a)		62,600		667,507
Grupo Aeroportuario del Pacifico SAB de CV ADR (1)(a)		2,200		139,040
Grupo Bimbo SAB de CV, Series A (1)†(a)		159,944		441,225
Grupo Financiero Inbursa SAB de CV, Class O (1)		75,500		194,868
Grupo Lala SAB de CV (1)		42,200		81,318
Grupo Televisa SAB ADR (1)†(a)		24,200		824,252
Industrias Penoles SAB de CV (1)		2,670		52,212
Kimberly-Clark de Mexico SAB de CV, Class A (1)(a)		147,700		321,253
Mexichem SAB de CV (1)†(a)		75,700		229,916
OHL Mexico SAB de CV (1)†		63,200		117,158
				12,853,870
Peru - 0.1%
Cia de Minas Buenaventura SAA ADR (1)(a)		9,100		86,996
Credicorp Ltd. (1)(a)		3,200		512,576
				599,572

	SHARES		VALUE (Note 5)
Poland - 0.4%
Bank Pekao SA		2,081	$	104,583
Bank Zachodni WBK SA		6,599		695,867
Jastrzebska Spolka Weglowa SA †		6,858		32,264
KGHM Polska Miedz SA		20,465		623,874
Orange Polska SA		256,316		598,903
PGE Polska Grupa Energetyczna SA		494,516		2,614,619
Polskie Gornictwo Naftowe i Gazownictwo SA		373,963		466,351
Powszechny Zaklad Ubezpieczen SA		1,891		258,069
Tauron Polska Energia SA		263,663		372,812
				5,767,342
South Africa - 0.8%
African Rainbow Minerals Ltd.		14,945		153,042
AngloGold Ashanti Ltd. ADR (1)†(a)		65,100		566,370
FirstRand Ltd.		182,979		795,448
Growthpoint Properties Ltd. REIT		98,764		234,663
Investec Ltd.		107,728		902,838
Liberty Holdings Ltd.		39,539		418,984
MMI Holdings Ltd.		236,680		613,954
MTN Group Ltd.		113,877		2,166,229
Naspers Ltd., N Shares		11,903		1,539,715
Netcare Ltd.		68,618		224,251
Northam Platinum Ltd. †		29,409		92,703
Redefine Properties Ltd. REIT		197,093		182,299
Remgro Ltd.		19,213		420,317
RMB Holdings Ltd.		162,799		899,052
Sanlam Ltd.		152,387		916,956
Sasol Ltd. ADR (1)(a)		30,200		1,146,694
Vodacom Group Ltd.		4,962		54,906
Woolworths Holdings Ltd.		179,260		1,188,805
				12,517,226
Taiwan - 1.5%
Advanced Semiconductor Engineering, Inc.		164,000		194,771
AU Optronics Corp.		2,127,000		1,079,596
Chicony Electronics Co., Ltd.		177,087		493,120
China Motor Corp.		211,000		186,371
CTBC Financial Holding Co., Ltd.		1,280,690		828,540
Delta Electronics, Inc.		59,000		348,645
Far EasTone Telecommunications Co., Ltd.		33,000		76,024
Fubon Financial Holding Co., Ltd.		1,797,297		2,860,810
Hon Hai Precision Industry Co., Ltd.		936,052		2,584,921
Inotera Memories, Inc. †		2,836,000		4,449,678
Inventec Corp.		920,000		615,296
Kinsus Interconnect Technology Corp.		423,000		1,397,643
Largan Precision Co., Ltd.		42,000		3,143,963
Lite-On Technology Corp.		103,535		118,276
MediaTek, Inc.		120,176		1,747,050
President Chain Store Corp.		140,000		1,081,335
Realtek Semiconductor Corp.		225,833		749,951
Ruentex Development Co., Ltd.		48,000		75,868
Taiwan Cooperative Financial Holding Co., Ltd.		113,804		58,503
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)(a)		44,700		1,000,386
Uni-President Enterprises Corp.		402,642		636,743
Walsin Lihwa Corp. †		249,000		78,098
				23,805,588
Thailand - 0.2%
Airports of Thailand PCL NVDR		175,000		1,490,964
Bangkok Bank PCL NVDR		22,000		129,219

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Thailand - 0.2% (continued)
BEC World PCL NVDR		209,700	$	324,541
Bumrungrad Hospital PCL NVDR		18,600		79,363
Kasikornbank PCL NVDR		27,600		190,888
Krung Thai Bank PCL NVDR		1,197,000		821,210
PTT Exploration & Production PCL NVDR		191,200		647,477
				3,683,662
Turkey - 0.4%
BIM Birlesik Magazalar AS		49,236		1,052,906
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		116,228		137,471
Enka Insaat ve Sanayi AS		201,860		455,510
Eregli Demir ve Celik Fabrikalari TAS		281,143		534,900
Koza Altin Isletmeleri AS		82,071		548,733
TAV Havalimanlari Holding AS		162,076		1,323,132
Turkiye Halk Bankasi AS		176,886		1,047,800
Turkiye Is Bankasi, Class C		78,680		226,238
Turkiye Sise ve Cam Fabrikalari AS		124,992		194,132

	SHARES		VALUE (Note 5)
Turkey - 0.4% (continued)
Turkiye Vakiflar Bankasi Tao, Class D		312,023	$	648,977
				6,169,799
United States - 2.7%
Cubist Pharmaceuticals, Inc. (1)†		113,785		11,452,460
Herbalife Ltd. (1)(a)		2,771		104,467
Regeneron Pharmaceuticals, Inc. (1)†		60,884		24,977,661
Sirius XM Holdings, Inc. (1)†		1,507,206		5,275,221
Southern Copper Corp. (1)(a)		8,101		228,448
				42,038,257
TOTAL COMMON STOCKS (cost $205,282,290)				213,376,495
PREFERRED STOCKS - 0.1%
Brazil - 0.1%
Cia Energetica de Sao Paulo, Series B (1)
(cost $781,503)		86,600		873,428

CONVERTIBLE PREFERRED STOCKS - 4.1%					SHARES		VALUE (Note 5)
United States - 4.1%
Alcoa, Inc., Series 1, $50.00 par, 5.375% 10/01/17 (1) †						16,075	$	810,984
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1) (c)						30,900		3,476,250
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% 05/17/15 †(a)(c)(d)						400		414,250
Dominion Resources, Inc., $50.00 par, 6.375% 07/01/17 (1) †						19,150		995,991
Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1)						101,200		6,073,012
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1) †						179,350		10,782,522
NextEra Energy, Inc., $50.00 par, 5.599% 06/01/15 (1) †						139,250		9,545,588
NextEra Energy, Inc., $50.00 par, 5.799% 09/01/16 (1) †						95,325		5,499,299
NextEra Energy, Inc., $50.00 par, 5.889% 09/01/15 (1) †						169,900		11,373,106
Omnicare Capital Trust II, Series B, $50.00 par, 4.000% 06/15/33 †						4,950		441,633
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500% 02/15/19 †(a)(c)(d)						22,177		1,858,710
T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1) †						160,075		8,482,374
Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1)						93,500		4,706,790
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $58,956,910)								64,460,509
CORPORATE BONDS - 0.1%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)
United States - 0.1%
Forest Oil Corp. (a) (cost $3,964,123)		7.250%		06/15/19	$	3,950		1,422,000
CONVERTIBLE BONDS - 26.5%
Canada - 0.1%
Element Financial Corp. 144A (a)(d)		5.125%		06/30/19		1,550		1,440,868
Cayman Islands - 0.1%
Herbalife Ltd. 144A (d)		2.000%		08/15/19		3,000		2,205,000
Malta - 0.1%
Lufthansa Malta Blues LP, Series JBLU 144A (a)(d)		0.750%		04/05/17		475		1,494,067
Mexico - 0.0% (b)
Cemex SAB de CV		3.750%		03/15/18		350		421,969

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Monaco - 0.1%
Scorpio Tankers, Inc. 144A (a)(d)		2.375%		07/01/19	$	1,050	$	1,000,781
Netherlands - 0.6%
Fiat Chrysler Automobiles NV (1)		7.875%		12/15/16		5,848		6,286,062
NXP Semiconductors NV 144A (a)(d)		1.000%		12/01/19		2,550		2,612,156
								8,898,218
United States - 25.5%
Acorda Therapeutics, Inc. (a)		1.750%		06/15/21		275		316,422
Alpha Natural Resources, Inc. (a)		4.875%		12/15/20		200		73,750
American Realty Capital Properties, Inc. (a)		3.000%		08/01/18		3,525		3,254,015
American Realty Capital Properties, Inc. (a)		3.750%		12/15/20		525		482,344
Annaly Capital Management, Inc. (a)		5.000%		05/15/15		2,650		2,663,250
Ares Capital Corp. 144A (a)(d)		5.750%		02/01/16		417		429,771
Ciena Corp. (a)		4.000%		12/15/20		1,166		1,445,111
DDR Corp.		1.750%		11/15/40		1,670		2,067,669
Electronic Arts, Inc.		0.750%		07/15/16		450		677,813
Equinix, Inc.		4.750%		06/15/16		4,450		12,510,063
General Cable Corp. (a)(e)		4.500%		11/15/29		1,370		988,969
Health Care REIT, Inc.		3.000%		12/01/29		4,550		6,822,156
Intel Corp.		3.250%		08/01/39		10,800		18,778,500
Lennar Corp. 144A (d)		3.250%		11/15/21		3,325		6,450,500
Lennar Corp. 144A (d)		2.750%		12/15/20		2,650		5,353,000
LinkedIn Corp. 144A (a)(d)		0.500%		11/01/19		10,250		10,813,750
Meritor, Inc.		7.875%		03/01/26		600		988,125
MGIC Investment Corp. (a)		5.000%		05/01/17		3,250		3,633,906
MGIC Investment Corp. (a)		2.000%		04/01/20		10,000		14,631,250
MGM Resorts International (a)*		4.250%		04/15/15		6,950		8,201,000
Microchip Technology, Inc.		2.125%		12/15/37		24,375		43,478,906
Micron Technology, Inc., Series C		2.375%		05/01/32		8,875		32,338,281
Micron Technology, Inc., Series F		2.125%		02/15/33		1,300		4,172,187
NorthStar Realty Finance LP 144A (a)(d)		5.375%		06/15/33		100		196,438
Novellus Systems, Inc.		2.625%		05/15/41		11,700		26,822,250
NRG Yield, Inc. 144A (d)		3.500%		02/01/19		2,925		3,224,813
Palo Alto Networks, Inc. 144A (a)(d)		0.000%		07/01/19		500		631,563
PHH Corp. (a)		6.000%		06/15/17		14,402		28,398,944
Prospect Capital Corp. 144A (a)(d)		4.750%		04/15/20		1,100		1,029,875
Radian Group, Inc.		3.000%		11/15/17		6,425		9,818,203
Radian Group, Inc.		2.250%		03/01/19		6,525		10,493,016
SanDisk Corp.		1.500%		08/15/17		11,190		21,484,800
SL Green Operating Partnership LP 144A (a)(d)		3.000%		10/15/17		5,325		7,834,406
Spirit Realty Capital, Inc. (a)		2.875%		05/15/19		225		219,094
Starwood Property Trust, Inc. (a)		4.550%		03/01/18		4,275		4,542,187
Starwood Property Trust, Inc.		4.000%		01/15/19		4,350		4,798,594
Stillwater Mining Co. (a)		1.750%		10/15/32		2,100		2,593,500
SunEdison, Inc. 144A (d)		2.000%		10/01/18		8,150		11,960,125
SunEdison, Inc. 144A (d)		0.250%		01/15/20		950		920,312
SunEdison, Inc. 144A (d)		2.750%		01/01/21		5,575		8,352,047
SunPower Corp.		4.500%		03/15/15		1,300		1,516,937
Take-Two Interactive Software, Inc. (a)		1.750%		12/01/16		2,450		3,705,625
Tesla Motors, Inc.		1.500%		06/01/18		8,500		15,788,750
UTi Worldwide, Inc. 144A (a)(d)		4.500%		03/01/19		3,275		3,616,828
VeriSign, Inc.		4.086%		08/15/37		19,969		34,209,393
Vishay Intertechnology, Inc. 144A (a)(d)		2.250%		11/15/40		1,175		1,302,047
WebMD Health Corp. (a)		1.500%		12/01/20		1,775		1,771,672
WellPoint, Inc. (a)		2.750%		10/15/42		7,975		13,726,969
								399,529,126
TOTAL CONVERTIBLE BONDS (cost $339,901,066)								414,990,029

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

RIGHTS - 0.0% (b)	SHARES			VALUE (Note 5)
Dufry AG (3) †(i) (cost $—)		(4,816	)	$	—
MONEY MARKET FUNDS - 38.3%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (f)^		1,000,097			1,000,097
Dreyfus Treasury Cash Management, Class I, 0.010% (f)^		4,000,388			4,000,388
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (f)^		172,202,636			172,202,636
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (f)(g)^		416,830,116			416,830,116
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (f)^		5,000,819			5,000,819
TOTAL MONEY MARKET FUNDS (cost $599,034,056)					599,034,056
SHORT-TERM INVESTMENTS - 3.4%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.055%, 1/29/2015 (h)^	$	25,758			25,757,510
U.S. Treasury Bill, 0.067%, 5/28/2015 (h)^		11,300			11,297,017
U.S. Treasury Bill, 0.045%, 2/5/2015 (h)^		16,427			16,426,606
TOTAL SHORT-TERM INVESTMENTS (cost $53,480,094)					53,481,133
U.S. TREASURY OBLIGATIONS - 0.1%
U.S. Treasury Note 0.250%, 08/15/15 (cost $1,727,231)		1,725			1,725,675
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $1,263,127,273)					1,349,363,325
SECURITIES SOLD SHORT- (27.2)%	SHARES
COMMON STOCKS - (27.1)%
Canada - 0.0% (b)
Element Financial Corp. (1)		(44,286	)		(538,995	)
Mexico - 0.0% (b)
Cemex SAB de CV ADR (1)		(27,940	)		(284,709	)
Monaco - 0.0% (b)
Scorpio Tankers, Inc. (1)		(52,932	)		(459,979	)
Netherlands - (0.1)%
NXP Semiconductor NV (1)		(15,001	)		(1,146,076	)
Spain - 0.0% (b)
Banco Santander SA		(1,654	)		(13,882	)
Switzerland - (0.1)%
Holcim Ltd.		(13,675	)		(977,546	)

	SHARES			VALUE (Note 5)
United States - (26.9)%
Acorda Therapeutics, Inc. (1)†		(4,652	)	$	(190,127	)
Alcoa, Inc. (1)		(38,299	)		(604,741	)
Alpha Natural Resources, Inc. (1)†		(15,100	)		(25,217	)
American Realty Capital Properties, Inc. REIT (1)		(47,479	)		(429,685	)
Anthem, Inc. (1)		(89,529	)		(11,251,109	)
Applied Materials, Inc. (1)		(140,047	)		(3,489,971	)
Ares Capital Corp. (1)		(1,526	)		(23,813	)
Bunge Ltd. (1)		(11,441	)		(1,040,101	)
Chesapeake Energy Corp. (1)		(8,709	)		(170,435	)
Ciena Corp. (1)†		(36,035	)		(699,440	)
DDR Corp. REIT (1)		(103,466	)		(1,899,636	)
Dominion Resources, Inc. (1)		(187,814	)		(14,442,897	)
Electronic Arts, Inc. (1)†		(12,761	)		(599,958	)
Equinix, Inc. (1)		(54,618	)		(12,383,539	)
General Cable Corp. (1)		(32,207	)		(479,884	)
Health Care REIT, Inc. REIT (1)		(90,469	)		(6,845,789	)
Intel Corp. (1)		(412,899	)		(14,984,105	)
JetBlue Airways Corp. (1)†		(91,783	)		(1,455,678	)
Lam Research Corp. (1)		(321,559	)		(25,512,491	)
Lennar Corp., Class A (1)		(250,338	)		(11,217,646	)
LinkedIn Corp., Class A (1)†		(22,272	)		(5,116,101	)
Meritor, Inc. (1)†		(42,500	)		(643,875	)
MGIC Investment Corp. (1)†		(1,289,351	)		(12,016,751	)
MGM Resorts International (1)†		(260,182	)		(5,562,691	)
Microchip Technology, Inc. (1)		(916,406	)		(41,339,075	)
Micron Technology, Inc. (1)†		(1,029,357	)		(36,037,789	)
NextEra Energy, Inc. (1)		(223,302	)		(23,734,770	)
NorthStar Realty Finance Corp. REIT (1)		(11,526	)		(202,627	)
NRG Yield, Inc., Class A (1)		(34,245	)		(1,614,309	)
Omnicare, Inc. (1)		(5,942	)		(433,350	)
Palo Alto Networks, Inc. (1)†		(3,514	)		(430,711	)
PHH Corp. (1)†		(1,081,206	)		(25,905,696	)
Post Holdings, Inc. (1)†		(38,108	)		(1,596,344	)
Prospect Capital Corp. (1)		(2,662	)		(21,988	)
Radian Group, Inc. (1)		(1,009,011	)		(16,870,664	)
Regeneron Pharmaceuticals, Inc. (1)†		(60,839	)		(24,959,200	)
SanDisk Corp. (1)		(204,812	)		(20,067,480	)
Sirius XM Holdings, Inc. (1)†		(1,507,206	)		(5,275,221	)
SL Green Realty Corp. REIT (1)		(60,718	)		(7,226,657	)
Spirit Realty Capital, Inc. REIT (1)		(8,161	)		(97,034	)
Starwood Property Trust, Inc. REIT (1)		(228,559	)		(5,311,711	)
Stillwater Mining Co. (1)†		(135,300	)		(1,994,322	)
SunEdison, Inc. (1)†		(838,790	)		(16,364,793	)
SunPower Corp. (1)†		(44,430	)		(1,147,627	)
Take-Two Interactive Software, Inc. (1)†		(114,203	)		(3,201,110	)
Tesla Motors, Inc. (1)†		(64,847	)		(14,422,621	)
T-Mobile US, Inc. (1)†		(90,107	)		(2,427,483	)
Tyson Foods, Inc., Class A (1)		(85,340	)		(3,421,281	)
UTi Worldwide, Inc. (1)†		(155,856	)		(1,881,182	)
VeriSign, Inc. (1)†		(534,551	)		(30,469,407	)
Vishay Intertechnology, Inc. (1)		(77,855	)		(1,101,648	)
WebMD Health Corp. (1)†		(23,245	)		(919,340	)
					(419,561,120	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $353,556,595)					(422,982,307	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

U.S. TREASURY OBLIGATIONS - (0.1)%	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Note, 0.250%, 8/15/15
(proceeds $1,725,757)	$	(1,725	)	$	(1,725,675	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $355,282,352)					(424,707,982	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 59.1% (cost $907,844,921)					924,655,343
OTHER ASSETS IN EXCESS OF LIABILITIES - 40.9% (j)					638,851,792
NET ASSETS - 100.0%				$	1,563,507,135

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary		$26,462,946		1.6	%
Consumer Staples		18,148,309		1.2
Energy		10,678,397		0.7
Financials		71,434,835		4.5
Health Care		19,742,828		1.3
Industrials		12,218,078		0.8
Information Technology		57,550,176		3.6
Materials		9,036,165		0.6
Telecommunication Services		25,639,106		1.6
Utilities		21,229,314		1.4
Money Market Funds		599,034,056		38.3
Other Investments		53,481,133		3.5
Total Investments		924,655,343		59.1
Other Assets in Excess of Liabilities (j)		638,851,792		40.9
Net Assets	$	1,563,507,135		100.0	%

† Non income-producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $151,743,153. In addition, $377,279,845 of cash collateral was pledged.

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

(c) Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of December 31, 2014.

(d) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(e) Represents a step bond. The rate shown reflects the yield at December 31, 2014.

(f) Represents annualized seven-day yield as of December 31, 2014.

(g) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

(i) Security fair valued as of December 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0, or 0.0% of total net assets.

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

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

* All or a portion of this security has been segregated for covered call options written.

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).

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

Credit default swap contracts sell protection as of December 31, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank

Markit CDX North America High Yield Index Series 23

5.000%

USD

3.557%

55,875,000

$2,991,922

12/20/2019

$555,782

Cash held as collateral at CitiBank for exchange cleared credit default swap contracts was $351,657.

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

Open written options contracts outstanding at December 31, 2014:

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
829	MGM Resorts International (Exercise price $19)	J.P. Morgan		3/20/2015		$(104,437	)		$(239,581	)		$(135,144	)

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures	3/2015	CAD		83,857,967			$1,407,155
Bank of America	10-Year Japanese Government Bond March Futures	3/2015	JPY		(34,964,794,200	)		(1,764,660	)
Bank of America	30-Year Euro Buxl Bond March Futures	3/2015	EUR		7,254,577			419,965
Morgan Stanley and Co., International PLC	Bovespa Index February Futures	2/2015	BRL		(493,697	)		(4,016	)
CitiBank	Brent Crude January Futures^	2/2015	USD		10,948,403			(1,374,157	)
CitiBank	Brent Crude January Futures^	2/2015	USD		(18,139,842	)		3,291,046
CitiBank	Cocoa March Futures^	2/2015	USD		29,601			1,259
CitiBank	Corn March Futures^	2/2015	USD		9,404,497			123,463
CitiBank	Corn March Futures^	2/2015	USD		(10,986,415	)		(228,761	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(1,964,560	)		66,055
Bank of America	Euro - Bobl March Futures	3/2015	EUR		49,985,200			371,988
Bank of America	Euro - Bund March Futures	3/2015	EUR		103,896,652			2,199,224
Bank of America	Euro - SCHATZ March Futures	3/2015	EUR		56,158,061			65,801
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		448,400			(31,400	)
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		(3,525,506	)		293,756
Merrill Lynch	Gas Oil February Futures^	2/2015	USD		565,000			(43,744	)
Merrill Lynch	Gas Oil February Futures^	2/2015	USD		(7,693,650	)		448,209
Deutsche Bank	Gas Oil January Futures^	1/2015	USD		7,191,031			(890,356	)
Deutsche Bank	Gas Oil January Futures^	1/2015	USD		(8,559,693	)		2,259,018
Merrill Lynch	Gas Oil January Futures^	1/2015	USD		7,506,000			(385,713	)
Merrill Lynch	Gas Oil January Futures^	1/2015	USD		(9,667,450	)		2,547,097
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		1,724,570			(117,037	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(10,166,083	)		1,262,822
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		3,144,204			(217,778	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(13,716,184	)		1,240,369
Bank of America	H-SHARES Index January Futures	1/2015	HKD		57,442,996			90,802
Goldman Sachs	H-SHARES Index January Futures	1/2015	HKD		14,736,475			32,201
Morgan Stanley and Co., International PLC	H-SHARES Index January Futures	1/2015	HKD		93,452,166			162,698
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		2,776,512			(308,032	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(2,958,032	)		132,272
CitiBank	LME Copper March Futures^	3/2015	USD		7,956,250			(71,250	)
Bank of America	Long Gilt March Futures	3/2015	GBP		48,686,176			1,627,360
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index January Futures	1/2015	USD		9,852,363			166,157
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		19,176,880			(3,486,913	)
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		(19,791,120	)		4,101,137
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		(20,912,070	)		4,618,110
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index January Futures	1/2015	USD		(1,631,774	)		(6,590	)
CitiBank	Soybean March Futures^	2/2015	USD		1,193,045			(16,020	)

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

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Consolidated Schedule of Investments December 31, 2014

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COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Soybean Meal March Futures^	2/2015	USD		993,727			$ (20,447	)
CitiBank	Soybean Oil March Futures^	2/2015	USD		(4,676,031	)		(29,265	)
Morgan Stanley and Co., International PLC	Swiss Market Index March Futures	3/2015	CHF		(83,202,392	)		(2,724,001	)
Morgan Stanley and Co., International PLC	Taiwan Stock Exchange January Futures	1/2015	TWD		73,841,488			71,206
Bank of America	Tel Aviv 25 Index January Futures	1/2015	ILS		21,216,693			(67,899	)
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		52,681,606			319,488
Bank of America	U.S. Treasury 2-Year Note March Futures	3/2015	USD		76,247,372			(176,747	)
Bank of America	U.S. Treasury 5-Year Note March Futures	3/2015	USD		43,484,498			(75,162	)
Bank of America	U.S. Treasury Long Bond March Futures	3/2015	USD		16,318,892			450,358
CitiBank	Wheat March Futures^	2/2015	USD		11,833,114			(67,579	)
CitiBank	Wheat March Futures^	2/2015	USD		(11,121,229	)		(1,056,767	)
Goldman Sachs	WIG20 Index March Futures	3/2015	PLN		(1,519,174	)		10,117
CitiBank	WTI Crude January Futures^	2/2015	USD		7,030,632			(904,475	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(8,327,552	)		1,082,704
								$14,793,068

Money Market Fund is pledged as collateral to Bank of America and Deutsche Bank for total return swap contracts and total return basket swap contracts in the amount of $199 and $29,293,570, respectively, at December 31, 2014. Money Market Fund is pledged as collateral to Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $120,000, $48 and $16,808,900, respectively at December 31, 2014. Cash held as collateral for Bank of America, CitiBank and Deutsche Bank for total return swap contracts was $5,450,000, $1,180,000 and $5,850,000, respectively, at December 31, 2014. Cash held as collateral at J.P. Morgan for total return swap contracts and total return basket swap contracts was $107,300,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
43	Goldman Sachs	Cocoa Futures^	3/2015		$1,277,499		$1,326,992		$49,493
5	Goldman Sachs	Coffee ‘C’ Futures^	3/2015		360,036		312,375		(47,661	)
5	Goldman Sachs	Hard Red Winter Wheat Futures^	3/2015		170,317		156,625		(13,692	)
5	J.P. Morgan	LME Aluminum Futures^	1/2015		239,729		228,200		(11,529	)
5	J.P. Morgan	LME Aluminum Futures^	1/2015		243,354		228,350		(15,004	)
2	J.P. Morgan	LME Aluminum Futures^	1/2015		96,529		91,490		(5,039	)
2	J.P. Morgan	LME Aluminum Futures^	1/2015		97,104		91,520		(5,584	)
6	J.P. Morgan	LME Aluminum Futures^	1/2015		290,094		274,719		(15,375	)
4	J.P. Morgan	LME Aluminum Futures^	1/2015		200,338		183,375		(16,963	)
13	J.P. Morgan	LME Aluminum Futures^	1/2015		650,162		595,968		(54,194	)
6	J.P. Morgan	LME Aluminum Futures^	1/2015		305,934		275,377		(30,557	)
11	J.P. Morgan	LME Aluminum Futures^	2/2015		561,784		505,159		(56,625	)
6	J.P. Morgan	LME Aluminum Futures^	2/2015		305,699		275,597		(30,102	)
8	J.P. Morgan	LME Aluminum Futures^	2/2015		412,045		367,500		(44,545	)
1	J.P. Morgan	LME Aluminum Futures^	2/2015		51,102		45,993		(5,109	)
14	J.P. Morgan	LME Aluminum Futures^	3/2015		698,990		645,124		(53,866	)
9	J.P. Morgan	LME Aluminum Futures^	3/2015		443,276		414,801		(28,475	)
5	J.P. Morgan	LME Aluminum Futures^	3/2015		247,014		230,487		(16,527	)
3	J.P. Morgan	LME Aluminum Futures^	3/2015		147,684		138,423		(9,261	)
2	J.P. Morgan	LME Aluminum Futures^	3/2015		97,106		92,334		(4,772	)
6	J.P. Morgan	LME Aluminum Futures^	3/2015		287,917		277,209		(10,708	)
16	J.P. Morgan	LME Aluminum Futures^	3/2015		794,908		739,500		(55,408	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
3	J.P. Morgan	LME Aluminum Futures^	3/2015	$	142,284	$	138,630	$	(3,654	)
1	J.P. Morgan	LME Aluminum Futures^	3/2015		47,978		46,226		(1,752	)
3	J.P. Morgan	LME Copper Futures^	1/2015		499,806		477,557		(22,249	)
2	J.P. Morgan	LME Copper Futures^	1/2015		336,672		318,050		(18,622	)
4	J.P. Morgan	LME Copper Futures^	1/2015		663,209		635,700		(27,509	)
1	J.P. Morgan	LME Copper Futures^	1/2015		169,647		158,377		(11,270	)
4	J.P. Morgan	LME Copper Futures^	1/2015		678,643		633,300		(45,343	)
2	J.P. Morgan	LME Copper Futures^	2/2015		331,178		316,575		(14,603	)
35	J.P. Morgan	LME Copper Futures^	2/2015		5,855,852		5,539,013		(316,839	)
5	J.P. Morgan	LME Copper Futures^	2/2015		833,386		791,250		(42,136	)
2	J.P. Morgan	LME Copper Futures^	2/2015		333,854		316,349		(17,505	)
2	J.P. Morgan	LME Copper Futures^	2/2015		332,504		316,137		(16,367	)
20	J.P. Morgan	LME Copper Futures^	3/2015		3,149,482		3,156,125		6,643
8	J.P. Morgan	LME Copper Futures^	3/2015		1,277,023		1,262,100		(14,923	)
8	J.P. Morgan	LME Copper Futures^	3/2015		1,285,623		1,262,138		(23,485	)
12	J.P. Morgan	LME Copper Futures^	3/2015		1,929,934		1,893,600		(36,334	)
2	J.P. Morgan	LME Copper Futures^	3/2015		322,656		315,567		(7,089	)
4	J.P. Morgan	LME Copper Futures^	3/2015		635,511		631,000		(4,511	)
78	J.P. Morgan	LME Copper Futures^	3/2015		12,485,197		12,300,600		(184,597	)
2	J.P. Morgan	LME Copper Futures^	3/2015		315,556		315,450		(106	)
2	J.P. Morgan	LME Copper Futures^	3/2015		318,606		315,250		(3,356	)
1	J.P. Morgan	LME Nickel Futures^	1/2015		100,778		90,460		(10,318	)
1	J.P. Morgan	LME Nickel Futures^	1/2015		93,752		90,502		(3,250	)
1	J.P. Morgan	LME Nickel Futures^	1/2015		92,042		90,538		(1,504	)
1	J.P. Morgan	LME Nickel Futures^	1/2015		88,772		90,559		1,787
1	J.P. Morgan	LME Nickel Futures^	1/2015		94,778		90,570		(4,208	)
1	J.P. Morgan	LME Nickel Futures^	2/2015		91,262		90,611		(651	)
2	J.P. Morgan	LME Zinc Futures^	1/2015		114,329		108,353		(5,976	)
2	J.P. Morgan	LME Zinc Futures^	1/2015		111,404		108,384		(3,020	)
5	J.P. Morgan	LME Zinc Futures^	1/2015		279,886		270,993		(8,893	)
4	J.P. Morgan	LME Zinc Futures^	1/2015		216,809		216,800		(9	)
3	J.P. Morgan	LME Zinc Futures^	1/2015		167,354		162,586		(4,768	)
1	J.P. Morgan	LME Zinc Futures^	2/2015		56,465		54,215		(2,250	)
7	J.P. Morgan	LME Zinc Futures^	3/2015		388,545		380,417		(8,128	)
1	J.P. Morgan	LME Zinc Futures^	3/2015		55,553		54,351		(1,202	)
1	J.P. Morgan	LME Zinc Futures^	3/2015		55,753		54,356		(1,397	)
1	J.P. Morgan	LME Zinc Futures^	3/2015		54,428		54,399		(29	)
9	J.P. Morgan	LME Zinc Futures^	3/2015		502,363		489,712		(12,651	)
5	J.P. Morgan	LME Zinc Futures^	3/2015		270,589		272,098		1,509
2	J.P. Morgan	LME Zinc Futures^	3/2015		106,506		108,850		2,344
3	J.P. Morgan	LME Zinc Futures^	3/2015		162,459		163,144		685
39	Goldman Sachs	Silver Futures^	3/2015		3,248,414		3,041,804		(206,610	)
72	Goldman Sachs	Soybean Meal Futures^	3/2015		2,575,849		2,502,720		(73,129	)
401	J.P. Morgan	90-Day Sterling Futures	9/2016		76,898,863		77,179,514		280,651
140	Barclays Capital	Amsterdam Index Futures	1/2015		14,006,480		14,399,595		393,115
68	Barclays Capital	DAX Index Futures	3/2015		19,601,618		20,248,916		647,298
187	Barclays Capital	DJIA Mini E-CBOT Futures	3/2015		16,175,006		16,598,120		423,114
192	Barclays Capital	FTSE 100 Index Futures	3/2015		19,419,019		19,518,660		99,641
9	Barclays Capital	Hang Seng Index Futures	1/2015		1,385,170		1,372,345		(12,825	)
153	Barclays Capital	H-SHARES Index Futures	1/2015		11,782,448		11,827,207		44,759
120	Barclays Capital	IBEX 35 Index Futures	1/2015		14,239,526		14,875,338		635,812
107	Barclays Capital	MSCI Singapore Index Futures	1/2015		6,126,022		6,164,829		38,807
228	Barclays Capital	MSCI Taiwan Stock Index Futures	1/2015		7,722,296		7,822,680		100,384
162	Barclays Capital	NASDAQ 100 E-Mini Futures	3/2015		13,505,487		13,714,110		208,623
93	Barclays Capital	S&P MID 400 E-Mini Futures	3/2015		13,257,200		13,471,980		214,780
21	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	3/2015		3,022,438		3,078,602		56,164
519	Barclays Capital	SET50 Index Futures	3/2015		3,184,727		3,120,625		(64,102	)
83	Barclays Capital	SGX S&P CNX Nifty Index Futures	1/2015		1,384,849		1,387,594		2,745
423	Barclays Capital	TOPIX Index Futures	3/2015		49,840,953		49,705,502		(135,451	)
107	J.P. Morgan	3-Month Euro Euribor Futures	3/2015		32,341,647		32,344,561		2,914
1,290	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		389,888,179		390,026,528		138,349
1,068	J.P. Morgan	3-Month Euro Euribor Futures	9/2015		322,752,532		322,921,805		169,273
436	J.P. Morgan	3-Month Euro Euribor Futures	12/2015		131,776,136		131,822,919		46,783

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
154	J.P. Morgan	3-Month Euro Euribor Futures	3/2016	$	46,513,232		$	46,556,648		$	43,416
227	J.P. Morgan	3-Month Euro Euribor Futures	6/2016		68,539,313			68,615,408			76,095
298	J.P. Morgan	3-Month Euro Euribor Futures	9/2016		89,992,608			90,054,068			61,460
294	J.P. Morgan	3-Month Euro Euribor Futures	12/2016		88,771,885			88,823,054			51,169
1,121	J.P. Morgan	90-Day EURODollar Futures	6/2015		278,970,818			279,030,912			60,094
1,088	J.P. Morgan	90-Day EURODollar Futures	9/2015		270,251,737			270,232,000			(19,737	)
878	J.P. Morgan	90-Day EURODollar Futures	12/2015		217,729,846			217,491,574			(238,272	)
30	J.P. Morgan	90-Day EURODollar Futures	3/2016		7,418,280			7,411,500			(6,780	)
41	J.P. Morgan	90-Day EURODollar Futures	6/2016		10,113,626			10,103,425			(10,201	)
68	J.P. Morgan	90-Day EURODollar Futures	9/2016		16,738,544			16,716,950			(21,594	)
106	J.P. Morgan	90-Day EURODollar Futures	12/2016		26,049,557			26,004,450			(45,107	)
460	J.P. Morgan	90-Day Sterling Futures	3/2016		88,485,651			88,768,115			282,464
425	J.P. Morgan	90-Day Sterling Futures	6/2016		81,632,618			81,906,387			273,769
392	J.P. Morgan	90-Day Sterling Futures	12/2016		75,252,659			75,355,668			103,009
874	J.P. Morgan	Australia 3-Year Bond Futures	3/2015		79,130,962			79,403,292			272,330
					2,642,753,244			2,645,297,415			2,544,171
Short Contracts:
8	Goldman Sachs	Cocoa Futures^	3/2015		(226,152	)		(232,800	)		(6,648	)
85	Goldman Sachs	Corn Futures^	3/2015		(1,744,183	)		(1,687,250	)		56,933
107	Goldman Sachs	Cotton No. 2 Futures^	3/2015		(3,220,253	)		(3,224,445	)		(4,192	)
15	Goldman Sachs	Gold 100 OZ Futures^	2/2015		(1,796,079	)		(1,776,150	)		19,929
72	Goldman Sachs	Live Cattle Futures^	2/2015		(2,425,251	)		(2,338,560	)		86,691
5	J.P. Morgan	LME Aluminum Futures^	1/2015		(239,069	)		(228,200	)		10,869
5	J.P. Morgan	LME Aluminum Futures^	1/2015		(244,027	)		(228,350	)		15,677
2	J.P. Morgan	LME Aluminum Futures^	1/2015		(96,833	)		(91,490	)		5,343
2	J.P. Morgan	LME Aluminum Futures^	1/2015		(97,144	)		(91,520	)		5,624
6	J.P. Morgan	LME Aluminum Futures^	1/2015		(287,749	)		(274,719	)		13,030
4	J.P. Morgan	LME Aluminum Futures^	1/2015		(200,991	)		(183,375	)		17,616
13	J.P. Morgan	LME Aluminum Futures^	1/2015		(650,272	)		(595,969	)		54,303
6	J.P. Morgan	LME Aluminum Futures^	1/2015		(305,988	)		(275,378	)		30,610
11	J.P. Morgan	LME Aluminum Futures^	2/2015		(563,728	)		(505,159	)		58,569
6	J.P. Morgan	LME Aluminum Futures^	2/2015		(304,075	)		(275,597	)		28,478
8	J.P. Morgan	LME Aluminum Futures^	2/2015		(411,058	)		(367,500	)		43,558
1	J.P. Morgan	LME Aluminum Futures^	2/2015		(51,092	)		(45,994	)		5,098
14	J.P. Morgan	LME Aluminum Futures^	3/2015		(700,265	)		(645,123	)		55,142
9	J.P. Morgan	LME Aluminum Futures^	3/2015		(443,763	)		(414,801	)		28,962
5	J.P. Morgan	LME Aluminum Futures^	3/2015		(246,985	)		(230,488	)		16,497
3	J.P. Morgan	LME Aluminum Futures^	3/2015		(147,468	)		(138,423	)		9,045
2	J.P. Morgan	LME Aluminum Futures^	3/2015		(97,260	)		(92,333	)		4,927
6	J.P. Morgan	LME Aluminum Futures^	3/2015		(288,607	)		(277,209	)		11,398
36	J.P. Morgan	LME Aluminum Futures^	3/2015		(1,765,899	)		(1,663,875	)		102,024
3	J.P. Morgan	LME Aluminum Futures^	3/2015		(142,315	)		(138,630	)		3,685
1	J.P. Morgan	LME Aluminum Futures^	3/2015		(47,800	)		(46,226	)		1,574
3	J.P. Morgan	LME Copper Futures^	1/2015		(498,724	)		(477,557	)		21,167
2	J.P. Morgan	LME Copper Futures^	1/2015		(337,746	)		(318,050	)		19,696
4	J.P. Morgan	LME Copper Futures^	1/2015		(658,347	)		(635,700	)		22,647
1	J.P. Morgan	LME Copper Futures^	1/2015		(170,073	)		(158,377	)		11,696
4	J.P. Morgan	LME Copper Futures^	1/2015		(676,841	)		(633,300	)		43,541
2	J.P. Morgan	LME Copper Futures^	2/2015		(330,695	)		(316,575	)		14,120
35	J.P. Morgan	LME Copper Futures^	2/2015		(5,849,302	)		(5,539,013	)		310,289
5	J.P. Morgan	LME Copper Futures^	2/2015		(837,198	)		(791,250	)		45,948
2	J.P. Morgan	LME Copper Futures^	2/2015		(334,359	)		(316,350	)		18,009
2	J.P. Morgan	LME Copper Futures^	2/2015		(332,980	)		(316,138	)		16,842
20	J.P. Morgan	LME Copper Futures^	3/2015		(3,160,463	)		(3,156,125	)		4,338
8	J.P. Morgan	LME Copper Futures^	3/2015		(1,277,680	)		(1,262,100	)		15,580
8	J.P. Morgan	LME Copper Futures^	3/2015		(1,285,527	)		(1,262,138	)		23,389
12	J.P. Morgan	LME Copper Futures^	3/2015		(1,933,123	)		(1,893,600	)		39,523
2	J.P. Morgan	LME Copper Futures^	3/2015		(323,103	)		(315,566	)		7,537
4	J.P. Morgan	LME Copper Futures^	3/2015		(635,303	)		(631,000	)		4,303
54	J.P. Morgan	LME Copper Futures^	3/2015		(8,618,530	)		(8,515,800	)		102,730
2	J.P. Morgan	LME Copper Futures^	3/2015		(316,303	)		(315,450	)		853
2	J.P. Morgan	LME Copper Futures^	3/2015		(317,587	)		(315,250	)		2,337
155	Goldman Sachs	LME Copper Futures^	3/2015		(11,506,818	)		(10,948,813	)		558,005

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
1	J.P. Morgan	LME Nickel Futures^	1/2015		$(100,556	)		$(90,460	)		$10,096
1	J.P. Morgan	LME Nickel Futures^	1/2015		(93,488	)		(90,502	)		2,986
1	J.P. Morgan	LME Nickel Futures^	1/2015		(91,696	)		(90,538	)		1,158
1	J.P. Morgan	LME Nickel Futures^	1/2015		(89,108	)		(90,559	)		(1,451	)
1	J.P. Morgan	LME Nickel Futures^	1/2015		(94,619	)		(90,570	)		4,049
1	J.P. Morgan	LME Nickel Futures^	2/2015		(90,517	)		(90,611	)		(94	)
2	J.P. Morgan	LME Zinc Futures^	1/2015		(113,677	)		(108,353	)		5,324
2	J.P. Morgan	LME Zinc Futures^	1/2015		(110,977	)		(108,384	)		2,593
5	J.P. Morgan	LME Zinc Futures^	1/2015		(279,759	)		(270,992	)		8,767
4	J.P. Morgan	LME Zinc Futures^	1/2015		(218,974	)		(216,800	)		2,174
3	J.P. Morgan	LME Zinc Futures^	1/2015		(167,440	)		(162,585	)		4,855
1	J.P. Morgan	LME Zinc Futures^	2/2015		(56,248	)		(54,215	)		2,033
7	J.P. Morgan	LME Zinc Futures^	3/2015		(386,301	)		(380,416	)		5,885
1	J.P. Morgan	LME Zinc Futures^	3/2015		(55,234	)		(54,350	)		884
1	J.P. Morgan	LME Zinc Futures^	3/2015		(56,006	)		(54,356	)		1,650
1	J.P. Morgan	LME Zinc Futures^	3/2015		(54,505	)		(54,398	)		107
18	J.P. Morgan	LME Zinc Futures^	3/2015		(976,999	)		(979,425	)		(2,426	)
5	J.P. Morgan	LME Zinc Futures^	3/2015		(271,017	)		(272,099	)		(1,082	)
2	J.P. Morgan	LME Zinc Futures^	3/2015		(106,515	)		(108,850	)		(2,335	)
3	J.P. Morgan	LME Zinc Futures^	3/2015		(160,829	)		(163,144	)		(2,315	)
114	Goldman Sachs	Platinum Futures^	4/2015		(6,844,273	)		(6,894,150	)		(49,877	)
80	Goldman Sachs	Soybean Futures^	3/2015		(4,175,391	)		(4,094,000	)		81,391
17	Goldman Sachs	Soybean Oil Futures^	3/2015		(327,801	)		(327,828	)		(27	)
934	Goldman Sachs	Sugar #11 (World Markets) Futures^	2/2015		(17,028,154	)		(15,189,082	)		1,839,072
501	Barclays Capital	CAC40 Index Futures	1/2015		(24,334,712	)		(25,928,673	)		(1,593,961	)
37	Barclays Capital	E-Mini Russell 2000 Futures	3/2015		(4,405,153	)		(4,442,590	)		(37,437	)
49	Barclays Capital	Euro Stoxx 50 Index	3/2015		(1,881,223	)		(1,857,633	)		23,590
191	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures	1/2015		(4,790,719	)		(4,782,511	)		8,208
443	J.P. Morgan	FTSE/JSE Top 40 Index Futures	3/2015		(16,229,576	)		(16,949,099	)		(719,523	)
85	Barclays Capital	FTSE/MIB Index Futures	3/2015		(9,517,768	)		(9,806,638	)		(288,870	)
198	Barclays Capital	KOSPI Index 200 Futures	3/2015		(22,433,256	)		(21,976,982	)		456,274
113	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures	3/2015		(3,105,968	)		(3,307,876	)		(201,908	)
1,939	Barclays Capital	MSCI Emerging Markets E-Mini Futures	3/2015		(88,569,126	)		(92,849,015	)		(4,279,889	)
1,520	Barclays Capital	S&P 500 E-Mini Futures	3/2015		(153,991,987	)		(155,982,400	)		(1,990,413	)
417	Barclays Capital	SPI 200 Index Futures	3/2015		(43,657,307	)		(45,814,549	)		(2,157,242	)
761	J.P. Morgan	90-Day Sterling Futures	6/2015		(147,051,763	)		(147,312,963	)		(261,200	)
299	J.P. Morgan	90-Day Sterling Futures	9/2015		(57,769,614	)		(57,833,261	)		(63,647	)
297	J.P. Morgan	90-Day Sterling Futures	12/2015		(57,323,083	)		(57,388,554	)		(65,471	)
1,472	J.P. Morgan	Australia 10-Year Bond Futures	3/2015		(152,107,761	)		(153,997,078	)		(1,889,317	)
144	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	3/2015		(30,580,222	)		(30,578,929	)		1,293
1,570	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	6/2015		(333,277,018	)		(333,344,595	)		(67,577	)
1,486	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	9/2015		(315,338,817	)		(315,381,693	)		(42,876	)
525	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2015		(111,408,136	)		(111,367,060	)		41,076
44	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	6/2015		(11,077,784	)		(11,092,940	)		(15,156	)
13	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	9/2015		(3,272,926	)		(3,278,440	)		(5,514	)
4	J.P. Morgan	U.S. Treasury 2-Year Note Futures	3/2015		(875,494	)		(874,375	)		1,119
7	J.P. Morgan	U.S. Treasury 5-Year Note Futures	3/2015		(832,800	)		(832,507	)		293
					(1,681,927,305	)		(1,691,204,744	)		(9,277,439	)
					$960,825,939			$954,092,671			$(6,733,268	)

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $38,037,411, $256,901 and $10,357,241, respectively at December 31, 2014.

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

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Consolidated Schedule of Investments December 31, 2014

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Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		72,983,500		$60,520,840		$59,273,032		$(1,247,808	)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		72,983,500		60,520,610		59,273,033		(1,247,577	)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		29,791,000		11,237,993		10,987,357		(250,636	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		29,791,000		11,238,047		10,987,357		(250,690	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		16,787,000		14,701,698		14,426,234		(275,464	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		16,787,000		14,701,698		14,426,235		(275,463	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		12,081,000		12,490,768		12,167,843		(322,925	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		12,081,000		12,490,824		12,167,843		(322,981	)
Chilean Peso, Expiring 03/18/15*	CitiBank	CLP		2,000,000,000		3,243,208		3,272,684		29,476
Chilean Peso, Expiring 03/18/15*	Credit Suisse International	CLP		2,000,000,000		3,243,217		3,272,684		29,467
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		108,000,000		4,873,021		4,722,230		(150,791	)
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		109,000,000		4,914,806		4,765,954		(148,852	)
Euro, Expiring 03/18/15	CitiBank	EUR		41,971,227		52,240,346		50,820,943		(1,419,403	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		41,937,666		52,197,770		50,780,306		(1,417,464	)
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		110,000		137,005		133,309		(3,696	)
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		46,110		57,557		56,027		(1,530	)
British Pound, Expiring 03/18/15	CitiBank	GBP		14,363,000		22,494,550		22,373,216		(121,334	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		14,363,000		22,494,302		22,373,217		(121,085	)
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		11,105,000		1,431,428		1,431,998		570
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		11,105,000		1,431,232		1,431,998		766
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		2,125,250,000		8,544,890		8,107,904		(436,986	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		2,125,250,000		8,544,443		8,107,905		(436,538	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		6,500,000		1,652,955		1,666,885		13,930
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		6,500,000		1,652,476		1,666,885		14,409
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		1,465,421,500		23,296,221		22,868,541		(427,680	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		1,465,421,500		23,296,247		22,868,541		(427,706	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		5,439,108,500		46,151,521		45,438,449		(713,072	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		5,439,108,500		46,149,801		45,438,448		(711,353	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		26,100,000,000		23,652,024		23,666,385		14,361

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

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Consolidated Schedule of Investments December 31, 2014

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		26,100,000,000		$ 23,651,164		$ 23,666,385		$ 15,221
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		86,500,000		5,898,684		5,836,535		(62,149	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		86,500,000		5,899,395		5,836,535		(62,860	)
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		38,746,500		11,138,725		11,015,776		(122,949	)
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		38,746,500		11,138,727		11,015,777		(122,950	)
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		5,718,000		811,323		765,632		(45,691	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		5,718,000		811,341		765,632		(45,709	)
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		129,329,500		99,241,861		100,176,285		934,424
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		129,329,498		99,241,341		100,176,285		934,944
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		150,000,000		3,344,463		3,341,875		(2,588	)
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		150,000,000		3,344,462		3,341,875		(2,587	)
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		55,541,499		16,420,814		15,636,903		(783,911	)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		55,541,500		16,420,926		15,636,902		(784,024	)
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		315,400,000		5,577,861		4,980,511		(597,350	)
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		315,400,000		5,579,795		4,980,511		(599,284	)
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		82,773,000		10,969,287		10,620,788		(348,499	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		82,773,000		10,969,233		10,620,788		(348,445	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		45,500,000		34,702,694		34,305,706		(396,988	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		45,500,000		34,694,803		34,305,706		(389,097	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		101,663,000		44,475,368		42,856,097		(1,619,271	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		101,663,000		44,477,079		42,856,098		(1,620,981	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		237,522,499		7,648,769		7,519,438		(129,331	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		237,522,498		7,648,771		7,519,438		(129,333	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		122,488,500		10,680,365		10,464,075		(216,290	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		122,488,498		10,680,870		10,464,075		(216,795	)
						$1,075,069,619		$1,057,679,071		$(17,390,548	)

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

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Consolidated Schedule of Investments December 31, 2014

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		(46,650,500	)		$(38,748,269	)		$(37,886,873	)		$861,396
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(46,650,500	)		(38,752,548	)		(37,886,874	)		865,674
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(18,100,000	)		(6,551,481	)		(6,675,546	)		(124,065	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(18,100,000	)		(6,551,611	)		(6,675,545	)		(123,934	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		(35,965,999	)		(31,063,357	)		(30,908,079	)		155,278
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(35,965,999	)		(31,063,621	)		(30,908,079	)		155,542
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		(13,677,500	)		(14,025,129	)		(13,775,821	)		249,308
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(21,437,500	)		(22,070,723	)		(21,591,601	)		479,122
Chilean Peso, Expiring 03/18/15*	CitiBank	CLP		(8,167,183,000	)		(13,269,444	)		(13,364,304	)		(94,860	)
Chilean Peso, Expiring 03/18/15*	Credit Suisse International	CLP		(8,167,183,000	)		(13,269,455	)		(13,364,304	)		(94,849	)
Columbian Peso, Expiring 03/18/15*	CitiBank	COP		(1,457,000,000	)		(636,269	)		(610,761	)		25,508
Columbian Peso, Expiring 03/18/15*	Credit Suisse International	COP		(1,457,000,000	)		(636,268	)		(610,761	)		25,507
Czech Republic Koruna, Expiring 03/18/15	CitiBank	CZK		(115,973,000	)		(5,227,678	)		(5,070,845	)		156,833
Czech Republic Koruna, Expiring 03/18/15	Credit Suisse International	CZK		(115,973,000	)		(5,227,628	)		(5,070,845	)		156,783
Euro, Expiring 03/18/15	CitiBank	EUR		(24,029,729	)		(29,615,567	)		(29,096,447	)		519,120
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(24,036,730	)		(29,624,340	)		(29,104,922	)		519,418
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(3,562	)		(4,716	)		(4,314	)		402
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		(110,000	)		(141,776	)		(133,309	)		8,467
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		(46,110	)		(59,499	)		(56,027	)		3,472
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(3,562	)		(4,730	)		(4,350	)		380
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(3,562	)		(4,751	)		(4,424	)		327
British Pound, Expiring 03/18/15	CitiBank	GBP		(40,470,502	)		(63,219,185	)		(63,040,819	)		178,366
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(40,470,502	)		(63,219,563	)		(63,040,819	)		178,744
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		(91,609,500	)		(11,815,245	)		(11,813,112	)		2,133
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(91,609,500	)		(11,815,197	)		(11,813,112	)		2,085
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		(730,000,000	)		(2,849,773	)		(2,784,978	)		64,795
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(730,000,000	)		(2,850,356	)		(2,784,978	)		65,378
Indonesian Rupiah, Expiring 03/18/15*	CitiBank	IDR		(18,413,775,500	)		(1,469,424	)		(1,467,467	)		1,957
Indonesian Rupiah, Expiring 03/18/15*	Credit Suisse International	IDR		(18,413,775,500	)		(1,469,425	)		(1,467,467	)		1,958
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		(115,712,501	)		(29,175,996	)		(29,673,753	)		(497,757	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(115,712,500	)		(29,175,761	)		(29,673,753	)		(497,992	)

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

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153

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		(520,000,000	)		$ (8,069,406	)		$ (8,114,826	)		$ (45,420	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		(520,000,000	)		(8,069,199	)		(8,114,827	)		(45,628	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		(14,360,152,999	)		(120,305,603	)		(119,965,078	)		340,525
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(14,764,093,999	)		(123,730,917	)		(123,339,611	)		391,306
Korean Won, Expiring 03/18/15*	CitiBank	KRW		(23,797,634,501	)		(21,505,056	)		(21,578,695	)		(73,639	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(23,797,634,500	)		(21,505,311	)		(21,578,695	)		(73,384	)
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		(1,085,976,501	)		(75,580,914	)		(73,275,606	)		2,305,308
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(1,085,976,501	)		(75,591,404	)		(73,275,606	)		2,315,798
Malaysian Ringgit, Expiring 03/18/15*	CitiBank	MYR		(44,000,000	)		(12,615,052	)		(12,509,366	)		105,686
Malaysian Ringgit, Expiring 03/18/15*	Credit Suisse International	MYR		(44,000,000	)		(12,615,101	)		(12,509,367	)		105,734
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		(572,075,000	)		(79,497,103	)		(76,600,039	)		2,897,064
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(572,074,998	)		(79,499,412	)		(76,600,037	)		2,899,375
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		(6,730,500	)		(5,163,740	)		(5,213,323	)		(49,583	)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(6,730,500	)		(5,165,162	)		(5,213,323	)		(48,161	)
Peru Nuevo Sol, Expiring 03/18/15*	CitiBank	PEN		(377,500	)		(125,498	)		(124,598	)		900
Peru Nuevo Sol, Expiring 03/18/15*	Credit Suisse International	PEN		(377,500	)		(125,499	)		(124,597	)		902
Philippine Peso, Expiring 03/18/15*	CitiBank	PHP		(162,400,000	)		(3,623,754	)		(3,618,136	)		5,618
Philippine Peso, Expiring 03/18/15*	Credit Suisse International	PHP		(162,400,000	)		(3,623,752	)		(3,618,135	)		5,617
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		(30,365,000	)		(8,738,892	)		(8,548,825	)		190,067
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(30,364,999	)		(8,738,326	)		(8,548,824	)		189,502
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		(315,400,000	)		(5,602,605	)		(4,980,510	)		622,095
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(315,400,000	)		(5,603,355	)		(4,980,510	)		622,845
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		(640,098,500	)		(84,883,351	)		(82,132,469	)		2,750,882
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(640,098,498	)		(84,883,728	)		(82,132,470	)		2,751,258
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		(78,384,000	)		(59,633,484	)		(59,099,306	)		534,178
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(78,384,000	)		(59,633,384	)		(59,099,306	)		534,078
Thailand Baht, Expiring 03/18/15	CitiBank	THB		(40,480,500	)		(1,220,021	)		(1,226,099	)		(6,078	)
Thailand Baht, Expiring 03/18/15	Credit Suisse International	THB		(40,480,500	)		(1,220,020	)		(1,226,099	)		(6,079	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		(8,400,000	)		(3,537,725	)		(3,541,026	)		(3,301	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(8,400,000	)		(3,538,530	)		(3,541,024	)		(2,494	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		(82,500,000	)		(2,625,899	)		(2,611,768	)		14,131

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		(82,500,000	)		$ (2,626,075	)		$ (2,611,768	)		$ 14,307
South African Rand, Expiring 03/18/15	CitiBank	ZAR		(32,500,000	)		(2,763,596	)		(2,776,444	)		(12,848	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(32,500,000	)		(2,764,158	)		(2,776,443	)		(12,285	)
							(1,498,033,817	)		(1,475,571,045	)		22,462,772
							$(422,964,198	)		$(417,891,974	)		$5,072,224

Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $60 at December 31, 2014. Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $2,300,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $5,590,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian 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

PEN - Peru Nuevo Sol

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thailand Baht

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Bank of America	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	66-67 months maturity 08/12/2019		$16,290

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swaps as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Cayman Islands
Herbalife Ltd.		(22,591	)	$	(968,024	)	$	116,343
Net Cash and Other Receivables/ (Payables) (b)								(100,053	)
Swaps, at Value							$	16,290

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Money Market Fund pledged as collateral to Bank of America is included in the collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	37 months maturity 12/21/2015		$8,436,045

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		51,111	$	2,690,783	$	123,033
Henderson Group PLC		8,045		25,206		1,394
						124,427
South Africa
Investec PLC		484,269		3,440,290		617,048
Mondi PLC		84,618		1,347,277		27,383
						644,431

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Wolseley PLC		19,539	$	998,770	$	118,309
United Kingdom
Amlin PLC		57,690		391,091		36,842
Anglo American PLC		88,848		2,057,046		(412,963	)
Associated British Foods PLC		68,517		3,110,156		239,798
AstraZeneca PLC		87,175		5,996,159		161,074
Aviva PLC		1,296,450		9,464,354		276,367

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Babcock International Group PLC		236,287	$	4,084,144	$	(213,041	)
BAE Systems PLC		356,765		2,299,021		310,071
Barclays PLC		1,136,142		3,973,757		297,376
Barratt Developments PLC		1,114,841		6,224,369		1,889,579
Berkeley Group Holdings PLC		74,566		2,801,943		65,649
Booker Group PLC		30,585		58,183		19,511
BP PLC		1,325,295		9,443,478		(1,031,072	)
BT Group PLC		963,751		5,775,947		218,370
Catlin Group Ltd.		53,097		429,631		123,473
Cobham PLC		268,259		1,252,204		94,472
Compass Group PLC		51,077		796,198		76,855
Direct Line Insurance Group PLC		348,307		1,388,407		187,192
Drax Group PLC		81,878		768,496		(182,176	)
DS Smith PLC		473,672		2,151,367		210,730
Evraz PLC		83,566		172,126		27,612
G4S PLC		114,848		472,271		23,140
GKN PLC		1,377,805		6,424,636		909,058
GlaxoSmithKline PLC		105,177		2,200,475		55,586
Hays PLC		645,572		1,263,836		188,616
HSBC Holdings PLC		573,247		5,462,199		(45,155	)
Imperial Tobacco Group PLC		30,168		1,215,308		112,672
Inchcape PLC		406,513		3,429,077		1,138,123
Indivior PLC		22,332		—		52,001
Inmarsat PLC		114,128		1,321,879		93,247
Intermediate Capital Group PLC		155,108		984,846		123,304
ITV PLC		1,188,995		3,552,488		413,661
J Sainsbury PLC		137,307		534,892		(10,523	)
Kazakhmys PLC		125,206		546,867		(47,267	)
Kingfisher PLC		861,102		4,913,343		(361,438	)
Legal & General Group PLC		1,156,602		3,781,004		684,807
Lloyds Banking Group PLC		68,945		82,324		(1,226	)
Lonmin PLC		105,435		303,725		(13,056	)
National Grid PLC		311,147		4,160,152		255,304
Next PLC		42,408		3,627,347		870,552
Persimmon PLC		35,128		830,247		27,715
Premier Oil PLC		85,821		388,939		(166,967	)
Provident Financial PLC		36,107		1,206,864		171,403
Reckitt Benckiser Group PLC		22,332		1,722,812		85,944
Rentokil Initial PLC		595,113		1,092,332		28,280
Rexam PLC		191,569		1,496,682		(148,037	)
Rightmove PLC		21,065		729,516		5,087
Rotork PLC		28		975		34
Royal Mail PLC		75,774		517,173		(12,161	)
SABMiller PLC		20,852		1,139,645		(52,606	)
Serco Group PLC		133,370		666,776		(334,015	)
Severn Trent PLC		3,595		108,353		3,787
Smith & Nephew PLC		99,850		1,627,802		172,746
Spectris PLC		9,271		293,939		8,835
Standard Chartered PLC		391,995		6,600,632		(737,995	)
Tate & Lyle PLC		447,791		4,893,160		(697,203	)
Taylor Wimpey PLC		523,441		1,036,050		80,666
Tesco PLC		1,200,432		3,443,934		56,165

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Travis Perkins PLC		114,303		$	3,086,439		$	203,660
UBM PLC		8,592			69,457			(5,247	)
United Utilities Group PLC		15,545			205,919			14,897
Vedanta Resources PLC		15,599			190,924			(52,556	)
Vodafone Group PLC		102,520			339,592			11,935
WPP PLC		157,475			3,096,936			177,230
								5,678,722
Total of Long Equity Positions								6,565,889
Short Positions
Switzerland
Coca-Cola HBC AG		(16,560	)		(323,567	)		8,274
Glencore PLC		(509,901	)		(2,720,320	)		366,704
								374,978
United Kingdom
Aberdeen Asset Management PLC		(669,759	)		(4,535,335	)		59,273
Admiral Group PLC		(318,180	)		(6,536,012	)		8,521
Aggreko PLC		(155,956	)		(4,080,856	)		443,966
Amec Foster Wheeler PLC		(169,817	)		(2,909,977	)		667,129
Antofagasta PLC		(75,940	)		(961,436	)		76,585
ARM Holdings PLC		(168,171	)		(2,329,178	)		(254,328	)
Ashtead Group PLC		(165,234	)		(2,739,496	)		(195,044	)
ASOS PLC		(62,073	)		(2,217,349	)		(250,537	)
BG Group PLC		(62,306	)		(793,161	)		(40,599	)
British American Tobacco PLC		(26,186	)		(1,333,079	)		(85,964	)
Bunzl PLC		(82,370	)		(1,866,132	)		(385,881	)
Burberry Group PLC		(418,122	)		(9,725,370	)		(882,809	)
Capita PLC		(63,503	)		(1,115,087	)		50,289
Centrica PLC		(372,624	)		(1,684,973	)		70,977
Croda International PLC		(118,569	)		(4,467,454	)		(426,411	)
Diageo PLC		(163,957	)		(4,814,074	)		117,187
easyJet PLC		(47,532	)		(1,006,255	)		(223,829	)
Eurasian Natural Resources Corp. Ltd.		(2,433	)		(8,414	)		(282	)
Experian PLC		(83,453	)		(1,324,317	)		(82,446	)
Hargreaves Lansdown PLC		(253,999	)		(3,925,459	)		(48,835	)
Hikma Pharmaceuticals PLC		(9,953	)		(289,318	)		(16,055	)
ICAP PLC		(286,514	)		(1,652,424	)		(353,799	)
IMI PLC		(115,404	)		(2,510,856	)		253,098
Informa PLC		(2,937	)		(20,710	)		(740	)
International Consolidated Airlines Group SA		(85,851	)		(564,264	)		(82,028	)
Intertek Group PLC		(121,411	)		(5,602,775	)		1,208,667
John Wood Group PLC		(180,995	)		(1,967,812	)		293,426
Johnson Matthey PLC		(72,600	)		(3,202,319	)		(617,504	)
Ladbrokes PLC		(50,171	)		(95,389	)		9,556
Man Group PLC		(1,831,559	)		(2,830,263	)		(1,727,325	)
Marks & Spencer Group PLC		(887,799	)		(6,077,603	)		(496,552	)
Meggitt PLC		(198,878	)		(1,490,890	)		(108,933	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Melrose Industries PLC		(41,573	)	$	(161,534	)	$	(10,556	)
Old Mutual PLC		(517,610	)		(1,542,556	)		17,074
Pearson PLC		(347,271	)		(6,568,060	)		154,615
Pennon Group PLC		(37,403	)		(347,235	)		(187,129	)
Petrofac Ltd.		(496,549	)		(8,730,041	)		3,320,661
Prudential PLC		(102,237	)		(2,105,427	)		(258,239	)
Rolls-Royce Holdings PLC, PRF C		(3,302,100	)		(144	)		(5,291	)
Rolls-Royce Holdings PLC		(20,486	)		(268,394	)		(6,812	)
Royal Bank of Scotland Group PLC		(406,899	)		(2,166,012	)		(309,638	)
RSA Insurance Group PLC		(420,425	)		(2,995,468	)		156,983
Sage Group PLC/The		(17,079	)		(98,616	)		(24,739	)
Shire PLC		(61,386	)		(4,212,974	)		(139,296	)
Sky PLC		(168,213	)		(2,317,828	)		(29,807	)
Smiths Group PLC		(12,713	)		(205,859	)		(10,315	)
Spirax-Sarco Engineering PLC		(8,695	)		(374,583	)		(12,491	)
Sports Direct International PLC		(454,223	)		(4,870,183	)		(126,592	)
SSE PLC		(9,593	)		(212,770	)		(29,617	)
St. James’s Place PLC		(11,080	)		(117,598	)		(22,109	)
Standard Life PLC		(40,951	)		(259,876	)		6,214
TalkTalk Telecom Group PLC		(30,341	)		(140,368	)		(2,434	)
Telecity Group PLC		(158,538	)		(1,859,213	)		(120,892	)
Weir Group PLC/The		(154,131	)		(5,289,016	)		869,193
Whitbread PLC		(12,088	)		(823,714	)		(70,882	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
William Hill PLC		(160,836	)	$	(867,782	)	$	(35,970	)
WM Morrison Supermarkets PLC		(1,214,124	)		(3,296,634	)		(167,581	)
								(66,877	)
Total of Short Equity Positions								308,101
Total of Long and Short Equity Positions								6,873,990
Net Cash and Other Receivables/ (Payables) (b)								1,562,055
Swaps, at Value							$	8,436,045

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Money Market Fund pledged as collateral to Deutsche Bank is included in the collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	12-37 months maturity ranging from 12/21/2015 - 12/28/2015		$5,991,887

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Aeroports de Paris		9,838	$	1,095,794	$	93,864
Airbus Group NV		52,694		2,881,899		(276,814	)
Arkema SA		8,994		772,136		(177,302	)
AtoS		46,791		3,061,372		656,429
AXA SA		628		13,418		1,053
Bureau Veritas SA		6,452		143,294		(343	)
Cap Gemini SA		21,037		932,738		571,769

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
CGG SA		11,739	$	71,117	$	(1,935	)
Cie Generale des Etablissements Michelin		68,338		5,862,210		306,436
CNP Assurances		33,223		625,197		(36,214	)
Credit Agricole SA		75,115		957,515		12,109
Danone SA		4,562		301,320		(3,065	)
Dassault Systemes		1,968		124,627		(4,617	)
Eiffage SA		5,752		282,979		8,645

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Etablissements Maurel et Prom		27,838		$	372,200		$	(112,030	)
GDF Suez		145,449			3,563,558			(171,827	)
Groupe Eurotunnel SA		78,564			902,859			111,416
Iliad SA		23,975			5,346,049			409,780
Imerys SA		11,922			850,037			27,075
Ingenico		5,444			525,548			47,914
Lagardere SCA		181,582			5,394,246			(665,491	)
Natixis SA		104,798			637,746			53,776
Orange SA		616,860			8,533,415			1,957,347
Renault SA		11,641			999,700			(151,813	)
Rexel SA		182,676			3,750,237			(477,392	)
Safran SA		2,773			164,809			6,271
Sanofi		82,932			7,335,882			225,067
SCOR SE		19,538			557,848			34,160
SES SA		99,303			3,301,212			261,777
Societe BIC SA		16,568			1,669,289			528,004
Societe Generale SA		6,890			301,695			(13,347	)
Sodexo SA		930			85,826			5,207
Suez Environnement Co.		247,031			3,124,823			1,179,252
Thales SA		23,296			1,196,494			63,987
Total SA		131,819			7,332,590			(579,236	)
Valeo SA		76,541			4,080,372			5,443,642
Vivendi SA		116,901			2,765,845			143,883
Wendel SA		3,491			429,557			(38,412	)
								9,439,025
Portugal
Jeronimo Martins SGPS SA		16,813			169,461			(989	)
Total of Long Equity Positions								9,438,036
Short Positions
France
Accor SA		(30,824	)		(1,033,099	)		(352,470	)
Air France-KLM		(58,707	)		(740,267	)		177,708
Air Liquide SA		(10,556	)		(1,178,542	)		(127,654	)
Alcatel-Lucent		(1,388,586	)		(1,977,551	)		(2,989,728	)
BNP Paribas SA		(18,592	)		(1,070,984	)		(26,578	)
Bollore SA		(23,135	)		(102,786	)		(2,573	)
Bouygues SA		(5,734	)		(210,921	)		3,876
Carrefour SA		(66,841	)		(2,242,070	)		208,004
Casino Guichard Perrachon SA		(2,059	)		(179,492	)		(9,863	)
Christian Dior SA Rights		(777	)		(30	)		(4,180	)
Christian Dior SA		(777	)		(125,068	)		(7,906	)
Christian Dior SA, EUR 2 Rights		(777	)		(78	)		(10,719	)
Cie de Saint-Gobain		(86,957	)		(3,650,047	)		(33,525	)
Edenred		(37,926	)		(990,527	)		(58,355	)
Electricite de France SA		(89,478	)		(2,472,266	)		9,080

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Essilor International SA		(60,100	)	$	(5,855,052	)	$	(847,258	)
Eutelsat Communications SA		(79,961	)		(2,258,018	)		(327,892	)
Faurecia		(21,604	)		(589,311	)		(212,594	)
JCDecaux SA		(15,383	)		(493,241	)		(36,407	)
Kering		(19,627	)		(3,690,666	)		(81,065	)
Legrand SA		(13,205	)		(649,019	)		(43,691	)
LVMH Moet Hennessy Louis Vuitton SA Rights		(45,658	)		(5,792	)		(798,866	)
LVMH Moet Hennessy Louis Vuitton SA		(46,022	)		(7,485,636	)		195,673
Neopost SA		(12,846	)		(707,706	)		(21,243	)
Pernod Ricard SA		(24,018	)		(2,370,421	)		(298,884	)
Peugeot SA		(365,543	)		(4,664,469	)		185,693
Publicis Groupe SA		(9,964	)		(693,448	)		(21,124	)
Remy Cointreau SA		(36,677	)		(2,734,830	)		287,761
Schneider Electric SE		(42,262	)		(3,331,829	)		253,920
Societe Television Francaise 1		(224	)		(3,399	)		(44	)
Technip SA		(41,544	)		(3,323,098	)		848,425
Vallourec SA		(184,081	)		(8,159,766	)		3,170,867
Veolia Environnement SA		(406,927	)		(4,216,997	)		(2,990,837	)
Vinci SA		(12,609	)		(748,855	)		60,372
Zodiac Aerospace		(35,435	)		(1,056,178	)		(136,840	)
Total of Short Equity Positions								(4,038,917	)
Total of Long and Short Equity Positions								5,399,119
Net Cash and Other Receivables/ (Payables) (b)								592,768
Swaps, at Value							$	5,991,887

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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159

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	37 months maturity 12/21/2015		$(5,587,503	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
India
Reliance Industries Ltd.		29,640	$	882,666	$	(55,459	)
State Bank of India		17,908		738,706		142,919
						87,460
Korea, Republic of
Samsung Electronics Co., Ltd.		13,128		8,701,289		(821,239	)
Total of Long Equity Positions						(733,779	)
Net Cash and Other Receivables/ (Payables) (b)						(4,853,724	)
Swaps, at Value					$	(5,587,503	)

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 11/20/2015 - 12/22/2015		$(38,303	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Amec Foster Wheeler PLC		2,140	$	30,217	$	(2,525	)
United States
Allergan, Inc.		26,991		5,649,856		88,161
Total of Long Equity Positions						85,636

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
United States
Actavis PLC		(9,941	)	$	(2,463,568	)	$	(95,345	)
Total of Long and Short Equity Positions								(9,709	)
Net Cash and Other Receivables/ (Payables) (b)								(28,594	)
Swaps, at Value							$	(38,303	)

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	37 months maturity 12/21/2015		$1,646,278

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Advanced Computer Software Group PLC		1,948,618		$	4,194,601		$	11,143
CSR PLC		234,321			3,109,956			(1,275	)
Friends Life Group Ltd.		558,690			3,299,421			(126,493	)
Spirit Pub Co. PLC		2,017,826			3,298,023			(19,387	)
Synergy Health PLC		121,005			3,466,864			457,139
								321,127
Total of Long Equity Positions								321,127
Short Positions
United Kingdom
Aviva PLC		(413,431	)		(3,248,650	)		142,386

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Greene King PLC		(266,756	)	$	(3,182,774	)	$	98,715
								241,101
Total of Short Equity Positions								241,101
Total of Long and Short Equity Positions								562,228
Net Cash and Other Receivables/ (Payables) (b)								1,084,050
Swaps, at Value							$	1,646,278

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

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162

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	24 months maturity 10/16/2015		$(301,363	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Goodman Fielder Ltd.		6,366,829	$	3,539,276	$	(219,973	)
Net Cash and Other Receivables/ (Payables) (b)						(81,390	)
Swaps, at Value					$	(301,363	)

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate, which is denominated in USD based on the local currencies of the positions within the swap.	7-25 months maturity ranging from 07/23/2015 - 07/24/2015		$17,420,143

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		29,400	$	1,231,902	$	(49,434	)
Restaurant Brands International, Inc.		9,504		336,000		35,036
						(14,398	)
Ireland
Allegion PLC		1,500		80,925		2,265
Singapore
Avago Technologies Ltd.		8,800		808,051		77,141
Flextronics International Ltd.		1,021,300		11,438,560		(20,426	)
						56,715

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden
Autoliv, Inc.		30,600	$	3,046,230	$	201,042
Switzerland
Allied World Assurance Co. Holdings AG		49,862		1,869,326		21,441
TE Connectivity Ltd.		98,133		6,249,109		(42,197	)
Transocean Ltd.		12,400		237,491		(10,199	)
Weatherford International PLC		205,100		2,825,570		(477,175	)
						(508,130	)
United Kingdom
Aon PLC		33,600		3,101,616		84,672
Delphi Automotive PLC		104,300		7,545,160		39,536
Pentair PLC		1,100		73,993		(931	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Willis Group Holdings PLC		13,400	$	579,014	$	21,440
						144,717
United States
3D Systems Corp.		10,300		324,568		13,993
Abbott Laboratories		74,707		3,311,014		52,295
AbbVie, Inc.		69,665		4,669,889		(111,011	)
Activision Blizzard, Inc.		32,989		702,666		(37,937	)
Acxiom Corp.		60,168		1,169,064		50,541
Adobe Systems, Inc.		7,769		558,553		6,254
Advance Auto Parts, Inc.		9,438		1,373,984		129,301
Advanced Micro Devices, Inc.		88,818		236,447		697
AECOM Technology Corp.		50,363		1,697,233		(167,709	)
AES Corp.		49,086		679,044		(3,130	)
Aetna, Inc.		79,500		6,909,269		152,716
Agilent Technologies, Inc.		28,845		1,216,573		(35,659	)
Akamai Technologies, Inc.		13,800		885,270		(16,422	)
Alaska Air Group, Inc.		46,595		2,578,229		206,288
Alcoa, Inc.		82,200		1,219,988		77,950
Alere, Inc.		11,015		406,273		12,297
Alexion Pharmaceuticals, Inc.		37,100		7,202,965		(338,352	)
Alliant Energy Corp.		9,700		600,042		44,232
Alliant Techsystems, Inc.		10,100		1,135,324		38,801
Allison Transmission Holdings, Inc.		12,100		404,616		5,574
Allstate Corp./The		42,000		2,851,863		98,637
Amdocs Ltd.		64,000		3,091,840		(105,920	)
AMERCO		2,900		799,259		25,095
Ameren Corp.		30,300		1,287,144		110,595
American Capital Ltd.		81,160		1,211,719		(25,971	)
American Electric Power Co., Inc.		63,000		3,578,400		246,960
American Express Co.		47,600		4,333,504		95,200
American Financial Group, Inc.		52,400		3,181,728		—
American International Group, Inc.		4,300		230,124		10,719
American Water Works Co., Inc.		35,000		1,828,050		37,450
Ameriprise Financial, Inc.		20,600		2,722,702		1,648
AmerisourceBergen Corp.		6,013		542,492		(360	)
Amgen, Inc.		17,313		2,815,215		(57,427	)
Anadarko Petroleum Corp.		48,976		4,332,988		(292,468	)
ANN, Inc.		66,421		2,523,998		(100,960	)
Anthem, Inc.		50,900		6,420,211		(23,608	)
AO Smith Corp.		51,305		2,809,975		84,140
Apache Corp.		27,700		2,073,229		(337,270	)
Apollo Education Group, Inc.		53,700		1,659,330		172,377
Applied Materials, Inc.		826		19,196		1,388

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Archer-Daniels-Midland Co.		195,300	$	10,341,135	$	(185,535	)
ARRIS Group, Inc.		70,180		2,055,748		62,986
Arrow Electronics, Inc.		42,866		2,496,516		(15,003	)
Arthur J. & Gallager Corp.		34,100		1,635,777		(30,349	)
Ashland, Inc.		200		22,550		1,402
Aspen Insurance Holdings Ltd.		6,200		272,355		(981	)
Associated Banc-Corp.		6,700		127,970		(3,149	)
Assurant, Inc.		99,300		6,787,155		7,944
AT&T, Inc.		28,746		996,741		(31,163	)
Atmel Corp.		336,300		2,611,928		211,311
Atmos Energy Corp.		8,847		474,288		18,844
Autodesk, Inc.		60,300		3,695,184		(73,566	)
Automatic Data Processing, Inc.		9,513		806,560		(13,461	)
AutoZone, Inc.		1,600		914,208		76,368
Avery Dennison Corp.		11,600		570,140		31,668
Avnet, Inc.		54,800		2,405,720		(48,224	)
Axis Capital Holdings Ltd.		24,902		1,247,092		25,151
Ball Corp.		36,500		2,371,502		116,703
Bank of America Corp.		119,000		2,044,420		84,490
Bank of New York Mellon Corp./The		7,000		280,280		3,710
Barnes & Noble, Inc.		15,363		367,944		(11,215	)
BB&T Corp.		6,400		243,648		5,248
Becton Dickinson and Co.		2,500		327,775		20,125
Best Buy Co., Inc.		80,793		3,144,312		4,999
Big Lots, Inc.		79,927		3,715,943		(517,264	)
Biogen Idec, Inc.		34,949		10,720,256		1,143,182
Booz Allen Hamilton Holding Corp.		35,600		922,273		22,195
Boston Scientific Corp.		63,671		836,637		7,004
Brinker International, Inc.		1,700		93,619		6,154
Broadcom Corp.		112,700		4,781,827		101,464
Broadridge Financial Solutions, Inc.		46,300		2,112,206		25,928
Brocade Communications Systems, Inc.		1,244,936		14,553,302		186,740
Brown & Brown, Inc.		21,500		694,020		13,545
Bruker Corp.		6,100		117,181		2,501
Bunge Ltd.		22,700		2,039,822		23,835
CA, Inc.		136,657		4,235,551		(74,346	)
Cabot Corp.		24,761		1,160,796		(74,778	)
Calpine Corp.		7,358		154,803		8,029
Cameron International Corp.		49,057		2,449,108		1,289
Capital One Financial Corp.		85,700		7,018,730		55,805
Cardinal Health, Inc.		74,841		6,059,876		(17,962	)
Career Education Corp.		78,903		456,848		92,317
Carlisle Cos., Inc.		21,167		1,925,139		(15,029	)
Carnival Corp.		16,499		692,793		55,107
Caterpillar, Inc.		21,700		1,964,044		22,157
CBOE Holdings, Inc.		16,900		1,003,522		68,276
CBS Corp.		5,600		310,034		(130	)
CDW Corp.		14,900		503,077		20,956

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

AQR Funds Annual Report December 2014

164

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Celanese Corp.		7,400	$	450,126	$	(6,422	)
Celgene Corp.		4,763		528,598		4,191
Centene Corp.		17,200		1,731,349		54,871
CenterPoint Energy, Inc.		32,338		787,430		(29,751	)
CenturyLink, Inc.		18,082		728,343		(12,657	)
CF Industries Holdings, Inc.		18,100		4,939,977		(7,003	)
Charles River Laboratories International, Inc.		44,000		2,885,960		(85,800	)
Chevron Corp.		15,468		1,818,882		(83,682	)
Chico’s FAS, Inc.		198,187		3,136,425		76,186
Chipotle Mexican Grill, Inc.		900		593,586		22,473
Cigna Corp.		76,568		7,840,563		39,050
Cimarex Energy Co.		18,947		2,307,555		(299,173	)
Cinemark Holdings, Inc.		35,941		1,292,303		(13,522	)
Cintas Corp.		37,200		2,710,392		207,576
Cisco Systems, Inc.		84,406		2,266,158		81,594
Citrix Systems, Inc.		14,200		861,122		44,838
Civeo Corp.		15,400		134,059		(70,765	)
Cleco Corp.		16,649		891,720		16,316
Cliffs Natural Resources, Inc.		40,129		251,755		34,766
Cobalt International Energy, Inc.		105,845		1,114,777		(173,815	)
Coca-Cola Enterprises, Inc.		49,381		2,163,044		20,584
Cognizant Technology Solutions Corp.		60,050		3,201,159		(38,926	)
Colgate-Palmolive Co.		6,800		462,060		8,432
Comcast Corp.		3,311		189,180		2,891
Commercial Metals Co.		156,400		2,649,416		(101,660	)
Computer Sciences Corp.		142,500		9,041,625		(57,000	)
ConocoPhillips		95,931		7,034,620		(409,625	)
Consolidated Edison, Inc.		24,600		1,522,494		101,352
Convergys Corp.		40,934		863,707		(29,882	)
Con-way, Inc.		37,990		1,838,815		29,534
Cooper Cos., Inc./The		2,400		406,368		(17,352	)
Copart, Inc.		14,300		494,065		27,742
CoreLogic, Inc.		53,200		1,781,668		(101,080	)
Corning, Inc.		146,900		3,084,414		284,003
Costco Wholesale Corp.		6,550		912,309		16,153
Covisint Corp.		1,194		3,069		96
CR Bard, Inc.		9,500		1,592,689		(9,799	)
Crane Co.		37,453		2,316,468		(117,977	)
Crown Holdings, Inc.		63,932		3,120,521		133,618
CSX Corp.		23,900		897,894		(31,997	)
Cummins, Inc.		9,696		1,434,911		(37,039	)
CVS Health Corp.		82,373		7,485,235		448,109
Cytec Industries, Inc.		50,568		2,486,258		(151,533	)
Danaher Corp.		563		47,016		1,239
DaVita HealthCare Partners, Inc.		21,575		1,607,122		26,969
Delta Air Lines, Inc.		98,876		4,314,197		549,513
Deluxe Corp.		9,400		555,388		29,762
Devon Energy Corp.		32,900		2,073,309		(59,500	)
Diamond Offshore Drilling, Inc.		4,500		175,006		(9,811	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dick’s Sporting Goods, Inc.		5,700	$	282,414	$	591
Dillard’s, Inc.		52,495		6,291,838		279,487
Discover Financial Services		58,359		3,793,256		28,675
DISH Network Corp.		117,000		8,831,917		(303,787	)
Dolby Laboratories, Inc.		3,900		171,639		(3,471	)
Dollar General Corp.		88,697		5,926,585		344,293
Dollar Tree, Inc.		63,809		4,287,965		202,913
Domino’s Pizza, Inc.		58,600		5,471,482		46,880
Dover Corp.		24,300		1,991,741		(248,945	)
Dow Chemical Co./The		68,000		3,494,577		(393,097	)
DR Horton, Inc.		79,300		1,923,292		82,205
Dr. Pepper Snapple Group, Inc.		45,800		3,329,202		(46,258	)
DST Systems, Inc.		29,600		2,949,563		(162,723	)
DSW, Inc.		5,298		190,529		7,087
DTE Energy Co.		35,120		2,828,214		205,101
East West Bancorp, Inc.		10,093		374,148		16,553
Eastman Chemical Co.		10,600		891,130		(87,014	)
Eaton Corp. PLC		2,100		145,689		(2,973	)
eBay, Inc.		178,821		9,819,930		215,504
EchoStar Corp.		6,400		330,310		5,690
Edison International		48,000		2,981,280		161,760
Edwards Lifesciences Corp.		24,143		3,091,714		(16,379	)
Electronic Arts, Inc.		114,800		5,043,846		353,476
Eli Lilly & Co.		3,400		227,562		7,004
EMC Corp.		126,000		3,758,284		(11,044	)
Emerson Electric Co.		8,400		546,406		(27,874	)
Endurance Specialty Holdings Ltd.		3,000		177,000		2,520
Energen Corp.		18,771		1,285,814		(88,975	)
Energizer Holdings, Inc.		14,700		1,872,045		17,787
Entergy Corp.		48,400		3,945,886		288,146
EOG Resources, Inc.		58,767		5,850,843		(440,165	)
Equifax, Inc.		11,800		939,398		14,868
Estee Lauder Cos., Inc./The		5,700		418,969		15,371
Esterline Technologies Corp.		3,100		367,319		(27,311	)
Everest Re Group Ltd.		22,906		4,017,254		(116,362	)
Exelis, Inc.		38,000		671,190		(5,050	)
Expedia, Inc.		53,154		4,558,050		(20,824	)
Facebook, Inc.		120,950		8,953,315		483,204
Fair Isaac Corp.		7,623		548,932		2,211
Fairchild Semiconductor International, Inc.		44,186		716,322		29,538
FedEx Corp.		23,700		4,160,061		(44,319	)
Fidelity National Information Services, Inc.		53,100		3,191,841		110,979
Fifth Third Bancorp		46,730		950,956		1,168
First Solar, Inc.		50,165		2,495,699		(258,591	)
Fiserv, Inc.		42,300		2,987,649		14,382
FleetCor Technologies, Inc.		39,300		6,132,765		(288,462	)
FLIR Systems, Inc.		6,800		215,084		4,624
Fluor Corp.		44,200		2,781,799		(101,953	)
FNF Group		15,100		475,117		45,078
Foot Locker, Inc.		154,587		8,723,344		(38,647	)
Fortinet, Inc.		80,000		2,189,600		263,200

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

AQR Funds Annual Report December 2014

165

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Freeport-McMoRan, Inc.		171,000	$	3,864,383	$	130,177
Frontier Communications Corp.		225,500		1,571,735		(67,650	)
Fulton Financial Corp.		44,100		538,902		6,174
Gannett Co., Inc.		12,900		414,674		(2,777	)
Gap, Inc./The		119,071		4,787,845		226,235
Gartner, Inc.		23,100		1,960,959		(15,708	)
General Dynamics Corp.		37,600		5,327,613		(153,101	)
General Electric Co.		174,610		4,678,028		(265,633	)
Genpact Ltd.		20,600		367,710		22,248
Genuine Parts Co.		15,603		1,593,846		68,965
Genworth Financial, Inc.		192,017		1,739,963		(107,818	)
Gilead Sciences, Inc.		54,667		5,499,500		(346,589	)
Goldman Sachs Group, Inc./The		17,415		3,285,246		90,304
Goodyear Tire & Rubber Co./The		51,735		1,373,047		105,022
Google, Inc.		6,078		3,246,888		(21,536	)
Graham Holdings Co.		3,932		3,435,891		(39,783	)
Groupon, Inc.		487,680		3,673,211		355,026
Guess?, Inc.		85,007		1,886,930		(94,983	)
H&R Block, Inc.		118,926		3,941,877		63,551
Halliburton Co.		145,000		6,849,929		(1,147,079	)
Hanesbrands, Inc.		35,826		4,010,045		(11,147	)
Hanover Insurance Group, Inc./The		27,743		1,980,295		(1,665	)
Harman International Industries, Inc.		44,700		4,977,345		(207,408	)
Harris Corp.		7,600		539,980		5,852
Harsco Corp.		61,686		1,241,122		(75,874	)
Hartford Financial Services Group, Inc./The		13,500		561,465		1,350
HCA Holdings, Inc.		145,900		10,224,215		483,386
HCC Insurance Holdings, Inc.		22,000		1,168,168		9,272
HD Supply Holdings, Inc.		44,800		1,296,375		24,777
Health Net, Inc.		163,500		8,426,421		325,734
Helix Energy Solutions Group, Inc.		61,700		1,575,728		(236,838	)
Helmerich & Payne, Inc.		31,700		2,377,712		(240,498	)
Hertz Global Holdings, Inc.		71,600		1,730,734		54,970
Hess Corp.		77,391		6,203,626		(490,622	)
Hewlett-Packard Co.		288,362		10,816,303		755,664
Hill-Rom Holdings, Inc.		40,800		1,882,920		(21,624	)
Home Depot, Inc./The		41,048		4,037,051		271,757
Honeywell International, Inc.		8,100		795,987		13,365
Hormel Foods Corp.		6,000		324,780		(12,180	)
Howard Hughes Corp./The		10,500		1,557,465		(188,055	)
Hubbell, Inc.		5,206		569,484		(13,327	)
Humana, Inc.		70,400		9,844,736		266,816
Huntington Bancshares, Inc.		1,300		13,234		442
Huntington Ingalls Industries, Inc.		34,800		3,803,475		110,133
Hyatt Hotels Corp.		4,700		276,971		6,016
IAC/InterActiveCorp.		130,829		8,617,706		(664,611	)
IDEX Corp.		5,200		403,988		780
Illinois Tool Works, Inc.		739		71,011		(1,027	)
Illumina, Inc.		19,920		3,750,181		(73,347	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ingersoll-Rand PLC		94,300	$	6,013,511	$	(35,834	)
Ingram Micro, Inc.		181,634		4,929,547		90,817
Ingredion, Inc.		17,822		1,471,384		40,634
Integrated Device Technology, Inc.		187,900		3,530,973		151,867
Intel Corp.		119,378		4,327,453		4,775
Intercontinental Exchange, Inc.		300		67,553		(1,766	)
International Flavors & Fragrances, Inc.		1,945		194,092		3,054
International Paper Co.		16,300		870,136		3,218
International Rectifier Corp.		300		11,955		15
Interpublic Group of Cos., Inc./The		132,918		2,688,931		71,776
Intersil Corp.		81,500		1,071,720		107,585
Intuit, Inc.		25,400		2,353,818		(12,192	)
Itron, Inc.		2,900		117,450		5,191
ITT Corp.		124,600		5,464,532		(423,216	)
Jabil Circuit, Inc.		344,775		7,194,103		332,335
Jack Henry & Associates, Inc.		5,700		351,234		2,964
Jarden Corp.		16,350		727,902		54,936
JDS Uniphase Corp.		64,372		865,160		18,024
John Wiley & Sons, Inc.		7,722		455,521		1,931
Johnson & Johnson		36,070		3,855,162		(83,322	)
Johnson Controls, Inc.		82,968		4,184,912		(174,239	)
JPMorgan Chase & Co.		75,205		4,584,497		121,832
Juniper Networks, Inc.		215,500		4,723,778		86,182
KAR Auction Services, Inc.		6,817		235,255		954
Kate Spade & Co.		11,400		335,539		29,375
KBR, Inc.		241,144		4,441,208		(353,817	)
KeyCorp.		190,658		2,579,603		70,543
Kimberly-Clark Corp.		23,882		2,699,144		60,183
KLA-Tencor Corp.		5,531		463,000		(74,060	)
Knowles Corp.		8,800		183,714		23,526
L-3 Communications Holdings, Inc.		29,900		3,661,210		112,469
Lam Research Corp.		4,300		343,957		(2,795	)
Lear Corp.		63,000		6,019,937		159,103
Leidos Holdings, Inc.		11,050		467,930		12,966
Lennox International, Inc.		15,600		1,471,860		11,232
Leucadia National Corp.		55,518		1,318,071		(73,357	)
Level 3 Communications, Inc.		13,697		685,535		(9,177	)
LifePoint Hospitals, Inc.		1,183		80,811		4,259
Lincoln Electric Holdings, Inc.		11,300		808,342		(27,625	)
Live Nation Entertainment, Inc.		83,717		2,195,207		(9,357	)
Lockheed Martin Corp.		26,300		4,965,966		98,625
Loews Corp.		50,700		2,168,128		(37,714	)
Lowe’s Cos., Inc.		125,336		7,976,383		646,734
LPL Financial Holdings, Inc.		38,440		1,637,544		74,958
LyondellBasell Industries NV		132,385		11,961,526		(1,451,480	)
M&T Bank Corp.		6,500		819,325		(2,795	)
Macy’s, Inc.		79,503		5,116,813		110,509

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

AQR Funds Annual Report December 2014

166

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Madison Square Garden Co./The		8,700	$	623,918	$	30,844
Mallinckrodt PLC		1,000		91,276		7,754
Manpowergroup, Inc.		91,143		6,247,413		(34,195	)
Marathon Oil Corp.		209,654		6,492,568		(561,457	)
Marathon Petroleum Corp.		47,300		4,546,476		(277,178	)
Marriott International, Inc.		629		47,984		1,097
Marsh & McLennan Cos., Inc.		8,100		458,217		5,427
Marvell Technology Group Ltd.		356,236		4,951,680		213,742
Masco Corp.		72,200		1,755,182		64,258
Maxim Integrated Products, Inc.		25,250		733,386		71,331
McGraw Hill Financial, Inc.		29,200		2,699,248		(101,032	)
McKesson Corp.		39,706		8,327,142		(84,971	)
MDU Resources Group, Inc.		894		20,748		261
Medivation, Inc.		32,400		3,621,672		(394,308	)
Medtronic, Inc.		33,300		2,428,569		(24,309	)
Merck & Co., Inc.		161,320		9,434,304		(272,942	)
MetLife, Inc.		37,968		2,027,422		26,267
MGM Resorts International		12,800		264,707		8,957
Micron Technology, Inc.		58,104		1,951,833		82,388
Microsoft Corp.		68,400		3,255,156		(77,976	)
MKS Instruments, Inc.		4,272		151,571		4,785
Mohawk Industries, Inc.		8,000		1,231,120		11,760
Mondelez International, Inc.		130,416		5,048,026		(310,665	)
Monster Beverage Corp.		44,600		4,829,654		2,756
MRC Global, Inc.		40,600		621,124		(6,034	)
MSCI, Inc.		2,600		127,192		(3,848	)
Murphy Oil Corp.		21,759		1,146,861		(47,596	)
Murphy USA, Inc.		49,150		3,071,572		312,897
Myriad Genetics, Inc.		35,486		1,174,587		34,067
National Fuel Gas Co.		1,100		76,800		(317	)
National Oilwell Varco, Inc.		25,900		1,904,945		(207,718	)
Navient Corp.		274,256		5,747,613		179,059
NetApp, Inc.		150,584		6,419,396		(177,689	)
New York Times Co./The		18,000		234,464		3,496
Newell Rubbermaid, Inc.		84,764		3,050,322		178,339
Newfield Exploration Co.		214,715		6,468,808		(645,737	)
News Corp.		92,900		1,437,125		20,476
NextEra Energy, Inc.		3,500		361,270		10,745
Nielsen NV		6,500		281,599		9,146
NIKE, Inc.		31,900		3,124,605		(57,420	)
NiSource, Inc.		7,400		306,138		7,770
Norfolk Southern Corp.		25,400		2,955,290		(171,196	)
Northrop Grumman Corp.		71,649		10,082,447		477,899
NVIDIA Corp.		84,800		1,745,184		(44,944	)
NVR, Inc.		200		247,748		7,318
Occidental Petroleum Corp.		3,180		269,337		(12,998	)
OGE Energy Corp.		33,200		1,215,120		(37,184	)
Oil States International, Inc.		59,700		3,090,962		(171,632	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Old Dominion Freight Line, Inc.		31,200	$	2,478,216	$	(55,848	)
Old Republic International Corp.		9,798		142,595		749
Omnicom Group, Inc.		24,225		1,843,765		32,946
ON Semiconductor Corp.		251,894		2,221,705		329,981
ONEOK, Inc.		9,900		574,596		(81,675	)
Oracle Corp.		117,899		4,884,556		417,362
O’Reilly Automotive, Inc.		16,600		2,995,636		201,856
Oshkosh Corp.		19,900		950,104		18,031
Owens-Illinois, Inc.		185,800		4,841,623		173,119
Packaging Corp. of America		5,415		399,952		22,689
Pandora Media, Inc.		27,509		519,494		(29,009	)
Parker-Hannifin Corp.		16,725		2,218,237		(61,548	)
PartnerRe Ltd.		1,600		182,716		(108	)
Patterson-UTI Energy, Inc.		262,300		5,513,188		(1,161,631	)
PepsiCo, Inc.		8,450		833,846		(34,814	)
PerkinElmer, Inc.		12,200		554,978		(21,472	)
PetSmart, Inc.		27,083		2,119,245		82,468
Pfizer, Inc.		289,985		8,802,244		230,789
Phillips 66		97,700		7,759,334		(754,244	)
Pilgrim’s Pride Corp.		93,711		2,970,066		102,718
Pinnacle West Capital Corp.		700		43,414		4,403
PNC Financial Services Group, Inc./The		54,082		4,760,377		173,524
PNM Resources, Inc.		34,000		973,080		34,340
Polaris Industries, Inc.		2,300		357,935		(10,083	)
Polycom, Inc.		278,164		3,660,638		94,576
PPG Industries, Inc.		29,142		6,282,141		454,032
ProAssurance Corp.		10,100		463,590		(7,575	)
Prudential Financial, Inc.		23,567		2,030,545		101,326
PTC, Inc.		7,524		289,373		(13,618	)
Public Service Enterprise Group, Inc.		75,800		3,085,818		53,060
PulteGroup, Inc.		335,707		7,221,963		(17,690	)
PVH Corp.		22,183		2,732,619		110,576
Quanta Services, Inc.		23,154		745,209		(87,867	)
Raytheon Co.		58,100		6,192,879		91,798
Regal-Beloit Corp.		5,300		388,808		9,752
Regions Financial Corp.		126,057		1,283,260		47,902
Reinsurance Group of America, Inc.		33,284		2,875,499		40,845
Reliance Steel & Aluminum Co.		69,400		4,476,504		(224,366	)
RenaissanceRe Holdings Ltd.		5,100		503,676		(7,854	)
Restaurant Brands International LP		96		—		4,209
Reynolds American, Inc.		1,500		97,275		(870	)
Rite Aid Corp.		1,302,234		7,331,577		2,461,222
Robert Half International, Inc.		1,100		62,799		1,419
Rock-Tenn Co.		37,572		2,101,778		189,363
Rockwell Automation, Inc.		4,700		534,666		(12,026	)
Ross Stores, Inc.		34,379		3,061,106		179,458

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

AQR Funds Annual Report December 2014

167

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rovi Corp.		44,635	$	986,778	$	21,527
Royal Caribbean Cruises Ltd.		84,800		6,255,914		734,150
RPM International, Inc.		21,600		1,030,752		64,584
Ryder System, Inc.		44,800		4,170,432		(10,752	)
SandRidge Energy, Inc.		314,100		775,760		(204,098	)
Sears Holdings Corp.		16,500		610,314		(66,144	)
SeaWorld Entertainment, Inc.		56,200		950,841		55,139
SEI Investments Co.		74,900		2,971,622		27,374
Sempra Energy		11,900		1,310,904		14,280
Sherwin-Williams Co./The		1,285		311,009		26,998
Signet Jewelers Ltd.		17,232		2,119,364		147,851
Skyworks Solutions, Inc.		75,600		4,992,315		504,561
SM Energy Co.		73,500		3,369,734		(534,104	)
Snap-on, Inc.		13,400		1,829,100		3,216
SolarCity Corp.		26,700		1,499,175		(71,259	)
Southwest Airlines Co.		165,500		6,384,271		619,689
Spectrum Brands Holdings, Inc.		2,700		249,164		9,172
Spirit AeroSystems Holdings, Inc.		39,600		1,669,906		34,478
Spirit Airlines, Inc.		16,900		1,187,282		90,020
SPX Corp.		9,400		851,644		(43,996	)
St. Jude Medical, Inc.		4,800		326,832		(14,688	)
Starbucks Corp.		39,895		3,212,345		61,039
Steel Dynamics, Inc.		167,617		3,846,810		(538,051	)
Stryker Corp.		3,300		301,620		9,669
SunTrust Banks, Inc.		71,296		2,844,710		142,592
Superior Energy Services, Inc.		244,900		5,736,234		(801,499	)
Symantec Corp.		158,641		4,092,938		(23,003	)
Synopsys, Inc.		44,246		1,895,499		27,875
Tech Data Corp.		57,470		3,599,346		34,482
Teleflex, Inc.		10,500		1,242,360		(36,750	)
Telephone & Data Systems, Inc.		52,300		1,318,483		2,092
Thermo Fisher Scientific, Inc.		20,900		2,662,869		(44,308	)
Time Warner, Inc.		85,600		6,970,455		341,497
Time, Inc.		9,200		219,420		6,992
Timken Co./The		108,800		4,695,191		(51,607	)
TJX Cos., Inc./The		41,900		2,666,549		206,953
Torchmark Corp.		9,555		517,212		382
Toro Co./The		8,647		573,988		(22,223	)
Total System Services, Inc.		34,899		1,150,271		34,899
Towers Watson & Co.		30,300		3,461,248		(32,197	)
Travelers Cos., Inc./The		45,000		4,670,550		92,700
Trinity Industries, Inc.		53,300		1,942,785		(449,852	)
Tupperware Brands Corp.		2,360		149,370		(690	)
Tyco International PLC		73,634		3,130,918		98,670
Tyson Foods, Inc.		163,512		6,744,870		(189,674	)
UGI Corp.		19,000		708,261		13,359
Union Pacific Corp.		48,324		5,740,534		16,304
Unit Corp.		39,900		1,779,903		(419,313	)
United Continental Holdings, Inc.		46,100		2,636,859		446,770
United Parcel Service, Inc.		8,200		879,532		32,062

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United States Steel Corp.		219,262	$	7,339,423	$	(1,476,357	)
United Technologies Corp.		6,100		687,989		13,511
United Therapeutics Corp.		29,300		3,810,959		(16,902	)
Universal Health Services, Inc.		31,482		3,266,572		236,115
Unum Group		130,836		4,435,773		127,787
Valero Energy Corp.		217,700		10,892,480		(116,330	)
Validus Holdings Ltd.		11,001		452,471		4,730
Valmont Industries, Inc.		5,943		785,171		(30,410	)
Valspar Corp./The		11,895		1,009,767		18,913
Vectren Corp.		6,428		281,804		15,363
Verisk Analytics, Inc.		12,698		788,546		24,761
Verizon Communications, Inc.		3,400		166,863		(7,811	)
Vertex Pharmaceuticals, Inc.		97,173		11,021,267		522,885
VF Corp.		6,100		446,603		10,287
Viacom, Inc.		71,900		5,359,300		51,175
Vishay Intertechnology, Inc.		45,947		641,420		8,730
Visteon Corp.		25,900		2,576,273		191,401
Voya Financial, Inc.		19,300		788,395		29,539
Vulcan Materials Co.		11,300		775,293		(32,544	)
WABCO Holdings, Inc.		42,200		4,376,562		45,154
Wabtec Corp.		5,137		468,700		(22,346	)
Waddell & Reed Financial, Inc.		46,800		2,295,301		36,275
Walgreens Boots Alliance, Inc.		100,281		6,792,032		849,380
Walt Disney Co./The		26,047		2,359,337		94,030
Waste Management, Inc.		7,700		374,759		20,405
Weight Watchers International, Inc.		23,200		644,960		(68,672	)
Wells Fargo & Co.		120,295		6,507,960		86,612
Western Digital Corp.		105,566		10,847,962		838,194
Westlake Chemical Corp.		11,600		710,183		(1,539	)
WEX, Inc.		800		81,202		(2,066	)
Whirlpool Corp.		20,923		3,864,194		189,429
Whiting Petroleum Corp.		81,973		2,546,219		158,890
Whole Foods Market, Inc.		3,200		157,431		3,913
Williams-Sonoma, Inc.		14,177		1,029,004		43,911
Windstream Holdings, Inc.		3,600		35,748		(6,084	)
Worthington Industries, Inc.		55,200		2,113,551		(452,583	)
WPX Energy, Inc.		319,500		4,633,700		(917,915	)
WR Grace & Co.		9,677		932,425		(9,336	)
Wyndham Worldwide Corp.		23,953		1,947,618		106,591
Wynn Resorts Ltd.		2,200		356,855		(29,583	)
Xerox Corp.		259,618		3,537,137		61,168
Xilinx, Inc.		8,100		361,077		(10,428	)
Yahoo!, Inc.		81,437		4,080,539		32,844
Yum! Brands, Inc.		500		34,988		1,437
Zebra Technologies Corp.		6,700		492,031		26,616
Zimmer Holdings, Inc.		11,300		1,243,904		37,742

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

AQR Funds Annual Report December 2014

168

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zoetis, Inc.		10,500		$	431,901		$	19,914
Zynga, Inc.		222,623			584,769			7,408
								3,108,422
Total of Long Equity Positions								2,990,633
Short Positions
Canada
Lululemon Athletica, Inc.		(74,300	)		(3,609,019	)		(536,178	)
Ireland
Alkermes PLC		(3,200	)		(175,611	)		(11,781	)
Endo International PLC		(100,561	)		(7,098,051	)		(154,408	)
Seagate Technology PLC		(42,100	)		(2,779,863	)		(19,787	)
								(185,976	)
Netherlands
Chicago Bridge & Iron Co. NV		(67,200	)		(3,009,177	)		188,121
Core Laboratories NV		(50,500	)		(6,620,508	)		543,338
QIAGEN NV		(1,101	)		(26,501	)		672
Sensata Technologies Holding NV		(120,300	)		(6,008,120	)		(296,803	)
								435,328
Norway
Golar LNG Ltd.		(130,300	)		(5,510,722	)		758,681
Seadrill Ltd.		(260,900	)		(4,868,537	)		1,753,391
								2,512,072
Panama
Copa Holdings SA		(34,300	)		(3,552,202	)		(2,650	)
Switzerland
Garmin Ltd.		(14,300	)		(852,709	)		97,240
United Kingdom
Ensco PLC		(198,000	)		(7,559,586	)		1,629,486
Liberty Global PLC		(160,415	)		(7,557,151	)		(496,484	)
Noble Corp. PLC		(111,500	)		(2,364,915	)		517,360
								1,650,362
United States
Aaron’s, Inc.		(1,700	)		(47,659	)		(4,310	)
Abercrombie & Fitch Co.		(95,103	)		(2,804,587	)		80,838
Accenture PLC		(3,500	)		(297,255	)		(15,330	)
ACI Worldwide, Inc.		(75,300	)		(1,473,291	)		(45,510	)
Actavis PLC		(5,900	)		(1,520,101	)		1,382
Acuity Brands, Inc.		(1,800	)		(256,518	)		4,392
ADT Corp./The		(237,200	)		(8,598,220	)		4,464
ADTRAN, Inc.		(263,000	)		(5,384,942	)		(348,458	)
Advent Software, Inc.		(3,711	)		(117,268	)		3,563
Aflac, Inc.		(30,581	)		(1,839,110	)		(29,084	)
AGCO Corp.		(3,700	)		(162,309	)		(4,931	)
Air Lease Corp.		(5,100	)		(194,361	)		19,380
Air Products & Chemicals, Inc.		(1,800	)		(260,550	)		936
Airgas, Inc.		(3,596	)		(421,056	)		6,868
Albemarle Corp.		(25,000	)		(1,546,250	)		43,000

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Align Technology, Inc.		(34,753	)	$	(1,962,461	)	$	19,421
Alleghany Corp.		(100	)		(45,631	)		(719	)
Allegheny Technologies, Inc.		(121,330	)		(4,150,017	)		(68,628	)
Alliance Data Systems Corp.		(27,431	)		(7,316,131	)		(530,507	)
Allscripts Healthcare Solutions, Inc.		(95,200	)		(1,162,204	)		(53,500	)
Alnylam Pharmaceuticals, Inc.		(8,900	)		(856,029	)		(7,271	)
Altera Corp.		(161,900	)		(5,914,207	)		(66,379	)
Amazon.com, Inc.		(4,305	)		(1,276,853	)		(59,204	)
AMC Networks, Inc.		(68,800	)		(4,258,079	)		(129,297	)
American Airlines Group, Inc.		(38,770	)		(1,746,744	)		(332,491	)
American Eagle Outfitters, Inc.		(242,600	)		(3,346,650	)		(20,638	)
AMETEK, Inc.		(35,800	)		(1,850,144	)		(34,010	)
Amphenol Corp.		(60,798	)		(3,188,855	)		(82,685	)
Analog Devices, Inc.		(20,900	)		(1,091,831	)		(68,537	)
ANSYS, Inc.		(9,200	)		(745,135	)		(9,265	)
AOL, Inc.		(67,416	)		(3,142,260	)		29,663
Arch Capital Group Ltd.		(26,819	)		(1,542,824	)		(42,178	)
Armstrong World Industries, Inc.		(1,400	)		(68,085	)		(3,483	)
Ascena Retail Group, Inc.		(22,000	)		(265,476	)		(10,844	)
Assured Guaranty Ltd.		(142,900	)		(3,612,512	)		(101,459	)
athenahealth, Inc.		(22,800	)		(2,878,118	)		(443,842	)
Atwood Oceanics, Inc.		(82,400	)		(2,978,674	)		640,986
AutoNation, Inc.		(4,200	)		(246,162	)		(7,560	)
Avis Budget Group, Inc.		(58,200	)		(3,509,994	)		(350,412	)
Avon Products, Inc.		(237,582	)		(2,321,176	)		90,281
B/E Aerospace, Inc.		(63,800	)		(3,532,244	)		(169,432	)
Babcock & Wilcox Co./The		(33,800	)		(1,032,590	)		8,450
BancorpSouth, Inc.		(36,500	)		(813,434	)		(8,181	)
Bank of Hawaii Corp.		(12,800	)		(753,472	)		(5,696	)
BankUnited, Inc.		(6,400	)		(179,593	)		(5,815	)
Baxter International, Inc.		(43,700	)		(3,165,628	)		(37,145	)
Bed Bath & Beyond, Inc.		(24,587	)		(1,811,816	)		(60,976	)
Belden, Inc.		(5,600	)		(429,673	)		(11,663	)
Bemis Co., Inc.		(14,165	)		(562,350	)		(78,049	)
Bill Barrett Corp.		(68,234	)		(912,276	)		135,091
BioMarin Pharmaceutical, Inc.		(91,400	)		(8,037,716	)		(224,844	)
Bio-Techne Corp.		(7,800	)		(705,879	)		(14,841	)
Black Hills Corp.		(17,283	)		(937,084	)		20,394
BorgWarner, Inc.		(1,100	)		(63,293	)		2,848
Brookdale Senior Living, Inc.		(116,600	)		(4,092,407	)		(183,315	)
Brunswick Corp.		(37,400	)		(1,818,643	)		(98,481	)
Cabela’s, Inc.		(100,300	)		(5,384,798	)		97,985
Cablevision Systems Corp.		(83,200	)		(1,636,544	)		(80,704	)
Cabot Oil & Gas Corp.		(115,800	)		(3,984,583	)		555,745
Cadence Design Systems, Inc.		(252,400	)		(4,690,731	)		(97,297	)
Campbell Soup Co.		(45,400	)		(2,024,386	)		26,786
CARBO Ceramics, Inc.		(7,200	)		(365,904	)		77,544
CarMax, Inc.		(187,601	)		(10,570,458	)		(1,920,017	)

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

AQR Funds Annual Report December 2014

169

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Carpenter Technology Corp.		(44,500	)	$	(2,263,183	)	$	71,558
Carter’s, Inc.		(1,746	)		(144,534	)		(7,909	)
Cash America International, Inc.		(9,213	)		(225,903	)		17,505
Catamaran Corp.		(13,202	)		(653,499	)		(29,705	)
Cathay General Bancorp		(6,000	)		(152,218	)		(1,322	)
Cerner Corp.		(9,600	)		(616,032	)		(4,704	)
CH Robinson Worldwide, Inc.		(75,200	)		(5,461,024	)		(170,704	)
Charles Schwab Corp./The		(289,399	)		(8,224,720	)		(512,236	)
Charter Communications, Inc.		(4,484	)		(736,632	)		(10,493	)
Cheesecake Factory, Inc./The		(10,489	)		(498,123	)		(29,579	)
Cheniere Energy, Inc.		(133,055	)		(9,555,581	)		188,509
Chesapeake Energy Corp.		(152,900	)		(3,407,159	)		414,906
Church & Dwight Co., Inc.		(6,700	)		(499,217	)		(28,810	)
Ciena Corp.		(713,300	)		(11,955,061	)		(1,890,092	)
Cincinnati Financial Corp.		(26,770	)		(1,373,569	)		(13,920	)
CIT Group, Inc.		(24,400	)		(1,206,580	)		39,528
Citigroup, Inc.		(12,400	)		(642,268	)		(28,696	)
City National Corp.		(14,352	)		(1,123,115	)		(36,670	)
CLARCOR, Inc.		(11,300	)		(747,723	)		(5,309	)
Clean Harbors, Inc.		(33,818	)		(1,663,521	)		38,566
Clorox Co./The		(23,200	)		(2,304,688	)		(112,984	)
Coach, Inc.		(417,670	)		(15,598,785	)		(88,901	)
Coca-Cola Co./The		(13,963	)		(618,142	)		28,624
Colfax Corp.		(59,758	)		(2,928,086	)		(153,634	)
Comerica, Inc.		(27,652	)		(1,345,546	)		50,327
Commerce Bancshares, Inc.		(15,997	)		(694,039	)		(1,670	)
Community Health Systems, Inc.		(78,600	)		(3,772,014	)		(466,098	)
CommVault Systems, Inc.		(26,957	)		(1,303,369	)		(90,038	)
Compass Minerals International, Inc.		(12,100	)		(1,090,089	)		39,446
ConAgra Foods, Inc.		(30,673	)		(1,087,358	)		(25,459	)
Concho Resources, Inc.		(24,832	)		(2,794,415	)		317,423
CONSOL Energy, Inc.		(253,854	)		(10,199,383	)		1,616,579
CoStar Group, Inc.		(11,900	)		(2,027,165	)		(158,032	)
Coty, Inc.		(28,800	)		(565,902	)		(29,106	)
Covanta Holding Corp.		(69,800	)		(1,711,496	)		175,198
Cree, Inc.		(195,367	)		(6,915,024	)		620,300
CST Brands, Inc.		(6,300	)		(273,294	)		(1,449	)
Cubist Pharmaceuticals, Inc.		(32,600	)		(2,440,110	)		(841,080	)
Cullen/Frost Bankers, Inc.		(10,000	)		(783,836	)		77,436
CVR Energy, Inc.		(21,800	)		(1,058,390	)		214,512
Cypress Semiconductor Corp		(300,800	)		(3,158,400	)		(1,137,024	)
Darden Restaurants, Inc.		(80,000	)		(4,508,800	)		(181,600	)
Dean Foods Co.		(278,531	)		(4,782,673	)		(615,258	)
Deckers Outdoor Corp.		(1,392	)		(132,866	)		6,139
Denbury Resources, Inc.		(300,899	)		(2,684,466	)		238,157

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
DENTSPLY International, Inc.		(26,416	)	$	(1,439,144	)	$	31,963
DeVry, Inc.		(17,767	)		(868,984	)		25,584
Diebold, Inc.		(66,269	)		(2,370,979	)		75,421
Discovery Communications, Inc.		(185,579	)		(6,387,038	)		(6,159	)
Dominion Resources, Inc.		(53	)		(3,872	)		(204	)
Donaldson Co., Inc.		(1,500	)		(55,502	)		(2,443	)
DreamWorks Animation SKG, Inc.		(175,503	)		(4,062,213	)		143,231
Dril-Quip, Inc.		(6,400	)		(467,631	)		(23,441	)
Dun & Bradstreet Corp./The		(13,700	)		(1,738,804	)		81,652
Dunkin’ Brands Group, Inc.		(30,000	)		(1,440,000	)		160,500
E*TRADE Financial Corp.		(95,100	)		(2,203,467	)		(103,184	)
Eagle Materials, Inc.		(9,000	)		(832,590	)		148,320
Ecolab, Inc.		(21,450	)		(2,456,025	)		214,071
EI du Pont de Nemours & Co.		(900	)		(62,522	)		(4,024	)
Enova International, Inc.		(9,981	)		(229,164	)		6,987
EQT Corp.		(21,240	)		(1,929,226	)		321,358
Equinix, Inc.		(43,600	)		(9,788,200	)		(97,228	)
Exelon Corp.		(23,218	)		(818,435	)		(42,489	)
Expeditors International of Washington, Inc.		(7,300	)		(324,558	)		(1,095	)
Express Scripts Holding Co.		(3,900	)		(310,673	)		(19,540	)
F5 Networks, Inc.		(37,600	)		(4,895,896	)		(9,588	)
FactSet Research Systems, Inc.		(13,700	)		(1,884,846	)		(43,429	)
Fastenal Co.		(175,600	)		(7,942,388	)		(409,148	)
Federated Investors, Inc.		(48,300	)		(1,526,203	)		(64,316	)
FEI Co.		(12,500	)		(1,071,081	)		(58,294	)
First American Financial Corp.		(33,200	)		(1,050,780	)		(74,700	)
First Horizon National Corp.		(429,000	)		(5,559,840	)		(265,980	)
First Niagara Financial Group, Inc.		(166,300	)		(1,365,106	)		(36,803	)
First Republic Bank		(35,700	)		(1,829,397	)		(31,287	)
FirstEnergy Corp.		(30,000	)		(1,089,600	)		(80,100	)
FirstMerit Corp.		(79,100	)		(1,454,208	)		(39,991	)
Flowers Foods, Inc.		(113,250	)		(2,203,491	)		30,224
Flowserve Corp.		(12,200	)		(723,164	)		(6,762	)
FMC Corp.		(74,000	)		(4,157,223	)		(62,997	)
FMC Technologies, Inc.		(57,573	)		(3,119,172	)		422,453
Ford Motor Co.		(124,000	)		(1,943,080	)		21,080
Forest City Enterprises, Inc.		(356,920	)		(7,659,503	)		57,107
Fortune Brands Home & Security, Inc.		(55,400	)		(2,535,658	)		27,700
Fossil Group, Inc.		(9,600	)		(1,020,269	)		(42,835	)
Franklin Resources, Inc.		(10,607	)		(593,380	)		6,070
Freescale Semiconductor Ltd.		(158,011	)		(3,405,940	)		(580,678	)
FTI Consulting, Inc.		(93,606	)		(3,718,065	)		102,065
GameStop Corp.		(2,851	)		(107,654	)		11,290
GATX Corp.		(45,503	)		(2,906,503	)		288,260

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

AQR Funds Annual Report December 2014

170

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
General Mills, Inc.		(11,300	)	$	(581,950	)	$	(20,679	)
General Motors Co.		(10,400	)		(334,776	)		(28,288	)
Genesee & Wyoming, Inc.		(17,400	)		(1,716,532	)		151,924
Gentex Corp.		(116,881	)		(4,156,288	)		(66,622	)
Global Payments, Inc.		(30,666	)		(2,618,263	)		142,597
GNC Holdings, Inc.		(27,637	)		(1,235,098	)		(62,736	)
Graco, Inc.		(12,200	)		(975,878	)		(2,318	)
GrafTech International Ltd.		(16,090	)		(74,497	)		(6,919	)
Great Plains Energy, Inc.		(19,800	)		(517,572	)		(44,946	)
Greenhill & Co., Inc.		(22,370	)		(990,320	)		14,988
Hain Celestial Group, Inc./The		(41,200	)		(2,230,329	)		(171,219	)
Hancock Holding Co.		(39,600	)		(1,342,214	)		126,494
Harley-Davidson, Inc.		(604	)		(41,851	)		2,042
Hasbro, Inc.		(400	)		(22,664	)		668
Herman Miller, Inc.		(400	)		(12,596	)		824
Hershey Co./The		(6,300	)		(608,013	)		(46,746	)
Hexcel Corp.		(71,400	)		(3,129,462	)		167,076
HMS Holdings Corp.		(188,612	)		(3,824,201	)		(163,057	)
HollyFrontier Corp.		(64,877	)		(2,879,642	)		448,052
Hologic, Inc.		(182,100	)		(4,851,144	)		(18,210	)
HomeAway, Inc.		(194,200	)		(5,897,890	)		114,614
Hospira, Inc.		(53,483	)		(3,225,025	)		(50,809	)
HSN, Inc.		(3,700	)		(267,769	)		(13,431	)
Huntsman Corp.		(88,810	)		(2,122,159	)		99,067
IDACORP, Inc.		(3,400	)		(207,842	)		(17,204	)
IDEXX Laboratories, Inc.		(5,374	)		(791,823	)		(4,980	)
IHS, Inc.		(3,970	)		(511,495	)		59,391
Incyte Corp.		(84,438	)		(6,363,974	)		190,711
Informatica Corp.		(6,349	)		(232,644	)		(9,475	)
InterDigital, Inc.		(92,400	)		(4,655,164	)		(232,796	)
International Business Machines Corp.		(14,265	)		(2,220,147	)		(68,530	)
Intrepid Potash, Inc.		(96,965	)		(1,443,809	)		97,935
Intuitive Surgical, Inc.		(10,274	)		(5,356,144	)		(78,185	)
Invesco Ltd.		(33,700	)		(1,307,344	)		(24,480	)
IPG Photonics Corp.		(58,869	)		(4,257,406	)		(153,059	)
ITC Holdings Corp.		(23,200	)		(908,280	)		(29,696	)
Jacobs Engineering Group, Inc.		(35,799	)		(1,635,886	)		36,029
Janus Capital Group, Inc.		(299,100	)		(4,594,176	)		(230,307	)
Jazz Pharmaceuticals PLC		(49,500	)		(8,353,251	)		248,616
JB Hunt Transport Services, Inc.		(50,417	)		(4,126,348	)		(121,285	)
JC Penney Co., Inc.		(137,497	)		(1,071,102	)		180,121
JetBlue Airways Corp.		(303,700	)		(4,081,728	)		(734,954	)
JM Smucker Co./The		(2,300	)		(228,543	)		(3,711	)
Joy Global, Inc.		(25,419	)		(1,304,005	)		121,513
Kansas City Southern		(23,500	)		(2,895,214	)		27,509
KB Home		(137,763	)		(2,457,692	)		177,714
Kellogg Co.		(8,270	)		(538,542	)		(2,646	)
Kennametal, Inc.		(70,900	)		(2,690,399	)		152,888
Keurig Green Mountain, Inc.		(10,213	)		(1,413,377	)		61,227
Kinder Morgan, Inc.		(135,308	)		(5,363,780	)		(361,102	)
Kirby Corp.		(33,200	)		(3,447,488	)		766,920
KLX, Inc.		(12,500	)		(527,880	)		12,255
Kohl’s Corp.		(29,300	)		(1,726,356	)		(62,116	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kosmos Energy Ltd.		(44,300	)	$	(429,710	)	$	58,033
Kraft Foods Group, Inc.		(19,100	)		(1,126,327	)		(70,479	)
L Brands, Inc.		(26,784	)		(2,141,916	)		(176,239	)
Laboratory Corp. of America Holdings		(42,480	)		(4,320,948	)		(262,644	)
Lamar Advertising Co.		(52,328	)		(2,786,989	)		(19,885	)
Landstar System, Inc.		(200	)		(15,776	)		1,270
Laredo Petroleum, Inc.		(454,900	)		(6,427,672	)		1,719,457
Las Vegas Sands Corp.		(4,500	)		(231,466	)		(30,254	)
Leap Wireless International, Inc.		(110,787	)		(279,183	)		13,189
Legg Mason, Inc.		(35,100	)		(1,986,309	)		113,022
Leggett & Platt, Inc.		(51,614	)		(2,151,272	)		(48,001	)
Lennar Corp.		(79,609	)		(3,782,224	)		214,944
Lexmark International, Inc.		(16,162	)		(688,178	)		21,172
Life Time Fitness, Inc.		(87,403	)		(4,860,481	)		(88,277	)
Lincoln National Corp.		(7,700	)		(447,986	)		3,927
Linear Technology Corp.		(41,700	)		(1,856,882	)		(44,638	)
LinkedIn Corp.		(65,300	)		(14,441,253	)		(558,810	)
Lions Gate Entertainment Corp.		(79,100	)		(2,578,482	)		45,700
LKQ Corp.		(66,700	)		(1,921,240	)		45,636
Louisiana-Pacific Corp.		(209,200	)		(3,247,393	)		(216,959	)
Manitowoc Co., Inc./The		(27,201	)		(546,621	)		(54,521	)
Markel Corp.		(1,550	)		(1,077,808	)		19,406
Martin Marietta Materials, Inc.		(33,148	)		(4,278,797	)		621,910
Masimo Corp.		(14,854	)		(390,957	)		(297	)
MasterCard, Inc.		(16,800	)		(1,399,282	)		(48,206	)
Mattel, Inc.		(74,922	)		(2,319,868	)		1,407
McCormick & Co., Inc.		(18,800	)		(1,364,880	)		(31,960	)
McDonald’s Corp.		(11,170	)		(1,085,389	)		38,760
MDC Holdings, Inc.		(70,200	)		(1,852,377	)		(5,817	)
Mead Johnson Nutrition Co.		(9,679	)		(978,257	)		5,130
MEDNAX, Inc.		(104,700	)		(6,775,219	)		(146,498	)
Mentor Graphics Corp.		(32,217	)		(702,666	)		(3,531	)
Meredith Corp.		(15,300	)		(806,922	)		(24,174	)
Mettler-Toledo International, Inc.		(10,100	)		(2,995,332	)		(59,514	)
Michael Kors Holdings Ltd.		(123,000	)		(9,303,007	)		65,707
Microchip Technology, Inc.		(40,400	)		(1,780,024	)		(42,420	)
Middleby Corp./The		(6,200	)		(579,991	)		(34,429	)
Minerals Technologies, Inc.		(4,300	)		(307,474	)		8,839
Monsanto Co.		(21,400	)		(2,579,342	)		22,684
Monster Worldwide, Inc.		(233,954	)		(1,057,472	)		(23,395	)
Mosaic Co./The		(65,352	)		(2,970,902	)		(12,417	)
Motorola Solutions, Inc.		(20,500	)		(1,344,224	)		(30,916	)
MSC Industrial Direct Co., Inc.		(46,613	)		(3,691,897	)		(95,409	)
Mylan, Inc.		(46,350	)		(2,593,746	)		(19,004	)
National Instruments Corp.		(10,200	)		(331,194	)		14,076
Navistar International Corp.		(251,482	)		(9,059,916	)		640,298
NCR Corp.		(142,647	)		(4,197,077	)		40,343
Netflix, Inc.		(6,162	)		(2,044,360	)		(60,641	)
NetSuite, Inc.		(81,833	)		(8,503,392	)		(430,317	)

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

AQR Funds Annual Report December 2014

171

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NeuStar, Inc.		(53,000	)	$	(1,452,730	)	$	(20,670	)
New York Community Bancorp, Inc.		(62,600	)		(997,903	)		(3,698	)
NewMarket Corp.		(1,000	)		(396,310	)		(7,220	)
Noble Energy, Inc.		(30,900	)		(1,568,425	)		102,838
Nordson Corp.		(13,400	)		(1,067,444	)		22,780
Nordstrom, Inc.		(16,101	)		(1,227,862	)		(50,396	)
Northern Trust Corp.		(3,100	)		(209,994	)		1,054
Norwegian Cruise Line Holdings Ltd.		(2,300	)		(97,060	)		(10,488	)
NOW, Inc.		(1,300	)		(37,557	)		4,108
NRG Energy, Inc.		(181,563	)		(5,467,550	)		574,428
Nu Skin Enterprises, Inc.		(56,053	)		(2,299,139	)		(150,377	)
Nuance Communications, Inc.		(464,700	)		(7,114,557	)		483,288
Nucor Corp.		(26,542	)		(1,430,879	)		128,994
Oasis Petroleum, Inc.		(300,100	)		(6,786,048	)		1,822,394
Oceaneering International, Inc.		(6,200	)		(367,147	)		2,525
Ocwen Financial Corp.		(109,618	)		(2,582,600	)		927,368
Office Depot, Inc.		(162,200	)		(1,090,795	)		(300,070	)
Olin Corp.		(28,000	)		(693,826	)		56,266
Omnicare, Inc.		(11,400	)		(793,196	)		(38,206	)
ONE Gas, Inc.		(5,100	)		(198,849	)		(11,373	)
Owens & Minor, Inc.		(22,308	)		(759,141	)		(24,093	)
Owens Corning		(143,600	)		(5,284,480	)		142,164
PACCAR, Inc.		(3,456	)		(232,727	)		(2,316	)
PacWest Bancorp		(18,100	)		(823,062	)		236
Pall Corp.		(4,363	)		(413,132	)		(28,447	)
Palo Alto Networks, Inc.		(20,300	)		(2,334,661	)		(153,510	)
Panera Bread Co.		(19,100	)		(3,206,351	)		(132,329	)
Patterson Cos., Inc.		(24,100	)		(1,148,606	)		(10,604	)
PBF Energy, Inc.		(186,100	)		(5,259,168	)		301,464
Peabody Energy Corp.		(314,800	)		(3,097,575	)		661,023
Penn National Gaming, Inc.		(40,869	)		(580,340	)		19,208
Penske Automotive Group, Inc.		(9,400	)		(450,636	)		(10,622	)
People’s United Financial, Inc.		(34,700	)		(511,848	)		(14,897	)
Perrigo Co. PLC		(33,198	)		(5,208,434	)		(340,943	)
Pharmacyclics, Inc.		(67,184	)		(9,339,229	)		1,125,313
Philip Morris International, Inc.		(27,097	)		(2,343,890	)		136,840
Pitney Bowes, Inc.		(106,600	)		(2,625,558	)		27,716
Plantronics, Inc.		(22,300	)		(1,157,475	)		(24,871	)
Platform Specialty Products Corp.		(12,867	)		(329,267	)		30,495
PolyOne Corp.		(8,600	)		(327,574	)		1,548
Popular, Inc.		(18,800	)		(612,128	)		(28,012	)
Post Holdings, Inc.		(151,900	)		(5,733,168	)		(629,923	)
PPL Corp.		(4,357	)		(153,149	)		(5,141	)
Praxair, Inc.		(3,600	)		(466,128	)		(288	)
Precision Castparts Corp.		(6,436	)		(1,522,659	)		(27,645	)
Priceline Group, Inc./The		(31	)		(33,014	)		(2,332	)
Principal Financial Group, Inc.		(62,700	)		(3,377,678	)		121,040
Procter & Gamble Co./The		(3,300	)		(290,763	)		(9,834	)
Progressive Corp./The		(171,489	)		(4,686,794	)		58,306

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Prosperity Bancshares, Inc.		(18,600	)	$	(1,078,060	)	$	48,364
QEP Resources, Inc.		(74,600	)		(1,474,782	)		(33,630	)
QUALCOMM, Inc.		(10,472	)		(748,430	)		(29,954	)
Quality Systems, Inc.		(13,332	)		(194,114	)		(13,732	)
Quest Diagnostics, Inc.		(117,640	)		(7,607,779	)		(281,160	)
Questar Corp.		(8,100	)		(194,724	)		(10,044	)
Quintiles Transnational Holdings, Inc.		(5,900	)		(339,781	)		(7,552	)
Rackspace Hosting, Inc.		(77,073	)		(3,511,446	)		(96,341	)
Ralph Lauren Corp.		(11,400	)		(2,067,048	)		(43,776	)
Range Resources Corp.		(162,357	)		(11,069,070	)		2,391,089
Red Hat, Inc.		(38,700	)		(2,376,331	)		(299,387	)
Regal Entertainment Group		(23,700	)		(540,123	)		33,891
Regeneron Pharmaceuticals, Inc.		(38,241	)		(15,651,346	)		(37,024	)
Rent-A-Center, Inc.		(115,937	)		(3,881,993	)		(328,839	)
Republic Services, Inc.		(11,650	)		(455,865	)		(13,048	)
RF Micro Devices, Inc.		(59,974	)		(909,866	)		(85,103	)
Riverbed Technology, Inc.		(54,000	)		(1,099,980	)		(2,160	)
Rockwell Collins, Inc.		(52,100	)		(4,436,836	)		35,428
Roper Industries, Inc.		(6,580	)		(1,043,588	)		14,805
Rosetta Resources, Inc.		(255,400	)		(8,265,158	)		2,567,184
Rowan Cos. PLC		(102,700	)		(2,475,749	)		80,785
RPC, Inc.		(23,200	)		(313,058	)		10,530
RR Donnelley & Sons Co.		(37,170	)		(621,482	)		(3,159	)
salesforce.com, Inc.		(116,313	)		(6,710,271	)		(188,253	)
Salix Pharmaceuticals Ltd.		(43,600	)		(4,682,814	)		(328,570	)
Sally Beauty Holdings, Inc.		(86,022	)		(2,683,026	)		38,710
SanDisk Corp.		(21,070	)		(2,168,314	)		103,875
SBA Communications Corp.		(46,537	)		(5,471,820	)		317,382
SCANA Corp.		(26,672	)		(1,497,366	)		(113,623	)
Scotts Miracle-Gro Co./The		(6,800	)		(409,904	)		(13,872	)
Scripps Networks Interactive, Inc.		(30,952	)		(2,410,222	)		80,465
Sealed Air Corp.		(98,048	)		(3,902,605	)		(257,572	)
Seattle Genetics, Inc.		(56,024	)		(1,948,685	)		148,634
Semtech Corp.		(17,900	)		(454,984	)		(38,519	)
Service Corp. International		(11,000	)		(242,656	)		(7,044	)
ServiceNow, Inc.		(41,500	)		(2,654,755	)		(161,020	)
Signature Bank		(1,400	)		(172,830	)		(3,514	)
Silgan Holdings, Inc.		(100	)		(4,994	)		(366	)
Silicon Laboratories, Inc.		(15,103	)		(686,431	)		(32,774	)
Sirius XM Holdings, Inc.		(727,481	)		(2,597,107	)		50,924
Sirona Dental Systems, Inc.		(17,100	)		(1,463,247	)		(30,780	)
Six Flags Entertainment Corp.		(49,755	)		(1,989,807	)		(157,122	)
SolarWinds, Inc.		(68,700	)		(3,529,119	)		105,798
Solera Holdings, Inc.		(19,557	)		(949,476	)		(51,452	)
Sotheby’s		(181,700	)		(7,663,958	)		(181,848	)
Southwestern Energy Co.		(92,386	)		(3,023,246	)		502,032
Splunk, Inc.		(19,269	)		(1,290,252	)		154,345

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

AQR Funds Annual Report December 2014

172

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sprint Corp.		(159,160	)	$	(709,231	)	$	48,717
StanCorp Financial Group, Inc.		(2,300	)		(153,272	)		(7,406	)
Stanley Black & Decker, Inc.		(9,900	)		(943,074	)		(8,118	)
Staples, Inc.		(375,055	)		(5,340,783	)		(1,455,213	)
Starwood Hotels & Resorts Worldwide, Inc.		(600	)		(46,992	)		(1,650	)
State Street Corp.		(9,045	)		(698,364	)		(11,668	)
Stericycle, Inc.		(19,000	)		(2,421,170	)		(69,350	)
STERIS Corp.		(7,830	)		(497,740	)		(10,036	)
Stifel Financial Corp.		(781	)		(36,840	)		(3,007	)
Stratasys Ltd.		(93,100	)		(9,732,674	)		1,995,133
SunEdison, Inc.		(446,980	)		(10,231,372	)		1,510,792
SunPower Corp.		(11,600	)		(339,184	)		39,556
SUPERVALU, Inc.		(19,200	)		(180,480	)		(5,760	)
SVB Financial Group		(15,243	)		(1,666,282	)		(102,973	)
Synovus Financial Corp.		(213,712	)		(5,599,254	)		(190,204	)
Sysco Corp.		(18,000	)		(711,900	)		(2,520	)
T Rowe Price Group, Inc.		(4,200	)		(349,776	)		(10,836	)
Tableau Software, Inc.		(23,900	)		(1,987,764	)		(38,000	)
Targa Resources Corp.		(1,700	)		(165,450	)		(14,835	)
Target Corp.		(46,199	)		(3,306,462	)		(200,504	)
Taylor Morrison Home Corp.		(18,575	)		(360,919	)		10,037
TCF Financial Corp.		(66,495	)		(1,055,276	)		(1,330	)
TECO Energy, Inc.		(65,100	)		(1,270,101	)		(63,798	)
Teekay Corp.		(10,800	)		(595,728	)		46,116
Tempur Sealy International, Inc.		(57,811	)		(3,269,790	)		95,388
Tenet Healthcare Corp.		(204,324	)		(9,917,887	)		(435,210	)
Teradata Corp.		(36,410	)		(1,643,911	)		53,523
Teradyne, Inc.		(148,991	)		(2,942,572	)		(5,960	)
Terex Corp.		(17,500	)		(536,716	)		48,816
Tesla Motors, Inc.		(18,588	)		(4,322,052	)		187,895
Tesoro Corp.		(51,762	)		(4,005,105	)		156,600
Textron, Inc.		(48,752	)		(2,156,301	)		103,354
Thomson Reuters Corp.		(800	)		(30,704	)		(1,568	)
Thor Industries, Inc.		(12,475	)		(712,413	)		15,435
Thoratec Corp.		(35,800	)		(1,115,494	)		(46,574	)
Tidewater, Inc.		(111,500	)		(4,037,209	)		423,494
Tiffany & Co.		(43,160	)		(4,532,232	)		(79,846	)
T-Mobile US, Inc.		(140,000	)		(3,476,270	)		(295,330	)
Toll Brothers, Inc.		(27,400	)		(963,384	)		24,386
Tractor Supply Co.		(9,200	)		(703,705	)		(21,439	)
TransDigm Group, Inc.		(16,207	)		(3,157,772	)		(24,473	)
Trimble Navigation Ltd.		(147,293	)		(4,110,946	)		201,790
TripAdvisor, Inc.		(59,195	)		(4,256,568	)		(162,931	)
Triumph Group, Inc.		(97,900	)		(6,626,851	)		46,013
Twenty-First Century Fox, Inc.		(46,200	)		(1,655,244	)		(119,067	)
Ulta Salon Cosmetics & Fragrance, Inc.		(2,400	)		(304,248	)		(2,568	)
Ultra Petroleum Corp.		(53,700	)		(1,225,971	)		519,279
Umpqua Holdings Corp.		(44,600	)		(756,744	)		(1,902	)
Under Armour, Inc.		(95,291	)		(6,670,370	)		200,111
United Natural Foods, Inc.		(46,047	)		(3,437,265	)		(123,320	)
United Rentals, Inc.		(44,400	)		(5,138,856	)		609,612
Universal Corp.		(5,100	)		(205,324	)		(18,974	)
Urban Outfitters, Inc.		(89,054	)		(2,951,828	)		(176,639	)
USG Corp.		(169,180	)		(4,928,899	)		193,551

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Valley National Bancorp		(191,590	)	$	(1,887,336	)	$	26,997
Vantiv, Inc.		(76,600	)		(2,547,716	)		(50,556	)
Varian Medical Systems, Inc.		(30,200	)		(2,680,250	)		67,648
VCA, Inc.		(43,700	)		(2,041,227	)		(90,022	)
VeriSign, Inc.		(70,290	)		(4,234,270	)		227,740
Visa, Inc.		(2,000	)		(512,398	)		(12,002	)
VMware, Inc.		(43,500	)		(3,682,249	)		92,629
Wal-Mart Stores, Inc.		(14,600	)		(1,246,840	)		(7,008	)
Washington Federal, Inc.		(3,500	)		(76,733	)		(792	)
Waste Connections, Inc.		(2,309	)		(112,725	)		11,152
Waters Corp.		(30,206	)		(3,518,093	)		113,273
Watsco, Inc.		(17,200	)		(1,764,376	)		(76,024	)
Webster Financial Corp.		(34,500	)		(1,101,240	)		(21,045	)
WellCare Health Plans, Inc.		(32,002	)		(2,371,968	)		(254,116	)
Wendy’s Co./The		(63,308	)		(549,400	)		(22,272	)
Werner Enterprises, Inc.		(400	)		(11,772	)		(688	)
WESCO International, Inc.		(40,600	)		(3,430,294	)		336,168
Westar Energy, Inc.		(38,081	)		(1,475,258	)		(95,203	)
Western Union Co./The		(539,100	)		(9,827,793	)		172,512
WGL Holdings, Inc.		(5,800	)		(278,168	)		(38,628	)
WhiteWave Foods Co./The		(1,300	)		(45,864	)		377
Williams Cos., Inc./The		(42,103	)		(2,305,981	)		413,872
Woodward, Inc.		(41,232	)		(2,186,533	)		156,682
Workday, Inc.		(35,467	)		(3,103,599	)		209,137
World Fuel Services Corp.		(24,210	)		(1,114,144	)		(22,031	)
WR Berkley Corp.		(1,301	)		(67,847	)		1,158
WW Grainger, Inc.		(2,600	)		(652,210	)		(10,504	)
Xylem, Inc.		(23,657	)		(908,429	)		7,807
Yelp, Inc.		(176,744	)		(10,136,207	)		463,008
Zillow, Inc.		(8,700	)		(984,797	)		63,554
Zions Bancorp.		(208,700	)		(6,121,171	)		171,134
								8,396,448
Total of Short Equity Positions								12,366,646
Total of Long and Short Equity Positions								15,357,279
Net Cash and Other Receivables/ (Payables) (b)								2,062,864
Swaps, at Value							$	17,420,143

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

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

Money Market Fund is pledged as collateral to Morgan Stanley Capital Services, Inc. in the amount of $193,781,884 for total return basket swaps at December 31, 2014.

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

AQR Funds Annual Report December 2014

173

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Effective Overnight Index Average, which is denominated in EUR based on the local currencies of the positions within the swap.	16-25 months maturity ranging 04/05/2016		$741,172

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Havas SA		18,108		$	139,159		$	8,705
Lafarge SA		187,000			12,356,525			770,893
								779,598
Luxembourg
GAGFA SA		224,042			4,807,445			195,943
Netherlands
Corio NV		92,131			4,243,485			268,343
Ziggo NV		4,928			229,889			26,198
								294,541
United Kingdom
Jazztel PLC		947,275			14,597,716			(281,571	)
Total of Long Equity Positions								988,511
Short Positions
France
Bollore SA		(32,600	)		(147,015	)		(1,448	)
Klepierre		(105,031	)		(4,305,167	)		(204,673	)
								(206,121	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany
Deutsche Annington Immobilien SE		(79,990	)	$	(2,491,399	)	$	(224,394	)
Spain
Banco Santander SA		(62,763	)		(521,010	)		(5,767	)
Total of Short Equity Positions								(436,282	)
Total of Long and Short Equity Positions								552,229
Net Cash and Other Receivables/ (Payables) (b)								188,943
Swaps, at Value							$	741,172

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Annual Report December 2014

174

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in USD based on the local currencies of the positions within the swap.	7-25 months maturity ranging from 07/23/2015 - 12/08/2016		$19,344,615

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Brookfield Residential Properties, Inc.		6,239	$	150,187	$	(76	)
Talisman Energy, Inc.		1,067,007		8,196,539		158,125
						158,049
Ireland
Covidien PLC		185,134		16,662,060		2,273,445
Spain
Banco Santander SA		63,501		538,943		(9,980	)
United States
Allergan, Inc.		72,788		15,332,393		141,608
American Realty Capital Healthcare Trust, Inc.		1,370,107		15,441,106		863,167
AmREIT, Inc.		89,153		2,354,047		12,073
Auxilium Pharmaceuticals, Inc.		314,627		10,070,691		747,758
Avanir Pharmaceuticals, Inc.		489,840		8,291,147		11,641
Aviv REIT, Inc.		60,140		2,044,038		29,589
Baker Hughes, Inc.		240,638		15,507,081		(2,014,508	)
CareFusion Corp.		334,703		19,357,566		503,710
Chiquita Brands International, Inc.		241,720		3,478,351		16,920
Cleco Corp.		115,068		6,156,138		119,671
Covance, Inc.		194,797		19,701,824		525,897
Covisint Corp.		13,704		43,305		(6,989	)
Digital River, Inc.		202,979		4,928,332		91,338
DIRECTV		192,068		16,151,758		500,538
Dresser-Rand Group, Inc.		240,153		19,565,711		78,804
Family Dollar Stores, Inc.		171,189		13,306,521		253,360
Furiex Pharmaceuticals, Inc.		44,784		447,840		(6,628	)
Gentiva Health Services, Inc.		221,567		4,318,198		(97,347	)
GFI Group, Inc.		410,352		2,224,108		12,311
Glimcher Realty Trust		1,035,618		14,229,391		—
Hawaiian Electric Industries, Inc.		199,629		6,504,030		179,548
Hudson City Bancorp, Inc.		3,106,595		28,953,465		2,485,276
Hudson Valley Holding Corp.		99,587		2,515,364		189,419

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Integrys Energy Group, Inc.		173,851		$	12,316,567		$	1,217,734
International Rectifier Corp.		390,297			15,494,791			78,059
Journal Communications, Inc.		69,014			652,872			135,958
Lorillard, Inc.		348,928			21,629,583			331,946
Pantry, Inc./The		74,166			2,700,251			48,341
Pepco Holdings, Inc.		653,741			17,834,054			(228,809	)
PetSmart, Inc.		93,672			7,587,934			27,131
Platinum Underwriters Holdings Ltd.		71,337			5,261,045			(23,482	)
Protective Life Corp.		316,481			22,025,936			16,965
Riverbed Technology, Inc.		369,257			7,508,418			28,118
Rockwood Holdings, Inc.		300,192			23,567,052			88,078
Sapient Corp.		504,877			12,466,893			94,447
Sigma-Aldrich Corp.		172,141			23,355,796			273,999
Susquehanna Bancshares, Inc.		498,451			6,552,723			141,474
Time Warner Cable, Inc.		201,265			28,698,376			1,905,980
TriQuint Semiconductor, Inc.		584,079			10,773,401			5,317,975
TRW Automotive Holdings Corp.		189,614			19,247,119			254,681
Volcano Corp.		453,845			8,099,560			15,189
Whiting Petroleum Corp.		1,592			91,970			(39,434	)
								14,321,506
Total of Long Equity Positions								16,743,020
Short Positions
Ireland
Endo International PLC		(99,233	)		(6,675,289	)		(481,395	)
United States
Actavis PLC		(26,030	)		(6,836,960	)		136,578
Albemarle Corp.		(149,930	)		(9,054,582	)		39,291
Applied Materials, Inc.		(1,189,980	)		(25,281,125	)		(4,373,177	)
AT&T, Inc.		(243,686	)		(8,247,783	)		62,370
BB&T Corp.		(126,255	)		(4,749,791	)		(160,266	)
Becton Dickinson and Co.		(26,064	)		(3,399,484	)		(227,582	)

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

AQR Funds Annual Report December 2014

175

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Comcast Corp.		(570,300	)	$	(31,212,519	)	$	(1,870,584	)
Dollar Tree, Inc.		(20,175	)		(1,253,010	)		(166,907	)
EW Scripps Co./The		(35,615	)		(661,014	)		(134,981	)
Halliburton Co.		(261,740	)		(12,645,857	)		2,351,622
Kindred Healthcare, Inc.		(56,637	)		(1,160,193	)		130,533
Laboratory Corp. of America Holdings		(50,663	)		(5,149,385	)		(317,152	)
M&T Bank Corp.		(261,037	)		(30,927,664	)		(1,863,804	)
Medtronic, Inc.		(179,280	)		(11,923,913	)		(1,020,103	)
NextEra Energy, Inc.		(48,299	)		(5,010,532	)		(123,169	)
Omega Healthcare Investors, Inc.		(54,126	)		(2,080,111	)		(34,592	)
RenaissanceRe Holdings Ltd.		(18,961	)		(1,862,128	)		18,740
Reynolds American, Inc.		(105,698	)		(6,732,122	)		(61,088	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
RF Micro Devices, Inc.		(992,351	)	$	(10,980,940	)	$	(5,482,163	)
STERIS Corp.		(52,129	)		(3,145,985	)		(234,581	)
Sterling Bancorp		(193,034	)		(2,595,242	)		(180,587	)
Ventas, Inc.		(227,712	)		(15,410,516	)		(916,435	)
Washington Prime Group, Inc.		(205,984	)		(3,637,677	)		90,633
Wisconsin Energy Corp.		(197,946	)		(9,642,208	)		(797,464	)
								(15,134,868	)
Total of Short Equity Positions								(15,616,263	)
Total of Long and Short Equity Positions								1,126,757

Written Options

Call Options Written

NUMBER OF CONTRACTS	ISSUER	EXPIRATION DATE	PROCEEDS			VALUE AT DECEMBER 31, 2014			NET UNREALIZED APPRECIATION (DEPRECIATION)
(2,900)	Time Warner Cable, Inc. (Exercise price $130)	January 17, 2015		(0	)		$(72,790	)		$(72,790	)
(52,200)	BKW AG (Exercise price $40)	January 17, 2015		(10,208	)		(28,710	)		(18,502	)
										(91,292	)

Put Options Written

NUMBER OF CONTRACTS	ISSUER	EXPIRATION DATE	PROCEEDS			VALUE AT DECEMBER 31, 2014		NET UNREALIZED APPRECIATION (DEPRECIATION)
(52,200)	BKW AG (Exercise price $40)	January 17, 2015		(350,407	)		$93,960		$(256,447	)
Total of Written Options									(347,739	)
Total of Long and Short Equity Positions and Written Options									779,018
Net Cash and Other Receivables/ Payables (b)									18,565,597
Swaps, at Value									$19,344,615

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Annual Report December 2014

176

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, which is denominated in SEK based on the local currencies of the positions within the swap.	25 months maturity 10/18/2016		$57,361

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Finland
Sanitec OYJ		384,846	$	4,674,618	$	55,060
Net Cash and Other Receivables/ (Payables) (b)						2,301
Swaps, at Value					$	57,361

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate, which is denominated in CAD based on the local currencies of the positions within the swap.	24-25 months maturity 12/01/2016		$365,546

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Carfinco Financial Group, Inc.		28,132	$	270,679	$	761
Restaurant Brands International, Inc.		51,111		1,646,386		355,293
						356,054
Total of Long Equity Positions						356,054
Net Cash and Other Receivables/ (Payables) (b)						9,492
Swaps, at Value					$	365,546

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Annual Report December 2014

177

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate, which is denominated in JPY based on the local currencies of the positions within the swap.	25 months maturity 10/14/2015		$7,967,932

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Tokyo Electron Ltd.		371,108	$	20,085,408	$	8,055,792
Net Cash and Other Receivables/ (Payables) (b)						(87,860	)
Swaps, at Value					$	7,967,932

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in CHF based on the local currencies of the positions within the swap.	2-3 months maturity 01/14/2015		$(712,915	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Switzerland
Holcim Ltd.		(187,000	)	$	(12,592,456	)	$	(775,082	)
Net Cash and Other Receivables/ (Payables) (b)								62,167
Swaps, at Value							$	(712,915	)

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

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

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Annual Report December 2014

178

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	12-14 months maturity ranging from 12/21/2015 - 01/29/2016		$5,845,981

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Belgium
Ageas		238	$	8,478	$	(15	)
Belgacom SA		60,725		2,250,827		(47,511	)
bpost SA		49,402		1,216,803		24,201
Colruyt SA		6,789		318,643		(3,026	)
Delhaize Group SA		34,360		2,405,173		97,106
Telenet Group Holding NV		7,511		400,101		21,399
Umicore SA		23,906		955,257		6,727
						98,881
Finland
Fortum OYJ		36,915		836,901		(35,419	)
Kesko OYJ		51,791		1,945,325		(61,761	)
Metso OYJ		40,216		1,183,214		20,840
Neste Oil OYJ		87,994		2,063,162		80,159
Orion OYJ		32,262		1,073,538		(70,174	)
Sampo OYJ		47,314		2,167,529		47,447
Stora Enso OYJ		217,746		1,765,635		181,224
UPM-Kymmene OYJ		189,566		2,933,386		173,254
Wartsila OYJ		31,636		1,428,309		(12,338	)
						323,232
Germany
Aurubis AG		57,705		3,031,751		193,968
Brenntag AG		50,940		2,656,337		191,723
Continental AG		20,253		3,861,289		410,530
Deutsche Lufthansa AG		263,897		4,209,063		163,964
Deutsche Post AG		323,895		9,613,251		900,997
Deutsche Telekom AG		164,347		2,577,224		52,384
E.ON SE		222,609		3,529,802		274,962
Freenet AG		10,508		296,114		2,652
GEA Group AG		33,893		1,496,184		(6,038	)
Hannover Rueck SE		7,016		589,820		43,103
HeidelbergCement AG		82,847		5,740,289		107,046
Henkel AG & Co. KGaA		2,335		238,879		12,642
HOCHTIEF AG		16,524		1,197,363		(31,622	)
HUGO BOSS AG		13,731		1,722,372		(42,637	)
Infineon Technologies AG		20,529		206,928		10,307
LANXESS AG		19,792		917,931		(1,318	)
Leoni AG		2,152		119,198		7,918
Linde AG		1,136		203,157		6,097
Merck KGaA		86,002		8,109,517		(16,007	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Muenchener Rueckversicherungs AG		21,317	$	4,080,032	$	164,983
OSRAM Licht AG		11,124		449,764		(13,037	)
Porsche Automobil Holding SE		57,343		4,465,351		172,126
ProSiebenSat.1 Media AG		129,655		5,253,700		163,718
Rhoen Klinikum AG		66,918		1,870,335		5,156
Salzgitter AG		6,128		176,333		(4,853	)
Symrise AG		27,775		1,638,550		34,758
Telefonica Deutschland Holding AG		134,902		672,381		42,579
TUI AG		124,693		1,980,665		86,779
United Internet AG		44,820		1,887,629		131,283
						3,064,163
Italy
Atlantia SpA		75,569		1,713,289		43,083
Autogrill SpA		8,354		56,384		6,618
Banca Monte dei Paschi di Siena SpA		493,702		283,149		(1,901	)
Banca Popolare dell’Emilia Romagna SC		173,509		1,095,601		41,920
Buzzi Unicem SpA		29,399		385,642		(13,535	)
Enel SpA		1,123,119		4,910,715		95,607
Eni SpA		542,423		10,021,343		(519,994	)
Finmeccanica SpA		72,469		657,562		16,025
GTECH SpA		8,303		179,886		5,510
Hera SpA		92,789		218,839		(343	)
Intesa Sanpaolo SpA		24,958		68,031		4,370
Mediobanca SpA		354,335		2,887,889		(8,731	)
Mediolanum SpA		134,189		846,209		8,936
Moncler SpA		31,232		433,550		(16,238	)
Pirelli & C. SpA		297,138		3,919,705		87,914
Prysmian SpA		155,131		2,697,474		129,596
Snam SpA		427,485		2,113,353		2,365
Terna Rete Elettrica Nazionale SpA		359,649		1,663,439		(29,853	)
UniCredit SpA		566,972		3,687,738		(55,935	)
Unione di Banche Italiane SCpA		568,533		3,892,538		173,759
						(30,827	)

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

AQR Funds Annual Report December 2014

179

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands
Aegon NV		156,292		$	1,148,830		$	25,857
Akzo Nobel NV		13,307			859,930			60,782
Delta Lloyd NV		138,684			3,195,064			(145,354	)
Koninklijke Ahold NV		303,347			5,088,452			302,894
Koninklijke Boskalis Westminster NV		38,145			2,025,737			60,988
Koninklijke DSM NV		19,799			1,236,129			(28,529	)
Koninklijke KPN NV		626,766			1,967,761			11,158
Koninklijke Philips NV		240,750			6,626,343			352,037
Nutreco NV		46,557			2,600,014			(101,086	)
Wolters Kluwer NV		94,061			2,556,613			313,678
								852,425
Spain
Acerinox SA		105,086			1,511,704			73,704
ACS Actividades de Construccion y Servicios SA		134,298			4,427,312			253,654
Banco Santander SA		990,992			8,026,808			290,706
Bankinter SA		103,201			824,468			4,619
Bolsas y Mercados Espanoles SA		11,101			419,400			10,546
CaixaBank SA		2,996			15,238			460
Distribuidora Internacional de Alimentacion SA		133,497			900,878			3,708
Ebro Foods SA		35,679			634,415			(44,648	)
Enagas SA		214,583			6,834,342			(66,170	)
Endesa SA		270,079			4,792,072			614,720
Ferrovial SA		102,670			1,949,391			80,207
Gas Natural SDG SA		101,601			2,755,489			(203,213	)
Iberdrola SA		536,344			3,608,059			7,299
Red Electrica Corp. SA		29,340			2,501,792			84,571
Repsol SA		202,124			4,362,736			(578,806	)
Tecnicas Reunidas SA		7,385			316,294			6,501
Telefonica SA		29,192			428,244			(9,119	)
								528,739
Switzerland
STMicroelectronics NV		203,357			1,450,692			69,728
Total of Long Equity Positions								4,906,341
Short Positions
Belgium
Anheuser-Busch InBev NV		(1,530	)		(166,978	)		(5,210	)
KBC Groep NV		(25,644	)		(1,369,122	)		(62,071	)
Mobistar SA		(5,112	)		(113,328	)		(7,876	)
Solvay SA		(484	)		(62,026	)		(3,467	)
UCB SA		(10,469	)		(787,301	)		(8,735	)
								(87,359	)
Finland
Cargotec OYJ		(113,792	)		(3,620,442	)		127,660
Elisa OYJ		(30,603	)		(843,103	)		7,793
Kone OYJ		(113,625	)		(4,865,424	)		(307,665	)
Konecranes OYJ		(13,357	)		(377,217	)		(4,728	)
Nokia OYJ		(75,299	)		(567,360	)		(28,166	)
Nokian Renkaat OYJ		(186,182	)		(5,088,834	)		547,194
YIT OYJ		(28,837	)		(190,536	)		41,302
								383,390

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany
adidas AG		(54,091	)	$	(4,254,185	)	$	497,807
AIXTRON SE		(262,368	)		(3,000,697	)		51,400
Allianz SE		(17,334	)		(2,799,314	)		(71,651	)
Axel Springer SE		(213	)		(12,268	)		(579	)
BASF SE		(57,723	)		(4,947,575	)		105,716
Bayer AG		(2,575	)		(345,844	)		(5,150	)
Bayerische Motoren Werke AG		(21,295	)		(2,184,786	)		(113,334	)
Beiersdorf AG		(2,591	)		(208,027	)		(2,347	)
Bilfinger SE		(16,154	)		(895,530	)		(7,462	)
Commerzbank AG		(391,309	)		(5,460,049	)		327,407
Daimler AG		(20,899	)		(1,585,163	)		(150,583	)
Deutsche Bank AG		(108,305	)		(3,163,477	)		(79,647	)
Deutsche Boerse AG		(6,730	)		(448,402	)		(29,845	)
Fraport AG Frankfurt Airport Services Worldwide		(25,561	)		(1,512,058	)		37,142
Fresenius Medical Care AG & Co. KGaA		(36,862	)		(2,601,440	)		(149,824	)
FUCHS PETROLUB SE		(26,525	)		(1,033,265	)		(23,199	)
K+S AG		(219,571	)		(6,361,231	)		302,133
MAN SE		(25,206	)		(2,783,437	)		(23,725	)
METRO AG		(115,897	)		(3,433,589	)		(109,117	)
MTU Aero Engines AG		(1,184	)		(100,759	)		(2,138	)
Rheinmetall AG		(12,096	)		(495,944	)		(30,705	)
RWE AG		(48,237	)		(1,535,544	)		46,725
SAP SE		(165,250	)		(10,925,055	)		(614,085	)
Siemens AG		(8,831	)		(972,234	)		(18,638	)
Sky Deutschland AG		(109,712	)		(858,586	)		(27,680	)
Software AG		(20,044	)		(525,021	)		37,933
STADA Arzneimittel AG		(26,642	)		(904,567	)		96,176
Suedzucker AG		(90,809	)		(1,437,405	)		131,769
ThyssenKrupp AG		(283,852	)		(6,967,457	)		(263,342	)
Volkswagen AG		(1,978	)		(416,081	)		(23,540	)
Wacker Chemie AG		(27,357	)		(3,185,654	)		184,716
Wirecard AG		(49,025	)		(1,964,197	)		(173,494	)
								(101,161	)
Italy
A2A SpA		(1,663,531	)		(1,633,654	)		(51,981	)
Assicurazioni Generali SpA		(308,983	)		(6,214,239	)		(130,063	)
Banco Popolare SC		(230,334	)		(2,745,599	)		(25,721	)
Davide Campari-Milano SpA		(68,014	)		(447,089	)		22,551
Enel Green Power SpA		(299,929	)		(644,295	)		15,895
Luxottica Group SpA		(1,053	)		(51,626	)		(6,098	)
Mediaset SpA		(1,885,989	)		(6,995,283	)		(764,724	)
Saipem SpA		(206,777	)		(2,697,286	)		529,714
Salvatore Ferragamo SpA		(165,651	)		(4,108,403	)		31,592
Telecom Italia SpA		(5,194,072	)		(5,648,142	)		108,731
Tod’s SpA		(4,906	)		(420,306	)		(4,564	)
UnipolSai SpA		(170,424	)		(458,475	)		(368	)
World Duty Free SpA		(142,258	)		(1,225,822	)		(140,000	)
								(415,036	)
Luxembourg
Altice SA		(15,287	)		(861,714	)		(347,406	)
ArcelorMittal		(1,078,306	)		(12,338,954	)		525,145
Tenaris SA		(262,386	)		(4,565,794	)		600,919
								778,658

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

AQR Funds Annual Report December 2014

180

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands
ASML Holding NV		(77,307	)	$	(7,858,926	)	$	(493,900	)
Fugro NV		(79,690	)		(2,092,237	)		437,018
Gemalto NV		(26,476	)		(2,036,121	)		(124,650	)
Heineken NV		(12,683	)		(944,397	)		43,806
Koninklijke Vopak NV		(85,501	)		(4,297,504	)		(138,456	)
OCI NV		(25,190	)		(853,352	)		(22,501	)
QIAGEN NV		(49,027	)		(1,118,399	)		(23,590	)
Randstad Holding NV		(3,071	)		(138,613	)		(9,152	)
SBM Offshore NV		(422,406	)		(5,572,228	)		604,362
TNT Express NV		(92,048	)		(582,039	)		(31,590	)
								241,347
Spain
Abertis Infraestructuras SA		(17,985	)		(355,831	)		(808	)
Acciona SA		(12,364	)		(827,572	)		(6,743	)
Amadeus IT Holding SA		(3,904	)		(146,589	)		(8,897	)
Banco Bilbao Vizcaya Argentaria SA		(189,502	)		(1,847,353	)		57,429
Banco de Sabadell SA		(1,493,956	)		(3,835,312	)		(117,638	)
Banco Popular Espanol SA		(1,046,663	)		(5,324,533	)		107,095
Bankia SA		(1,292,913	)		(2,062,553	)		143,963
Grifols SA		(175,748	)		(7,246,546	)		233,578
Inditex SA		(155,494	)		(4,226,740	)		(208,788	)
Indra Sistemas SA		(69,684	)		(657,070	)		(19,940	)
Mapfre SA		(871,375	)		(2,971,564	)		26,330
Mediaset Espana Comunicacion SA		(300,993	)		(3,490,588	)		(293,515	)
Obrascon Huarte Lain SA		(151,815	)		(3,647,183	)		259,562
Zardoya Otis SA		(57,123	)		(623,059	)		(10,413	)
								161,215

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
CNH Industrial NV		(421,539	)	$	(3,297,984	)	$	(114,408	)
Fiat Chrysler Automobiles NV		(136,738	)		(1,618,414	)		29,556
International Consolidated Airlines Group SA		(111,792	)		(727,490	)		(105,278	)
								(190,130	)
Total of Short Equity Positions								770,924
Total of Long and Short Equity Positions								5,677,265
Net Cash and Other Receivables/ (Payables) (b)								168,716
Swaps, at Value							$	5,845,981

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Cash held as collateral at J.P. Morgan is included in the collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

181

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	12-14 months maturity ranging from 12/28/2015 - 01/19/2016		$1,253,929

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Switzerland
Actelion Ltd.		69,845		$	7,659,811		$	380,821
Adecco SA		18,076			1,190,622			51,909
Aryzta AG		35,751			2,895,611			(148,164	)
Baloise Holding AG		12,660			1,603,413			14,682
Bucher Industries AG		2,663			649,597			14,507
Chocoladefabriken Lindt & Sprungli AG		118			575,802			7,645
Flughafen Zuerich AG		514			324,356			19,387
Galenica AG		897			734,167			(18,959	)
GAM Holding AG		39,584			663,924			47,717
Geberit AG		1,373			449,281			15,209
Givaudan SA		1,999			3,305,298			280,623
Helvetia Holding AG		1,333			627,082			6,292
Lonza Group AG		51,083			5,493,698			257,822
Nestle SA		122,691			8,820,360			123,939
Novartis AG		62,212			5,713,552			56,205
OC Oerlikon Corp. AG		392,721			4,706,458			195,928
Partners Group Holding AG		1,010			270,248			23,599
Roche Holding AG		18,149			5,264,602			(347,272	)
Schindler Holding AG		3,672			503,806			26,300
Sika AG		1,074			3,864,290			(696,053	)
Straumann Holding AG		2,441			600,971			12,306
Sulzer AG		4,088			444,488			(7,189	)
Swiss Life Holding AG		34,240			7,534,297			558,386
Swiss Re AG		55,452			4,519,246			126,063
Swisscom AG		3,586			2,073,763			(192,054	)
Zurich Insurance Group AG		160			47,319			2,682
								812,331
Total of Long Equity Positions								812,331
Short Positions
Switzerland
Barry Callebaut AG		(246	)		(257,243	)		5,037
Cie Financiere Richemont SA		(45,468	)		(3,888,391	)		(142,740	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Clariant AG		(85,085	)	$	(1,479,201	)	$	53,444
Credit Suisse Group AG		(465,262	)		(11,720,949	)		32,986
DKSH Holding AG		(4,375	)		(317,088	)		(15,977	)
Dufry AG		(116	)		(16,985	)		(352	)
EMS-Chemie Holding AG		(588	)		(226,390	)		(11,646	)
Holcim Ltd.		(46,699	)		(3,201,637	)		(136,602	)
Julius Baer Group Ltd.		(203,633	)		(8,825,142	)		(472,336	)
Kuehne + Nagel International AG		(24,259	)		(3,111,145	)		(184,086	)
Panalpina Welttransport Holding AG		(154	)		(19,899	)		(744	)
SGS SA		(458	)		(953,527	)		18,305
Sonova Holding AG		(17,034	)		(2,511,382	)		8,908
Swatch Group AG/The		(24,165	)		(11,289,114	)		553,656
Syngenta AG		(18,325	)		(5,888,135	)		(6,242	)
Transocean Ltd.		(144,531	)		(3,609,911	)		957,783
UBS Group AG		(334,404	)		(5,555,065	)		(193,239	)
								466,155
Total of Short Equity Positions								466,155
Total of Long and Short Equity Positions								1,278,486
Net Cash and Other Receivables/ (Payables) (b)								(24,557	)
Swaps, at Value							$	1,253,929

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

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

AQR Funds Annual Report December 2014

182

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap.	12-13 months maturity 12/28/2015		$(88,721	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Denmark
AP Moeller - Maersk A/S		2,634		$	5,259,265		$	(20,365	)
Carlsberg A/S		10,647			870,801			(53,113	)
Coloplast A/S		23,881			1,982,689			15,780
Danske Bank A/S		68,909			1,806,887			56,127
DSV A/S		80,288			2,387,557			57,133
GN Store Nord A/S		59,165			1,223,249			69,378
Jyske Bank A/S		16,731			821,751			23,941
Novo Nordisk A/S		79,155			3,357,448			(9,208	)
Pandora A/S		21,393			1,717,244			16,812
TDC A/S		445,845			3,464,150			(63,732	)
Tryg A/S		7,646			846,733			7,607
								100,360
Total of Long Equity Positions								100,360
Short Positions
Denmark
Chr Hansen Holding A/S		(14,378	)		(602,713	)		(34,281	)
FLSmidth & Co. A/S		(89,764	)		(3,651,175	)		(284,191	)
H Lundbeck A/S		(5,509	)		(110,074	)		724
Novozymes A/S		(76,665	)		(3,441,786	)		214,683
Vestas Wind Systems A/S		(106,084	)		(3,921,755	)		69,131

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
William Demant Holding A/S		(15,151	)	$	(1,051,892	)	$	(96,878	)
								(130,812	)
Total of Short Equity Positions								(130,812	)
Total of Long and Short Equity Positions								(30,452	)
Net Cash and Other Receivables/ (Payables) (b)								(58,269	)
Swaps, at Value							$	(88,721	)

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

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

AQR Funds Annual Report December 2014

183

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate, plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	12-14 months maturity ranging from 12/25/2015 - 01/26/2016		$(965,622	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Air Water, Inc.		9,000	$	143,779	$	(1,224	)
Aisin Seiki Co., Ltd.		25,700		871,032		52,328
Ajinomoto Co., Inc.		108,000		2,060,338		(49,713	)
Alfresa Holdings Corp.		108,500		1,239,365		70,877
Amada Co., Ltd.		23,500		200,724		643
ANA Holdings, Inc.		344,000		788,305		62,280
Asahi Group Holdings Ltd.		20,600		627,237		10,053
Asahi Kasei Corp.		815,000		6,866,609		568,172
Astellas Pharma, Inc.		384,600		5,664,303		(309,862	)
Azbil Corp.		8,800		202,468		269
Bandai Namco Holdings, Inc.		313,700		6,603,476		37,957
Bank of Kyoto Ltd./The		14,000		117,324		(289	)
Bank of Yokohama Ltd./The		427,000		2,404,182		(85,022	)
Benesse Holdings, Inc.		29,000		888,650		(28,134	)
Bridgestone Corp.		49,200		1,609,456		96,813
Brother Industries Ltd.		100,000		1,787,723		25,013
Calbee, Inc.		58,800		2,101,844		(76,372	)
Canon, Inc.		11,100		343,901		8,858
Central Japan Railway Co.		31,400		4,591,861		114,256
Chiba Bank Ltd./The		397,000		2,658,489		(56,986	)
Chiyoda Corp.		117,000		1,061,077		(91,733	)
Chubu Electric Power Co., Inc.		58,900		688,289		3,846
Chugai Pharmaceutical Co., Ltd.		112,400		3,076,855		(317,168	)
Chugoku Bank Ltd./The		30,700		425,968		(7,498	)
Citizen Holdings Co., Ltd.		211,800		1,583,917		45,757
Coca-Cola West Co., Ltd.		17,500		239,068		2,239
COMSYS Holdings Corp.		9,700		145,018		(12,324	)
Dai Nippon Printing Co., Ltd.		518,000		4,554,978		110,414
Daicel Corp.		172,000		1,958,920		50,124
Daiwa House Industry Co., Ltd.		50,200		942,664		5,677
Daiwa Securities Group, Inc.		9,000		73,177		(2,706	)
Denso Corp.		24,800		1,146,045		9,829
Dentsu, Inc.		100,700		3,767,626		465,945
DIC Corp.		46,000		101,459		8,817

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Don Quijote Holdings Co., Ltd.		27,200	$	1,712,130	$	157,777
East Japan Railway Co.		17,200		1,283,000		13,379
FamilyMart Co., Ltd.		20,400		757,647		10,695
Fuji Electric Co., Ltd.		803,000		3,455,792		(254,324	)
Fuji Heavy Industries Ltd.		150,100		5,327,027		(15,591	)
FUJIFILM Holdings Corp.		138,400		4,662,828		(439,751	)
Fujitsu Ltd.		1,698,000		9,616,764		(563,595	)
Fukuoka Financial Group, Inc.		972,000		5,223,550		(212,435	)
Gree, Inc.		74,000		467,289		(21,822	)
GungHo Online Entertainment, Inc.		56,100		211,496		(8,386	)
Hakuhodo DY Holdings, Inc.		95,100		911,811		(1,711	)
Hikari Tsushin, Inc.		13,800		906,823		(67,469	)
Hino Motors Ltd.		126,300		1,653,912		8,615
Hirose Electric Co., Ltd.		8,400		1,047,657		(73,063	)
Hisamitsu Pharmaceutical Co., Inc.		500		15,416		351
Hitachi Chemical Co., Ltd.		85,000		1,553,605		(51,926	)
Hitachi High-Technologies Corp.		76,200		2,204,323		(15,350	)
Hoya Corp.		201,400		7,174,410		(362,087	)
Ibiden Co., Ltd.		26,000		383,382		538
Idemitsu Kosan Co., Ltd.		25,900		449,284		(21,589	)
Inpex Corp.		29,100		343,914		(19,945	)
Isetan Mitsukoshi Holdings Ltd.		8,200		100,045		1,423
Isuzu Motors Ltd.		46,400		517,565		47,601
ITOCHU Corp.		241,700		2,664,027		(83,856	)
Itochu Techno-Solutions Corp.		400		15,915		(1,801	)
J. Front Retailing Co., Ltd.		252,500		3,243,834		(319,382	)
Japan Airlines Co., Ltd.		126,000		3,491,273		244,508
Japan Petroleum Exploration Co., Ltd.		22,600		702,629		7,400
Japan Tobacco, Inc.		99,300		3,234,810		(502,006	)
JGC Corp.		343,000		7,499,075		(437,802	)
JSR Corp.		17,400		292,739		5,920

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

AQR Funds Annual Report December 2014

184

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
JTEKT Corp.		369,000	$	5,795,716	$	414,479
Kajima Corp.		484,000		1,897,920		92,450
Kamigumi Co., Ltd.		29,000		266,256		(7,929	)
Kaneka Corp.		63,000		325,342		12,226
Kansai Electric Power Co., Inc./The		92,800		944,300		(61,484	)
Kao Corp.		75,800		2,853,201		135,830
Kawasaki Heavy Industries Ltd.		506,000		2,105,506		195,551
KDDI Corp.		74,600		4,789,830		(103,156	)
Keio Corp.		36,000		263,020		(4,051	)
Keisei Electric Railway Co., Ltd.		115,000		1,299,852		98,487
Kinden Corp.		67,000		643,644		33,102
Kirin Holdings Co., Ltd.		59,100		742,448		(8,125	)
Kobayashi Pharmaceutical Co., Ltd.		2,100		121,074		1,119
Kobe Steel Ltd.		651,000		1,018,529		102,818
Konami Corp.		19,600		361,837		(2,503	)
Konica Minolta, Inc.		683,300		7,660,013		(214,758	)
Kurita Water Industries Ltd.		57,800		1,191,705		13,548
Kyowa Hakko Kirin Co., Ltd.		109,000		1,185,944		(159,592	)
Lawson, Inc.		5,400		330,860		(4,548	)
Mabuchi Motor Co., Ltd.		25,800		1,027,702		(3,683	)
Marubeni Corp.		309,000		1,868,095		(19,231	)
Maruichi Steel Tube Ltd.		10,100		215,728		(766	)
Medipal Holdings Corp.		131,800		1,444,423		94,960
MEIJI Holdings Co., Ltd.		25,300		2,265,554		36,220
Miraca Holdings, Inc.		34,400		1,335,142		144,708
Mitsubishi Chemical Holdings Corp.		326,100		1,596,573		(14,827	)
Mitsubishi Corp.		47,500		900,148		(30,892	)
Mitsubishi Electric Corp.		755,000		8,843,506		124,429
Mitsubishi Heavy Industries Ltd.		355,000		2,004,437		(45,338	)
Mitsubishi Materials Corp.		153,000		466,070		41,496
Mitsubishi Motors Corp.		223,200		2,216,801		(177,765	)
Mitsubishi Tanabe Pharma Corp.		100,800		1,535,159		(57,571	)
Mitsubishi UFJ Financial Group, Inc.		847,200		4,749,581		(94,870	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		192,800		899,290		7,415
Mitsui & Co., Ltd.		140,500		1,902,844		(21,109	)
Mizuho Financial Group, Inc.		106,100		180,412		(2,556	)
Murata Manufacturing Co., Ltd.		27,400		2,951,323		38,592
Nagoya Railroad Co., Ltd.		122,000		490,978		(36,744	)
NET One Systems Co., Ltd.		31,800		181,980		5,399
Nexon Co., Ltd.		37,800		339,629		12,739
NH Foods Ltd.		72,000		1,531,238		44,000
NHK Spring Co., Ltd.		228,100		1,865,421		119,359
Nippon Express Co., Ltd.		324,000		1,495,355		146,606
Nippon Kayaku Co., Ltd.		12,000		151,284		(2,045	)
Nippon Shokubai Co., Ltd.		27,000		326,184		27,516

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nippon Steel & Sumitomo Metal Corp.		337,000	$	869,222	$	(33,249	)
Nippon Yusen KK		516,000		1,352,106		105,341
Nishi-Nippon City Bank Ltd./The		298,000		848,577		8,872
Nisshin Seifun Group, Inc.		43,095		429,992		(12,790	)
Nissin Foods Holdings Co., Ltd.		3,000		152,869		(9,880	)
NOK Corp.		9,300		222,208		14,510
Nomura Holdings, Inc.		17,800		105,490		(4,760	)
NSK Ltd.		223,000		2,688,658		(55,753	)
NTT Data Corp.		12,700		474,984		(1,848	)
NTT DOCOMO, Inc.		143,600		2,216,840		(125,585	)
Oji Holdings Corp.		43,000		155,943		(2,093	)
Omron Corp.		121,700		5,537,552		(93,242	)
Oracle Corp. Japan		2,800		101,860		12,229
Osaka Gas Co., Ltd.		852,000		3,212,906		(30,727	)
Otsuka Corp.		57,600		1,903,720		(77,507	)
Otsuka Holdings Co., Ltd.		62,700		2,068,374		(188,657	)
Panasonic Corp.		916,000		11,190,288		(401,239	)
Park24 Co., Ltd.		20,200		292,238		5,134
Resona Holdings, Inc.		1,556,400		8,315,472		(453,314	)
Rohm Co., Ltd.		147,300		9,298,350		(423,044	)
Sankyo Co., Ltd.		51,200		1,653,450		102,906
Sanrio Co., Ltd.		6,300		160,010		(4,352	)
Santen Pharmaceutical Co., Ltd.		23,200		1,307,527		(58,560	)
Secom Co., Ltd.		97,900		5,536,481		88,325
Sega Sammy Holdings, Inc.		86,500		1,167,842		(61,146	)
Seiko Epson Corp.		45,600		2,090,777		(182,680	)
Sekisui Chemical Co., Ltd.		431,000		5,121,410		63,939
Seven & i Holdings Co., Ltd.		171,900		6,415,184		(231,710	)
Seven Bank Ltd.		42,200		180,485		(3,351	)
Shimamura Co., Ltd.		23,000		1,922,702		62,128
Shimizu Corp.		44,000		298,611		240
Shin-Etsu Chemical Co., Ltd.		52,900		3,454,017		(10,239	)
Shionogi & Co., Ltd.		93,800		2,298,711		124,692
Shiseido Co., Ltd.		38,200		556,860		(21,128	)
Shizuoka Bank Ltd./The		46,000		438,384		(17,746	)
Showa Denko KK		62,000		81,409		(5,095	)
Showa Shell Sekiyu KK		81,400		678,794		122,968
Sojitz Corp.		451,700		607,893		22,905
Sony Corp.		165,500		3,269,253		108,478
Stanley Electric Co., Ltd.		1,900		39,391		1,637
Sumitomo Corp.		127,100		1,329,498		(24,093	)
Sumitomo Electric Industries Ltd.		166,800		2,095,061		(11,850	)
Sumitomo Heavy Industries Ltd.		1,127,000		6,160,171		(98,055	)
Sumitomo Osaka Cement Co., Ltd.		26,000		73,912		345
Sumitomo Rubber Industries Ltd.		22,300		317,279		14,216
Suzuken Co., Ltd.		20,300		516,510		44,245
Suzuki Motor Corp.		156,800		4,836,113		(137,232	)

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

AQR Funds Annual Report December 2014

185

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
T&D Holdings, Inc.		33,300		$	393,576		$	5,619
Taisei Corp.		886,000			4,547,440			477,963
Taisho Pharmaceutical Holdings Co., Ltd.		3,300			206,766			(5,135	)
Takashimaya Co., Ltd.		452,000			3,813,973			(204,894	)
TDK Corp.		19,900			1,163,608			8,412
Teijin Ltd.		145,000			382,044			3,352
THK Co., Ltd.		152,900			3,559,896			114,581
Tobu Railway Co., Ltd.		61,000			283,834			(22,989	)
Toho Co., Ltd.		21,600			475,037			15,057
Toho Gas Co., Ltd.		7,000			35,125			(878	)
Tohoku Electric Power Co., Inc.		124,600			1,498,551			(48,645	)
Tokio Marine Holdings, Inc.		2,800			89,528			1,410
Tokyo Electric Power Co., Inc.		1,057,700			3,887,503			414,495
Tokyo Gas Co., Ltd.		704,000			3,763,202			35,346
Tokyo Steel Manufacturing Co., Ltd.		69,400			362,269			64,582
Tokyu Corp.		34,000			207,567			3,113
Toppan Printing Co., Ltd.		400,000			2,576,173			22,806
TOTO Ltd.		24,000			274,433			4,752
Toyo Seikan Group Holdings Ltd.		209,300			2,501,532			98,295
Toyo Suisan Kaisha Ltd.		23,000			778,288			(37,714	)
Toyoda Gosei Co., Ltd.		4,800			89,584			6,964
Toyota Boshoku Corp.		16,300			190,598			25,798
Toyota Tsusho Corp.		2,900			67,285			81
Trend Micro, Inc.		4,800			145,732			(13,112	)
USS Co., Ltd.		136,500			2,018,957			78,324
West Japan Railway Co.		66,200			3,162,539			(32,718	)
Yamaha Corp.		137,300			1,954,286			69,502
Yamato Kogyo Co., Ltd.		2,600			73,723			(1,005	)
Yamazaki Baking Co., Ltd.		25,000			317,564			(9,100	)
								(2,198,595	)
Total of Long Equity Positions								(2,198,595	)
Short Positions
Japan
ABC-Mart, Inc.		(53,549	)		(2,583,032	)		(8,109	)
Acom Co., Ltd.		(1,023,430	)		(3,098,172	)		(26,207	)
Advantest Corp.		(443,796	)		(5,170,712	)		(329,853	)
Aeon Co., Ltd.		(166,900	)		(1,581,073	)		(96,188	)
AEON Financial Service Co., Ltd.		(316,700	)		(6,577,991	)		322,875
Aozora Bank Ltd.		(124,000	)		(401,785	)		17,961
Asahi Glass Co., Ltd.		(415,000	)		(1,979,012	)		(41,107	)
Asics Corp.		(186,500	)		(4,708,308	)		218,447
Casio Computer Co., Ltd.		(7,800	)		(123,381	)		4,061
Chugoku Electric Power Co., Inc./The		(116,100	)		(1,532,460	)		14,513
Credit Saison Co., Ltd.		(159,713	)		(3,051,700	)		81,613
Daido Steel Co., Ltd.		(158,000	)		(573,683	)		(23,075	)
Daihatsu Motor Co., Ltd.		(15,900	)		(202,610	)		(5,058	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Dai-ichi Life Insurance Co., Ltd./The		(51,100	)	$	(726,486	)	$	(49,204	)
Daiichi Sankyo Co., Ltd.		(117,800	)		(1,688,780	)		41,611
Daikin Industries Ltd.		(141,500	)		(8,521,409	)		(552,148	)
Dena Co., Ltd.		(115,100	)		(1,466,696	)		91,779
Disco Corp.		(35,100	)		(2,651,713	)		(155,675	)
Eisai Co., Ltd.		(9,700	)		(349,996	)		(25,134	)
Electric Power Development Co., Ltd.		(23,700	)		(802,169	)		1,323
FANUC Corp.		(18,400	)		(3,100,373	)		66,574
Fast Retailing Co., Ltd.		(33,200	)		(11,915,063	)		(166,256	)
Furukawa Electric Co., Ltd.		(101,000	)		(161,895	)		(5,656	)
GS Yuasa Corp.		(977,853	)		(4,530,922	)		373,341
Hamamatsu Photonics KK		(13,600	)		(689,950	)		42,549
Hitachi Capital Corp.		(45,700	)		(997,940	)		(7,891	)
Hitachi Construction Machinery Co., Ltd.		(179,895	)		(3,690,587	)		(112,965	)
Hitachi Ltd.		(884,000	)		(6,556,513	)		31,916
Hitachi Metals Ltd.		(193,000	)		(3,172,714	)		(106,526	)
Hokkaido Electric Power Co., Inc.		(343,295	)		(2,747,499	)		(562	)
Hokuriku Electric Power Co.		(8,024	)		(104,583	)		2,113
Honda Motor Co., Ltd.		(73,000	)		(2,227,010	)		85,391
IHI Corp.		(25,000	)		(121,785	)		(4,826	)
Japan Display, Inc.		(895,600	)		(2,980,183	)		246,818
Japan Steel Works Ltd./The		(295,000	)		(1,032,919	)		(10,829	)
JFE Holdings, Inc.		(39,200	)		(800,819	)		(73,376	)
Joyo Bank Ltd./The		(11,000	)		(53,336	)		(1,135	)
JX Holdings, Inc.		(26,400	)		(98,311	)		(4,428	)
Kakaku.com, Inc.		(191,400	)		(2,740,781	)		2,477
Kansai Paint Co., Ltd.		(206,000	)		(3,117,055	)		(74,292	)
Keikyu Corp.		(167,000	)		(1,287,308	)		51,710
Keyence Corp.		(1,100	)		(510,696	)		20,542
Kikkoman Corp.		(51,000	)		(1,245,886	)		(4,075	)
Kintetsu Corp.		(415,000	)		(1,407,275	)		42,794
Koito Manufacturing Co., Ltd.		(26,700	)		(774,702	)		(42,098	)
Komatsu Ltd.		(298,400	)		(6,741,963	)		144,956
Kubota Corp.		(640,000	)		(9,692,996	)		403,538
Kuraray Co., Ltd.		(117,300	)		(1,367,217	)		34,528
Kyocera Corp.		(46,700	)		(2,197,584	)		60,609
Kyushu Electric Power Co., Inc.		(477,600	)		(4,992,311	)		209,050
LIXIL Group Corp.		(349,300	)		(7,164,627	)		(186,654	)
M3, Inc.		(240,200	)		(3,975,518	)		(43,510	)
Makita Corp.		(85,500	)		(4,442,195	)		589,395
Marui Group Co., Ltd.		(58,600	)		(519,553	)		(9,002	)
Mazda Motor Corp.		(280,200	)		(6,931,100	)		201,935
Mitsubishi Gas Chemical Co., Inc.		(318,000	)		(1,851,403	)		255,395
Mitsubishi Logistics Corp.		(100,000	)		(1,548,673	)		94,287
Mitsui Chemicals, Inc.		(1,494,025	)		(4,108,998	)		(122,646	)
Mitsui OSK Lines Ltd.		(561,000	)		(1,639,500	)		(22,599	)
MS&AD Insurance Group Holdings, Inc.		(29,000	)		(628,851	)		(58,397	)
Nabtesco Corp.		(149,503	)		(3,532,110	)		(81,176	)
Nachi-Fujikoshi Corp.		(9,000	)		(52,130	)		(3,153	)

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

AQR Funds Annual Report December 2014

186

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
NGK Insulators Ltd.		(194,000	)	$	(4,399,700	)	$	423,030
NGK Spark Plug Co., Ltd.		(13,800	)		(398,728	)		(20,591	)
Nidec Corp.		(167,600	)		(10,559,249	)		(265,307	)
Nikon Corp.		(241,995	)		(3,429,632	)		214,267
Nintendo Co., Ltd.		(4,400	)		(460,609	)		1,436
Nippon Electric Glass Co., Ltd.		(118,000	)		(518,225	)		(12,726	)
Nippon Paint Holdings Co., Ltd.		(51,000	)		(1,199,295	)		(278,583	)
Nissan Motor Co., Ltd.		(576,000	)		(5,182,940	)		159,201
Nitori Holdings Co., Ltd.		(49,700	)		(2,894,603	)		224,296
Nitto Denko Corp.		(58,900	)		(3,075,978	)		(215,090	)
Nomura Research Institute Ltd.		(7,300	)		(219,120	)		(4,152	)
NTN Corp.		(54,402	)		(241,553	)		1,303
Obayashi Corp.		(115,000	)		(729,229	)		(12,083	)
Odakyu Electric Railway Co., Ltd.		(38,000	)		(345,904	)		9,296
Olympus Corp.		(52,700	)		(1,851,846	)		5,747
Ono Pharmaceutical Co., Ltd.		(52,545	)		(4,618,644	)		(33,454	)
Oriental Land Co., Ltd.		(8,000	)		(1,671,878	)		(173,034	)
Rakuten, Inc.		(823,668	)		(11,029,871	)		(423,748	)
Ricoh Co., Ltd.		(196,500	)		(2,051,118	)		64,688
Rinnai Corp.		(13,700	)		(1,031,340	)		110,806
Sharp Corp.		(1,754,000	)		(4,221,717	)		341,349
Shikoku Electric Power Co., Inc.		(324,173	)		(4,083,446	)		151,329
Shimadzu Corp.		(17,000	)		(166,611	)		(6,313	)
Shimano, Inc.		(12,000	)		(1,550,526	)		(3,705	)
Shinsei Bank Ltd.		(1,178,000	)		(2,185,062	)		134,849
SMC Corp.		(14,200	)		(3,779,759	)		56,177
SoftBank Corp.		(112,400	)		(7,169,443	)		479,025
Sompo Japan Nipponkoa Holdings, Inc.		(4,700	)		(113,254	)		(4,940	)
Sony Financial Holdings, Inc.		(40,800	)		(588,076	)		(12,709	)
Sumco Corp.		(391,200	)		(4,954,673	)		(645,770	)
Sumitomo Chemical Co., Ltd.		(7,000	)		(24,789	)		(2,768	)
Sumitomo Dainippon Pharma Co., Ltd.		(63,200	)		(663,207	)		51,186
Sumitomo Mitsui Financial Group, Inc.		(32,900	)		(1,232,901	)		43,476
Sumitomo Mitsui Trust Holdings, Inc.		(843,000	)		(3,317,228	)		88,294
Suruga Bank Ltd.		(44,200	)		(834,186	)		21,923
Sysmex Corp.		(72,500	)		(2,978,097	)		(239,634	)
Taiheiyo Cement Corp.		(56,923	)		(173,415	)		(5,174	)
Taiyo Nippon Sanso Corp.		(204,516	)		(2,216,488	)		(34,947	)
Takara Bio, Inc.		(29,100	)		(376,281	)		34,827
Takeda Pharmaceutical Co., Ltd.		(17,500	)		(726,687	)		2,226
Terumo Corp.		(229,900	)		(5,216,203	)		(1,668	)
Tokai Carbon Co., Ltd.		(85,000	)		(232,082	)		(16,182	)
TonenGeneral Sekiyu KK		(18,000	)		(151,068	)		(2,574	)
Toshiba Corp.		(1,751,398	)		(7,379,352	)		(6,821	)
Toyota Industries Corp.		(33,500	)		(1,625,244	)		(91,690	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Toyota Motor Corp.		(17,300	)	$	(1,028,640	)	$	(49,451	)
Tsumura & Co.		(133,800	)		(3,014,068	)		55,331
Ube Industries Ltd.		(123,000	)		(178,327	)		(4,553	)
Unicharm Corp.		(75,800	)		(1,734,633	)		(82,201	)
Yahoo Japan Corp.		(2,569,500	)		(9,417,413	)		208,518
Yakult Honsha Co., Ltd.		(22,968	)		(1,265,125	)		52,761
Yamada Denki Co., Ltd.		(2,446,070	)		(8,155,741	)		(51,121	)
Yamaha Motor Co., Ltd.		(94,519	)		(1,981,491	)		90,512
Yamato Holdings Co., Ltd.		(45,500	)		(1,002,714	)		101,736
Yaskawa Electric Corp.		(679,700	)		(8,248,916	)		(432,980	)
Yokogawa Electric Corp.		(72,900	)		(903,080	)		103,144
								1,397,055
Total of Short Equity Positions								1,397,055
Total of Long and Short Equity Positions								(801,540	)
Net Cash and Other Receivables/ (Payables) (b)								(164,082	)
Swaps, at Value							$	(965,622	)

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

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

AQR Funds Annual Report December 2014

187

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate, plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap.	12-14 months maturity ranging from 12/28/2015 - 01/19/2016		$916,236

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Norway
Aker Solutions ASA		26,014		$	130,887		$	13,810
DNB ASA		342,778			5,555,545			(499,356	)
Fred Olsen Energy ASA		7,654			58,030			12,008
Gjensidige Forsikring ASA		38,950			653,483			(17,920	)
Norsk Hydro ASA		255,480			1,386,789			52,339
Orkla ASA		159,680			1,137,174			(50,157	)
Statoil ASA		155,652			3,157,647			(417,108	)
Telenor ASA		197,181			4,109,388			(120,690	)
Yara International ASA		81,699			3,479,386			158,866
								(868,208	)
Total of Long Equity Positions								(868,208	)
Short Positions
Norway
Marine Harvest ASA		(132,068	)		(1,783,925	)		(29,424	)
Petroleum Geo-Services ASA		(37,037	)		(206,676	)		(1,822	)
Schibsted ASA		(41,724	)		(2,568,011	)		(78,098	)
Seadrill Ltd.		(392,106	)		(6,638,683	)		2,101,951
Storebrand ASA		(22,769	)		(104,930	)		15,987
TGS Nopec Geophysical Co. ASA		(140,568	)		(3,406,662	)		370,852
								2,379,446

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Subsea 7 SA		(93,580	)	$	(974,480	)	$	16,885
Total of Short Equity Positions								2,396,331
Total of Long and Short Equity Positions								1,528,123
Net Cash and Other Receivables/ (Payables) (b)								(611,887	)
Swaps, at Value							$	916,236

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

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

AQR Funds Annual Report December 2014

188

Consolidated Schedule of Investments December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 12/21/2015 - 12/28/2015		$1,409,793

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Sweden
Boliden AB		221,149		$	3,456,783		$	78,241
Electrolux AB		210,696			5,670,137			486,238
Hennes & Mauritz AB		38,731			1,536,646			72,434
Holmen AB		2,473			77,527			6,505
Meda AB		237,922			3,155,435			256,463
Nordea Bank AB		279,146			3,284,476			(53,142	)
Securitas AB		205,473			2,363,579			122,172
Skandinaviska Enskilda Banken AB		326,419			3,916,741			228,311
Skanska AB		149,225			2,997,714			206,207
Svenska Cellulosa AB SCA		103,530			2,250,702			(18,730	)
Swedbank AB		97,007			2,362,513			44,321
Swedish Match AB		49,614			1,524,696			29,935
Tele2 AB		71,449			857,532			8,265
Telefonaktiebolaget LM Ericsson		869,190			10,218,108			306,136
TeliaSonera AB		191,532			1,257,174			(25,744	)
Trelleborg AB		73,135			1,142,147			89,062
								1,836,674
Total of Long Equity Positions								1,836,674
Short Positions
Sweden
Alfa Laval AB		(75,311	)		(1,436,906	)		12,789
Assa Abloy AB		(20,967	)		(1,049,927	)		(57,477	)
Atlas Copco AB		(200,568	)		(5,475,459	)		(105,478	)
Elekta AB		(545,108	)		(5,390,559	)		(176,391	)
Getinge AB		(51,081	)		(1,122,632	)		(40,603	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Hexagon AB		(95,024	)	$	(2,983,014	)	$	51,567
Husqvarna AB		(8,271	)		(56,674	)		(4,122	)
Modern Times Group MTG AB		(45,538	)		(1,345,944	)		(98,184	)
Sandvik AB		(707,451	)		(7,074,702	)		196,098
SKF AB		(46,591	)		(903,340	)		(78,123	)
SSAB AB		(333,025	)		(2,172,300	)		246,518
Svenska Handelsbanken AB		(30,519	)		(1,368,979	)		(58,940	)
Volvo AB		(753,200	)		(7,934,800	)		(187,328	)
								(299,674	)
Total of Short Equity Positions								(299,674	)
Total of Long and Short Equity Positions								1,537,000
Net Cash and Other Receivables/ (Payables) (b)								(127,207	)
Swaps, at Value							$	1,409,793

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

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

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

AQR Funds Annual Report December 2014

189

Consolidated Schedule of Investments December 31, 2014

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

MONEY MARKET FUNDS - 106.9%	SHARES		VALUE (Note 5)
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% ^(a)		2,244,715	$	2,244,715
Dreyfus Treasury Cash Management, Class I, 0.010% ^(a)		8,978,861		8,978,861
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% ^(a)		40,112,698		40,112,698
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b)		8,731,525		8,731,525
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% ^(a)		11,223,577		11,223,577
TOTAL MONEY MARKET FUNDS (cost $71,291,376)				71,291,376

SHORT-TERM INVESTMENTS - 0.5%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.071%, 6/4/2015 ^(c) (cost $351,893)	$	352	$	351,895
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 107.4% (cost $71,643,269)				71,643,271
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.4%) (d)			(4,954,511)
NET ASSETS - 100.0%			$	66,688,760

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for swap contracts.

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

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

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

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

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Brent Crude February Futures^	3/2015	USD		1,933,106			$(303,147	)
CitiBank	Brent Crude February Futures^	3/2015	USD		(593,232	)		69,324
CitiBank	Brent Crude January Futures^	2/2015	USD		3,145,473			(966,837	)
CitiBank	Brent Crude January Futures^	2/2015	USD		(2,779,734	)		601,134
CitiBank	Cocoa March Futures^	2/2015	USD		908,651			(6,550	)
CitiBank	Cocoa March Futures^	2/2015	USD		(768,090	)		(17,606	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		3,950,732			(514,473	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		(2,023,614	)		211,784
CitiBank	Corn March Futures^	2/2015	USD		8,379,408			592,600
CitiBank	Corn March Futures^	2/2015	USD		(5,482,126	)		(214,754	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		1,926,300			(57,917	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(873,450	)		(465	)
CitiBank	Gas Oil February Futures^	2/2015	USD		1,406,270			(230,259	)
CitiBank	Gas Oil February Futures^	2/2015	USD		(1,478,175	)		302,145
CitiBank	Gas Oil January Futures^	1/2015	USD		1,017,700			(281,020	)
CitiBank	Gas Oil January Futures^	1/2015	USD		(1,024,100	)		287,420
CitiBank	Gas Oil March Futures^	3/2015	USD		514,074			(29,311	)
CitiBank	Gas Oil March Futures^	3/2015	USD		(56,600	)		2,738
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		1,430,591			(167,147	)
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		(143,682	)		17,338
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		2,189,722			(644,018	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(1,870,646	)		324,941
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		2,750,570			(27,134	)
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		(2,758,460	)		35,022
CitiBank	Gold 100 OZ February Futures^	1/2015	USD		6,946,698			37,004
CitiBank	Gold 100 OZ February Futures^	1/2015	USD		(1,339,514	)		(78,918	)
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		414,431			(32,819	)
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		(340,326	)		35,036
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		1,593,119			(283,928	)

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

AQR Funds Annual Report December 2014

190

Consolidated Schedule of Investments December 31, 2014

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(1,676,881	)		$ 367,691
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		6,862,352			(189,512	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(3,679,490	)		81,390
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		1,925,358			(171,438	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(1,804,704	)		180,704
CitiBank	LME Aluminum June Futures^	6/2015	USD		5,895,325			(391,363	)
CitiBank	LME Aluminum June Futures^	6/2015	USD		(2,046,500	)		134,106
CitiBank	LME Aluminum March Futures^	3/2015	USD		9,525,800			(1,113,988	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		(9,110,875	)		699,063
CitiBank	LME Copper June Futures^	6/2015	USD		(3,977,400	)		53,338
CitiBank	LME Copper June Futures^	6/2015	USD		8,260,500			(98,450	)
CitiBank	LME Copper March Futures^	3/2015	USD		(17,400,200	)		526,300
CitiBank	LME Copper March Futures^	3/2015	USD		18,440,225			(1,566,325	)
CitiBank	LME Lead June Futures^	6/2015	USD		(405,400	)		31,700
CitiBank	LME Lead June Futures^	6/2015	USD		754,825			(54,138	)
CitiBank	LME Lead March Futures^	3/2015	USD		1,739,075			(252,675	)
CitiBank	LME Lead March Futures^	3/2015	USD		(1,647,625	)		161,225
CitiBank	LME Nickel June Futures^	6/2015	USD		1,555,320			(96,216	)
CitiBank	LME Nickel June Futures^	6/2015	USD		(297,750	)		24,168
CitiBank	LME Nickel March Futures^	3/2015	USD		(3,164,100	)		257,412
CitiBank	LME Nickel March Futures^	3/2015	USD		3,459,066			(552,378	)
CitiBank	LME Zinc June Futures^	6/2015	USD		3,196,750			(25,238	)
CitiBank	LME Zinc June Futures^	6/2015	USD		(1,551,400	)		20,325
CitiBank	LME Zinc March Futures^	3/2015	USD		(4,618,350	)		102,113
CitiBank	LME Zinc March Futures^	3/2015	USD		4,929,419			(413,181	)
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		1,867,990			(401,040	)
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		(2,007,440	)		540,486
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		36,480			(7,517	)
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		(291,200	)		59,498
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		2,063,860			(677,030	)
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		(1,924,746	)		537,939
Barclays Capital	Silver March Futures^	2/2015	USD		2,068,625			(118,698	)
Barclays Capital	Silver March Futures^	2/2015	USD		(2,031,875	)		81,964
CitiBank	Silver March Futures^	2/2015	USD		7,755,513			(267,993	)
CitiBank	Silver March Futures^	2/2015	USD		(3,317,200	)		197,400
CitiBank	Soybean March Futures^	2/2015	USD		6,080,394			367,537
CitiBank	Soybean March Futures^	2/2015	USD		(6,505,709	)		57,640
CitiBank	Soybean May Futures^	4/2015	USD		4,810,197			(121,317	)
CitiBank	Soybean May Futures^	4/2015	USD		(736,320	)		14,957
CitiBank	Soybean Meal March Futures^	2/2015	USD		1,916,780			(39,727	)
CitiBank	Soybean Meal March Futures^	2/2015	USD		(356,680	)		9,077
CitiBank	Soybean Oil March Futures^	2/2015	USD		2,167,118			11,970
CitiBank	Soybean Oil March Futures^	2/2015	USD		(289,755	)		495
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		8,888,764			(1,228,806	)
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		(6,323,654	)		534,080
CitiBank	Wheat March Futures^	2/2015	USD		3,184,304			29,824
CitiBank	Wheat March Futures^	2/2015	USD		(3,856,260	)		(389,814	)
CitiBank	WTI Crude February Futures^	3/2015	USD		2,642,320			(333,115	)
CitiBank	WTI Crude February Futures^	3/2015	USD		(247,360	)		32,550
Barclays Capital	WTI Crude January Futures^	2/2015	USD		1,004,770			(312,203	)
Barclays Capital	WTI Crude January Futures^	2/2015	USD		(883,590	)		191,045
CitiBank	WTI Crude January Futures^	2/2015	USD		3,309,910			(1,019,180	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(2,804,290	)		513,619
								$(5,361,543	)

Money Market Fund is pledged as collateral to Barclays Capital, CitiBank, Deutsche Bank for total return swap contracts in the amount of $181,417, $7,400,085 and $850,022, respectively at December 31, 2014.

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

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

AQR Funds Annual Report December 2014

191

Consolidated Schedule of Investments December 31, 2014

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
9	Goldman Sachs	Gasoline RBOB Futures^		2/2015		$640,012			$568,550			$(71,462	)
47	Goldman Sachs	Live Cattle Futures^		2/2015		1,633,689			1,526,560			(107,129	)
3	J.P. Morgan	LME Aluminum Futures^		1/2015		143,124			137,359			(5,765	)
4	J.P. Morgan	LME Aluminum Futures^		1/2015		200,709			183,375			(17,334	)
15	J.P. Morgan	LME Aluminum Futures^		1/2015		736,946			688,107			(48,839	)
4	J.P. Morgan	LME Aluminum Futures^		1/2015		203,921			183,586			(20,335	)
31	J.P. Morgan	LME Aluminum Futures^		2/2015		1,591,917			1,424,063			(167,854	)
20	J.P. Morgan	LME Aluminum Futures^		2/2015		1,007,607			919,875			(87,732	)
3	J.P. Morgan	LME Aluminum Futures^		2/2015		152,259			138,163			(14,096	)
18	J.P. Morgan	LME Aluminum Futures^		3/2015		904,426			829,444			(74,982	)
12	J.P. Morgan	LME Aluminum Futures^		3/2015		590,134			553,068			(37,066	)
2	J.P. Morgan	LME Aluminum Futures^		3/2015		97,868			92,281			(5,587	)
5	J.P. Morgan	LME Aluminum Futures^		3/2015		245,014			230,747			(14,267	)
119	J.P. Morgan	LME Aluminum Futures^		3/2015		6,000,811			5,500,031			(500,780	)
80	J.P. Morgan	LME Aluminum Futures^		6/2015		3,951,603			3,731,500			(220,103	)
16	J.P. Morgan	LME Copper Futures^		3/2015		2,745,158			2,523,200			(221,958	)
5	J.P. Morgan	LME Lead Futures^		3/2015		253,048			232,107			(20,941	)
4	J.P. Morgan	LME Lead Futures^		3/2015		202,652			185,693			(16,959	)
1	J.P. Morgan	LME Lead Futures^		3/2015		50,878			46,425			(4,453	)
5	J.P. Morgan	LME Lead Futures^		3/2015		252,764			232,170			(20,594	)
3	J.P. Morgan	LME Lead Futures^		3/2015		151,209			139,308			(11,901	)
9	J.P. Morgan	LME Lead Futures^		6/2015		456,362			420,413			(35,949	)
1	J.P. Morgan	LME Nickel Futures^		3/2015		98,533			90,753			(7,780	)
1	J.P. Morgan	LME Nickel Futures^		3/2015		99,003			90,790			(8,213	)
2	J.P. Morgan	LME Nickel Futures^		3/2015		235,342			181,668			(53,674	)
1	J.P. Morgan	LME Nickel Futures^		6/2015		99,327			91,194			(8,133	)
6	J.P. Morgan	LME Zinc Futures^		1/2015		342,543			324,996			(17,547	)
2	J.P. Morgan	LME Zinc Futures^		2/2015		111,506			108,659			(2,847	)
4	J.P. Morgan	LME Zinc Futures^		3/2015		222,811			217,381			(5,430	)
10	J.P. Morgan	LME Zinc Futures^		3/2015		581,047			544,125			(36,922	)
15	Goldman Sachs	Soybean Futures^		5/2015		785,911			772,875			(13,036	)
4	Goldman Sachs	Soybean Oil Futures^		3/2015		77,401			77,136			(265	)
39	Goldman Sachs	WTI Crude Oil Futures^		2/2015		2,353,836			2,094,300			(259,536	)
						27,219,371			25,079,902			(2,139,469)
Short Contracts:
3	J.P. Morgan	LME Aluminum Futures^		1/2015		$(144,369	)		$(137,360	)		$7,009
4	J.P. Morgan	LME Aluminum Futures^		1/2015		(200,991	)		(183,375	)		17,616
15	J.P. Morgan	LME Aluminum Futures^		1/2015		(734,970	)		(688,106	)		46,864
4	J.P. Morgan	LME Aluminum Futures^		1/2015		(204,416	)		(183,585	)		20,831
31	J.P. Morgan	LME Aluminum Futures^		2/2015		(1,594,950	)		(1,424,062	)		170,888
20	J.P. Morgan	LME Aluminum Futures^		2/2015		(1,004,955	)		(919,875	)		85,080
3	J.P. Morgan	LME Aluminum Futures^		2/2015		(152,737	)		(138,163	)		14,574
18	J.P. Morgan	LME Aluminum Futures^		3/2015		(900,354	)		(829,445	)		70,909
12	J.P. Morgan	LME Aluminum Futures^		3/2015		(589,086	)		(553,068	)		36,018
2	J.P. Morgan	LME Aluminum Futures^		3/2015		(98,077	)		(92,282	)		5,795
5	J.P. Morgan	LME Aluminum Futures^		3/2015		(245,595	)		(230,748	)		14,847
119	J.P. Morgan	LME Aluminum Futures^		3/2015		(5,930,476	)		(5,500,031	)		430,445
32	J.P. Morgan	LME Aluminum Futures^		6/2015		(1,595,090	)		(1,492,600	)		102,490
16	J.P. Morgan	LME Copper Futures^		3/2015		(2,705,267	)		(2,523,200	)		182,067
5	J.P. Morgan	LME Lead Futures^		3/2015		(252,986	)		(232,107	)		20,879
4	J.P. Morgan	LME Lead Futures^		3/2015		(201,589	)		(185,693	)		15,896
1	J.P. Morgan	LME Lead Futures^		3/2015		(50,979	)		(46,425	)		4,554
5	J.P. Morgan	LME Lead Futures^		3/2015		(252,332	)		(232,170	)		20,162
3	J.P. Morgan	LME Lead Futures^		3/2015		(151,156	)		(139,307	)		11,849
9	J.P. Morgan	LME Lead Futures^		6/2015		(457,462	)		(420,413	)		37,049
1	J.P. Morgan	LME Nickel Futures^		3/2015		(98,937	)		(90,753	)		8,184

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	J.P. Morgan	LME Nickel Futures^		3/2015		$ (99,118	)		$ (90,791	)		$ 8,327
2	J.P. Morgan	LME Nickel Futures^		3/2015		(217,052	)		(181,668	)		35,384
1	J.P. Morgan	LME Nickel Futures^		6/2015		(99,351	)		(91,194	)		8,157
6	J.P. Morgan	LME Zinc Futures^		1/2015		(342,736	)		(324,996	)		17,740
2	J.P. Morgan	LME Zinc Futures^		2/2015		(112,102	)		(108,659	)		3,443
4	J.P. Morgan	LME Zinc Futures^		3/2015		(219,910	)		(217,381	)		2,529
10	J.P. Morgan	LME Zinc Futures^		3/2015		(561,837	)		(544,125	)		17,712
						(19,218,880	)		(17,801,582	)		1,417,298
						$8,000,491			$7,278,320			$(722,171	)

Cash held as collateral at Goldman Sachs and J.P. Morgan for futures contracts was $708,024 and $458,361, respectively at December 31, 2014.

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

USD - United States Dollar

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

GOVERNMENT RELATED OBLIGATIONS - 14.7%	INTEREST RATE		MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Sovereign Debt - 14.7%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/23		EUR		15,748	$	19,904,568
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750%		04/15/18		EUR		12,017		14,934,075
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750%		04/15/20		EUR		7,125		9,614,270
France Government Bond OAT (France)		0.250%		07/25/18		EUR		5,619		6,922,428
France Government Bond OAT (France)		0.250%		07/25/24		EUR		405		511,243
France Government Bond OAT (France)		1.100%		07/25/22		EUR		868		1,159,449
France Government Bond OAT (France)		1.300%		07/25/19		EUR		12,574		16,394,056
France Government Bond OAT (France)		2.100%		07/25/23		EUR		329		481,735
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/24		GBP		2,657		4,554,017
United Kingdom Treasury Gilt (United Kingdom)		1.875%		11/22/22		GBP		8,771		16,997,333
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $95,976,097)										91,473,174
U.S. TREASURY OBLIGATIONS - 18.8%
U.S. Treasury Inflation Protected Securities - 18.8%
U.S. Treasury Inflation Protected Securities		0.125%		04/15/18		USD		37,500		38,373,308
U.S. Treasury Inflation Protected Securities		0.125%		04/15/19		USD		36,800		36,878,296
U.S. Treasury Inflation Protected Securities		0.125%		01/15/23		USD		9,300		9,250,213
U.S. Treasury Inflation Protected Securities		0.125%		07/15/24		USD		6,000		5,777,993
U.S. Treasury Inflation Protected Securities		0.375%		07/15/23		USD		9,600		9,683,544
U.S. Treasury Inflation Protected Securities		0.625%		01/15/24		USD		8,400		8,584,401
U.S. Treasury Inflation Protected Securities		2.125%		01/15/19		USD		6,800		8,080,456
TOTAL U.S. TREASURY OBLIGATIONS (cost $118,706,191)										116,628,211
MONEY MARKET FUNDS - 46.5%							SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^								15,123,489		15,123,489
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^								60,493,955		60,493,955
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^								95,657,547		95,657,547
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^								41,412,776		41,412,776
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^								75,618,289		75,618,289
TOTAL MONEY MARKET FUNDS (cost $288,306,056)										288,306,056
SHORT-TERM INVESTMENTS - 18.6%							PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.037%, 04/09/2015 (c)							$	28,080		28,080,922
U.S. Treasury Bill, 0.045%, 02/05/2015 (c)^								66,833		66,834,396
U.S. Treasury Bill, 0.055%, 01/29/2015 (c)^								13,019		13,018,952
U.S. Treasury Bill, 0.067%, 05/28/2015 (c)^								4,190		4,189,894
U.S. Treasury Bill, 0.071%, 06/04/2015 (c)^								3,306		3,306,018
TOTAL SHORT-TERM INVESTMENTS (cost $115,427,721)										115,430,182
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 98.6% (cost $618,416,065)										611,837,623
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (d)										8,417,183
NET ASSETS - 100.0%									$	620,254,806

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Credit default swap contracts sell protection as of December 31, 2014:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank	iTraxx Europe Crossover Series 22.V1	5.000%	EUR		3.459%		$63,475,000		$4,633,899			12/20/2019		$618,744
CitiBank	iTraxx Europe Series 22.V1	1.000%	EUR		0.629%		140,000,000		2,747,341			12/20/2019		360,843
CitiBank	Markit CDX Emerging Market Index Series 22	1.000%	USD		3.394%		19,500,000		(1,432,838	)		12/20/2019		(597,222	)
CitiBank	Markit CDX North America High Yield Index Series 23	5.000%	USD		3.557%		86,050,000		4,744,569			12/20/2019		719,053
CitiBank	Markit CDX North America Investment Grade Index Series 23	1.000%	USD		0.661%		172,625,000		2,561,885			12/20/2019		259,940
									$13,254,856					$1,361,358

Cash held as collateral at CitiBank for credit default swap contracts and over the counter interest rate swap contracts was $1,920,828 at December 31, 2014.

Interest rate swap contracts outstanding as of December 31, 2014:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank†	1.000%			(1)	CZK		$10,000,000		$(7,087	)		03/18/2020		$(2,762	)
CitiBank†	1.000%			(1)	CZK		30,000,000		(19,555	)		03/18/2020		(9,991	)
CitiBank†	1.000%			(1)	CZK		10,000,000		(9,154	)		03/18/2020		(695	)
CitiBank†	1.000%			(1)	CZK		10,000,000		(10,083	)		03/18/2020		234
CitiBank†	1.000%			(1)	CZK		10,000,000		(9,478	)		03/18/2020		(370	)
CitiBank†	6 Month Prague Interbank Offered Rate		1.000	%	CZK		10,000,000		9,370			03/18/2020		479
CitiBank†	6 Month Prague Interbank Offered Rate		1.000	%	CZK		20,000,000		18,431			03/18/2020		1,267
CitiBank†	6 Month Prague Interbank Offered Rate		1.000	%	CZK		330,000,000		199,886			03/18/2020		125,126
CitiBank†	6 Month Prague Interbank Offered Rate		1.000	%	CZK		10,000,000		8,051			03/18/2020		1,798
CitiBank†	2.000%			(2)	HKD		6,000,000		(6,552	)		03/18/2020		2,834
CitiBank†	2.000%			(2)	HKD		4,000,000		(6,947	)		03/18/2020		4,467
CitiBank†	2.000%			(2)	HKD		5,000,000		(7,829	)		03/18/2020		4,730

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

AQR Funds Annual Report December 2014

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CitiBank†	2.000%			(2)	HKD		$6,000,000		$(10,665	)		03/18/2020		$6,946
CitiBank†	2.000%			(2)	HKD		1,000,000		1,011			03/18/2020		(1,631	)
CitiBank†	2.000%			(2)	HKD		5,000,000		(8,968	)		03/18/2020		5,869
CitiBank†	2.000%			(2)	HKD		22,000,000		12,923			03/18/2020		(26,558	)
CitiBank†	3 Month Hong Kong Interbank Offered Rate		2.000	%	HKD		9,000,000		13,419			03/18/2020		(7,841	)
CitiBank†	3 Month Hong Kong Interbank Offered Rate		2.000	%	HKD		6,000,000		6,549			03/18/2020		(2,831	)
CitiBank†	3 Month Hong Kong Interbank Offered Rate		2.000	%	HKD		3,000,000		3,064			03/18/2020		(1,205	)
CitiBank†	3 Month Hong Kong Interbank Offered Rate		2.000	%	HKD		128,000,000		(40,547	)		03/18/2020		119,879
CitiBank†	3 Month Hong Kong Interbank Offered Rate		2.000	%	HKD		128,000,000		(40,188	)		03/18/2020		119,520
CitiBank†	2.500%			(3)	HUF		100,000,000		(1,683	)		03/18/2020		2,813
CitiBank†	2.500%			(3)	HUF		100,000,000		(226	)		03/18/2020		1,357
CitiBank†	2.500%			(3)	HUF		100,000,000		2,449			03/18/2020		(1,319	)
CitiBank†	3.000%			(3)	HUF		100,000,000		(2,268	)		03/18/2020		(5,603	)
CitiBank†	3.000%			(3)	HUF		300,000,000		3,348			03/18/2020		(26,963	)
CitiBank†	6 Month Budapest Interbank Offered Rate		3.000	%	HUF		100,000,000		7,913			03/18/2020		(41	)
CitiBank†	6 Month Budapest Interbank Offered Rate		3.000	%	HUF		100,000,000		4,666			03/18/2020		3,206
CitiBank†	6 Month Budapest Interbank Offered Rate		3.500	%	HUF		4,100,000,000		234,867			03/18/2020		456,967
CitiBank†	2.000%			(5)	PLN		2,000,000		3,083			03/18/2020		(4,208	)
CitiBank†	2.000%			(5)	PLN		1,000,000		1,520			03/18/2020		(2,082	)
CitiBank†	2.000%			(5)	PLN		2,000,000		2,953			03/18/2020		(4,078	)
CitiBank†	2.000%			(5)	PLN		2,000,000		2,238			03/18/2020		(3,363	)
CitiBank†	2.000%			(5)	PLN		3,000,000		5,773			03/18/2020		(7,460	)
CitiBank†	2.500%			(5)	PLN		8,000,000		(18,582	)		03/18/2020		(39,650	)
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.000	%	PLN		3,000,000		2,098			03/18/2020		(411	)
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.000	%	PLN		3,000,000		(653	)		03/18/2020		2,340
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.000	%	PLN		2,000,000		629			03/18/2020		495
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.500	%	PLN		2,000,000		2,418			03/18/2020		12,141
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.500	%	PLN		106,000,000		(34,822	)		03/18/2020		806,401
CitiBank†	6 Month Warsaw Interbank Offered Rate		2.500	%	PLN		2,000,000		13,366			03/18/2020		1,192
CitiBank†	2.000%			(6)	SGD		2,000,000		(13,499	)		03/18/2020		13,243
CitiBank†	2.000%			(6)	SGD		2,000,000		(12,097	)		03/18/2020		11,841
CitiBank†	2.000%			(6)	SGD		1,000,000		(3,573	)		03/18/2020		3,445
CitiBank†	2.000%			(6)	SGD		5,000,000		(25,293	)		03/18/2020		24,652
CitiBank†	2.000%			(6)	SGD		1,000,000		(7,568	)		03/18/2020		7,440
CitiBank†	2.000%			(6)	SGD		2,000,000		(16,028	)		03/18/2020		15,772
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		20,500,000		3,883			03/18/2020		(1,259	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		20,500,000		3,768			03/18/2020		(1,144	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		2,000,000		14,152			03/18/2020		(13,896	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		1,000,000		4,615			03/18/2020		(4,487	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		4,000,000		28,123			03/18/2020		(27,610	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		20,500,000		3,679			03/18/2020		(1,054	)

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

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196

Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		$20,500,000		$3,988			03/18/2020		$(1,363	)
CitiBank†	6 Month Singapore Interbank Offered Rate		2.000	%	SGD		1,000,000		(3,306	)		03/18/2020		3,434
CitiBank†	3 Month Johannesburg Interbank Agreed Rate		7.500	%	ZAR		410,000,000		(110,382	)		03/18/2020		142,798
CitiBank†	3 Month Johannesburg Interbank Agreed Rate		7.500	%	ZAR		10,000,000		4,254			03/18/2020		(3,463	)
CitiBank†	3 Month Johannesburg Interbank Agreed Rate		7.500	%	ZAR		10,000,000		(11,720	)		03/18/2020		12,511
CitiBank†	7.000%			(7)	ZAR		10,000,000		13,376			03/18/2020		3,554
CitiBank†	7.500%			(7)	ZAR		20,000,000		25,113			03/18/2020		(26,694	)
CitiBank†	7.500%			(7)	ZAR		10,000,000		2,462			03/18/2020		(3,253	)
Over the Counter
CitiBank†	2.190%			(4)	KRW*		1,000,000,000		—			03/18/2020		1,226
CitiBank†	2.253%			(4)	KRW*		2,000,000,000		—			03/18/2020		(2,905	)
CitiBank†	2.280%			(4)	KRW*		2,000,000,000		—			03/18/2020		(5,262	)
CitiBank†	2.335%			(4)	KRW*		1,000,000,000		—			03/18/2020		(4,989	)
CitiBank†	2.400%			(4)	KRW*		1,000,000,000		—			03/18/2020		(7,775	)
CitiBank†	2.444%			(4)	KRW*		4,000,000,000		—			03/18/2020		(38,642	)
CitiBank	2.645%			(4)	KRW*		16,750,000,000		—			09/18/2019		(313,454	)
CitiBank	2.655%			(4)	KRW*		16,750,000,000		—			09/18/2019		(320,326	)
CitiBank	2.675%			(4)	KRW*		16,750,000,000		—			09/18/2019		(334,068	)
CitiBank	2.688%			(4)	KRW*		16,750,000,000		—			09/18/2019		(342,658	)
CitiBank	2.713%			(4)	KRW*		2,000,000,000		—			09/18/2019		(42,966	)
CitiBank	2.723%			(4)	KRW*		3,000,000,000		—			09/18/2019		(65,679	)
CitiBank	2.970%			(4)	KRW*		10,000,000,000		—			09/18/2019		(320,463	)
CitiBank†	3 Month Korean Certificate of Deposit		2.223	%	KRW*		4,000,000,000		—			03/18/2020		667
CitiBank†	3 Month Korean Certificate of Deposit		2.225	%	KRW*		2,000,000,000		—			03/18/2020		548
CitiBank†	3 Month Korean Certificate of Deposit		2.450	%	KRW*		2,000,000,000		—			03/18/2020		19,835
CitiBank	3 Month Korean Certificate of Deposit		2.648	%	KRW*		2,000,000,000		—			09/18/2019		37,633
CitiBank†	3 Month Korean Certificate of Deposit		2.710	%	KRW*		17,000,000,000		—			03/18/2020		358,047
CitiBank†	3 Month Korean Certificate of Deposit		2.715	%	KRW*		17,000,000,000		—			03/18/2020		361,691
CitiBank†	3 Month Korean Certificate of Deposit		2.735	%	KRW*		17,000,000,000		—			03/18/2020		376,264
CitiBank†	3 Month Korean Certificate of Deposit		2.746	%	KRW*		17,000,000,000		—			03/18/2020		384,279
CitiBank	3 Month Korean Certificate of Deposit		3.098	%	KRW*		29,000,000,000		—			09/18/2019		1,082,917
CitiBank	3 Month Korean Certificate of Deposit		3.146	%	KRW*		29,000,000,000		—			09/18/2019		1,140,086
CitiBank	3 Month Korean Certificate of Deposit		3.153	%	KRW*		29,000,000,000		—			09/18/2019		1,147,828
CitiBank	3.150%			(4)	KRW*		7,000,000,000		—			09/18/2019		(276,344	)
									$228,685					$4,520,956

† Forward effective date swap. (See Note 4).

* Non-deliverable swap. (See Note 4).

(1) 6 Month Prague Interbank Offered Rate

(2) 3 Month Hong Kong Interbank Offered Rate

(3) 6 Month Budapest Interbank Offered Rate

(4) 3 Month Korean Certificate of Deposit

(5) 6 Month Warsaw Interbank Offered Rate

(6) 6 Month Singapore Interbank Offered Rate

(7) 3 Month Johannesburg Interbank Agreed Rate

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

Cash held as collateral at CitiBank for over the counter interest rate swap contracts is included in the collateral for credit default swap contracts.

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures	3/2015	CAD		25,151,557			$415,079
Bank of America	10-Year Japanese Government Bond March Futures	3/2015	JPY		6,043,739,600			131,967
Morgan Stanley and Co., International PLC	Bovespa Index February Futures	2/2015	BRL		12,354,577			95,898
CitiBank	Brent Crude February Futures^	3/2015	USD		2,274,976			(412,256	)
Merrill Lynch	Brent Crude February Futures^	3/2015	USD		(1,423,880	)		85,048
Merrill Lynch	Brent Crude February Futures^	3/2015	USD		8,589,790			(1,546,153	)
CitiBank	Brent Crude January Futures^	2/2015	USD		(2,254,080	)		419,478
CitiBank	Brent Crude January Futures^	2/2015	USD		2,655,521			(820,880	)
Merrill Lynch	Brent Crude January Futures^	2/2015	USD		11,407,440			(3,839,701	)
Merrill Lynch	Brent Crude January Futures^	2/2015	USD		(9,461,410	)		1,893,777
CitiBank	Cocoa March Futures^	2/2015	USD		1,407,592			(10,790	)
CitiBank	Cocoa March Futures^	2/2015	USD		(1,133,475	)		(30,519	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		4,582,086			(645,992	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		(1,107,405	)		107,777
CitiBank	Corn March Futures^	2/2015	USD		8,821,020			726,595
CitiBank	Corn March Futures^	2/2015	USD		(3,464,816	)		(68,462	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		2,594,270			(93,045	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(963,530	)		(790	)
Bank of America	Euro - Bund March Futures	3/2015	EUR		116,531,172			2,379,873
Merrill Lynch	Gas Oil February Futures^	2/2015	USD		3,592,000			(933,488	)
Merrill Lynch	Gas Oil February Futures^	2/2015	USD		(2,881,500	)		223,092
Merrill Lynch	Gas Oil January Futures^	1/2015	USD		4,972,000			(1,744,772	)
Merrill Lynch	Gas Oil January Futures^	1/2015	USD		(4,438,850	)		1,211,647
Merrill Lynch	Gas Oil March Futures^	3/2015	USD		3,118,600			(229,725	)
Merrill Lynch	Gasoline RBOB December Futures^	1/2015	USD		(3,494,400	)		3,494,361
Merrill Lynch	Gasoline RBOB December Futures^	1/2015	USD		3,881,304			(3,881,260	)
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		6,445,824			(886,670	)
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		(1,261,222	)		60,950
Merrill Lynch	Gasoline RBOB February Futures^	3/2015	USD		(140,591	)		14,246
Merrill Lynch	Gasoline RBOB February Futures^	3/2015	USD		146,992			(20,643	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		7,672,134			(2,231,252	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(6,368,947	)		928,066
Merrill Lynch	Gasoline RBOB January Futures^	2/2015	USD		(3,297,454	)		824,248
Merrill Lynch	Gasoline RBOB January Futures^	2/2015	USD		3,508,680			(1,035,455	)
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		2,511,390			(24,774	)
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		(2,511,480	)		24,864
Merrill Lynch	Gold 100 OZ February Futures^	1/2015	USD		9,266,155			(148,585	)
Bank of America	Hang Seng Index January Futures	1/2015	HKD		21,063,066			28,495
Merrill Lynch	Heating Oil ULSD December Futures^	1/2015	USD		(508,305	)		508,299
Merrill Lynch	Heating Oil ULSD December Futures^	1/2015	USD		550,200			(550,200	)
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		2,299,979			(239,274	)
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		(237,972	)		9,005
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		2,954,627			(721,302	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(2,494,099	)		260,774
Bank of America	H-SHARES Index January Futures	1/2015	HKD		7,696,767			12,398
Goldman Sachs	H-SHARES Index January Futures	1/2015	HKD		14,733,925			32,529
Morgan Stanley and Co., International PLC	H-SHARES Index January Futures	1/2015	HKD		49,091,961			85,468
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		2,775,755			(93,535	)
Merrill Lynch	Live Cattle February Futures^	2/2015	USD		(3,594,890	)		(68,621	)
Merrill Lynch	Live Cattle February Futures^	2/2015	USD		8,069,970			(284,955	)

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

AQR Funds Annual Report December 2014

198

Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		1,258,202			$(88,922	)
Merrill Lynch	Live Cattle February Futures^	2/2015	USD		(1,070,450	)		96,039
Merrill Lynch	Live Cattle February Futures^	2/2015	USD		3,147,654			(321,842	)
CitiBank	LME Aluminum June Futures^	6/2015	USD		12,001,150			(899,937	)
CitiBank	LME Aluminum June Futures^	6/2015	USD		(963,400	)		30,525
CitiBank	LME Aluminum March Futures^	3/2015	USD		16,757,700			(1,967,700	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		(16,088,225	)		1,298,225
CitiBank	LME Copper June Futures^	6/2015	USD		11,925,000			(152,813	)
CitiBank	LME Copper June Futures^	6/2015	USD		(5,097,175	)		74,375
CitiBank	LME Copper March Futures^	3/2015	USD		(22,709,075	)		788,775
CitiBank	LME Copper March Futures^	3/2015	USD		24,044,950			(2,124,650	)
CitiBank	LME Lead June Futures^	6/2015	USD		(245,725	)		12,163
CitiBank	LME Lead June Futures^	6/2015	USD		660,238			(52,975	)
CitiBank	LME Lead March Futures^	3/2015	USD		1,497,738			(243,588	)
CitiBank	LME Lead March Futures^	3/2015	USD		(1,381,700	)		127,550
CitiBank	LME Nickel June Futures^	6/2015	USD		2,362,185			(173,529	)
CitiBank	LME Nickel March Futures^	3/2015	USD		3,811,524			(723,168	)
CitiBank	LME Nickel March Futures^	3/2015	USD		(3,359,310	)		270,954
CitiBank	LME Zinc June Futures^	6/2015	USD		3,936,063			(53,694	)
CitiBank	LME Zinc June Futures^	6/2015	USD		(1,256,725	)		(944	)
CitiBank	LME Zinc March Futures^	3/2015	USD		(5,470,125	)		137,700
CitiBank	LME Zinc March Futures^	3/2015	USD		5,816,113			(483,688	)
Bank of America	Long Gilt March Futures	3/2015	GBP		25,781,880			994,389
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index January Futures	1/2015	USD		8,131,574			137,136
CitiBank	Natural Gas December Futures^	1/2015	USD		4,755,250			(1,087,873	)
CitiBank	Natural Gas December Futures^	1/2015	USD		(4,950,660	)		1,283,278
CitiBank	Natural Gas February Futures^	3/2015	USD		1,780,660			(361,488	)
CitiBank	Natural Gas February Futures^	3/2015	USD		(402,340	)		83,749
CitiBank	Natural Gas January Futures^	2/2015	USD		(3,848,670	)		901,744
CitiBank	Natural Gas January Futures^	2/2015	USD		4,413,540			(1,466,523	)
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index January Futures	1/2015	USD		4,231,305			15,067
Barclays Capital	Silver March Futures^	2/2015	USD		2,647,840			(151,934	)
Barclays Capital	Silver March Futures^	2/2015	USD		(671,550	)		47,569
Merrill Lynch	Silver March Futures^	2/2015	USD		5,178,470			(186,790	)
CitiBank	Soybean March Futures^	2/2015	USD		8,192,009			507,577
CitiBank	Soybean March Futures^	2/2015	USD		(8,954,750	)		254,918
Merrill Lynch	Soybean March Futures^	3/2015	USD		(2,779,525	)		(35,092	)
Merrill Lynch	Soybean March Futures^	3/2015	USD		2,633,813			180,780
CitiBank	Soybean May Futures^	4/2015	USD		9,481,392			(258,417	)
Merrill Lynch	Soybean May Futures^	5/2015	USD		(52,263	)		738
Merrill Lynch	Soybean May Futures^	5/2015	USD		159,300			(4,723	)
CitiBank	Soybean Meal March Futures^	2/2015	USD		924,820			(21,060	)
Deutsche Bank	Soybean Meal March Futures^	2/2015	USD		(106,200	)		1,920
Deutsche Bank	Soybean Meal March Futures^	2/2015	USD		1,508,010			(48,090	)
CitiBank	Soybean Oil March Futures^	2/2015	USD		2,989,593			18,705
CitiBank	Soybean Oil March Futures^	2/2015	USD		(422,574	)		(1,673	)
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		7,787,539			(1,217,166	)
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		(5,412,697	)		533,817
Morgan Stanley and Co., International PLC	Swiss Market Index March Futures	3/2015	CHF		7,131,905			176,007
Morgan Stanley and Co., International PLC	Taiwan Stock Exchange January Futures	1/2015	TWD		5,403,731			5,188
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		398,702,688			2,482,625
CitiBank	Wheat March Futures^	2/2015	USD		1,533,278			176,940
CitiBank	Wheat March Futures^	2/2015	USD		(53,434	)		(5,540	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	WTI Crude February Futures^	3/2015	USD		12,093,580			$(1,890,580	)
Merrill Lynch	WTI Crude February Futures^	3/2015	USD		(1,239,150	)		57,750
Merrill Lynch	WTI Crude February Futures^	3/2015	USD		4,557,490			(744,661	)
CitiBank	WTI Crude January Futures^	2/2015	USD		12,079,639			(3,556,019	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(10,224,000	)		1,700,599
Merrill Lynch	WTI Crude January Futures^	2/2015	USD		(4,620,080	)		784,594
Merrill Lynch	WTI Crude January Futures^	2/2015	USD		5,589,360			(1,753,814	)
								$(13,486,662	)

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $2,081, $252,170, $13,470,107, $4,240,027, $70,000, $14,170,385 and $5,631,639, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $5,500,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
11	Goldman Sachs	Live Cattle Futures^	2/2015		$384,198		$357,280		$(26,918	)
6	Goldman Sachs	Live Cattle Futures^	3/2015		648,679		651,975		3,296
25	Barclays Capital	Amsterdam Index Futures	1/2015		2,551,615		2,571,356		19,741
61	Barclays Capital	CAC40 Index Futures	1/2015		3,128,325		3,156,984		28,659
16	Barclays Capital	DAX Index Futures	3/2015		4,718,996		4,764,451		45,455
61	Barclays Capital	E-Mini Russell 2000 Futures	3/2015		6,951,920		7,324,270		372,350
245	Barclays Capital	Euro Stoxx 50 Index	3/2015		9,025,649		9,288,163		262,514
138	Barclays Capital	FTSE 100 Index Futures	3/2015		13,482,727		14,029,036		546,309
70	J.P. Morgan	FTSE/JSE Top 40 Index Futures	3/2015		2,560,551		2,678,188		117,637
22	Barclays Capital	Hang Seng Index Futures	1/2015		3,346,073		3,354,620		8,547
62	Barclays Capital	H-SHARES Index Futures	1/2015		4,775,513		4,792,725		17,212
10	Barclays Capital	IBEX 35 Index Futures	1/2015		1,184,844		1,239,612		54,768
50	Barclays Capital	KOSPI Index 200 Futures	3/2015		5,706,322		5,549,743		(156,579	)
873	Barclays Capital	S&P 500 E-Mini Futures	3/2015		86,465,526		89,587,260		3,121,734
58	Barclays Capital	S&P MID 400 E-Mini Futures	3/2015		8,066,746		8,401,880		335,134
27	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	3/2015		3,728,786		3,958,202		229,416
16	Barclays Capital	SGX S&P CNX Nifty Index Futures	1/2015		266,913		267,488		575
20	Barclays Capital	SPI 200 Index Futures	3/2015		2,200,060		2,197,340		(2,720	)
141	Barclays Capital	TOPIX Index Futures	3/2015		16,919,403		16,568,501		(350,902	)
141	J.P. Morgan	Australia 10-Year Bond Futures	3/2015		14,566,353		14,751,078		184,725
					$190,679,199		$195,490,152		$4,810,953

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $4,852,531, $54,445 and $181,925, respectively at December 31, 2014.

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

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		22,423,500		$8,445,473		$8,270,115		$(175,358	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		22,423,500		8,445,428		8,270,115		(175,313	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		375,000		328,557		322,264		(6,293	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		599,000		526,407		514,763		(11,644	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		375,000		388,802		377,696		(11,106	)
Chinese Renminbi, Expiring 03/18/15*	CitiBank	CNY		54,579,500		8,732,513		8,719,342		(13,171	)
Chinese Renminbi, Expiring 03/18/15*	Credit Suisse International	CNY		54,579,500		8,733,253		8,719,342		(13,911	)
Euro, Expiring 03/18/15	CitiBank	EUR		16,726,000		20,817,906		20,252,711		(565,195	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		21,708,955		26,981,762		26,286,330		(695,432	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		1,294,432		2,038,048		2,016,334		(21,714	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		3,412,000		440,059		439,980		(79	)
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		1,884,688,500		7,594,167		7,190,155		(404,012	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		1,884,688,500		7,594,193		7,190,155		(404,038	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		26,955,500		6,795,201		6,912,570		117,369
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		26,955,500		6,795,172		6,912,571		117,399
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		30,338,000		469,470		473,438		3,968
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		33,079,000		512,047		516,213		4,166
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		18,635,000		156,833		155,678		(1,155	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		10,111,736,500		9,140,695		9,168,897		28,202
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		10,111,736,499		9,140,803		9,168,897		28,094
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		129,899,500		9,165,283		8,764,890		(400,393	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		129,899,500		9,165,350		8,764,890		(400,460	)
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		24,069,000		7,124,641		6,776,278		(348,363	)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		24,069,000		7,124,843		6,776,277		(348,566	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		14,521,000		11,047,690		10,948,421		(99,269	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		14,521,000		11,047,663		10,948,420		(99,243	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		40,604,000		17,766,948		17,116,640		(650,308	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		40,604,000		17,766,999		17,116,640		(650,359	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		214,838,500		6,919,612		6,801,313		(118,299	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		214,838,500		$6,919,613		$6,801,313		$(118,300	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		111,379,501		9,756,477		9,515,044		(241,433	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		111,379,501		9,756,493		9,515,044		(241,449	)
						$257,638,401		$251,722,736		$(5,915,665	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(5,740,500	)		$(2,069,619	)		$(2,117,180	)		$(47,561	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(5,740,500	)		(2,069,645	)		(2,117,180	)		(47,535	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		(157,500	)		(161,710	)		(158,633	)		3,077
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(157,500	)		(161,710	)		(158,633	)		3,077
Chinese Renminbi, Expiring 03/18/15*	CitiBank	CNY		(6,956,000	)		(1,110,902	)		(1,111,255	)		(353	)
Chinese Renminbi, Expiring 03/18/15*	Credit Suisse International	CNY		(6,956,000	)		(1,110,982	)		(1,111,255	)		(273	)
Euro, Expiring 03/18/15	CitiBank	EUR		(74,871,953	)		(92,337,530	)		(90,658,853	)		1,678,677
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(78,932,641	)		(97,351,497	)		(95,575,745	)		1,775,752
British Pound, Expiring 03/18/15	CitiBank	GBP		(7,700,344	)		(12,027,189	)		(11,994,810	)		32,379
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(7,700,343	)		(12,027,261	)		(11,994,809	)		32,452
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		(877,000	)		(113,110	)		(113,090	)		20
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(1,202,000	)		(155,011	)		(154,999	)		12
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		(647,374,500	)		(2,587,981	)		(2,469,758	)		118,223
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(647,374,500	)		(2,588,395	)		(2,469,758	)		118,637
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		(19,838,000	)		(5,052,548	)		(5,087,332	)		(34,784	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(19,838,000	)		(5,054,409	)		(5,087,332	)		(32,923	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		(2,737,817,000	)		(2,449,037	)		(2,482,537	)		(33,500	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(2,737,817,000	)		(2,449,053	)		(2,482,537	)		(33,484	)
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		(68,788,500	)		(4,744,733	)		(4,641,463	)		103,270
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(68,788,500	)		(4,745,723	)		(4,641,463	)		104,260
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		(6,014,500	)		(1,766,400	)		(1,693,295	)		73,105
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(6,014,500	)		(1,766,510	)		(1,693,295	)		73,215
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		(6,145,000	)		(4,680,810	)		(4,633,154	)		47,656
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(6,145,000	)		(4,679,697	)		(4,633,154	)		46,543

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		(13,616,500	)		$(5,695,775	)		$(5,740,043	)		$(44,268	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(13,616,500	)		(5,697,119	)		(5,740,043	)		(42,924	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		(158,145,000	)		(5,089,843	)		(5,006,521	)		83,322
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		(158,145,000	)		(5,089,701	)		(5,006,522	)		83,179
South African Rand, Expiring 03/18/15	CitiBank	ZAR		(55,266,500	)		(4,707,104	)		(4,721,364	)		(14,260	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(55,266,500	)		(4,708,492	)		(4,721,364	)		(12,872	)
							(294,249,496	)		(290,217,377	)		4,032,119
							$(36,611,095	)		$(38,494,641	)		$(1,883,546	)

Money Market Fund is pledged as collateral to CitiBank, Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $800,000, $1,150,010 and $16,352, respectively at December 31, 2014.

* Non-deliverable forward. (See Note 4).

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

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

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II HV FUND

GOVERNMENT RELATED OBLIGATIONS - 18.4%	INTEREST RATE			MATURITY DATE		CURRENCY	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Sovereign Debt - 18.4%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23	EUR		1,761	$	2,226,169
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750	%		04/15/18	EUR		1,276		1,585,919
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20	EUR		767		1,035,383
France Government Bond OAT (France)		0.250	%		07/25/18	EUR		624		769,159
France Government Bond OAT (France)		1.300	%		07/25/19	EUR		1,385		1,806,125
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24	GBP		213		364,321
United Kingdom Treasury Gilt (United Kingdom)		1.875	%		11/22/22	GBP		752		1,456,914
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $9,871,292)										9,243,990
U.S. TREASURY OBLIGATIONS - 23.4%
U.S. Treasury Inflation Protected Securities - 23.4%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/18	USD		4,100		4,195,482
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/19	USD		4,000		4,008,510
U.S. Treasury Inflation Protected Securities		0.125	%		01/15/23	USD		800		795,717
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24	USD		500		481,499
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/23	USD		700		706,092
U.S. Treasury Inflation Protected Securities		0.625	%		01/15/24	USD		700		715,367
U.S. Treasury Inflation Protected Securities		2.125	%		01/15/19	USD		700		831,812
TOTAL U.S. TREASURY OBLIGATIONS (cost $11,964,894)										11,734,479
MONEY MARKET FUNDS - 41.8%							SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^								240,007		240,007
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^								960,029		960,029
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^								15,447,290		15,447,290
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^								3,150,023		3,150,023
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^								1,200,037		1,200,037
TOTAL MONEY MARKET FUNDS (cost $20,997,386)										20,997,386
SHORT-TERM INVESTMENTS - 14.9%							PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.037%, 04/09/2015 (c)							$	1,630		1,629,880
U.S. Treasury Bill, 0.045%, 02/05/2015 (c)								1,113		1,112,973
U.S. Treasury Bill, 0.055%, 01/29/2015 (c)^								4,492		4,491,915
U.S. Treasury Bill, 0.064%, 05/28/2015 (c)^								250		249,934
TOTAL SHORT-TERM INVESTMENTS (cost $7,484,526)										7,484,702
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 98.5% (cost $50,318,098)										49,460,557
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% (d)										746,508
NET ASSETS - 100.0%									$	50,207,065

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

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for futures, forward foreign currency exchange and swap contracts

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

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

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

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

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II HV FUND

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures	3/2015	CAD		271,754			$4,624
Goldman Sachs	Bovespa Index February Futures	2/2015	BRL		1,931,198			32,279
Deutsche Bank	Brent Crude February Futures^	2/2015	USD		1,222,810			(233,240	)
Deutsche Bank	Brent Crude February Futures^	2/2015	USD		(122,540	)		6,120
Deutsche Bank	Brent Crude January Futures^	1/2015	USD		(1,299,670	)		267,730
CitiBank	Brent Crude January Futures^	2/2015	USD		418,594			(131,931	)
CitiBank	Brent Crude January Futures^	2/2015	USD		(352,200	)		65,544
Deutsche Bank	Brent Crude January Futures^	1/2015	USD		1,553,220			(521,280	)
CitiBank	Cocoa March Futures^	2/2015	USD		(28,580	)		(520	)
CitiBank	Cocoa March Futures^	2/2015	USD		29,144			(44	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		292,838			(42,937	)
CitiBank	Corn March Futures^	2/2015	USD		(164,363	)		(14,282	)
CitiBank	Corn March Futures^	2/2015	USD		813,994			79,231
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(30,335	)		200
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		186,780			(5,969	)
Bank of America	Euro-Bund March Futures	3/2015	EUR		5,056,853			107,120
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		426,900			(114,150	)
CitiBank	Gas Oil January Futures^	1/2015	USD		78,800			(26,180	)
CitiBank	Gas Oil January Futures^	1/2015	USD		(69,300	)		16,680
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		(334,200	)		21,450
CitiBank	Gas Oil March Futures^	3/2015	USD		171,500			(13,925	)
CitiBank	Gas Oil February Futures^	2/2015	USD		130,200			(23,289	)
CitiBank	Gas Oil February Futures^	2/2015	USD		(112,600	)		5,694
Deutsche Bank	Gas Oil March Futures^	3/2015	USD		336,150			(21,000	)
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		878,976			(120,910	)
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		(138,281	)		11,936
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(1,124,563	)		197,140
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		1,311,454			(384,031	)
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		1,076,310			(10,620	)
Bank of America	Hang Seng Index January Futures	1/2015	HKD		1,169,970			1,609
Goldman Sachs	Hang Seng Index January Futures	1/2015	HKD		2,343,542			2,754
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		340,738			(35,448	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		408,035			(99,990	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(343,241	)		35,196
Bank of America	H-SHARES Index January Futures	1/2015	HKD		1,775,818			2,907
Goldman Sachs	H-SHARES Index January Futures	1/2015	HKD		7,661,029			16,994
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(62,804	)		(2,616	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		880,870			(30,410	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		464,686			(42,446	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(109,212	)		11,772
CitiBank	LME Aluminum June Futures^	6/2015	USD		201,700			(15,125	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		210,500			(25,625	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		(200,800	)		15,925
CitiBank	LME Copper June Futures^	6/2015	USD		477,000			(6,113	)
CitiBank	LME Copper March Futures^	3/2015	USD		(478,125	)		5,025
CitiBank	LME Copper March Futures^	3/2015	USD		520,688			(47,588	)
CitiBank	LME Nickel June Futures^	6/2015	USD		97,965			(6,771	)
CitiBank	LME Nickel March Futures^	3/2015	USD		112,422			(21,588	)
CitiBank	LME Nickel March Futures^	3/2015	USD		(97,620	)		6,786
CitiBank	LME Zinc June Futures^	6/2015	USD		221,750			(3,025	)
CitiBank	LME Zinc March Futures^	3/2015	USD		238,925			(21,275	)
CitiBank	LME Zinc March Futures^	3/2015	USD		(221,000	)		3,350
Bank of America	Long Gilt March Futures	3/2015	GBP		1,513,006			64,136

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

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AQR RISK PARITY II HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	MSCI Taiwan Stock Index January Futures	1/2015	USD		811,035			$12,405
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		413,500			(94,598	)
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		(436,400	)		117,497
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		(72,960	)		15,034
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		290,720			(59,018	)
Deutsche Bank	Natural Gas Swap January Futures^	1/2015	USD		(157,412	)		41,852
Deutsche Bank	Natural Gas Swap January Futures^	1/2015	USD		170,820			(55,260	)
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		(367,460	)		78,547
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		432,700			(143,777	)
Goldman Sachs	SGX S&P CNX Nifty Index January Futures	1/2015	USD		433,316			1,352
Barclays Capital	Silver March Futures^	2/2015	USD		165,490			(9,500	)
CitiBank	Soybean March Futures^	2/2015	USD		95,786			6,562
CitiBank	Soybean March Futures^	2/2015	USD		(105,350	)		2,999
Deutsche Bank	Soybean March Futures^	2/2015	USD		477,700			34,050
Deutsche Bank	Soybean March Futures^	2/2015	USD		(524,938	)		13,188
CitiBank	Soybean May Futures^	4/2015	USD		106,029			(2,979	)
Deutsche Bank	Soybean May Futures^	4/2015	USD		528,375			(13,125	)
CitiBank	Soybean Meal March Futures^	2/2015	USD		248,990			(5,670	)
CitiBank	Soybean Oil March Futures^	2/2015	USD		325,789			2,039
Goldman Sachs	Swiss Market Index March Futures	3/2015	CHF		1,146,334			11,695
Goldman Sachs	Taiwan Stock Exchange January Futures	1/2015	TWD		12,618,120			11,805
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		46,480,626			307,421
CitiBank	Wheat March Futures^	2/2015	USD		78,970			9,493
Deutsche Bank	WTI Crude February Futures^	2/2015	USD		(166,260	)		5,160
Deutsche Bank	WTI Crude February Futures^	2/2015	USD		889,980			(138,180	)
CitiBank	WTI Crude February Futures^	3/2015	USD		1,398,844			(217,444	)
CitiBank	WTI Crude February Futures^	3/2015	USD		355,465			(64,415	)
Deutsche Bank	WTI Crude January Futures^	1/2015	USD		1,078,280			(332,500	)
Deutsche Bank	WTI Crude January Futures^	1/2015	USD		(887,320	)		141,540
CitiBank	WTI Crude January Futures^	2/2015	USD		1,353,759			(394,852	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(1,150,200	)		191,317
								$(1,567,488	)

Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $1,100,007, $1,700,015 and $350,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts was $320,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
2	Goldman Sachs	Cocoa Futures^		3/2015		$58,892		$58,200		$(692	)
3	Goldman Sachs	Coffee ‘C’ Futures^		3/2015		213,806		187,425		(26,381	)
13	Goldman Sachs	Corn Futures^		3/2015		251,663		258,050		6,387
2	Goldman Sachs	Cotton No. 2 Futures^		3/2015		61,445		60,270		(1,175	)
2	Goldman Sachs	Gold 100 OZ Futures^		2/2015		244,330		236,820		(7,510	)
5	Goldman Sachs	Live Cattle Futures^		2/2015		175,126		162,400		(12,726	)
3	Goldman Sachs	Live Cattle Futures^		2/2015		202,385		196,260		(6,125	)
2	J.P. Morgan	LME Aluminum Futures^		1/2015		96,254		91,573		(4,681	)
1	J.P. Morgan	LME Aluminum Futures^		1/2015		50,097		45,844		(4,253	)
1	J.P. Morgan	LME Aluminum Futures^		1/2015		50,434		45,896		(4,538	)
5	J.P. Morgan	LME Aluminum Futures^		2/2015		256,761		229,688		(27,073	)
1	J.P. Morgan	LME Aluminum Futures^		2/2015		51,596		45,970		(5,626	)
2	J.P. Morgan	LME Aluminum Futures^		2/2015		100,698		91,988		(8,710	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
34	J.P. Morgan	LME Aluminum Futures^		3/2015		$1,750,568		$1,571,438		$(179,130	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		47,503		46,210		(1,293	)
25	J.P. Morgan	LME Aluminum Futures^		6/2015		1,244,028		1,166,094		(77,934	)
1	J.P. Morgan	LME Copper Futures^		2/2015		165,837		158,288		(7,549	)
1	J.P. Morgan	LME Copper Futures^		2/2015		166,252		158,068		(8,184	)
2	J.P. Morgan	LME Copper Futures^		3/2015		321,431		315,535		(5,896	)
13	J.P. Morgan	LME Copper Futures^		3/2015		2,202,404		2,050,100		(152,304	)
7	J.P. Morgan	LME Copper Futures^		6/2015		1,118,533		1,098,738		(19,795	)
3	J.P. Morgan	LME Lead Futures^		3/2015		157,107		139,350		(17,757	)
2	J.P. Morgan	LME Lead Futures^		6/2015		102,162		93,425		(8,737	)
1	J.P. Morgan	LME Nickel Futures^		3/2015		101,332		90,758		(10,574	)
3	J.P. Morgan	LME Nickel Futures^		3/2015		354,984		272,502		(82,482	)
3	J.P. Morgan	LME Nickel Futures^		6/2015		299,217		273,582		(25,635	)
1	J.P. Morgan	LME Zinc Futures^		1/2015		57,103		54,166		(2,937	)
1	J.P. Morgan	LME Zinc Futures^		2/2015		55,427		54,181		(1,246	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		54,128		54,393		265
8	J.P. Morgan	LME Zinc Futures^		3/2015		466,493		435,300		(31,193	)
5	J.P. Morgan	LME Zinc Futures^		6/2015		278,271		273,407		(4,864	)
10	Goldman Sachs	Silver Futures^		3/2015		815,597		779,950		(35,647	)
11	Goldman Sachs	Soybean Futures^		5/2015		579,146		566,775		(12,371	)
1	Goldman Sachs	Soybean Meal Futures^		3/2015		35,955		34,760		(1,195	)
1	Goldman Sachs	Soybean Oil Futures^		3/2015		19,350		19,284		(66	)
20	Goldman Sachs	Sugar #11 (World Markets) Futures^		2/2015		369,517		325,248		(44,269	)
5	Goldman Sachs	Wheat Futures^		3/2015		135,094		147,437		12,343
4	Barclays Capital	Amsterdam Index Futures		1/2015		412,484		411,417		(1,067	)
10	Barclays Capital	CAC40 Index Futures		1/2015		510,512		517,538		7,026
3	Barclays Capital	DAX Index Futures		3/2015		888,450		893,334		4,884
10	Barclays Capital	E-Mini Russell 2000 Futures		3/2015		1,139,923		1,200,700		60,777
39	Barclays Capital	Euro Stoxx 50 Index		3/2015		1,436,882		1,478,523		41,641
22	Barclays Capital	FTSE 100 Index Futures		3/2015		2,147,806		2,236,513		88,707
13	J.P. Morgan	FTSE/JSE Top 40 Index Futures		3/2015		475,531		497,378		21,847
3	Barclays Capital	Hang Seng Index Futures		1/2015		461,556		457,448		(4,108	)
12	Barclays Capital	H-SHARES Index Futures		1/2015		924,757		927,624		2,867
2	Barclays Capital	IBEX 35 Index Futures		1/2015		236,969		247,923		10,954
8	Barclays Capital	KOSPI Index 200 Futures		3/2015		912,292		887,959		(24,333	)
142	Barclays Capital	S&P 500 E-Mini Futures		3/2015		14,081,662		14,572,040		490,378
9	Barclays Capital	S&P MID 400 E-Mini Futures		3/2015		1,251,873		1,303,740		51,867
5	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		686,553		733,001		46,448
15	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		250,266		250,770		504
1	Barclays Capital	SPI 200 Index Futures		3/2015		110,672		109,867		(805	)
21	Barclays Capital	TOPIX Index Futures		3/2015		2,518,206		2,467,649		(50,557	)
47	J.P. Morgan	10-Year Japanese Government Bond		3/2015		5,770,615		5,801,035		30,420
20	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		2,064,664		2,092,352		27,688
25	J.P. Morgan	Canadian 10-Year Bond Futures		3/2015		2,927,607		2,980,720		53,113
77	J.P. Morgan	Euro - Bund Futures		3/2015		14,279,598		14,523,008		243,410
18	J.P. Morgan	Long Gilt Futures		3/2015		3,280,911		3,353,390		72,479
53	J.P. Morgan	U.S. Treasury 10-Year Note Futures		3/2015		6,695,593		6,720,235		24,642
						76,176,308		76,553,537		377,229

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
2	J.P. Morgan	LME Aluminum Futures^		1/2015		$(96,004	)		$(91,573	)		$4,431
1	J.P. Morgan	LME Aluminum Futures^		1/2015		(50,248	)		(45,844	)		4,404
1	J.P. Morgan	LME Aluminum Futures^		1/2015		(50,498	)		(45,896	)		4,602
5	J.P. Morgan	LME Aluminum Futures^		2/2015		(256,417	)		(229,687	)		26,730
1	J.P. Morgan	LME Aluminum Futures^		2/2015		(51,198	)		(45,971	)		5,227
2	J.P. Morgan	LME Aluminum Futures^		2/2015		(100,496	)		(91,988	)		8,508
34	J.P. Morgan	LME Aluminum Futures^		3/2015		(1,690,884	)		(1,571,438	)		119,446
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(47,438	)		(46,210	)		1,228
2	J.P. Morgan	LME Aluminum Futures^		6/2015		(96,038	)		(93,288	)		2,750
1	J.P. Morgan	LME Copper Futures^		2/2015		(165,423	)		(158,288	)		7,135
1	J.P. Morgan	LME Copper Futures^		2/2015		(166,399	)		(158,069	)		8,330
2	J.P. Morgan	LME Copper Futures^		3/2015		(321,204	)		(315,535	)		5,669
13	J.P. Morgan	LME Copper Futures^		3/2015		(2,110,036	)		(2,050,100	)		59,936
4	J.P. Morgan	LME Copper Futures^		6/2015		(636,514	)		(627,850	)		8,664
3	J.P. Morgan	LME Lead Futures^		3/2015		(148,030	)		(139,350	)		8,680
1	J.P. Morgan	LME Lead Futures^		6/2015		(47,097	)		(46,712	)		385
1	J.P. Morgan	LME Nickel Futures^		3/2015		(101,397	)		(90,758	)		10,639
3	J.P. Morgan	LME Nickel Futures^		3/2015		(300,970	)		(272,502	)		28,468
1	J.P. Morgan	LME Zinc Futures^		1/2015		(57,123	)		(54,166	)		2,957
1	J.P. Morgan	LME Zinc Futures^		2/2015		(55,668	)		(54,181	)		1,487
1	J.P. Morgan	LME Zinc Futures^		3/2015		(54,461	)		(54,393	)		68
8	J.P. Morgan	LME Zinc Futures^		3/2015		(446,058	)		(435,300	)		10,758
2	J.P. Morgan	LME Zinc Futures^		6/2015		(108,176	)		(109,363	)		(1,187	)
						(7,157,777	)		(6,828,462	)		329,315
						$69,018,531			$69,725,075			$706,544

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $596,426, $240,462 and $578,002, respectively at December 31, 2014.

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

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		160,000		$60,261		$59,011		$(1,250	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		160,000		60,261		59,011		(1,250	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		4,000		3,505		3,437		(68	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		6,000		5,278		5,156		(122	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		35,000		35,935		35,252		(683	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		46,000		47,261		46,331		(930	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		169,629		209,738		205,396		(4,342	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		61,000		96,124		95,019		(1,105	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		526,000		67,836		67,828		(8	)
						$586,199		$576,441		$(9,758	)

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

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(175,000	)		$(64,295	)		$(64,543	)		$(248	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(175,000	)		(64,421	)		(64,543	)		(122	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(7,000	)		(7,120	)		(7,050	)		70
Euro, Expiring 03/18/15	CitiBank	EUR		(2,950,213	)		(3,637,978	)		(3,572,271	)		65,707
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(3,393,453	)		(4,185,436	)		(4,108,969	)		76,467
British Pound, Expiring 03/18/15	CitiBank	GBP		(521,059	)		(813,915	)		(811,653	)		2,262
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(676,612	)		(1,057,330	)		(1,053,957	)		3,373
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		(276,000	)		(35,597	)		(35,590	)		7
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(323,000	)		(41,657	)		(41,651	)		6
							(9,907,749	)		(9,760,227	)		147,522
							$(9,321,550	)		$(9,183,786	)		$137,764

Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $170,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

TWD - Taiwanese Dollar

USD - United States Dollar

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

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AQR RISK PARITY II MV FUND

GOVERNMENT RELATED OBLIGATIONS - 11.5%	INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’S)		VALUE (Note 5)
Sovereign Debt - 11.5%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23		EUR	$	2,487	$	3,142,827
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750	%		04/15/18		EUR		1,914		2,378,879
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20		EUR		1,096		1,479,118
France Government Bond OAT (France)		0.250	%		07/25/18		EUR		832		1,025,545
France Government Bond OAT (France)		1.300	%		07/25/19		EUR		2,025		2,639,721
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24		GBP		319		546,482
United Kingdom Treasury Gilt (United Kingdom)		1.875	%		11/22/22		GBP		1,002		1,942,552
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $14,202,529)											13,155,124
U.S. TREASURY OBLIGATIONS - 14.9%
U.S. Treasury Inflation Protected Securities - 14.9%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/18		USD		5,900		6,037,400
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/19		USD		5,800		5,812,340
U.S. Treasury Inflation Protected Securities		0.125	%		01/15/23		USD		1,000		994,646
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24		USD		700		674,099
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/23		USD		1,100		1,109,573
U.S. Treasury Inflation Protected Securities		0.625	%		01/15/24		USD		1,000		1,021,953
U.S. Treasury Inflation Protected Securities		2.125	%		01/15/19		USD		1,100		1,307,133
TOTAL U.S. TREASURY OBLIGATIONS (cost $17,272,678)											16,957,144
MONEY MARKET FUNDS - 56.2%								SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^									657,626		657,626
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^									2,630,501		2,630,501
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^									53,119,315		53,119,315
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^									4,600,031		4,600,031
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^									3,288,127		3,288,127
TOTAL MONEY MARKET FUNDS (cost $64,295,600)											64,295,600
SHORT-TERM INVESTMENTS - 16.4%								PRINCIPAL AMOUNT (000’S)
U.S. Treasury Bills, 0.037%, 04/09/2015 (c)								$	7,457		7,457,448
U.S. Treasury Bills, 0.045%, 02/05/2015 (c)									2,944		2,943,929
U.S. Treasury Bills, 0.045%, 02/05/2015 (c)^									900		899,979
U.S. Treasury Bills, 0.055%, 01/29/2015 (c)									5,151		5,150,902
U.S. Treasury Bills, 0.055%, 01/29/2015 (c)^									2,319		2,318,956
TOTAL SHORT-TERM INVESTMENTS (cost $18,770,755)											18,771,214
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.0% (cost $114,541,562)											113,179,082
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% (d)											1,185,634
NET ASSETS - 100.0%										$	114,364,716

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

(a) Represents annualized seven-day yield as of December 31, 2014.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

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

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AQR RISK PARITY II MV FUND

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures	3/2015	CAD		407,631			$6,935
Goldman Sachs	Bovespa Index February Futures	2/2015	BRL		2,651,547			45,818
CitiBank	Brent Crude February Futures^	3/2015	USD		710,930			(128,830	)
CitiBank	Brent Crude January Futures^	2/2015	USD		828,916			(255,591	)
CitiBank	Brent Crude January Futures^	2/2015	USD		(704,400	)		131,087
Deutsche Bank	Brent Crude February Futures^	2/2015	USD		1,654,390			(315,560	)
Deutsche Bank	Brent Crude February Futures^	2/2015	USD		(250,260	)		17,420
Deutsche Bank	Brent Crude January Futures^	1/2015	USD		2,070,960			(695,040	)
Deutsche Bank	Brent Crude January Futures^	1/2015	USD		(1,727,470	)		351,550
CitiBank	Cocoa March Futures^	2/2015	USD		29,280			(180	)
CitiBank	Cocoa March Futures^	2/2015	USD		(28,580	)		(520	)
CitiBank	Coffee ‘C’ March Futures^	2/2015	USD		292,838			(42,938	)
CitiBank	Corn March Futures^	2/2015	USD		1,158,789			111,575
CitiBank	Corn March Futures^	2/2015	USD		(146,235	)		(12,561	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		397,420			(5,664	)
CitiBank	Cotton No. 2 March Futures^	2/2015	USD		(60,670	)		400
Bank of America	Euro - Bund March Futures	3/2015	EUR		5,517,912			115,193
Deutsche Bank	Gas Oil March Futures^	3/2015	USD		504,225			(31,500	)
CitiBank	Gas Oil March Futures^	3/2015	USD		169,800			(12,225	)
CitiBank	Gas Oil January Futures^	1/2015	USD		78,800			(26,180	)
CitiBank	Gas Oil January Futures^	1/2015	USD		(69,300	)		16,680
CitiBank	Gas Oil February Futures^	2/2015	USD		189,975			(29,610	)
CitiBank	Gas Oil February Futures^	2/2015	USD		(168,900	)		8,541
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		640,350			(171,225	)
Deutsche Bank	Gas Oil February Futures^	2/2015	USD		(501,300	)		32,175
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		1,245,216			(171,289	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		1,919,818			(559,598	)
Deutsche Bank	Gasoline RBOB January Futures^	1/2015	USD		(1,644,577	)		284,357
Deutsche Bank	Gasoline RBOB February Futures^	2/2015	USD		(269,501	)		16,813
Barclays Capital	Gold 100 OZ February Futures^	1/2015	USD		1,435,080			(14,160	)
Goldman Sachs	Hang Seng Index January Futures	1/2015	HKD		2,343,542			2,754
Bank of America	Hang Seng Index January Futures	1/2015	HKD		2,339,940			3,218
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		592,460			(58,204	)
Deutsche Bank	Heating Oil ULSD February Futures^	2/2015	USD		(78,309	)		1,987
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		610,239			(148,172	)
Deutsche Bank	Heating Oil ULSD January Futures^	1/2015	USD		(514,861	)		52,794
Goldman Sachs	H-SHARES Index January Futures	1/2015	HKD		15,324,608			33,660
Bank of America	H-SHARES Index January Futures	1/2015	HKD		2,962,806			4,445
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		1,422,570			(48,750	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(62,804	)		(2,616	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		571,403			(51,723	)
Deutsche Bank	Live Cattle February Futures^	2/2015	USD		(36,296	)		3,816
CitiBank	LME Aluminum March Futures^	3/2015	USD		157,875			(19,219	)
CitiBank	LME Copper March Futures^	3/2015	USD		694,250			(63,450	)
CitiBank	LME Zinc March Futures^	3/2015	USD		59,731			(5,319	)
CitiBank	LME Aluminum March Futures^	3/2015	USD		(150,600	)		11,944
CitiBank	LME Copper March Futures^	3/2015	USD		(637,500	)		6,700
CitiBank	LME Zinc March Futures^	3/2015	USD		(55,250	)		838

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

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COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	LME Aluminum June Futures^	6/2015	USD		151,275			$(11,344	)
CitiBank	LME Copper June Futures^	6/2015	USD		636,000			(8,150	)
CitiBank	LME Zinc June Futures^	6/2015	USD		55,438			(756	)
CitiBank	LME Lead March Futures^	3/2015	USD		56,187			(9,738	)
CitiBank	LME Lead March Futures^	3/2015	USD		(50,600	)		4,150
CitiBank	LME Lead June Futures^	6/2015	USD		50,787			(4,075	)
Bank of America	Long Gilt March Futures	3/2015	GBP		932,132			37,811
Goldman Sachs	MSCI Taiwan Stock Index January Futures	1/2015	USD		1,621,971			24,909
Deutsche Bank	Natural Gas Swap January Futures^	1/2015	USD		256,230			(82,890	)
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		578,900			(132,437	)
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		399,740			(81,150	)
CitiBank	Natural Gas Swap February Futures^	3/2015	USD		(109,660	)		22,772
Deutsche Bank	Natural Gas Swap January Futures^	1/2015	USD		(234,426	)		61,086
CitiBank	Natural Gas Swap December Futures^	1/2015	USD		(610,960	)		164,496
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		605,780			(201,287	)
CitiBank	Natural Gas Swap January Futures^	2/2015	USD		(514,470	)		109,992
Goldman Sachs	SGX S&P CNX Nifty Index January Futures	1/2015	USD		699,972			2,184
Barclays Capital	Silver March Futures^	2/2015	USD		82,745			(4,750	)
Deutsche Bank	Soybean May Futures^	4/2015	USD		634,050			(15,750	)
CitiBank	Soybean March Futures^	2/2015	USD		143,678			9,844
CitiBank	Soybean May Futures^	4/2015	USD		159,043			(4,468	)
CitiBank	Soybean March Futures^	2/2015	USD		(158,025	)		4,499
Deutsche Bank	Soybean March Futures^	2/2015	USD		573,240			40,860
Deutsche Bank	Soybean March Futures^	2/2015	USD		(629,925	)		15,825
CitiBank	Soybean Meal March Futures^	2/2015	USD		284,560			(6,480	)
CitiBank	Soybean Oil March Futures^	2/2015	USD		421,609			2,639
CitiBank	Sugar #11 (World Markets) February Futures^	2/2015	USD		173,628			(27,267	)
Goldman Sachs	Swiss Market Index March Futures	3/2015	CHF		1,585,315			18,129
Goldman Sachs	Taiwan Stock Exchange January Futures	1/2015	TWD		5,406,840			5,089
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		46,744,445			297,196
CitiBank	Wheat March Futures^	2/2015	USD		157,940			18,986
CitiBank	WTI Crude February Futures^	3/2015	USD		2,036,960			(318,560	)
CitiBank	WTI Crude January Futures^	2/2015	USD		2,022,843			(584,484	)
CitiBank	WTI Crude January Futures^	2/2015	USD		(1,725,300	)		286,976
Deutsche Bank	WTI Crude February Futures^	2/2015	USD		1,207,830			(187,530	)
Deutsche Bank	WTI Crude February Futures^	2/2015	USD		(166,260	)		5,160
Deutsche Bank	WTI Crude January Futures^	1/2015	USD		1,463,380			(451,250	)
Deutsche Bank	WTI Crude January Futures^	1/2015	USD		(1,204,220	)		192,090
								$(2,417,097	)

Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $1,550,009, $2,520,021, and $530,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $320,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Goldman Sachs	Cocoa Futures^		3/2015		$28,742		$29,100		$358
5	Goldman Sachs	Coffee ‘C’ Futures^		3/2015		357,040		312,375		(44,665	)
15	Goldman Sachs	Corn Futures^		3/2015		291,078		297,750		6,672
5	Goldman Sachs	Gold 100 OZ Futures^		2/2015		603,813		592,050		(11,763	)
5	Goldman Sachs	Live Cattle Futures^		2/2015		175,978		162,400		(13,578	)
2	Goldman Sachs	Live Cattle Futures^		2/2015		133,685		130,840		(2,845	)
1	Goldman Sachs	Live Cattle Futures^		3/2015		108,517		108,663		146
2	J.P. Morgan	LME Aluminum Futures^		1/2015		96,254		91,573		(4,681	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	J.P. Morgan	LME Aluminum Futures^		1/2015		$100,194		$91,687		$(8,507	)
6	J.P. Morgan	LME Aluminum Futures^		2/2015		308,113		275,625		(32,488	)
5	J.P. Morgan	LME Aluminum Futures^		2/2015		253,123		229,969		(23,154	)
1	J.P. Morgan	LME Aluminum Futures^		2/2015		50,349		45,994		(4,355	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		49,378		46,098		(3,280	)
51	J.P. Morgan	LME Aluminum Futures^		3/2015		2,626,620		2,357,156		(269,464	)
1	J.P. Morgan	LME Aluminum Futures^		3/2015		47,503		46,210		(1,293	)
40	J.P. Morgan	LME Aluminum Futures^		6/2015		1,989,652		1,865,750		(123,902	)
1	J.P. Morgan	LME Copper Futures^		1/2015		167,998		158,325		(9,673	)
1	J.P. Morgan	LME Copper Futures^		2/2015		167,023		158,250		(8,773	)
1	J.P. Morgan	LME Copper Futures^		2/2015		167,002		158,175		(8,827	)
1	J.P. Morgan	LME Copper Futures^		3/2015		160,715		157,767		(2,948	)
2	J.P. Morgan	LME Copper Futures^		3/2015		321,406		315,600		(5,806	)
16	J.P. Morgan	LME Copper Futures^		3/2015		2,723,672		2,523,200		(200,472	)
10	J.P. Morgan	LME Copper Futures^		6/2015		1,596,091		1,569,625		(26,466	)
1	J.P. Morgan	LME Lead Futures^		1/2015		49,852		46,219		(3,633	)
1	J.P. Morgan	LME Lead Futures^		1/2015		50,761		46,284		(4,477	)
1	J.P. Morgan	LME Lead Futures^		3/2015		50,878		46,425		(4,453	)
4	J.P. Morgan	LME Lead Futures^		3/2015		218,090		185,800		(32,290	)
3	J.P. Morgan	LME Lead Futures^		6/2015		152,952		140,138		(12,814	)
1	J.P. Morgan	LME Nickel Futures^		3/2015		101,332		90,758		(10,574	)
5	J.P. Morgan	LME Nickel Futures^		3/2015		586,048		454,169		(131,879	)
5	J.P. Morgan	LME Nickel Futures^		6/2015		495,098		455,970		(39,128	)
1	J.P. Morgan	LME Zinc Futures^		1/2015		56,681		54,190		(2,491	)
1	J.P. Morgan	LME Zinc Futures^		3/2015		55,703		54,356		(1,347	)
14	J.P. Morgan	LME Zinc Futures^		3/2015		812,625		761,775		(50,850	)
12	J.P. Morgan	LME Zinc Futures^		6/2015		668,997		656,175		(12,822	)
16	Goldman Sachs	Silver Futures^		3/2015		1,303,743		1,247,920		(55,823	)
19	Goldman Sachs	Soybean Futures^		5/2015		1,001,894		978,975		(22,919	)
4	Goldman Sachs	Soybean Meal Futures^		3/2015		142,938		139,040		(3,898	)
4	Goldman Sachs	Soybean Oil Futures^		3/2015		77,231		77,136		(95	)
19	Goldman Sachs	Sugar #11 (World Markets) Futures^		2/2015		348,519		308,986		(39,533	)
5	Goldman Sachs	Wheat Futures^		3/2015		138,110		147,438		9,328
5	Barclays Capital	Amsterdam Index Futures		1/2015		508,069		514,271		6,202
15	Barclays Capital	CAC40 Index Futures		1/2015		762,832		776,307		13,475
4	Barclays Capital	DAX Index Futures		3/2015		1,188,817		1,191,112		2,295
14	Barclays Capital	E-Mini Russell 2000 Futures		3/2015		1,595,892		1,680,980		85,088
55	Barclays Capital	Euro Stoxx 50 Index		3/2015		2,023,221		2,085,097		61,876
32	Barclays Capital	FTSE 100 Index Futures		3/2015		3,120,779		3,253,110		132,331
19	J.P. Morgan	FTSE/JSE Top 40 Index Futures		3/2015		695,007		726,937		31,930
5	Barclays Capital	Hang Seng Index Futures		1/2015		769,372		762,414		(6,958	)
9	Barclays Capital	H-SHARES Index Futures		1/2015		694,059		695,718		1,659
2	Barclays Capital	IBEX 35 Index Futures		1/2015		236,969		247,923		10,954
12	Barclays Capital	KOSPI Index 200 Futures		3/2015		1,371,846		1,331,938		(39,908	)
202	Barclays Capital	S&P 500 E-Mini Futures		3/2015		20,020,784		20,729,240		708,456
14	Barclays Capital	S&P MID 400 E-Mini Futures		3/2015		1,947,741		2,028,040		80,299
7	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		961,381		1,026,201		64,820
17	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		283,675		284,206		531
2	Barclays Capital	SPI 200 Index Futures		3/2015		215,313		219,734		4,421
31	Barclays Capital	TOPIX Index Futures		3/2015		3,722,203		3,642,720		(79,483	)
19	J.P. Morgan	10-Year Japanese Government Bond		3/2015		2,329,811		2,345,100		15,289
6	J.P. Morgan	10-Year Japanese Government Bond		3/2015		7,375,224		7,403,072		27,848
29	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		2,994,008		3,033,910		39,902
36	J.P. Morgan	Canadian 10-Year Bond Futures		3/2015		4,217,172		4,292,236		75,064
123	J.P. Morgan	Euro - Bund Futures		3/2015		22,799,827		23,199,091		399,264
37	J.P. Morgan	Long Gilt Futures		3/2015		6,743,376		6,893,079		149,703
241	J.P. Morgan	U.S. Treasury 10-Year Note Futures		3/2015		30,437,050		30,558,047		120,997
						135,849,826		136,536,419		686,593

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

AQR Funds Annual Report December 2014

213

Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
2	J.P. Morgan	LME Aluminum Futures^		1/2015		$(96,004	)		$(91,573	)		$4,431
2	J.P. Morgan	LME Aluminum Futures^		1/2015		(100,496	)		(91,688	)		8,808
6	J.P. Morgan	LME Aluminum Futures^		2/2015		(307,701	)		(275,625	)		32,076
5	J.P. Morgan	LME Aluminum Futures^		2/2015		(251,614	)		(229,969	)		21,645
1	J.P. Morgan	LME Aluminum Futures^		2/2015		(50,248	)		(45,994	)		4,254
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(49,397	)		(46,098	)		3,299
51	J.P. Morgan	LME Aluminum Futures^		3/2015		(2,535,549	)		(2,357,156	)		178,393
1	J.P. Morgan	LME Aluminum Futures^		3/2015		(47,438	)		(46,210	)		1,228
3	J.P. Morgan	LME Aluminum Futures^		6/2015		(145,685	)		(139,931	)		5,754
1	J.P. Morgan	LME Copper Futures^		1/2015		(169,248	)		(158,325	)		10,923
1	J.P. Morgan	LME Copper Futures^		2/2015		(166,660	)		(158,250	)		8,410
1	J.P. Morgan	LME Copper Futures^		2/2015		(167,329	)		(158,175	)		9,154
1	J.P. Morgan	LME Copper Futures^		3/2015		(160,602	)		(157,767	)		2,835
2	J.P. Morgan	LME Copper Futures^		3/2015		(321,587	)		(315,600	)		5,987
16	J.P. Morgan	LME Copper Futures^		3/2015		(2,598,861	)		(2,523,200	)		75,661
4	J.P. Morgan	LME Copper Futures^		6/2015		(638,501	)		(627,850	)		10,651
1	J.P. Morgan	LME Lead Futures^		1/2015		(49,821	)		(46,219	)		3,602
1	J.P. Morgan	LME Lead Futures^		1/2015		(50,748	)		(46,284	)		4,464
1	J.P. Morgan	LME Lead Futures^		3/2015		(51,022	)		(46,425	)		4,597
4	J.P. Morgan	LME Lead Futures^		3/2015		(202,265	)		(185,800	)		16,465
1	J.P. Morgan	LME Lead Futures^		6/2015		(51,122	)		(46,712	)		4,410
1	J.P. Morgan	LME Nickel Futures^		3/2015		(101,397	)		(90,758	)		10,639
5	J.P. Morgan	LME Nickel Futures^		3/2015		(496,204	)		(454,170	)		42,034
1	J.P. Morgan	LME Zinc Futures^		1/2015		(56,248	)		(54,190	)		2,058
1	J.P. Morgan	LME Zinc Futures^		3/2015		(56,006	)		(54,356	)		1,650
14	J.P. Morgan	LME Zinc Futures^		3/2015		(772,406	)		(761,775	)		10,631
3	J.P. Morgan	LME Zinc Futures^		6/2015		(163,535	)		(164,044	)		(509	)
						(9,857,694	)		(9,374,144	)		483,550
						$125,992,132			$127,162,275			$1,170,143

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $792,818, $346,926 and $1,053,245, respectively at December 31, 2014.

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

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		265,000		$97,095		$97,736		$641
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		265,000		97,095		97,736		641
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		4,000		3,505		3,437		(68	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		7,000		6,165		6,015		(150	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		35,500		36,449		35,755		(694	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		45,500		46,746		45,827		(919	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		32,000		39,413		38,748		(665	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		70,000		110,439		109,038		(1,401	)

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

AQR Funds Annual Report December 2014

214

Consolidated Schedule of Investments December 31, 2014

AQR RISK PARITY II MV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		9,500			$ 1,225			$ 1,225			$ —
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		1,009,500			130,190			130,176			(14	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		35,000			295			292			(3	)
							$568,617			$565,985			$(2,632	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(290,000	)		$(106,547	)		$(106,956	)		$(409	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(290,000	)		(106,756	)		(106,956	)		(200	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(11,000	)		(11,189	)		(11,079	)		110
Euro, Expiring 03/18/15	CitiBank	EUR		(4,215,260	)		(5,197,937	)		(5,104,055	)		93,882
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(4,662,791	)		(5,751,573	)		(5,645,950	)		105,623
British Pound, Expiring 03/18/15	CitiBank	GBP		(731,214	)		(1,142,186	)		(1,139,011	)		3,175
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(847,613	)		(1,324,486	)		(1,320,325	)		4,161
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		(915,000	)		(118,030	)		(117,990	)		40
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(972,000	)		(125,381	)		(125,340	)		41
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(35,000	)		(294	)		(292	)		2
							(13,884,379	)		(13,677,954	)		206,425
							$(13,315,762	)		$(13,111,969	)		$203,793

Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $10,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts in the amount of $150,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

TWD - Taiwanese Dollar

USD - United States Dollar

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

AQR Funds Annual Report December 2014

215

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

LONG INVESTMENTS - 119.5%	SHARES		VALUE (Note 5)
COMMON STOCKS - 39.1%
Belgium - 0.8%
Anheuser-Busch InBev NV (a)		2,441	$	274,714
Belgacom SA (a)		52,241		1,895,487
bpost SA (a)		27,720		696,341
Colruyt SA (a)		3,388		157,506
Delhaize Group SA (a)		12,914		940,466
Umicore SA (a)		3,384		136,173
				4,100,687
Denmark - 0.8%
AP Moeller - Maersk A/S, Class B (a)		708		1,408,178
Chr Hansen Holding A/S (a)		3,135		138,891
Coloplast A/S, Class B (a)		1,478		123,686
Danske Bank A/S (a)		15,138		409,269
GN Store Nord A/ S (a)		6,850		149,658
H Lundbeck A/S		1,328		26,360
Jyske Bank A/S †(a)		12,072		610,196
Novo Nordisk A/S, Class B (a)		6,118		258,790
TDC A/S (a)		59,461		453,503
Tryg A/S (a)		1,100		122,910
William Demant Holding A/S †(a)		1,581		119,874
				3,821,315
Finland - 0.9%
Elisa OYJ (a)		10,943		298,689
Fortum OYJ (a)		22,558		489,769
Kesko OYJ, B Shares (a)		3,714		135,073
Metso OYJ (a)		2,565		76,795
Neste Oil OYJ (a)		43,039		1,048,326
Orion OYJ, Class B (a)		33,884		1,053,809
Sampo OYJ, A Shares (a)		8,740		409,158
Stora Enso OYJ, R Shares (a)		22,643		202,450
UPM-Kymmene OYJ (a)		36,207		593,367
				4,307,436
Germany - 3.2%
Aurubis AG (a)		6,814		380,904
Axel Springer SE (a)		4,774		287,943
BASF SE (a)		2,655		222,704
Bayer AG (a)		4,087		557,093
Bayerische Motoren Werke AG (a)		5,619		606,393
Brenntag AG (a)		12,861		719,060
Continental AG (a)		3,870		816,271
Deutsche Post AG (a)		27,524		893,481
Deutsche Telekom AG (a)		70,506		1,128,120
Fraport AG Frankfurt Airport Services Worldwide (a)		159		9,175
Fresenius Medical Care AG & Co. KGaA (a)		16,819		1,255,317
GEA Group AG (a)		2,560		112,553
Hannover Rueck SE (a)		14,434		1,302,111
HeidelbergCement AG (a)		2,769		195,436
HUGO BOSS AG (a)		1,451		177,503
K+S AG (a)		22,175		611,923
Linde AG (a)		1,597		294,171
Merck KGaA (a)		20,015		1,883,579
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		11,350		2,260,211
ProSiebenSat.1 Media AG (a)		6,285		262,608
Rhoen Klinikum AG (a)		22,300		624,995
STADA Arzneimittel AG (a)		3,387		102,771
Symrise AG (a)		7,912		476,659
Telefonica Deutschland Holding AG †		9,809		51,986

	SHARES		VALUE (Note 5)
Germany - 3.2% (continued)
TUI AG		11,703	$	194,039
United Internet AG (a)		747		33,649
				15,460,655
Italy - 1.8%
A2A SpA		193,716		196,290
Atlantia SpA		26,828		623,535
Autogrill SpA †		57,877		436,479
Davide Campari-Milano SpA		18,587		116,019
Enel SpA		126,884		565,588
Eni SpA (a)		104,201		1,825,236
Finmeccanica SpA †		47,102		437,805
GTECH SpA		13,265		296,192
Hera SpA		56,648		133,393
Luxottica Group SpA		2,445		134,032
Mediobanca SpA		123,204		1,001,097
Pirelli & C. SpA		61,332		827,209
Snam SpA		130,098		643,884
Terna Rete Elettrica Nazionale SpA		187,180		850,203
Tod’s SpA		319		27,626
Unione di Banche Italiane SCpA		65,262		466,771
				8,581,359
Japan - 20.8%
ABC-Mart, Inc. (a)		11,000		532,270
Air Water, Inc. (a)		11,000		174,234
Aisin Seiki Co., Ltd. (a)		16,700		600,005
Ajinomoto Co., Inc. (a)		2,000		37,234
Alfresa Holdings Corp. (a)		63,000		760,785
ANA Holdings, Inc. (a)		136,000		336,278
Aozora Bank Ltd. (a)		205,000		634,587
Asahi Group Holdings Ltd. (a)		8,100		250,592
Asahi Kasei Corp. (a)		292,000		2,663,750
Astellas Pharma, Inc. (a)		68,800		957,841
Bandai Namco Holdings, Inc. (a)		60,400		1,278,746
Bank of Kyoto Ltd./The (a)		4,000		33,438
Bank of Yokohama Ltd./The (a)		144,000		782,105
Benesse Holdings, Inc. (a)		10,200		302,664
Bridgestone Corp. (a)		15,400		534,102
Brother Industries Ltd. (a)		129,800		2,352,930
Calbee, Inc. (a)		3,900		134,343
Canon, Inc. (a)		46,000		1,462,053
Central Japan Railway Co. (a)		14,900		2,233,157
Chiba Bank Ltd./The (a)		71,000		465,256
Chiyoda Corp. (a)		66,000		546,810
Chugoku Bank Ltd./The (a)		39,200		534,333
Coca-Cola West Co., Ltd. (a)		20,400		281,313
Dai Nippon Printing Co., Ltd. (a)		94,000		846,616
Daicel Corp. (a)		105,000		1,226,451
Daihatsu Motor Co., Ltd. (a)		30,600		399,662
Daiwa House Industry Co., Ltd. (a)		13,000		245,586
Denso Corp. (a)		10,600		494,043
Dentsu, Inc. (a)		1,400		58,858
Disco Corp. (a)		5,800		463,899
East Japan Railway Co. (a)		8,800		663,263
Electric Power Development Co., Ltd. (a)		11,600		391,975
FamilyMart Co., Ltd. (a)		8,300		312,610
Fuji Electric Co., Ltd. (a)		138,000		550,190
Fuji Heavy Industries Ltd. (a)		26,000		920,036
FUJIFILM Holdings Corp. (a)		30,600		933,715
Fujitsu Ltd. (a)		258,000		1,375,570
Fukuoka Financial Group, Inc. (a)		183,000		943,451
Hakuhodo DY Holdings, Inc. (a)		83,600		800,046

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

AQR Funds Annual Report December 2014

216

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Japan - 20.8% (continued)
Hikari Tsushin, Inc. (a)		13,800	$	839,377
Hino Motors Ltd. (a)		21,500		283,011
Hirose Electric Co., Ltd. (a)		700		81,216
Hitachi Chemical Co., Ltd. (a)		40,700		719,039
Hitachi High-Technologies Corp. (a)		23,600		677,950
Hitachi Metals Ltd. (a)		53,000		900,517
Hokuriku Electric Power Co. (a)		2,300		29,372
Hoya Corp. (a)		64,300		2,174,937
Ibiden Co., Ltd. (a)		16,300		240,688
Idemitsu Kosan Co., Ltd. (a)		17,600		290,634
Inpex Corp. (a)		45,200		503,210
ITOCHU Corp. (a)		75,900		810,240
Itochu Techno-Solutions Corp. (a)		18,100		638,647
Japan Airlines Co., Ltd. (a)		100,500		2,979,730
Japan Petroleum Exploration Co., Ltd. (a)		2,300		72,260
JGC Corp. (a)		34,000		699,951
Joyo Bank Ltd./The (a)		32,000		158,460
JTEKT Corp. (a)		19,100		321,449
JX Holdings, Inc. (a)		2,800		10,896
Kamigumi Co., Ltd. (a)		28,000		249,419
Kaneka Corp. (a)		54,000		289,344
Kao Corp. (a)		16,200		638,840
KDDI Corp. (a)		17,600		1,105,703
Keyence Corp. (a)		1,500		668,392
Kinden Corp. (a)		86,000		868,660
Kobayashi Pharmaceutical Co., Ltd. (a)		600		34,912
Koito Manufacturing Co., Ltd. (a)		3,500		107,071
Komatsu Ltd. (a)		42,200		932,955
Konica Minolta, Inc. (a)		50,500		550,249
Kurita Water Industries Ltd. (a)		26,300		548,411
Lawson, Inc. (a)		4,600		277,969
Mabuchi Motor Co., Ltd. (a)		9,800		388,986
Makita Corp. (a)		12,600		567,781
Marubeni Corp. (a)		46,100		275,834
Maruichi Steel Tube Ltd. (a)		13,600		289,453
Medipal Holdings Corp. (a)		20,000		233,594
MEIJI Holdings Co., Ltd. (a)		3,800		345,721
Miraca Holdings, Inc. (a)		6,500		279,623
Mitsubishi Electric Corp. (a)		100,000		1,187,806
Mitsubishi Tanabe Pharma Corp. (a)		67,000		982,127
Mitsubishi UFJ Financial Group, Inc. (a)		67,300		369,762
Mitsui & Co., Ltd. (a)		123,100		1,648,695
Mizuho Financial Group, Inc.		194,800		326,544
Murata Manufacturing Co., Ltd. (a)		10,200		1,113,034
Nagoya Railroad Co., Ltd. (a)		122,000		454,233
NGK Spark Plug Co., Ltd. (a)		4,100		124,580
NH Foods Ltd. (a)		40,000		875,132
NHK Spring Co., Ltd. (a)		30,800		268,002
Nidec Corp. (a)		6,600		426,265
Nippon Express Co., Ltd. (a)		27,000		136,830
Nippon Telegraph & Telephone Corp. (a)		38,400		1,961,573
Nippon Yusen KK (a)		13,000		36,719
Nishi-Nippon City Bank Ltd./The (a)		258,000		742,355
Nissin Foods Holdings Co., Ltd. (a)		11,500		548,126
Nitori Holdings Co., Ltd. (a)		11,100		596,387
NOK Corp. (a)		41,100		1,046,139
Nomura Research Institute Ltd. (a)		4,700		143,750
NTT DOCOMO, Inc. (a)		66,200		964,074
Omron Corp. (a)		20,100		899,183
Oracle Corp. Japan (a)		1,200		48,895
Oriental Land Co., Ltd. (a)		10,700		2,467,569
Osaka Gas Co., Ltd. (a)		250,000		933,738
Otsuka Corp. (a)		25,600		811,736
Otsuka Holdings Co., Ltd. (a)		127,400		3,819,607

	SHARES		VALUE (Note 5)
Japan - 20.8% (continued)
Park24 Co., Ltd. (a)		6,200	$	91,272
Resona Holdings, Inc. (a)		442,600		2,235,795
Ricoh Co., Ltd. (a)		41,000		414,471
Rinnai Corp. (a)		1,400		94,069
Rohm Co., Ltd. (a)		25,400		1,530,433
Sankyo Co., Ltd. (a)		9,800		336,178
Santen Pharmaceutical Co., Ltd. (a)		500		26,917
Secom Co., Ltd. (a)		24,200		1,390,402
Seiko Epson Corp. (a)		23,500		983,339
Sekisui Chemical Co., Ltd. (a)		102,000		1,227,159
Seven & i Holdings Co., Ltd. (a)		36,200		1,302,163
Seven Bank Ltd. (a)		221,600		930,163
Shimadzu Corp. (a)		22,000		223,784
Shimamura Co., Ltd. (a)		4,900		422,855
Shimano, Inc. (a)		4,700		608,752
Showa Shell Sekiyu KK (a)		34,300		337,871
SMC Corp. (a)		1,100		288,447
Stanley Electric Co., Ltd. (a)		12,900		278,556
Sumitomo Corp. (a)		35,300		362,555
Sumitomo Heavy Industries Ltd. (a)		363,000		1,952,572
Sumitomo Metal Mining Co., Ltd. (a)		4,000		59,660
Sumitomo Mitsui Financial Group, Inc. (a)		12,000		433,833
Sumitomo Rubber Industries Ltd. (a)		64,300		955,888
Suruga Bank Ltd. (a)		9,100		167,231
Suzuken Co., Ltd. (a)		5,700		157,453
Suzuki Motor Corp. (a)		15,000		449,510
Sysmex Corp. (a)		1,400		62,136
Taisei Corp. (a)		116,000		657,954
Taisho Pharmaceutical Holdings Co., Ltd. (a)		5,200		317,723
Takashimaya Co., Ltd. (a)		12,000		95,816
THK Co., Ltd. (a)		21,300		511,879
Toho Co., Ltd. (a)		3,700		83,951
Toho Gas Co., Ltd. (a)		83,000		406,067
Tohoku Electric Power Co., Inc. (a)		106,900		1,243,940
Tokio Marine Holdings, Inc. (a)		4,200		136,406
Tokyo Electric Power Co., Inc. †(a)		152,700		621,079
Tokyo Gas Co., Ltd. (a)		272,000		1,467,621
TonenGeneral Sekiyu KK (a)		25,000		213,415
Toppan Printing Co., Ltd. (a)		35,000		227,411
TOTO Ltd. (a)		89,000		1,035,311
Toyo Suisan Kaisha Ltd. (a)		21,100		679,397
Toyoda Gosei Co., Ltd. (a)		5,000		100,571
Toyota Industries Corp. (a)		6,200		317,761
Unicharm Corp. (a)		6,000		143,815
USS Co., Ltd. (a)		71,500		1,098,576
West Japan Railway Co. (a)		16,800		794,275
Yamada Denki Co., Ltd. (a)		45,900		154,000
Yamaha Corp. (a)		9,800		144,451
Yamaha Motor Co., Ltd. (a)		45,800		916,334
Yamato Holdings Co., Ltd. (a)		8,700		172,275
Yamazaki Baking Co., Ltd. (a)		40,000		493,570
Yokohama Rubber Co., Ltd./The (a)		5,000		45,527
				101,934,748
Luxembourg - 0.0% (b)
Millicom International Cellular SA SDR		1,153		85,432
Netherlands - 1.6%
Boskalis Westminster NV (a)		34,903		1,909,371
Delta Lloyd NV (a)		72,035		1,584,075
Heineken NV (a)		5,469		388,341
Koninklijke Ahold NV (a)		86,852		1,543,609
Koninklijke DSM NV (a)		2,204		134,429
Koninklijke Philips NV (a)		7,973		231,105

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

AQR Funds Annual Report December 2014

217

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Netherlands - 1.6% (continued)
QIAGEN NV †(a)		1,569	$	36,547
Royal Dutch Shell PLC, A Shares (a)		30,332		1,010,940
Wolters Kluwer NV (a)		38,081		1,162,050
				8,000,467
Norway - 1.5%
DNB ASA (a)		115,332		1,701,219
Gjensidige Forsikring ASA (a)		13,157		214,688
Marine Harvest ASA (a)		44,676		613,420
Orkla ASA (a)		43,247		294,403
Statoil ASA (a)		97,819		1,722,283
Telenor ASA (a)		47,330		957,420
Yara International ASA (a)		44,920		2,000,396
				7,503,829
Spain - 2.6%
Acciona SA †(a)		2,683		181,047
Acerinox SA		14,008		211,336
ACS Actividades de Construccion y Servicios SA (a)		16,433		572,773
Amadeus IT Holding SA, A Shares (a)		21,424		853,261
Banco de Sabadell SA		77,174		204,200
Banco Santander SA (a)		226,427		1,900,429
Bankinter SA (a)		18,424		148,013
Bolsas y Mercados Espanoles SA (a)		12,074		467,630
Distribuidora Internacional de Alimentacion SA (a)		24,323		164,815
Ebro Foods SA		17,233		284,858
Enagas SA (a)		46,568		1,468,804
Endesa SA (a)		106,864		2,139,342
Ferrovial SA (a)		8,983		177,577
Gas Natural SDG SA (a)		36,850		925,694
Iberdrola SA (a)		177,953		1,199,536
Prosegur Cia de Seguridad SA		6,977		39,750
Red Electrica Corp. SA (a)		4,795		422,686
Repsol SA (a)		25,898		484,832
Tecnicas Reunidas SA (a)		15,630		683,180
				12,529,763
Sweden - 1.8%
Assa Abloy AB, Class B (a)		2,346		123,908
Hexagon AB, B Shares		2,206		68,054
Holmen AB, B Shares		788		26,776
Husqvarna AB, B Shares		56,965		418,719
ICA Gruppen AB		36,426		1,418,368
Meda AB, A Shares		32,313		463,382
Nordea Bank AB (a)		77,933		902,136
Securitas AB, B Shares (a)		50,793		614,478
Skandinaviska Enskilda Banken AB, Class A (a)		129,578		1,645,454
Skanska AB, B Shares (a)		19,666		422,237
SKF AB, B Shares (a)		5,631		118,620
Svenska Cellulosa AB SCA, Class B (a)		16,609		358,068
Swedbank AB, A Shares (a)		3,698		91,751
Swedish Match AB (a)		5,274		165,258
Telefonaktiebolaget LM Ericsson, B Shares (a)		108,838		1,317,822
TeliaSonera AB (a)		119,903		770,901
				8,925,932
Switzerland - 2.7%
Actelion Ltd. †(a)		2,368		272,607
Aryzta AG †(a)		6,971		535,718
Baloise Holding AG (a)		339		43,328
Barry Callebaut AG †(a)		158		161,986

	SHARES		VALUE (Note 5)
Switzerland - 2.7% (continued)
Bucher Industries AG (a)		681	$	169,829
Chocoladefabriken Lindt & Sprungli AG (a)		69		341,169
DKSH Holding AG (a)		1,268		96,532
Flughafen Zuerich AG (a)		107		71,558
Galenica AG (a)		587		468,034
Geberit AG (a)		236		79,840
Givaudan SA †(a)		443		794,679
Helvetia Holding AG (a)		76		36,111
Lonza Group AG †(a)		8,699		979,435
Nestle SA (a)		17,213		1,254,845
Novartis AG (a)		24,734		2,293,917
OC Oerlikon Corp. AG †(a)		5,517		68,869
Roche Holding AG (a)		3,281		888,962
Sika AG (a)		99		292,044
Sonova Holding AG (a)		572		84,033
Straumann Holding AG (a)		500		125,620
Swiss Life Holding AG †(a)		5,761		1,361,622
Swiss Re AG †(a)		16,141		1,352,159
Swisscom AG (a)		2,736		1,435,682
				13,208,579
United Kingdom - 0.6%
Fiat Chrysler Automobiles NV †(a)		90,724		1,054,188
Reed Elsevier NV (a)		21,493		513,266
Unilever NV CVA (a)		39,482		1,544,446
				3,111,900
TOTAL COMMON STOCKS (cost $200,212,318)				191,572,102
PREFERRED STOCKS - 0.8%
Germany - 0.8%
FUCHS PETROLUB SE (a)		232		9,240
Henkel AG & Co. KGaA (a)		9,681		1,042,817
Porsche Automobil Holding SE		16,518		1,335,854
Volkswagen AG (a)		6,172		1,371,760
TOTAL PREFERRED STOCKS (cost $4,104,837)				3,759,671
RIGHTS - 0.0% (b)
GTECH SpA †
(cost $—)		13,265		—
MONEY MARKET FUNDS - 79.6%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (c)		5,229,369		5,229,369
Dreyfus Treasury Cash Management, Class I, 0.010% (c)		20,917,478		20,917,478
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^		300,539,790		300,539,790
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)^		36,480,083		36,480,083
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c)		26,146,847		26,146,847
TOTAL MONEY MARKET FUNDS (cost $389,313,567)				389,313,567
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $593,630,722)				584,645,340

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

AQR Funds Annual Report December 2014

218

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

SECURITIES SOLD SHORT- (33.0)%	SHARES			VALUE (Note 5)
COMMON STOCKS - (33.0)%
Belgium - (0.4)%
KBC Groep NV †		(7,004	)	$	(390,894	)
Telenet Group Holding NV †		(9,685	)		(543,500	)
UCB SA		(14,833	)		(1,127,863	)
					(2,062,257	)
Denmark - (0.3)%
Carlsberg A/S, Class B		(1,034	)		(79,411	)
FLSmidth & Co. A/S		(11,081	)		(485,805	)
Novozymes A/S, B Shares		(9,463	)		(398,331	)
Vestas Wind Systems A/S †		(12,318	)		(447,350	)
					(1,410,897	)
Finland - (0.7)%
Cargotec OYJ, B Shares		(5,764	)		(176,923	)
Kone OYJ, Class B		(9,078	)		(413,301	)
Nokia OYJ		(106,484	)		(842,162	)
Nokian Renkaat OYJ		(84,280	)		(2,055,888	)
Wartsila OYJ		(2,654	)		(118,788	)
					(3,607,062	)
Germany - (3.3)%
adidas AG		(9,078	)		(630,427	)
AIXTRON SE †		(54,730	)		(615,224	)
Allianz SE		(2,487	)		(411,912	)
Beiersdorf AG		(1,413	)		(114,727	)
Bilfinger SE		(20,533	)		(1,147,774	)
Commerzbank AG †		(109,597	)		(1,437,540	)
Daimler AG		(1,839	)		(152,736	)
Deutsche Bank AG		(27,774	)		(831,675	)
Deutsche Boerse AG		(2,191	)		(155,697	)
Deutsche Lufthansa AG		(6,142	)		(101,779	)
E.ON SE		(19,035	)		(325,340	)
HOCHTIEF AG		(2,956	)		(208,541	)
Infineon Technologies AG		(24,400	)		(258,197	)
LANXESS AG		(30,292	)		(1,402,891	)
MAN SE		(987	)		(109,921	)
METRO AG †		(41,827	)		(1,278,556	)
MTU Aero Engines AG		(1,352	)		(117,496	)
OSRAM Licht AG †		(241	)		(9,462	)
Rheinmetall AG		(15,378	)		(669,544	)
RWE AG		(28,917	)		(892,514	)
Salzgitter AG		(32,362	)		(905,591	)
SAP SE		(17,935	)		(1,252,372	)
Siemens AG		(4,770	)		(535,212	)
Software AG		(7,849	)		(190,738	)
Suedzucker AG		(12,962	)		(186,365	)
ThyssenKrupp AG †		(55,334	)		(1,409,569	)
Wacker Chemie AG		(5,318	)		(583,360	)
Wirecard AG		(7,415	)		(323,325	)
					(16,258,485	)
Italy - (1.8)%
Assicurazioni Generali SpA		(12,345	)		(253,478	)
Banca Monte dei Paschi di Siena SpA †		(330,363	)		(188,199	)
Banca Popolare dell’Emilia Romagna SC †		(195,727	)		(1,283,181	)
Banco Popolare SC †		(75,109	)		(903,692	)
Buzzi Unicem SpA		(9,945	)		(125,875	)
Enel Green Power SpA		(40,269	)		(84,370	)
Mediaset SpA †		(312,787	)		(1,286,980	)
Mediolanum SpA		(166,964	)		(1,064,010	)

	SHARES			VALUE (Note 5)
Italy - (1.8)% (continued)
Moncler SpA		(16,476	)	$	(220,147	)
Prysmian SpA		(3,505	)		(63,874	)
Saipem SpA †		(795	)		(8,334	)
Salvatore Ferragamo SpA		(56,355	)		(1,386,944	)
Telecom Italia SpA †		(408,507	)		(435,668	)
Tenaris SA		(17,751	)		(268,233	)
UniCredit SpA		(62,817	)		(402,381	)
UnipolSai SpA		(38,824	)		(104,528	)
World Duty Free SpA †		(61,154	)		(587,141	)
					(8,667,035	)
Japan - (17.2)%
Acom Co., Ltd. †		(683,700	)		(2,087,234	)
Advantest Corp.		(220,700	)		(2,735,434	)
Aeon Co., Ltd.		(207,600	)		(2,086,275	)
Aeon Credit Service Co., Ltd.		(75,500	)		(1,491,194	)
Amada Co., Ltd.		(111,400	)		(954,563	)
Asahi Glass Co., Ltd.		(194,000	)		(944,426	)
Asics Corp.		(3,200	)		(77,041	)
Chubu Electric Power Co., Inc. †		(15,700	)		(184,491	)
Chugai Pharmaceutical Co., Ltd.		(2,400	)		(58,928	)
Chugoku Electric Power Co., Inc./The		(38,400	)		(502,060	)
Citizen Holdings Co., Ltd.		(12,300	)		(94,641	)
Credit Saison Co., Ltd.		(108,600	)		(2,019,569	)
Daido Steel Co., Ltd.		(40,000	)		(151,078	)
Dai-ichi Life Insurance Co., Ltd./The		(62,900	)		(954,813	)
Daiichi Sankyo Co., Ltd.		(12,200	)		(170,590	)
Daikin Industries Ltd.		(35,000	)		(2,244,343	)
Dena Co., Ltd.		(32,800	)		(391,810	)
Don Quijote Holdings Co., Ltd.		(3,000	)		(206,241	)
Eisai Co., Ltd.		(7,300	)		(282,314	)
FANUC Corp.		(3,100	)		(511,129	)
Fast Retailing Co., Ltd.		(5,500	)		(2,001,423	)
GS Yuasa Corp.		(343,000	)		(1,458,348	)
Hamamatsu Photonics KK		(700	)		(33,322	)
Hitachi Capital Corp.		(9,500	)		(209,090	)
Hitachi Construction Machinery Co., Ltd.		(24,000	)		(507,436	)
Hitachi Ltd.		(67,000	)		(494,511	)
Hokkaido Electric Power Co., Inc. †		(155,500	)		(1,244,771	)
Honda Motor Co., Ltd.		(3,100	)		(90,949	)
IHI Corp.		(106,000	)		(536,833	)
Isetan Mitsukoshi Holdings Ltd.		(77,800	)		(962,713	)
J Front Retailing Co., Ltd.		(28,300	)		(327,770	)
Japan Display, Inc. †		(119,500	)		(364,713	)
Japan Steel Works Ltd./The		(608,000	)		(2,151,182	)
Japan Tobacco, Inc.		(12,900	)		(355,044	)
JFE Holdings, Inc.		(20,100	)		(448,248	)
Kajima Corp.		(117,000	)		(481,143	)
Kakaku.com, Inc.		(139,500	)		(1,995,786	)
Kansai Electric Power Co., Inc./The †		(165,400	)		(1,573,466	)
Kansai Paint Co., Ltd.		(6,000	)		(92,952	)
Kawasaki Heavy Industries Ltd.		(180,000	)		(818,558	)
Keikyu Corp.		(73,000	)		(540,112	)
Keio Corp.		(11,000	)		(79,129	)
Keisei Electric Railway Co., Ltd.		(3,000	)		(36,478	)
Kikkoman Corp.		(11,000	)		(269,599	)
Kintetsu Corp.		(154,000	)		(506,338	)
Kobe Steel Ltd.		(63,000	)		(108,517	)
Konami Corp.		(25,500	)		(467,501	)
Kubota Corp.		(63,000	)		(914,431	)
Kyocera Corp.		(1,300	)		(59,488	)
Kyowa Hakko Kirin Co., Ltd.		(9,000	)		(84,749	)
Kyushu Electric Power Co., Inc. †		(197,600	)		(1,979,004	)

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

AQR Funds Annual Report December 2014

219

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Japan - (17.2)% (continued)
LIXIL Group Corp.		(4,200	)	$	(88,392	)
M3, Inc.		(23,000	)		(384,836	)
Marui Group Co., Ltd.		(23,200	)		(209,257	)
Mazda Motor Corp.		(22,300	)		(535,547	)
Mitsubishi Chemical Holdings Corp.		(54,800	)		(265,807	)
Mitsubishi Gas Chemical Co., Inc.		(54,000	)		(271,020	)
Mitsubishi Logistics Corp.		(58,000	)		(843,544	)
Mitsubishi Materials Corp.		(195,000	)		(646,898	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		(11,900	)		(55,964	)
Mitsui Chemicals, Inc.		(469,000	)		(1,328,385	)
Mitsui OSK Lines Ltd.		(361,000	)		(1,069,550	)
MS&AD Insurance Group Holdings, Inc.		(11,000	)		(260,680	)
Nexon Co., Ltd.		(5,600	)		(52,204	)
NGK Insulators Ltd.		(25,000	)		(512,458	)
Nintendo Co., Ltd.		(27,300	)		(2,848,963	)
Nippon Electric Glass Co., Ltd.		(110,000	)		(494,975	)
Nippon Paint Holdings Co., Ltd.		(13,000	)		(376,714	)
Nippon Shokubai Co., Ltd.		(24,000	)		(314,400	)
Nippon Steel & Sumitomo Metal Corp.		(593,000	)		(1,471,016	)
Nissan Motor Co., Ltd.		(102,000	)		(889,621	)
Nitto Denko Corp.		(27,600	)		(1,542,164	)
NSK Ltd.		(30,000	)		(354,202	)
NTT Data Corp.		(900	)		(33,529	)
Obayashi Corp.		(143,000	)		(921,806	)
Odakyu Electric Railway Co., Ltd.		(120,000	)		(1,062,975	)
Olympus Corp. †		(26,800	)		(938,813	)
Ono Pharmaceutical Co., Ltd.		(7,300	)		(646,309	)
Panasonic Corp.		(27,700	)		(326,263	)
Rakuten, Inc.		(205,200	)		(2,853,473	)
Sega Sammy Holdings, Inc.		(13,400	)		(171,442	)
Sharp Corp. †		(578,000	)		(1,278,707	)
Shikoku Electric Power Co., Inc. †		(65,900	)		(799,346	)
Shimizu Corp.		(13,000	)		(88,297	)
Shin-Etsu Chemical Co., Ltd.		(6,900	)		(449,188	)
Shinsei Bank Ltd.		(358,000	)		(623,070	)
Shionogi & Co., Ltd.		(8,600	)		(222,188	)
Shizuoka Bank Ltd./The		(1,000	)		(9,144	)
Showa Denko KK		(474,000	)		(583,499	)
SoftBank Corp.		(12,300	)		(732,137	)
Sojitz Corp.		(51,700	)		(72,199	)
Sony Corp.		(96,600	)		(1,971,534	)
Sony Financial Holdings, Inc.		(23,700	)		(348,985	)
Sumco Corp.		(93,600	)		(1,339,988	)
Sumitomo Dainippon Pharma Co., Ltd.		(16,200	)		(156,879	)
Sumitomo Electric Industries Ltd.		(7,700	)		(96,167	)
Sumitomo Mitsui Trust Holdings, Inc.		(384,000	)		(1,470,831	)
T&D Holdings, Inc.		(8,400	)		(100,698	)
Taiheiyo Cement Corp.		(132,000	)		(414,134	)
Takeda Pharmaceutical Co., Ltd.		(14,000	)		(579,569	)
TDK Corp.		(6,300	)		(371,041	)
Teijin Ltd.		(158,000	)		(419,949	)
Terumo Corp.		(23,600	)		(535,632	)
Tobu Railway Co., Ltd.		(95,000	)		(406,234	)
Tokyu Corp.		(12,000	)		(74,358	)
Toray Industries, Inc.		(84,000	)		(671,159	)
Toshiba Corp.		(329,000	)		(1,387,492	)
Toyo Seikan Group Holdings Ltd.		(17,900	)		(222,346	)
Toyota Boshoku Corp.		(30,000	)		(398,275	)
Toyota Tsusho Corp.		(27,000	)		(627,208	)
Trend Micro, Inc.		(15,000	)		(414,499	)
Tsumura & Co.		(1,800	)		(39,804	)
Ube Industries Ltd.		(217,000	)		(322,643	)
Yahoo Japan Corp.		(563,700	)		(2,020,259	)

	SHARES			VALUE (Note 5)
Japan - (17.2)% (continued)
Yakult Honsha Co., Ltd.		(4,000	)	$	(211,140	)
Yaskawa Electric Corp.		(190,600	)		(2,434,558	)
Yokogawa Electric Corp.		(88,200	)		(967,823	)
					(83,973,965	)
Luxembourg - (0.6)%
Altice SA †		(13,450	)		(1,063,823	)
ArcelorMittal		(155,166	)		(1,699,983	)
					(2,763,806	)
Netherlands - (1.8)%
Aegon NV		(1,308	)		(9,831	)
Akzo Nobel NV		(5,560	)		(384,697	)
ASML Holding NV		(12,614	)		(1,362,911	)
Fugro NV CVA		(94,152	)		(1,955,606	)
Koninklijke KPN NV		(392,459	)		(1,239,130	)
OCI NV †		(25,789	)		(896,679	)
Randstad Holding NV		(22,112	)		(1,063,949	)
SBM Offshore NV †		(59,525	)		(700,066	)
TNT Express NV		(154,587	)		(1,030,540	)
					(8,643,409	)
Norway - (0.7)%
Aker Solutions ASA 144A †(e)		(59,332	)		(330,019	)
Fred Olsen Energy ASA		(42,267	)		(386,766	)
Norsk Hydro ASA		(30,544	)		(172,055	)
Petroleum Geo-Services ASA		(65,164	)		(366,838	)
Schibsted ASA		(25,424	)		(1,612,374	)
Seadrill Ltd.		(58,975	)		(682,351	)
					(3,550,403	)
Portugal - (0.0)% (b)
Banco Espirito Santo SA (3)(f)		(216,618	)		(31,454	)
Spain - (2.0)%
Abertis Infraestructuras SA		(462	)		(9,161	)
Banco Bilbao Vizcaya Argentaria SA		(88,954	)		(840,118	)
Banco Popular Espanol SA		(106,224	)		(529,509	)
Bankia SA †		(195,955	)		(290,783	)
CaixaBank SA		(139,885	)		(732,978	)
Grifols SA		(27,884	)		(1,112,670	)
Inditex SA		(54,144	)		(1,544,479	)
Indra Sistemas SA		(128,334	)		(1,246,821	)
Mapfre SA		(300,544	)		(1,015,834	)
Mediaset Espana Comunicacion SA †		(29,728	)		(373,742	)
Obrascon Huarte Lain SA		(39,360	)		(878,284	)
Telefonica SA		(15,994	)		(229,634	)
Zardoya Otis SA		(96,752	)		(1,072,943	)
					(9,876,956	)
Sweden - (1.4)%
Alfa Laval AB		(6,677	)		(126,261	)
Atlas Copco AB, A Shares		(16,455	)		(457,871	)
Boliden AB		(40,073	)		(640,559	)
Electrolux AB, Series B		(20,253	)		(591,777	)
Elekta AB, B Shares		(170,901	)		(1,745,337	)
Getinge AB, B Shares		(32,955	)		(750,464	)
Hennes & Mauritz AB, B Shares		(9,197	)		(382,090	)
Modern Times Group MTG, B Shares		(7,167	)		(227,284	)
Sandvik AB		(105,201	)		(1,022,878	)
Svenska Handelsbanken AB, A Shares		(6,536	)		(305,806	)
Tele2 AB, B Shares		(26,928	)		(326,305	)
Trelleborg AB, B Shares		(10,979	)		(184,829	)
					(6,761,461	)

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

AQR Funds Annual Report December 2014

220

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Switzerland - (2.3)%
Adecco SA †		(7,825	)	$	(537,885	)
Cie Financiere Richemont SA		(13,950	)		(1,236,788	)
Credit Suisse Group AG †		(41,009	)		(1,030,197	)
Dufry AG †		(4,210	)		(629,244	)
EMS-Chemie Holding AG		(881	)		(356,649	)
GAM Holding AG †		(6,698	)		(120,417	)
Holcim Ltd. †		(4,732	)		(338,263	)
Julius Baer Group Ltd. †		(11,360	)		(518,675	)
Kuehne + Nagel International AG		(1,308	)		(177,673	)
Panalpina Welttransport Holding AG		(2,358	)		(316,086	)
Partners Group Holding AG		(59	)		(17,165	)
Schindler Holding AG		(471	)		(67,996	)
SGS SA		(98	)		(200,113	)
STMicroelectronics NV		(54,682	)		(408,836	)
Sulzer AG		(11,601	)		(1,240,973	)
Swatch Group AG/The		(1,289	)		(572,647	)
Syngenta AG		(1,903	)		(612,114	)
Transocean Ltd.		(66,687	)		(1,223,698	)
UBS Group AG †		(75,676	)		(1,300,848	)
Zurich Insurance Group AG †		(1,306	)		(408,128	)
					(11,314,395	)
United Kingdom - (0.2)%
CNH Industrial NV		(53,269	)		(431,217	)
International Consolidated Airlines Group SA †		(51,164	)		(381,134	)
Subsea 7 SA		(28,097	)		(287,514	)
					(1,099,865	)
United States - (0.3)%
Zimmer Holdings, Inc. (1)		(13,591	)		(1,541,491	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $169,892,486)					(161,562,941	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $169,892,486)					(161,562,941	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 86.5% (cost $423,738,236)					423,082,399
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5% (g)				66,050,479
NET ASSETS - 100.0%				$	489,132,878

† Non income-producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $179,802,119.

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

(c) Represents annualized seven-day yield as of December 31, 2014.

(d) A portion of the security is pledged as collateral to the brokers for swap contracts.

(e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(f) Security fair valued as of December 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(31,454) or (0.0)% of total net assets.

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

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

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).

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certification

SDR - Special Drawing Rights

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	1,127,211			0.2	%
Consumer Staples		13,510,518			2.7
Energy		1,993,660			0.4
Financials		3,163,643			0.6
Health Care		8,987,836			1.8
Industrials		255,605			0.1
Information Technology		(4,053,970	)		(0.8	)
Materials		(6,086,032	)		(1.2	)
Telecommunication Services		8,145,697			1.7
Utilities		6,724,664			1.4
Money Market Funds		389,313,567			79.6
Total Investments		423,082,399			86.5
Other Assets in Excess of Liabilities (g)		66,050,479			13.5
Net Assets	$	489,132,878			100.0	%

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	10-Year Canadian Bond March Futures	3/2015	CAD		54,577,242			$969,440
Barclays Capital	10-Year Japanese Government Bond March Futures	3/2015	JPY		(31,131,466,480	)		(1,685,941	)
Bank of America	30-Year Euro Buxl Bond March Futures	3/2015	EUR		(11,394,357	)		(666,952	)
Goldman Sachs	BIST 30 Futures February Futures	2/2015	TRY		2,122,944			11,454
Bank of America	Bovespa Index February Futures	2/2015	BRL		(22,258,604	)		(372,148	)

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

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221

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Corn March Futures^	2/2015	USD		7,015,080			$ 150,722
CitiBank	Corn March Futures^	2/2015	USD		(15,412,642	)		28,882
Bank of America	Euro - Bobl March Futures	3/2015	EUR		4,011,750			33,094
Bank of America	Euro - Bund March Futures	3/2015	EUR		7,202,275			152,454
Bank of America	Euro - SCHATZ March Futures	3/2015	EUR		(222,488,870	)		(440,879	)
CitiBank	Gold 100 OZ February Futures^	1/2015	USD		122,343			(3,933	)
Bank of America	Hang Seng Index January Futures	1/2015	HKD		292,545,690			395,368
Bank of America	H-SHARES Index January Futures	1/2015	HKD		1,182,325			2,138
CitiBank	LME Copper March Futures^	3/2015	USD		2,864,250			(25,650	)
Barclays Capital	Long Gilt March Futures	3/2015	GBP		38,217,429			1,361,460
Bank of America	MSCI Taiwan Stock Index January Futures	1/2015	USD		3,654,498			50,982
Bank of America	Swiss Market Index March Futures	3/2015	CHF		(611,827	)		(11,863	)
Bank of America	Taiwan Stock Exchange January Futures	1/2015	TWD		64,825,718			62,864
Bank of America	Tel Aviv 25 Index January Futures	1/2015	ILS		6,676,905			(21,449	)
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		54,112,168			156,894
Bank of America	U.S. Treasury 2-Year Note March Futures	3/2015	USD		(178,128,108	)		192,796
Bank of America	U.S. Treasury 5-Year Note March Futures	3/2015	USD		2,615,886			567
Bank of America	U.S. Treasury Long Bond March Futures	3/2015	USD		(7,874,619	)		(220,881	)
Goldman Sachs	WIG20 Index March Futures	3/2015	PLN		5,946,153			(43,047	)
								$76,372

Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $34,500,000 at December 31, 2014. Money Market Fund is pledged as collateral to Bank of America, Barclays Capital and Deutsche Bank for total return swap contracts in the amounts of $1,220,067, $430,000 and $10, respectively at December 31, 2014. Additional cash held as collateral at CitiBank for total return swap contracts in the amount of $420,000 at December 31, 2014.

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

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
182	Goldman Sachs	Gold 100 OZ Futures^		2/2015		$21,947,807		$21,550,619		$(397,188	)
13	J.P. Morgan	LME Copper Futures^		1/2015		2,188,366		2,067,325		(121,041	)
15	J.P. Morgan	LME Copper Futures^		2/2015		2,465,178		2,368,407		(96,771	)
2	J.P. Morgan	LME Copper Futures^		3/2015		319,329		315,612		(3,717	)
7	J.P. Morgan	LME Copper Futures^		3/2015		1,117,395		1,104,338		(13,057	)
14	J.P. Morgan	LME Copper Futures^		3/2015		2,256,506		2,209,200		(47,306	)
156	J.P. Morgan	LME Copper Futures^		3/2015		24,977,620		24,601,200		(376,420	)
257	Goldman Sachs	Silver Futures^		3/2015		21,345,079		20,044,715		(1,300,364	)
156	Barclays Capital	Amsterdam Index Futures		1/2015		15,036,213		16,045,263		1,009,050
793	J.P. Morgan	BIST 30 Futures		2/2015		3,584,898		3,632,878		47,980
154	Barclays Capital	DAX Index Futures		3/2015		44,184,277		45,857,839		1,673,562
288	Barclays Capital	Hang Seng Index Futures		1/2015		43,753,906		43,915,019		161,113
40	Barclays Capital	H-SHARES Index Futures		1/2015		3,080,108		3,092,080		11,972
86	Barclays Capital	KOSPI Index 200 Futures		3/2015		9,835,561		9,545,558		(290,003	)
117	Barclays Capital	MSCI Singapore Index Futures		1/2015		6,698,544		6,740,980		42,436
212	Barclays Capital	MSCI Taiwan Stock Index Futures		1/2015		7,180,509		7,273,720		93,211
65	Barclays Capital	S&P 500 E-Mini Futures		3/2015		6,624,769		6,670,300		45,531
481	Barclays Capital	SET50 Index Futures		3/2015		2,951,565		2,892,140		(59,425	)
34	Barclays Capital	SGX S&P CNX Nifty Index Futures		1/2015		567,232		568,412		1,180

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

AQR Funds Annual Report December 2014

222

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
207	Barclays Capital	TOPIX Index Futures		3/2015		$ 24,597,384			$ 24,323,969			$ (273,415	)
1,307	J.P. Morgan	3-Month Euro Euribor Futures		6/2015		394,804,376			395,166,412			362,036
1,058	J.P. Morgan	3-Month Euro Euribor Futures		9/2015		319,764,325			319,898,192			133,867
273	J.P. Morgan	3-Month Euro Euribor Futures		12/2015		82,518,222			82,540,497			22,275
1,179	J.P. Morgan	90-Day EURODollar Futures		6/2015		293,470,211			293,467,837			(2,374	)
1,217	J.P. Morgan	90-Day EURODollar Futures		9/2015		302,164,730			302,272,375			107,645
1,125	J.P. Morgan	90-Day EURODollar Futures		12/2015		278,975,989			278,676,562			(299,427	)
						1,916,410,099			1,916,841,449			431,350
Short Contracts:
236	Goldman Sachs	Brent Crude Futures^		1/2015		(16,239,399	)		(13,529,880	)		2,709,519
571	Goldman Sachs	Corn Futures^		3/2015		(11,416,587	)		(11,334,350	)		82,237
13	J.P. Morgan	LME Copper Futures^		1/2015		(2,195,347	)		(2,067,325	)		128,022
15	J.P. Morgan	LME Copper Futures^		2/2015		(2,465,582	)		(2,368,406	)		97,176
2	J.P. Morgan	LME Copper Futures^		3/2015		(318,594	)		(315,612	)		2,982
7	J.P. Morgan	LME Copper Futures^		3/2015		(1,118,108	)		(1,104,337	)		13,771
14	J.P. Morgan	LME Copper Futures^		3/2015		(2,251,510	)		(2,209,200	)		42,310
7	J.P. Morgan	LME Copper Futures^		3/2015		(1,116,480	)		(1,103,900	)		12,580
105	Goldman Sachs	Natural Gas Futures^		1/2015		(3,899,012	)		(3,033,450	)		865,562
279	Goldman Sachs	Soybean Futures^		3/2015		(14,556,341	)		(14,277,825	)		278,516
138	Barclays Capital	CAC40 Index Futures		1/2015		(6,681,307	)		(7,142,030	)		(460,723	)
745	Barclays Capital	Euro Stoxx 50 Index		3/2015		(27,065,894	)		(28,243,595	)		(1,177,701	)
351	Barclays Capital	FTSE 100 Index Futures		3/2015		(34,462,908	)		(35,682,549	)		(1,219,641	)
6	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures		1/2015		(150,496	)		(150,236	)		260
582	Barclays Capital	FTSE/JSE Top 40 Index Futures		3/2015		(21,356,975	)		(22,267,214	)		(910,239	)
253	Barclays Capital	FTSE/MIB Index Futures		3/2015		(28,326,676	)		(29,189,170	)		(862,494	)
61	Barclays Capital	IBEX 35 Index Futures		1/2015		(7,498,020	)		(7,561,630	)		(63,610	)
8	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		3/2015		(221,834	)		(234,186	)		(12,352	)
747	Barclays Capital	OMXS30 Index Futures		1/2015		(13,537,123	)		(14,054,970	)		(517,847	)
42	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		3/2015		(6,001,048	)		(6,157,204	)		(156,156	)
163	Barclays Capital	SPI 200 Index Futures		3/2015		(17,077,427	)		(17,908,324	)		(830,897	)
1,565	J.P. Morgan	90-Day Sterling Futures		6/2015		(302,831,200	)		(302,949,787	)		(118,587	)
1,507	J.P. Morgan	90-Day Sterling Futures		9/2015		(290,940,112	)		(291,487,374	)		(547,262	)
1,002	J.P. Morgan	90-Day Sterling Futures		12/2015		(193,444,876	)		(193,613,909	)		(169,033	)
301	J.P. Morgan	Australia 10-Year Bond Futures		3/2015		(31,120,294	)		(31,489,892	)		(369,598	)
1,621	J.P. Morgan	Australia 3-Year Bond Futures		3/2015		(146,757,271	)		(147,268,576	)		(511,305	)
234	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		3/2015		(49,708,203	)		(49,690,760	)		17,443
905	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		6/2015		(192,167,557	)		(192,150,865	)		16,692
743	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		9/2015		(157,730,574	)		(157,690,846	)		39,728
428	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		12/2015		(90,822,263	)		(90,790,669	)		31,594
						(1,673,479,018	)		(1,677,068,071	)		(3,589,053	)
						$242,931,081			$239,773,378			$(3,157,703	)

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $24,364,543, $2,574,702 and $8,780,931, respectively at December 31, 2014.

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

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		17,941,989			$14,770,197			$14,571,460			$(198,737	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		23,010,000			8,545,522			8,486,426			(59,096	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		66,890,943			58,602,861			57,484,034			(1,118,827	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		22,543,000			23,460,959			22,705,049			(755,910	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		41,493,009			51,251,102			50,241,892			(1,009,210	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		19,831,095			31,010,002			30,890,856			(119,146	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		20,669,000			2,665,556			2,665,283			(273	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		1,011,000,000			4,064,290			3,857,002			(207,288	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		18,200,000			4,621,721			4,667,275			45,554
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		1,093,248,690			17,275,579			17,060,623			(214,956	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		1,746,287,000			14,627,855			14,588,526			(39,329	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		16,510,000,000			14,859,165			14,970,575			111,410
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		75,000,000			5,089,862			5,060,579			(29,283	)
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		3,097,000			414,629			414,684			55
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		45,182,857			34,672,285			34,997,822			325,537
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		49,690,450			14,707,789			13,989,624			(718,165	)
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		375,445,018			7,003,484			5,928,687			(1,074,797	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		32,096,000			4,220,348			4,118,310			(102,038	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		21,400,000			16,344,920			16,134,991			(209,929	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		103,676,950			45,201,923			43,705,079			(1,496,844	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		103,736,316			3,332,151			3,284,063			(48,088	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		138,722,992			12,088,518			11,850,972			(237,546	)
							$388,830,718			$381,673,812			$(7,156,906	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(5,870,000	)		$(4,978,632	)		$(4,767,279	)		$211,353
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(43,859,430	)		(16,138,122	)		(16,176,000	)		(37,878	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(11,501,000	)		(9,857,562	)		(9,883,608	)		(26,046	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(92,726,222	)		$ (95,303,559	)		$ (93,392,779	)		$ 1,910,780
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		(14,592,423	)		(2,433,536	)		(2,372,611	)		60,925
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(15,777,000	)		(19,626,301	)		(19,103,612	)		522,689
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(6,573,000	)		(10,286,730	)		(10,238,749	)		47,981
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(27,369,000	)		(3,528,457	)		(3,529,254	)		(797	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(430,000,000	)		(1,694,714	)		(1,640,466	)		54,248
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(71,459,091	)		(18,023,879	)		(18,325,240	)		(301,361	)
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(4,095,215,132	)		(34,291,881	)		(34,211,530	)		80,351
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(21,589,668,960	)		(19,463,901	)		(19,576,605	)		(112,704	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(461,865,659	)		(32,400,480	)		(31,164,105	)		1,236,375
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(377,776,398	)		(53,440,918	)		(50,583,728	)		2,857,190
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(9,274,000	)		(7,069,781	)		(7,183,472	)		(113,691	)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(25,100,000	)		(7,358,334	)		(7,066,541	)		291,793
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(375,445,018	)		(6,811,319	)		(5,928,687	)		882,632
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(363,446,268	)		(48,337,516	)		(46,634,603	)		1,702,913
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(45,444,499	)		(34,557,925	)		(34,263,860	)		294,065
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(27,600,000	)		(11,648,462	)		(11,634,795	)		13,667
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(54,400,000	)		(4,692,515	)		(4,647,340	)		45,175
							(441,944,524	)		(432,324,864	)		9,619,660
							$(53,113,806	)		$(50,651,052	)		$2,462,754

Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $2,610,000 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	2-13 months maturity 02/20/2015		$17,217,988

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		4,900	$	194,880	$	2,198
Restaurant Brands International, Inc.		1,584		47,056		14,783
						16,981
Ireland
Alkermes PLC		1,309		59,385		17,270
Covidien PLC		2,006		136,036		69,138
Mallinckrodt PLC		15,038		1,195,022		294,191
						380,599
Netherlands
QIAGEN NV		1,318		32,653		(1,733	)
Singapore
Avago Technologies Ltd.		13,439		1,045,318		306,511
Flextronics International Ltd.		91,200		1,010,595		9,021
						315,532
Sweden
Autoliv, Inc.		4,502		408,126		69,626
Switzerland
Allied World Assurance Co. Holdings AG		8,708		327,203		3,004
Garmin Ltd.		14,371		805,117		(45,897	)
Noble Corp. PLC		7,037		164,990		(48,387	)
TE Connectivity Ltd.		18,482		1,024,677		144,309
						53,029
United Kingdom
Aon PLC		13,619		1,078,153		213,337
Delphi Automotive PLC		32,815		2,102,966		283,341
Willis Group Holdings PLC		626		26,178		1,873
						498,551

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
3M Co.		8,624	$	1,086,202	$	330,893
Abbott Laboratories		6,209		244,823		34,707
AbbVie, Inc.		8,963		439,030		147,509
Accenture PLC		1,887		148,617		19,911
ACE Ltd.		12,993		1,205,532		287,104
Actavis PLC		4,309		1,096,330		12,850
Activision Blizzard, Inc.		55,672		951,373		170,418
Acuity Brands, Inc.		3,279		452,988		6,301
Advance Auto Parts, Inc.		6,015		806,601		151,468
Advent Software, Inc.		2,156		67,091		(1,031	)
AECOM Technology Corp.		11,287		358,256		(15,470	)
Aetna, Inc.		25,368		1,987,623		265,816
Aflac, Inc.		6,400		369,258		21,718
AGCO Corp.		11,229		591,517		(83,966	)
Agilent Technologies, Inc.		3,144		127,238		1,478
AGL Resources, Inc.		4,444		217,723		24,519
Air Lease Corp.		4,282		136,168		10,748
Akamai Technologies, Inc.		10,579		604,062		61,992
Alaska Air Group, Inc.		27,652		1,053,412		599,071
Alexion Pharmaceuticals, Inc.		2,000		369,751		309
Alliant Energy Corp.		5,989		309,681		88,108
Alliant Techsystems, Inc.		5,982		788,268		(92,860	)
Allstate Corp./The		13,916		846,585		131,014
Altria Group, Inc.		17,899		693,724		188,160
Amdocs Ltd.		14,764		692,074		(3,259	)
AMERCO		2,400		669,160		13,064
Ameren Corp.		9,702		404,197		43,356
American Electric Power Co., Inc.		44,677		2,394,232		318,555
American Express Co.		7,877		707,622		25,254
American Financial Group, Inc.		7,478		406,252		47,812
American Water Works Co., Inc.		6,900		362,406		5,364

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ameriprise Financial, Inc.		19,808	$	2,084,462	$	535,146
AmerisourceBergen Corp.		5,001		352,721		98,170
Amgen, Inc.		16,970		2,357,008		346,144
Analog Devices, Inc.		1,527		82,210		2,569
ANN, Inc.		10,600		429,190		(42,502	)
ANSYS, Inc.		340		25,865		2,015
Anthem, Inc.		27,935		2,562,398		948,193
AO Smith Corp.		1,797		82,845		18,524
AOL, Inc.		3,264		156,138		(5,439	)
Apollo Education Group, Inc.		18,512		524,664		106,781
Apple, Inc.		15,937		1,673,143		85,983
Archer-Daniels-Midland Co.		36,144		1,422,454		457,034
ARRIS Group, Inc.		43,300		1,274,121		33,106
Arrow Electronics, Inc.		12,277		682,604		28,111
Arthur J Gallagher & Co.		600		27,335		913
Ascena Retail Group, Inc.		9,762		176,236		(53,625	)
Aspen Insurance Holdings Ltd.		5,000		218,580		270
Associated Banc-Corp.		1,757		28,629		4,104
Assurant, Inc.		12,527		811,694		45,529
AT&T, Inc.		42,586		1,538,801		(108,337	)
Atmos Energy Corp.		8,492		435,587		37,757
Atwood Oceanics, Inc.		2,875		131,205		(49,641	)
AutoNation, Inc.		8,982		527,686		14,917
AutoZone, Inc.		3,828		2,074,087		295,866
Avery Dennison Corp.		3,563		176,402		8,447
Avnet, Inc.		16,919		674,578		53,277
Axis Capital Holdings Co.		5,041		229,336		28,208
Babcock & Wilcox Co./The		6,618		220,987		(20,462	)
Ball Corp.		16,750		1,049,934		91,914
Bank of New York Mellon Corp./The		11,326		384,989		74,507
BankUnited, Inc.		2,246		72,321		(7,255	)
Baxter International, Inc.		1,148		80,413		3,724
BB&T Corp.		1,477		54,403		3,037
Becton Dickinson and Co.		6,139		652,640		201,664
Bed Bath & Beyond, Inc.		5,420		341,618		71,224
Bemis Co., Inc.		619		23,813		4,172
Big Lots, Inc.		5,319		235,246		(22,380	)
Biogen Idec, Inc.		4,505		1,443,793		85,429
Bio-Techne Corp.		1,557		137,823		6,044
Boeing Co./The		1,334		185,886		(12,492	)
Booz Allen Hamilton Holding Corp.		29,000		779,344		(9,974	)
Boston Scientific Corp.		13,116		177,197		(3,410	)
Brinker International, Inc.		3,200		169,630		18,178
Broadcom Corp.		21,721		897,574		43,597
Broadridge Financial Solutions, Inc.		16,983		618,209		166,066
Brocade Communications Systems, Inc.		183,710		1,683,118		492,009

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bunge Ltd.		3,989	$	346,488	$	16,152
CA, Inc.		37,072		1,161,818		(32,976	)
Cablevision Systems Corp.		46,100		868,582		82,922
Cabot Corp.		1,919		98,002		(13,834	)
California Resources Corp.		1,860		117,397		(107,148	)
Capital One Financial Corp.		29,451		2,458,347		(27,167	)
Cardinal Health, Inc.		18,425		1,317,550		169,900
Carlisle Cos., Inc.		1,228		89,309		21,506
Carter’s, Inc.		3,444		242,113		58,582
Caterpillar, Inc.		6,909		691,393		(59,012	)
Celanese Corp.		749		41,270		3,640
Celgene Corp.		7,239		543,822		265,933
Centene Corp.		5,300		457,326		93,079
CenturyLink, Inc.		10,000		408,580		(12,780	)
CF Industries Holdings, Inc.		710		184,292		9,211
Charles River Laboratories International, Inc.		8,738		536,587		19,500
Cheesecake Factory, Inc./The		838		36,503		5,657
Chesapeake Energy Corp.		11,598		284,059		(57,086	)
Chevron Corp.		16,293		1,834,559		(6,811	)
Chubb Corp./The		4,282		357,961		85,097
Church & Dwight Co., Inc.		340		22,410		4,385
Cigna Corp.		10,241		872,905		180,996
Cimarex Energy Co.		3,026		385,822		(65,066	)
Cinemark Holdings, Inc.		7,168		231,757		23,281
Cintas Corp.		13,216		831,405		205,258
Cisco Systems, Inc.		72,184		1,651,909		355,889
Cleco Corp.		519		28,329		(23	)
Clorox Co./The		1,647		148,181		23,453
CMS Energy Corp.		10,162		298,743		54,386
Coca-Cola Enterprises, Inc.		7,407		327,921		(383	)
Cognizant Technology Solutions Corp.		1,617		80,264		4,887
Comcast Corp.		3,563		190,933		15,757
Comerica, Inc.		2,825		131,041		1,282
Commerce Bancshares, Inc.		561		24,262		136
Commercial Metals Co.		17,140		318,848		(39,637	)
Computer Sciences Corp.		20,535		1,219,487		75,245
ConocoPhillips		39,542		3,065,310		(334,540	)
Consolidated Edison, Inc.		21,204		1,241,845		157,831
Convergys Corp.		1,937		37,647		1,810
Cooper Cos., Inc./The		3,258		491,674		36,415
Corning, Inc.		52,843		900,418		311,272
CR Bard, Inc.		6,280		955,727		90,647
Crane Co.		4,851		296,094		(11,340	)
Crown Holdings, Inc.		7,820		344,678		53,360
CST Brands, Inc.		5,001		156,970		61,124
CSX Corp.		15,691		411,865		156,620
Cullen/Frost Bankers, Inc.		410		29,893		(931	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cummins, Inc.		5,003	$	695,415	$	25,868
CVR Energy, Inc.		2,300		105,319		(16,286	)
CVS Health Corp.		30,788		2,212,913		752,279
Cytec Industries, Inc.		3,324		155,042		(1,573	)
Danaher Corp.		2,336		172,137		28,082
Deckers Outdoor Corp.		13,167		1,189,445		9,279
Delta Air Lines, Inc.		59,412		2,241,187		681,289
Deluxe Corp.		9,254		524,472		51,589
Devon Energy Corp.		16,352		1,007,392		(6,486	)
DeVry Education Group, Inc.		7,187		254,341		86,826
Dillard’s, Inc.		4,671		402,524		182,192
Discover Financial Services		36,747		2,280,826		125,735
Dolby Laboratories, Inc.		3,400		142,117		4,491
Dollar General Corp.		3,900		245,875		29,855
Dollar Tree, Inc.		2,006		100,225		40,958
Dominion Resources, Inc.		479		33,146		3,689
Domino’s Pizza, Inc.		2,240		201,432		9,508
Dover Corp.		8,954		673,262		(31,082	)
Dow Chemical Co./The		11,757		576,862		(40,626	)
DR Horton, Inc.		8,077		201,331		2,936
Dr Pepper Snapple Group, Inc.		43,732		2,941,780		192,930
DST Systems, Inc.		8,140		729,769		36,612
DTE Energy Co.		14,479		1,069,501		181,050
Dun & Bradstreet Corp./The		2,156		232,068		28,721
Eastman Chemical Co.		2,485		198,502		(9,990	)
eBay, Inc.		13,829		753,469		22,614
Edison International		18,793		970,939		259,627
EI du Pont de Nemours & Co.		2,686		167,166		31,437
Electronic Arts, Inc.		29,046		1,105,793		259,804
Eli Lilly & Co.		24,531		1,494,295		198,099
EMC Corp.		36,294		1,056,810		22,573
Endurance Specialty Holdings Ltd.		2,948		160,215		16,194
Energen Corp.		928		63,596		(4,427	)
Energizer Holdings, Inc.		6,220		606,495		193,148
Entergy Corp.		30,513		2,315,742		353,535
EOG Resources, Inc.		6,152		649,500		(83,085	)
Equifax, Inc.		1,428		102,513		12,970
Everest Re Group Ltd.		8,020		1,315,729		50,077
Exelis, Inc.		10,162		190,581		(12,441	)
Exelon Corp.		32,400		1,163,155		38,237
Expedia, Inc.		32,198		2,771,601		(23,180	)
Express Scripts PLC		1,340		98,173		15,285
Exxon Mobil Corp.		9,536		904,103		(22,500	)
Fair Isaac Corp.		639		39,481		6,719
FedEx Corp.		4,728		732,624		88,441
Fidelity National Information Services, Inc.		8,226		420,011		91,647
Fifth Third BanCorp.		5,273		111,610		(4,172	)
Fiserv, Inc.		16,746		1,051,456		137,008
FleetCor Technologies, Inc.		329		35,437		13,489
FLIR Systems, Inc.		8,684		290,393		(9,813	)
Fluor Corp.		5,185		384,342		(69,976	)
Foot Locker, Inc.		62,618		3,152,913		364,966

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Franklin Resources, Inc.		6,171	$	329,296	$	12,393
Freeport-McMoRan, Inc.		11,296		409,082		(145,208	)
Frontier Communications Corp.		9,200		63,227		(1,863	)
Fulton Financial Corp.		2,207		26,291		987
GameStop Corp.		23,137		780,788		1,242
Gannett Co., Inc.		46,859		1,420,723		75,485
Gap, Inc./The		13,218		497,340		59,270
Gartner, Inc.		2,900		242,380		1,829
GATX Corp.		4,799		283,057		(6,922	)
General Dynamics Corp.		14,098		1,972,771		(32,604	)
General Mills, Inc.		9,304		449,063		47,120
Genuine Parts Co.		8,306		668,856		216,315
Gilead Sciences, Inc.		32,242		3,027,986		11,145
Global Payments, Inc.		2,540		184,489		20,565
Google, Inc.		1,889		1,103,734		(101,317	)
Graham Holdings Co.		1,418		997,222		227,519
Great Plains Energy, Inc.		9,054		222,028		35,196
Guess?, Inc.		4,612		130,482		(33,261	)
H&R Block, Inc.		11,185		342,908		33,803
Halliburton Co.		23,738		1,261,570		(327,955	)
Hanesbrands, Inc.		11,609		794,618		501,178
Hanover Insurance Group, Inc./The		569		30,527		10,054
Harris Corp.		10,074		681,000		42,515
Hasbro, Inc.		5,031		243,001		33,654
HCA Holdings, Inc.		26,246		1,809,446		116,748
HCC Insurance Holdings, Inc.		1,348		60,673		11,471
Health Net, Inc.		26,043		1,210,903		183,179
Helix Energy Solutions Group, Inc.		9,378		217,883		(14,380	)
Helmerich & Payne, Inc.		15,573		1,625,414		(575,482	)
Henry Schein, Inc.		2,006		223,086		50,031
Hershey Co./The		1,228		121,022		6,604
Hess Corp.		22,717		1,694,870		(17,901	)
Hewlett-Packard Co.		53,705		1,707,773		447,408
Hill-Rom Holdings, Inc.		5,390		191,839		54,053
HollyFrontier Corp.		2,866		132,955		(25,537	)
Home Depot, Inc./The		7,844		697,276		126,108
Honeywell International, Inc.		12,337		1,107,513		125,200
Hormel Foods Corp.		9,743		432,800		74,810
Howard Hughes Corp./The		2,487		336,525		(12,170	)
Hubbell, Inc.		479		56,896		(5,724	)
Humana, Inc.		17,817		1,976,720		582,336
Huntington Ingalls Industries, Inc.		10,567		1,096,133		92,231
IAC/InterActiveCorp.		19,764		1,311,209		(109,756	)
IDACORP, Inc.		1,797		97,898		21,046
IDEX Corp.		370		28,375		426
Illinois Tool Works, Inc.		1,797		148,540		21,636
Ingram Micro, Inc.		21,052		511,773		70,104
Ingredion, Inc.		4,059		317,144		27,222
Intel Corp.		77,208		2,248,216		553,663
International Business Machines Corp.		4,432		774,414		(63,344	)
International Flavors & Fragrances, Inc.		410		37,772		3,785

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

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228

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intersil Corp.		3,983	$	57,832	$	(198	)
Intuit, Inc.		2,327		173,270		41,256
ITC Holdings Corp.		709		24,645		4,020
ITT Corp.		6,385		269,703		(11,366	)
Jack Henry & Associates, Inc.		2,665		145,222		20,381
Jacobs Engineering Group, Inc.		3,354		209,971		(60,081	)
JetBlue Airways Corp.		15,780		194,773		55,498
JM Smucker Co./The		3,653		349,491		19,389
John Wiley & Sons, Inc.		470		25,457		2,386
Johnson & Johnson		14,583		1,278,076		246,868
Johnson Controls, Inc.		8,055		361,299		28,080
JPMorgan Chase & Co.		25,266		1,458,881		122,265
Juniper Networks, Inc.		9,900		217,668		3,300
Kellogg Co.		1,570		95,512		7,229
Kemper Corp.		2,000		68,154		4,066
KeyCorp.		31,482		391,187		46,413
Kimberly-Clark Corp.		11,909		1,128,488		247,477
Kirby Corp.		300		33,858		(9,636	)
KLA-Tencor Corp.		3,713		275,942		(14,844	)
Kohl’s Corp.		9,907		581,505		23,219
L-3 Communications Holdings, Inc.		3,024		331,375		50,284
Lam Research Corp.		13,385		849,211		212,755
Landstar System, Inc.		2,400		186,447		(12,375	)
Lear Corp.		16,610		1,300,916		328,193
Leggett & Platt, Inc.		629		18,714		8,088
Leidos Holdings, Inc.		8,744		399,099		(18,560	)
Lennar Corp.		5,793		266,354		(6,770	)
Lennox International, Inc.		310		27,318		2,154
Lexmark International, Inc.		35,069		1,445,310		1,987
Liberty Media Corp.		1,974		68,561		1,062
LifePoint Hospitals, Inc.		7,299		518,951		5,920
Lincoln Electric Holdings, Inc.		3,743		259,339		(735	)
Lincoln National Corp.		18,889		889,159		200,170
Lockheed Martin Corp.		17,127		2,920,306		377,841
Loews Corp.		5,310		232,457		(9,331	)
Lowe’s Cos., Inc.		7,751		405,094		128,175
LyondellBasell Industries NV		20,541		1,755,725		(124,975	)
M&T Bank Corp.		4,522		503,125		64,929
Macy’s, Inc.		2,598		154,749		16,070
ManpowerGroup, Inc.		11,499		851,516		(67,629	)
Marathon Oil Corp.		26,138		877,930		(138,486	)
Marathon Petroleum Corp.		2,699		239,258		4,353
Marriott International, Inc.		4,466		268,776		79,706
Marsh & McLennan Cos., Inc.		16,524		809,545		136,289
Martin Marietta Materials, Inc.		300		36,942		(3,846	)
Marvell Technology Group Ltd.		39,138		610,003		(42,502	)
MasterCard, Inc.		8,115		608,655		90,533
Mattel, Inc.		13,445		489,594		(73,539	)
Maxim Integrated Products, Inc.		4,612		154,530		(7,546	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
McDonald’s Corp.		2,286	$	216,956	$	(2,758	)
McGraw Hill Financial, Inc.		2,819		235,742		15,093
McKesson Corp.		7,425		1,299,905		241,377
Medtronic, Inc.		24,256		1,341,308		409,975
Mentor Graphics Corp.		10,511		210,247		20,154
Merck & Co., Inc.		25,205		1,444,108		(12,716	)
Meredith Corp.		459		20,695		4,238
Microchip Technology, Inc.		3,713		180,624		(13,131	)
Micron Technology, Inc.		71,365		2,100,808		397,681
Microsoft Corp.		35,036		1,303,232		324,190
Mondelez International, Inc.		4,500		152,911		10,552
Monster Beverage Corp.		4,182		445,896		7,224
Moody’s Corp.		5,100		495,377		(6,746	)
Murphy Oil Corp.		14,643		823,249		(83,485	)
Murphy USA, Inc.		19,781		1,054,451		307,669
Mylan, Inc.		11,800		657,615		7,551
Myriad Genetics, Inc.		36,147		1,189,086		42,081
National Oilwell Varco, Inc.		19,819		1,426,110		(127,371	)
Navient Corp.		126,863		2,088,030		653,479
NetApp, Inc.		6,588		293,100		(20,028	)
New York Community Bancorp., Inc.		16,662		261,617		4,975
Newfield Exploration Co.		20,422		536,670		17,175
NewMarket Corp.		210		69,635		15,106
NextEra Energy, Inc.		5,969		547,851		86,594
NiSource, Inc.		1,968		78,623		4,860
Nordstrom, Inc.		4,888		332,501		55,558
Norfolk Southern Corp.		15,742		1,546,922		178,559
Northeast Utilities		1,647		70,418		17,730
Northern Trust Corp.		400		26,844		116
Northrop Grumman Corp.		22,650		2,741,784		596,599
Norwegian Cruise Line Holdings Ltd.		18,900		819,787		63,977
Nucor Corp.		2,875		147,717		(6,699	)
NVIDIA Corp.		11,865		206,012		31,881
Occidental Petroleum Corp.		4,652		293,621		81,376
OGE Energy Corp.		988		33,701		1,354
Oil States International, Inc.		2,905		185,685		(43,631	)
Old Dominion Freight Line, Inc.		5,076		358,224		35,877
Olin Corp.		12,277		308,446		(28,899	)
Omnicare, Inc.		5,959		373,896		60,693
Omnicom Group, Inc.		1,800		121,725		17,721
ONEOK, Inc.		4,253		281,074		(69,317	)
Oracle Corp.		28,304		1,086,296		186,535
O’Reilly Automotive, Inc.		6,936		1,159,460		176,553
Owens & Minor, Inc.		4,342		147,212		5,236
Owens-Illinois, Inc.		3,294		111,502		(22,597	)
PACCAR, Inc.		7,906		433,571		104,116
Packaging Corp. of America		9,320		642,510		84,916
Parker-Hannifin Corp.		3,054		336,796		57,018
PartnerRe Ltd.		14,353		1,608,682		29,426

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Patterson Cos., Inc.		1,916	$	76,760	$	15,400
Penske Automotive Group, Inc.		500		21,015		3,520
People’s United Financial, Inc.		16,370		228,487		20,009
PepsiCo, Inc.		8,834		700,070		135,273
Perrigo Co PLC		780		119,762		10,623
PetSmart, Inc.		2,848		190,688		40,840
Pfizer, Inc.		43,542		1,331,189		25,144
PG&E Corp.		21,029		1,013,637		105,947
Phillips 66		22,321		1,712,297		(111,881	)
Pilgrim’s Pride Corp.		63,800		2,139,734		(47,732	)
Pinnacle Foods, Inc.		9,000		308,601		9,099
Pinnacle West Capital Corp.		8,744		458,076		139,227
Plantronics, Inc.		1,198		51,277		12,241
PNC Financial Services Group, Inc./The		21,521		1,700,746		262,615
Polaris Industries, Inc.		809		110,744		11,609
Polycom, Inc.		21,400		274,606		14,294
PPG Industries, Inc.		2,279		441,390		85,401
PPL Corp.		6,199		183,817		41,392
priceline.com, Inc.		749		852,562		1,456
Procter & Gamble Co./The		7,366		588,396		82,573
Prosperity Bancshares, Inc.		459		27,354		(1,944	)
PTC, Inc.		2,136		73,577		4,708
Public Service Enterprise Group, Inc.		43,907		1,627,791		190,398
Pulte Group, Inc.		35,946		664,064		107,337
Quanta Services, Inc.		22,892		709,719		(59,815	)
Raytheon Co.		15,758		1,499,310		205,233
Regal Entertainment Group		16,430		313,799		37,145
Reinsurance Group of America, Inc.		19,647		1,578,520		142,950
Reliance Steel & Aluminum Co.		18,596		1,290,751		(151,374	)
RenaissanceRe Holdings Ltd.		3,639		365,184		(11,400	)
Rent-A-Center, Inc.		4,312		130,520		26,091
Republic Services, Inc.		4,779		184,418		7,937
ResMed, Inc.		3,743		159,087		50,745
Restaurant Brands International LP		16		475		226
Reynolds American, Inc.		19,493		1,156,384		96,431
RF Micro Devices, Inc.		33,000		437,028		110,442
Rock-Tenn Co.		12,126		616,948		122,495
Rockwell Automation, Inc.		1,527		182,064		(12,262	)
Ross Stores, Inc.		5,570		371,407		153,621
Rovi Corp.		2,537		55,390		1,920
Royal Caribbean Cruises Ltd.		7,800		525,027		117,927
RR Donnelley & Sons Co.		11,898		210,423		(10,477	)
Ryder System, Inc.		16,494		1,319,535		211,933
SanDisk Corp.		3,054		208,366		90,865
SCANA Corp.		5,275		272,763		45,847
Schlumberger Ltd.		749		85,799		(21,827	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Scotts Miracle-Gro Co./The		2,875	$	166,357	$	12,813
Seagate Technology PLC		7,576		411,990		91,814
SEI Investments Co.		3,268		116,206		14,645
Sempra Energy		1,467		135,856		27,509
Sherwin-Williams Co./The		2,991		740,409		46,344
Signature Bank		250		29,874		1,616
Signet Jewelers Ltd.		8,852		680,220		484,438
Silgan Holdings, Inc.		539		24,733		4,157
Skyworks Solutions, Inc.		24,008		1,153,934		591,687
SM Energy Co.		5,943		419,095		(189,815	)
Snap-on, Inc.		6,937		868,840		79,725
Sonoco Products Co.		5,300		213,695		17,915
Southern Co./The		1,808		76,447		12,344
Southwest Airlines Co.		58,098		1,191,282		1,267,425
Spectra Energy Corp.		12,200		467,659		(24,799	)
Spectrum Brands Holdings, Inc.		8,200		766,002		18,574
StanCorp Financial Group, Inc.		2,306		144,820		16,277
Steel Dynamics, Inc.		58,145		998,343		149,439
STERIS Corp.		5,702		284,431		85,343
Stryker Corp.		3,833		299,381		62,186
Superior Energy Services, Inc.		13,100		254,592		9,373
Symantec Corp.		21,211		450,577		93,592
Synopsys, Inc.		5,779		223,937		27,276
Sysco Corp.		3,783		138,189		11,958
Targa Resources Corp.		4,400		516,392		(49,772	)
Tech Data Corp.		6,192		339,911		51,609
Teleflex, Inc.		3,359		387,213		(1,533	)
Telephone & Data Systems, Inc.		4,641		126,235		(9,050	)
Texas Instruments, Inc.		10,690		521,299		50,242
Thermo Fisher Scientific, Inc.		2,845		329,707		26,743
Thomson Reuters Corp.		2,700		102,537		6,381
Time Warner, Inc.		11,065		668,249		276,923
Timken Co./The		1,621		60,039		9,146
TJX Cos., Inc./The		3,683		207,440		45,140
Torchmark Corp.		2,809		145,552		6,611
Toro Co./The		479		30,330		235
Total System Services, Inc.		10,281		297,567		51,576
Towers Watson & Co.		6,857		787,131		(11,124	)
Tractor Supply Co.		749		48,116		10,920
Travelers Cos., Inc./The		22,070		1,775,006		561,103
Trinity Industries, Inc.		4,255		197,607		(78,424	)
Tupperware Brands Corp.		3,563		313,383		(88,914	)
Tyco International PLC		4,400		191,628		1,356
Tyson Foods, Inc.		47,440		1,768,031		133,838
UGI Corp.		23,284		827,313		57,014
Ultra Petroleum Corp.		10,424		281,675		(144,495	)
Union Pacific Corp.		24,429		2,373,977		536,250
Unit Corp.		27,420		1,257,228		(322,206	)
United Parcel Service, Inc.		3,400		332,609		45,369
United Rentals, Inc.		4,645		440,819		33,017

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

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230

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United States Steel Corp.		86,439	$	2,629,646	$	(318,267	)
United Technologies Corp.		8,235		933,914		13,111
United Therapeutics Corp.		15,331		1,509,533		475,678
UnitedHealth Group, Inc.		24,303		1,845,414		611,376
Universal Health Services, Inc.		1,767		149,842		46,755
Unum Group		22,981		730,626		70,951
US Bancorp.		16,484		680,348		60,608
Valero Energy Corp.		37,053		1,883,900		(49,777	)
Validus Holdings Ltd.		1,209		46,098		4,148
Valmont Industries, Inc.		3,084		462,105		(70,437	)
Vectren Corp.		4,827		204,607		18,545
VeriSign, Inc.		12,632		704,303		15,721
Verizon Communications, Inc.		5,264		257,082		(10,832	)
VF Corp.		10,720		610,718		192,210
Viacom, Inc.		11,409		909,988		(51,460	)
Visa, Inc.		899		193,026		42,692
WABCO Holdings, Inc.		380		36,912		2,904
Wabtec Corp.		838		62,775		10,039
Walgreens Boots Alliance, Inc.		11,589		669,325		213,757
Wal-Mart Stores, Inc.		3,485		266,150		33,142
Walt Disney Co./The		11,674		880,995		218,579
Washington Federal, Inc.		2,096		44,423		2,004
Waste Connections, Inc.		1,797		74,575		4,475
Waste Management, Inc.		9,343		402,870		76,613
Wells Fargo & Co.		45,443		2,172,530		318,655
Werner Enterprises, Inc.		4,338		126,966		8,163
WESCO International, Inc.		1,377		111,375		(6,434	)
Westar Energy, Inc.		14,120		483,823		98,486
Western Digital Corp.		17,045		1,441,900		444,981
Westlake Chemical Corp.		5,586		336,955		4,294
WGL Holdings, Inc.		479		18,374		7,789
Whirlpool Corp.		6,259		799,102		413,517
Whiting Petroleum Corp.		9,669		689,169		(370,092	)
Williams-Sonoma, Inc.		370		21,054		6,947
Wisconsin Energy Corp.		549		24,386		4,568
World Fuel Services Corp.		6,655		308,981		3,338
Worthington Industries, Inc.		10,002		408,539		(107,579	)
WR Berkley Corp.		1,649		78,459		6,068
Wyndham Worldwide Corp.		800		61,887		6,721
Xcel Energy, Inc.		12,976		366,822		99,276
Xerox Corp.		9,593		117,143		15,816
Xilinx, Inc.		1,557		75,248		(7,846	)
Yahoo!, Inc.		24,644		961,118		283,650
Zebra Technologies Corp.		2,000		142,250		12,570

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zimmer Holdings, Inc.		19,400		$	1,832,602		$	367,746
								31,044,469
Total of Long Equity Positions								32,377,054
Short Positions
Canada
lululemon athletica, Inc.		(9,100	)		(391,255	)		(116,434	)
Ireland
Endo International PLC		(39,796	)		(2,753,173	)		(116,914	)
Jazz Pharmaceuticals PLC		(4,162	)		(616,789	)		(64,655	)
								(181,569	)
Netherlands
Chicago Bridge & Iron Co. NV		(9,800	)		(452,282	)		40,878
Core Laboratories NV		(7,821	)		(1,012,367	)		71,188
								112,066
Norway
Golar LNG Ltd.		(19,200	)		(866,479	)		166,255
Panama
Copa Holdings SA		(523	)		(57,840	)		3,636
Switzerland
Weatherford International PLC		(46,025	)		(722,700	)		195,713
United Kingdom
Ensco PLC		(9,420	)		(363,853	)		81,724
Liberty Global PLC		(8,590	)		(373,070	)		(58,191	)
Pentair PLC		(8,140	)		(533,633	)		(7,026	)
								16,507
United States
Abercrombie & Fitch Co.		(17,727	)		(677,752	)		170,051
Acxiom Corp.		(23,300	)		(451,331	)		(20,960	)
Adobe Systems, Inc.		(2,396	)		(138,674	)		(35,515	)
ADT Corp./The		(4,600	)		(158,618	)		(8,040	)
ADTRAN, Inc.		(46,572	)		(1,019,865	)		4,595
Advanced Micro Devices, Inc.		(44,300	)		(124,244	)		5,963
AES Corp.		(5,900	)		(81,577	)		334
Albemarle Corp.		(1,228	)		(76,788	)		2,948
Alcoa, Inc.		(41,392	)		(662,362	)		8,783
Alere, Inc.		(3,753	)		(144,285	)		1,671
Align Technology, Inc.		(16,600	)		(872,133	)		(55,973	)
Allegheny Technologies, Inc.		(36,470	)		(1,262,513	)		(5,549	)
Alliance Data Systems Corp.		(240	)		(61,654	)		(6,998	)
Allscripts Healthcare Solutions, Inc.		(59,577	)		(800,724	)		39,926
Alnylam Pharmaceuticals, Inc.		(13,700	)		(1,135,259	)		(193,641	)
Altera Corp.		(25,019	)		(825,674	)		(98,528	)
Amazon.com, Inc.		(7,349	)		(2,339,976	)		59,214

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

AQR Funds Annual Report December 2014

231

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
AMC Networks, Inc.		(1,370	)	$	(79,586	)	$	(7,778	)
American Eagle Outfitters, Inc.		(105,118	)		(1,267,389	)		(191,648	)
American International Group, Inc.		(11,679	)		(567,342	)		(86,799	)
AMETEK, Inc.		(2,126	)		(110,595	)		(1,297	)
Anadarko Petroleum Corp.		(4,788	)		(450,411	)		55,401
Apache Corp.		(3,223	)		(204,126	)		2,140
Armstrong World Industries, Inc.		(12,627	)		(648,437	)		2,945
Artisan Partners Asset Management, Inc.		(23,400	)		(1,158,887	)		(23,515	)
Ashland, Inc.		(329	)		(32,538	)		(6,863	)
Assured Guaranty Ltd.		(20,183	)		(440,393	)		(84,163	)
athenahealth, Inc.		(12,200	)		(1,581,652	)		(195,888	)
Atmel Corp.		(77,865	)		(618,997	)		(34,679	)
Autodesk, Inc.		(6,918	)		(347,308	)		(68,187	)
Avis Budget Group, Inc.		(16,719	)		(608,048	)		(500,923	)
Avon Products, Inc.		(150,850	)		(1,902,641	)		486,159
B/E Aerospace, Inc.		(27,157	)		(1,400,596	)		(175,053	)
BancorpSouth, Inc.		(15,775	)		(352,718	)		(2,377	)
Bank of America Corp.		(54,810	)		(863,705	)		(116,846	)
Belden, Inc.		(1,600	)		(110,189	)		(15,907	)
Best Buy Co., Inc.		(6,110	)		(204,366	)		(33,801	)
Bill Barrett Corp.		(78,134	)		(1,391,917	)		501,971
BioMarin Pharmaceutical, Inc.		(27,530	)		(1,607,280	)		(881,432	)
Bristol-Myers Squibb Co.		(8,487	)		(417,277	)		(83,711	)
Brookdale Senior Living, Inc.		(56,414	)		(1,585,162	)		(483,540	)
Brown & Brown, Inc.		(1,129	)		(35,313	)		(1,843	)
Bruker Corp.		(48,213	)		(966,247	)		20,308
Brunswick Corp./DE		(7,600	)		(346,983	)		(42,593	)
Cabela’s, Inc.		(13,316	)		(786,628	)		84,742
Cabot Oil & Gas Corp.		(33,849	)		(1,123,707	)		121,438
Calpine Corp.		(73,395	)		(1,381,866	)		(242,365	)
Cameron International Corp.		(17,817	)		(1,054,007	)		164,048
Campbell Soup Co.		(3,923	)		(158,129	)		(14,483	)
CARBO Ceramics, Inc.		(18,500	)		(827,866	)		86,941
CarMax, Inc.		(16,956	)		(809,933	)		(318,997	)
Carnival Corp.		(27,490	)		(1,057,386	)		(188,735	)
Carpenter Technology Corp.		(16,300	)		(813,552	)		10,777
Catamaran Corp.		(7,159	)		(341,274	)		(29,204	)
CBS Corp.		(505	)		(27,661	)		(285	)
CenterPoint Energy, Inc.		(3,065	)		(71,901	)		88
Cerner Corp.		(2,959	)		(174,431	)		(16,898	)
CH Robinson Worldwide, Inc.		(5,809	)		(334,826	)		(100,210	)
Charles Schwab Corp./The		(52,730	)		(1,466,978	)		(124,941	)
Charter Communications, Inc.		(3,953	)		(543,543	)		(115,106	)
Cheniere Energy, Inc.		(17,477	)		(783,324	)		(447,056	)
Chico’s FAS, Inc.		(42,609	)		(660,525	)		(30,167	)
Chipotle Mexican Grill, Inc.		(100	)		(68,154	)		(297	)
Ciena Corp.		(156,879	)		(2,740,565	)		(304,456	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cincinnati Financial Corp.		(7,660	)	$	(369,857	)	$	(27,160	)
CIT Group, Inc.		(14,742	)		(664,325	)		(40,784	)
Citigroup, Inc.		(21,411	)		(1,053,425	)		(105,124	)
Citrix Systems, Inc.		(6,242	)		(362,257	)		(35,983	)
Civeo Corp.		(10,400	)		(93,279	)		50,535
CLARCOR, Inc.		(400	)		(24,767	)		(1,889	)
Clean Harbors, Inc.		(11,834	)		(586,490	)		17,866
Coach, Inc.		(84,607	)		(2,878,758	)		(299,081	)
Cobalt International Energy, Inc.		(285,900	)		(3,130,907	)		589,256
Coca-Cola Co./The		(7,649	)		(326,909	)		3,968
Colfax Corp.		(27,805	)		(1,502,596	)		68,692
Colgate-Palmolive Co.		(9,000	)		(594,079	)		(28,631	)
Community Health Systems, Inc.		(8,470	)		(397,721	)		(58,982	)
CommVault Systems, Inc.		(15,897	)		(777,213	)		(44,502	)
Compass Minerals International, Inc.		(5,779	)		(446,862	)		(54,928	)
ConAgra Foods, Inc.		(6,857	)		(211,972	)		(36,800	)
Concho Resources, Inc.		(4,222	)		(407,494	)		(13,651	)
CONSOL Energy, Inc.		(42,656	)		(1,587,850	)		145,650
Con-way, Inc.		(2,526	)		(102,913	)		(21,315	)
Copart, Inc.		(5,460	)		(193,478	)		(5,757	)
Corporate Executive Board Co./The		(4,000	)		(292,563	)		2,443
CoStar Group, Inc.		(6,000	)		(948,502	)		(153,278	)
Costco Wholesale Corp.		(3,414	)		(382,376	)		(101,558	)
Coty, Inc.		(19,500	)		(389,493	)		(13,377	)
Covanta Holding Corp.		(22,978	)		(408,610	)		(97,135	)
Cree, Inc.		(31,620	)		(1,418,815	)		400,019
Cubist Pharmaceuticals, Inc.		(3,341	)		(221,693	)		(114,579	)
Cypress Semiconductor Corp.		(142,374	)		(1,395,278	)		(637,822	)
Darden Restaurants, Inc.		(15,871	)		(739,447	)		(191,070	)
DaVita HealthCare Partners, Inc.		(8,265	)		(526,523	)		(99,468	)
Dean Foods Co.		(134,623	)		(1,990,591	)		(618,403	)
Deere & Co.		(5,902	)		(483,527	)		(38,623	)
Denbury Resources, Inc.		(17,798	)		(279,636	)		134,939
Dick’s Sporting Goods, Inc.		(3,504	)		(187,814	)		13,841
Diebold, Inc.		(15,122	)		(498,046	)		(25,780	)
Discovery Communications, Inc.		(23,435	)		(841,766	)		34,431
Donaldson Co., Inc.		(2,458	)		(100,968	)		6,016
DreamWorks Animation SKG, Inc.		(59,106	)		(1,384,322	)		64,485
Dril-Quip, Inc.		(2,700	)		(212,680	)		5,509
DSW, Inc.		(45,349	)		(1,528,526	)		(162,991	)
Dunkin’ Brands Group, Inc.		(23,406	)		(1,070,557	)		72,291
E*TRADE Financial Corp.		(53,476	)		(1,094,236	)		(202,825	)
Eagle Materials, Inc.		(2,066	)		(162,683	)		5,605
East West Bancorp, Inc.		(1,800	)		(64,761	)		(4,917	)
Ecolab, Inc.		(988	)		(102,900	)		(366	)
Edwards Lifesciences Corp.		(7,316	)		(501,439	)		(430,473	)

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

AQR Funds Annual Report December 2014

232

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Emerson Electric Co.		(9,100	)	$	(574,349	)	$	12,606
EQT Corp.		(1,800	)		(161,405	)		25,145
Equinix, Inc.		(7,972	)		(1,404,917	)		(402,574	)
Estee Lauder Cos., Inc./The		(8,362	)		(612,743	)		(24,441	)
Esterline Technologies Corp.		(3,024	)		(300,438	)		(31,234	)
Expeditors International of Washington, Inc.		(11,642	)		(489,276	)		(30,074	)
F5 Networks, Inc.		(4,731	)		(496,122	)		(121,108	)
Facebook, Inc.		(6,789	)		(398,945	)		(130,732	)
Fairchild Semiconductor International, Inc.		(22,456	)		(278,794	)		(100,264	)
Fastenal Co.		(26,994	)		(1,171,621	)		(112,214	)
Federated Investors, Inc.		(16,900	)		(507,925	)		(48,592	)
FEI Co.		(9,700	)		(819,159	)		(57,237	)
First American Financial Corp.		(7,097	)		(184,636	)		(55,952	)
First Horizon National Corp.		(55,459	)		(634,827	)		(118,306	)
First Niagara Financial Group, Inc.		(155,144	)		(1,253,564	)		(54,300	)
First Republic Bank		(11,371	)		(575,970	)		(16,686	)
First Solar, Inc.		(14,370	)		(829,909	)		189,079
FirstEnergy Corp.		(9,163	)		(298,805	)		(58,460	)
FirstMerit Corp.		(10,700	)		(189,502	)		(12,621	)
Flowers Foods, Inc.		(14,321	)		(268,192	)		(6,628	)
Flowserve Corp.		(15,600	)		(970,783	)		37,435
FMC Corp.		(24,577	)		(1,395,520	)		(6,106	)
FMC Technologies, Inc.		(5,001	)		(245,029	)		10,782
FNF Group		(14,562	)		(365,281	)		(136,379	)
Ford Motor Co.		(55,848	)		(812,628	)		(53,017	)
Forest City Enterprises, Inc.		(36,244	)		(679,926	)		(92,071	)
Fortinet, Inc.		(46,496	)		(949,802	)		(475,766	)
Fortune Brands Home & Security, Inc.		(14,009	)		(556,180	)		(78,007	)
Fossil Group, Inc.		(1,801	)		(197,505	)		(1,938	)
Freescale Semiconductor Ltd.		(16,792	)		(295,298	)		(128,364	)
FTI Consulting, Inc.		(12,148	)		(435,937	)		(33,340	)
General Electric Co.		(10,850	)		(288,249	)		14,069
General Motors Co.		(11,329	)		(379,975	)		(15,521	)
Genesee & Wyoming, Inc.		(4,157	)		(384,494	)		10,696
Genpact Ltd.		(3,432	)		(56,224	)		(8,743	)
Genworth Financial, Inc.		(118,543	)		(1,162,948	)		155,333
GNC Holdings, Inc.		(28,384	)		(1,089,076	)		(243,837	)
Goodyear Tire & Rubber Co./The		(2,545	)		(62,429	)		(10,282	)
Graco, Inc.		(5,010	)		(380,754	)		(20,948	)
Groupon, Inc.		(79,864	)		(488,598	)		(171,079	)
Hain Celestial Group, Inc./The		(400	)		(20,606	)		(2,710	)
Harley-Davidson, Inc.		(3,499	)		(210,531	)		(20,088	)
Harman International Industries, Inc.		(2,426	)		(219,504	)		(39,374	)
Harsco Corp.		(53,278	)		(1,138,640	)		132,219
Hertz Global Holdings, Inc.		(83,791	)		(2,195,948	)		106,201
Hexcel Corp.		(14,369	)		(593,174	)		(2,996	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hilton Worldwide Holdings, Inc.		(7,200	)	$	(173,582	)	$	(14,266	)
HMS Holdings Corp.		(66,838	)		(1,376,767	)		(36,188	)
Hologic, Inc.		(45,291	)		(1,091,153	)		(119,928	)
HomeAway, Inc.		(47,735	)		(1,523,527	)		101,979
Hospira, Inc.		(2,455	)		(105,239	)		(45,130	)
HSN, Inc.		(749	)		(40,211	)		(16,713	)
Huntington Bancshares, Inc.		(42,501	)		(379,299	)		(67,812	)
Huntsman Corp.		(6,678	)		(143,488	)		(8,637	)
IDEXX Laboratories, Inc.		(359	)		(40,749	)		(12,480	)
IHS, Inc.		(479	)		(56,096	)		1,547
Illumina, Inc.		(2,755	)		(375,617	)		(132,901	)
Incyte Corp.		(23,305	)		(1,384,354	)		(319,474	)
Informatica Corp.		(2,547	)		(101,235	)		4,105
Ingersoll-Rand PLC		(1,827	)		(113,859	)		(1,955	)
Integrated Device Technology, Inc.		(1,498	)		(17,372	)		(11,989	)
InterDigital, Inc.		(6,897	)		(191,404	)		(173,447	)
International Paper Co.		(3,700	)		(175,219	)		(23,027	)
Intuitive Surgical, Inc.		(4,931	)		(1,915,786	)		(692,417	)
Itron, Inc.		(14,783	)		(587,653	)		(37,520	)
Jabil Circuit, Inc.		(21,770	)		(382,399	)		(92,840	)
Janus Capital Group, Inc.		(54,942	)		(630,093	)		(256,121	)
Jarden Corp.		(555	)		(21,705	)		(4,868	)
JB Hunt Transport Services, Inc.		(539	)		(39,989	)		(5,422	)
JDS Uniphase Corp.		(133,056	)		(1,670,711	)		(154,818	)
Joy Global, Inc.		(8,028	)		(415,392	)		41,929
Kansas City Southern		(3,957	)		(459,148	)		(23,724	)
Kate Spade & Co.		(32,200	)		(925,945	)		(104,777	)
KB Home		(42,584	)		(632,836	)		(71,929	)
KBR, Inc.		(13,211	)		(286,748	)		62,822
Kennametal, Inc.		(4,700	)		(174,201	)		5,988
Keurig Green Mountain, Inc.		(2,419	)		(313,077	)		(7,186	)
KLX, Inc.		(13,578	)		(700,272	)		140,180
Kosmos Energy Ltd.		(71,900	)		(630,457	)		27,216
L Brands, Inc.		(1,018	)		(52,127	)		(35,981	)
Laboratory Corp. of America Holdings		(1,018	)		(90,452	)		(19,390	)
Lamar Advertising Co.		(17,997	)		(857,419	)		(107,940	)
Laredo Petroleum, Inc.		(77,181	)		(1,236,424	)		437,600
Las Vegas Sands Corp.		(12,674	)		(941,969	)		204,850
Legg Mason, Inc.		(4,612	)		(202,513	)		(43,630	)
Leucadia National Corp.		(9,127	)		(229,250	)		24,623
Level 3 Communications, Inc.		(12,416	)		(389,172	)		(223,930	)
Life Time Fitness, Inc.		(14,500	)		(699,195	)		(121,795	)
LinkedIn Corp.		(8,157	)		(1,387,745	)		(486,000	)
Lions Gate Entertainment Corp.		(39,710	)		(1,275,780	)		4,266
Live Nation Entertainment, Inc.		(1,000	)		(26,600	)		490
LKQ Corp.		(26,097	)		(739,083	)		5,236
Louisiana-Pacific Corp.		(79,274	)		(1,110,556	)		(202,221	)
LPL Financial Holdings, Inc.		(652	)		(27,880	)		(1,167	)
Madison Square Garden Co./The		(3,566	)		(219,356	)		(49,021	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Manitowoc Co., Inc./The		(17,885	)	$	(430,228	)	$	34,969
Markel Corp.		(150	)		(84,987	)		(17,439	)
Masco Corp.		(35,635	)		(750,498	)		(147,504	)
MDC Holdings, Inc.		(12,400	)		(314,602	)		(13,626	)
Mead Johnson Nutrition Co.		(7,307	)		(601,220	)		(133,426	)
MeadWestvaco Corp.		(589	)		(22,376	)		(3,770	)
Medivation, Inc.		(7,408	)		(554,880	)		(183,031	)
MEDNAX, Inc.		(1,499	)		(82,937	)		(16,162	)
MetLife, Inc.		(1,797	)		(100,837	)		3,637
MGM Resorts International		(29,901	)		(713,250	)		73,967
Michael Kors Holdings Ltd.		(11,116	)		(856,124	)		21,313
Middleby Corp./The		(1,700	)		(148,871	)		(19,599	)
Mohawk Industries, Inc.		(479	)		(64,475	)		(9,942	)
Monsanto Co.		(9,589	)		(1,031,651	)		(113,947	)
Mosaic Co./The		(14,839	)		(660,873	)		(16,528	)
Motorola Solutions, Inc.		(12,716	)		(813,581	)		(39,408	)
MSC Industrial Direct Co., Inc.		(928	)		(75,788	)		388
MSCI, Inc.		(559	)		(24,415	)		(2,104	)
National Fuel Gas Co.		(700	)		(48,660	)		(11	)
Navistar International Corp.		(68,619	)		(2,412,456	)		115,091
NCR Corp.		(30,360	)		(982,102	)		97,411
Netflix, Inc.		(2,700	)		(956,151	)		33,804
NetSuite, Inc.		(10,348	)		(862,289	)		(267,403	)
New York Times Co./The		(30,472	)		(411,266	)		8,426
Newell Rubbermaid, Inc.		(749	)		(23,647	)		(4,883	)
News Corp.		(13,446	)		(230,616	)		19,648
Nielsen Holdings NV		(2,815	)		(125,042	)		(873	)
NIKE, Inc.		(6,977	)		(543,649	)		(127,189	)
Noble Energy, Inc.		(19,200	)		(1,033,404	)		122,748
Nordson Corp.		(3,167	)		(228,784	)		(18,115	)
NRG Energy, Inc.		(18,314	)		(527,697	)		34,134
Nuance Communications, Inc.		(31,324	)		(471,602	)		24,609
Oasis Petroleum, Inc.		(39,115	)		(747,220	)		100,257
Oceaneering International, Inc.		(4,461	)		(285,942	)		23,591
Ocwen Financial Corp.		(60,058	)		(1,410,578	)		503,702
Office Depot, Inc.		(194,542	)		(878,590	)		(789,608	)
Old Republic International Corp.		(3,116	)		(50,143	)		4,556
ON Semiconductor Corp.		(27,303	)		(222,115	)		(54,464	)
Oshkosh Corp.		(600	)		(27,970	)		(1,220	)
Owens Corning		(15,092	)		(578,036	)		37,592
PacWest Bancorp		(3,400	)		(157,669	)		3,105
Pall Corp.		(1,189	)		(98,775	)		(21,564	)
Palo Alto Networks, Inc.		(14,652	)		(870,328	)		(925,568	)
Pandora Media, Inc.		(61,918	)		(1,392,332	)		288,334
Panera Bread Co.		(1,108	)		(163,625	)		(30,053	)
PBF Energy, Inc.		(43,100	)		(1,152,174	)		3,990
Peabody Energy Corp.		(259,706	)		(3,123,996	)		1,113,872
PerkinElmer, Inc.		(7,187	)		(312,380	)		(1,907	)
Pharmacyclics, Inc.		(14,071	)		(1,792,248	)		71,927
Philip Morris International, Inc.		(5,181	)		(404,331	)		(17,661	)
Pitney Bowes, Inc.		(5,506	)		(140,067	)		5,886

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PolyOne Corp.		(700	)	$	(24,901	)	$	(1,636	)
Post Holdings, Inc.		(63,985	)		(2,592,808	)		(87,524	)
Precision Castparts Corp.		(2,308	)		(567,193	)		11,242
Principal Financial Group, Inc.		(6,109	)		(259,501	)		(57,800	)
Progressive Corp./The		(28,213	)		(668,701	)		(92,768	)
Prudential Financial, Inc.		(359	)		(32,512	)		37
PVH Corp.		(7,077	)		(790,703	)		(116,356	)
QUALCOMM, Inc.		(3,700	)		(274,457	)		(564	)
Quest Diagnostics, Inc.		(629	)		(37,128	)		(5,052	)
Rackspace Hosting, Inc.		(12,887	)		(453,497	)		(149,744	)
Ralph Lauren Corp.		(659	)		(104,750	)		(17,270	)
Range Resources Corp.		(29,593	)		(2,263,422	)		681,677
Red Hat, Inc.		(9,133	)		(532,821	)		(98,634	)
Regeneron Pharmaceuticals, Inc.		(1,868	)		(601,392	)		(164,955	)
Regions Financial Corp.		(25,154	)		(269,485	)		3,859
Rite Aid Corp.		(30,900	)		(174,837	)		(57,531	)
Robert Half International, Inc.		(459	)		(19,969	)		(6,828	)
Rockwell Collins, Inc.		(2,096	)		(157,337	)		(19,733	)
Rosetta Resources, Inc.		(32,634	)		(1,088,121	)		360,056
Rowan Cos. PLC		(8,228	)		(209,198	)		17,321
RPC, Inc.		(2,000	)		(25,720	)		(360	)
Salesforce.com, Inc.		(28,700	)		(1,684,491	)		(17,706	)
Salix Pharmaceuticals Ltd.		(9,100	)		(1,251,784	)		205,830
Sally Beauty Holdings, Inc.		(12,487	)		(343,298	)		(40,552	)
SBA Communications Corp.		(3,983	)		(367,108	)		(74,050	)
Scripps Networks Interactive, Inc.		(2,009	)		(154,867	)		3,650
Seadrill Ltd.		(117,425	)		(1,509,449	)		107,395
Sealed Air Corp.		(22,720	)		(731,064	)		(232,945	)
Seattle Genetics, Inc.		(30,747	)		(1,127,273	)		139,372
SeaWorld Entertainment, Inc.		(23,600	)		(413,842	)		(8,598	)
Semtech Corp.		(28,958	)		(699,947	)		(98,425	)
Sensata Technologies Holding NV		(11,956	)		(441,796	)		(184,818	)
Service Corp. International		(35,613	)		(685,329	)		(123,086	)
ServiceNow, Inc.		(7,205	)		(425,542	)		(63,318	)
Silicon Laboratories, Inc.		(2,816	)		(129,818	)		(4,280	)
Sirius XM Holdings, Inc.		(675,113	)		(2,230,032	)		(132,864	)
Sirona Dental Systems, Inc.		(2,955	)		(208,889	)		(49,289	)
Six Flags Entertainment Corp.		(11,117	)		(422,158	)		(57,540	)
SolarWinds, Inc.		(13,895	)		(543,721	)		(148,667	)
Solera Holdings, Inc.		(5,140	)		(267,231	)		4,166
Sotheby’s		(43,088	)		(1,758,264	)		(102,276	)
Southwestern Energy Co.		(14,104	)		(573,906	)		189,008
Spirit AeroSystems Holdings, Inc.		(8,415	)		(284,080	)		(78,101	)
Spirit Airlines, Inc.		(1,800	)		(136,451	)		407
Splunk, Inc.		(27,166	)		(1,459,904	)		(141,532	)
Sprint Corp.		(282,820	)		(1,729,544	)		555,841

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Stanley Black & Decker, Inc.		(5,274	)	$	(428,356	)	$	(78,370	)
Staples, Inc.		(12,558	)		(140,438	)		(87,113	)
Starbucks Corp.		(16,644	)		(1,275,106	)		(90,535	)
Starwood Hotels & Resorts Worldwide, Inc.		(2,800	)		(223,415	)		(3,581	)
State Street Corp.		(1,318	)		(90,911	)		(12,552	)
Stratasys Ltd.		(13,811	)		(1,533,770	)		385,937
SunEdison, Inc.		(117,857	)		(1,979,164	)		(320,227	)
SunPower Corp.		(3,400	)		(131,125	)		43,303
SunTrust Banks, Inc.		(5,720	)		(225,025	)		(14,643	)
SUPERVALU, Inc.		(42,900	)		(260,837	)		(155,293	)
SVB Financial Group		(350	)		(38,490	)		(2,135	)
Synovus Financial Corp.		(49,832	)		(1,149,863	)		(200,086	)
T Rowe Price Group, Inc.		(419	)		(34,475	)		(1,500	)
Tableau Software, Inc.		(11,600	)		(789,989	)		(193,227	)
Target Corp.		(27,749	)		(1,689,797	)		(416,629	)
Taylor Morrison Home Corp.		(15,900	)		(278,409	)		(21,942	)
TCF Financial Corp.		(5,761	)		(95,075	)		3,532
Teekay Corp.		(10,009	)		(527,485	)		18,127
Tempur Sealy International, Inc.		(17,159	)		(871,156	)		(71,044	)
Tenet Healthcare Corp.		(53,888	)		(2,453,636	)		(276,869	)
Teradata Corp.		(11,978	)		(492,116	)		(31,083	)
Terex Corp.		(14,158	)		(475,568	)		80,843
Tesla Motors, Inc.		(3,428	)		(786,412	)		23,991
Tesoro Corp.		(13,535	)		(711,670	)		(294,657	)
Textron, Inc.		(13,236	)		(459,649	)		(97,719	)
Thor Industries, Inc.		(499	)		(26,057	)		(1,823	)
Thoratec Corp.		(19,556	)		(656,472	)		21,685
Tidewater, Inc.		(9,022	)		(296,939	)		4,536
Tiffany & Co.		(4,222	)		(366,090	)		(85,073	)
Time, Inc.		(1,100	)		(25,171	)		(1,900	)
T-Mobile US, Inc.		(20,500	)		(581,665	)		29,395
Toll Brothers, Inc.		(11,589	)		(417,335	)		20,180
TransDigm Group, Inc.		(3,414	)		(568,689	)		(101,650	)
Trimble Navigation Ltd.		(27,190	)		(844,750	)		123,127
TripAdvisor, Inc.		(12,225	)		(939,387	)		26,669
Triumph Group, Inc.		(12,146	)		(796,361	)		(20,093	)
Twenty-First Century Fox, Inc.		(32,946	)		(1,095,722	)		(169,569	)
Ulta Salon Cosmetics & Fragrance, Inc.		(10,002	)		(838,706	)		(439,950	)
Umpqua Holdings Corp.		(74,900	)		(1,287,199	)		13,150
Under Armour, Inc.		(9,157	)		(472,007	)		(149,753	)
United Continental Holdings, Inc.		(12,968	)		(599,503	)		(267,927	)
United Natural Foods, Inc.		(4,900	)		(328,010	)		(50,882	)
Urban Outfitters, Inc.		(12,758	)		(447,176	)		(1,013	)
USG Corp.		(48,700	)		(1,376,367	)		13,254
Valspar Corp./The		(1,348	)		(95,369	)		(21,206	)
Vantiv, Inc.		(7,037	)		(225,279	)		(13,417	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Varian Medical Systems, Inc.		(1,048	)	$	(83,166	)	$	(7,497	)
VCA, Inc.		(600	)		(23,378	)		(5,884	)
VeriFone Systems, Inc.		(59,455	)		(1,888,014	)		(323,712	)
Verisk Analytics, Inc.		(4,567	)		(285,888	)		(6,628	)
Vertex Pharmaceuticals, Inc.		(19,453	)		(1,383,388	)		(927,629	)
Visteon Corp.		(539	)		(42,935	)		(14,663	)
VMware, Inc.		(5,757	)		(507,496	)		32,429
Vulcan Materials Co		(18,386	)		(1,102,105	)		(106,407	)
Waddell & Reed Financial, Inc.		(7,754	)		(368,620	)		(17,685	)
Waters Corp.		(479	)		(50,853	)		(3,140	)
Watsco, Inc.		(300	)		(26,165	)		(5,935	)
Webster Financial Corp.		(7,157	)		(223,468	)		(9,350	)
WellCare Health Plans, Inc.		(18,755	)		(1,266,994	)		(272,041	)
Wendy’s Co./The		(57,027	)		(482,034	)		(32,919	)
Western Union Co./The		(56,912	)		(868,540	)		(150,754	)
WEX, Inc.		(1,258	)		(105,288	)		(19,153	)
WhiteWave Foods Co./The		(4,100	)		(147,120	)		3,661
Williams Cos., Inc./The		(15,667	)		(623,276	)		(80,799	)
Woodward, Inc.		(2,745	)		(115,096	)		(20,040	)
Workday, Inc.		(7,000	)		(634,630	)		63,360
WPX Energy, Inc.		(21,980	)		(464,220	)		208,593
WR Grace & Co.		(9,110	)		(853,348	)		(15,655	)
WW Grainger, Inc.		(800	)		(203,404	)		(508	)
Wynn Resorts Ltd.		(922	)		(168,579	)		31,422
Xylem, Inc.		(14,284	)		(469,622	)		(74,170	)
Yelp, Inc.		(21,700	)		(1,452,717	)		265,076
Yum! Brands, Inc.		(12,547	)		(836,305	)		(77,744	)
Zions Bancorporation		(26,659	)		(761,946	)		1,898
Zoetis, Inc.		(14,300	)		(526,703	)		(88,626	)
Zynga, Inc.		(424,643	)		(1,492,256	)		362,705
								(15,073,263	)
Total of Short Equity Positions								(14,877,089	)
Total of Long and Short Equity Positions								17,499,965
Net Cash and Other Receivables/ (Payables) (b)								(281,977	)
Swaps, at Value							$	17,217,988

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

235

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	2-13 months maturity ranging from 01/21/2015 - 02/20/2015		$(484,266	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		14,505	$	636,236	$	162,309
South Africa
Investec PLC		131,199		909,101		190,120
Mondi PLC		20,249		289,002		39,953
						230,073
Switzerland
Glencore PLC		119,166		660,422		(110,372	)
United Kingdom
Amec Foster Wheeler PLC		18,339		307,567		(65,369	)
Amlin PLC		547		3,642		415
Anglo American PLC		42,416		1,012,885		(228,000	)
Ashtead Group PLC		40,204		578,811		135,208
Associated British Foods PLC		47,544		2,058,617		265,766
AstraZeneca PLC		10,801		749,785		13,097
Aviva PLC		341,149		2,655,208		(92,026	)
Babcock International Group PLC		58,029		1,160,800		(210,154	)
Barratt Developments PLC		279,713		1,954,400		81,385
Berkeley Group Holdings PLC		5,185		181,268		18,093
Booker Group PLC		92,625		172,231		63,061
BP PLC		73,120		511,344		(47,210	)
British American Tobacco PLC		10,173		563,427		(12,143	)
BT Group PLC		294,953		1,754,880		79,746
Bunzl PLC		36,346		988,883		4,715
Capita PLC		23,454		358,265		35,004
Catlin Group Ltd.		9,007		75,441		18,384
Centrica PLC		57,878		285,131		(34,436	)
Cobham PLC		40,344		177,244		25,285
Compass Group PLC		86,383		1,451,738		24,796
Direct Line Insurance Group PLC		289,468		1,102,091		207,344
DS Smith PLC		45,051		224,884		(225	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
easyJet PLC		54,762	$	1,387,554	$	29,636
GKN PLC		190,911		1,131,755		(115,586	)
GlaxoSmithKline PLC		10,062		261,017		(45,151	)
Hays PLC		118,615		222,116		44,752
Henderson Group PLC		49,896		166,114		(1,143	)
Hikma Pharmaceuticals PLC		5,445		148,309		18,752
HSBC Holdings PLC		143,010		1,410,932		(59,523	)
ICAP PLC		45,044		272,096		43,310
Imperial Tobacco Group PLC		55,951		2,460,229		2,704
Inchcape PLC		64,323		675,824		46,849
Indivior PLC		8,406		14,616		4,958
Inmarsat PLC		18,841		202,543		31,075
Intermediate Capital Group PLC		20,640		128,101		19,349
International Consolidated Airlines Group SA		38,318		272,269		16,191
ITV PLC		154,008		487,559		26,167
J Sainsbury PLC		282,997		1,528,519		(447,843	)
Kingfisher PLC		178,602		1,169,633		(225,518	)
Legal & General Group PLC		167,051		607,932		37,076
Marks & Spencer Group PLC		592		3,921		462
Meggitt PLC		18,467		149,832		(1,279	)
National Grid PLC		169,850		2,293,410		116,640
Next PLC		15,004		1,475,645		115,633
Persimmon PLC		12,310		280,772		19,886
Provident Financial PLC		24,830		873,434		74,370
Reckitt Benckiser Group PLC		8,406		631,384		49,451
Rentokil Initial PLC		249,212		454,977		14,295
Rexam PLC		47,938		393,489		(56,006	)
Rightmove PLC		11,988		477,065		(59,006	)
Royal Mail PLC		26,004		179,225		(5,935	)
Sage Group PLC/The		50,464		308,106		56,374
Shire PLC		4,571		205,878		118,206
Sky PLC		64,795		910,425		(6,125	)
Smith & Nephew PLC		25,178		344,751		109,272

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

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236

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Smiths Group PLC		26,532		$	598,622		$	(147,468	)
Sports Direct International PLC		37,646			447,483			(33,351	)
SSE PLC		29,037			621,520			112,161
Standard Chartered PLC		20,949			308,915			4,396
TalkTalk Telecom Group PLC		3,126			14,531			181
Tate & Lyle PLC		29,167			271,060			2,220
Taylor Wimpey PLC		421,007			740,452			157,730
Travis Perkins PLC		24,448			676,971			26,741
UBM PLC		13,098			113,213			(15,328	)
United Utilities Group PLC		29,787			391,387			31,705
Whitbread PLC		13,915			921,165			108,631
WPP PLC		31,250			663,216			(13,477	)
								489,170
Total of Long Equity Positions								771,180
Short Positions
Switzerland
Coca-Cola HBC AG		(11,290	)		(239,283	)		24,327
Wolseley PLC		(20,118	)		(1,047,885	)		(102,297	)
								(77,970	)
United Kingdom
Aberdeen Asset Management PLC		(102,046	)		(734,697	)		52,830
Admiral Group PLC		(19,551	)		(388,391	)		(12,699	)
Aggreko PLC		(9,947	)		(282,564	)		50,601
Antofagasta PLC		(58,868	)		(702,403	)		16,475
ARM Holdings PLC		(171,255	)		(2,314,261	)		(316,623	)
ASOS PLC		(63,143	)		(2,277,220	)		(233,206	)
Barclays PLC		(219,233	)		(729,947	)		(94,222	)
BG Group PLC		(33,734	)		(512,181	)		60,762
Burberry Group PLC		(91,564	)		(2,100,727	)		(222,410	)
Croda International PLC		(18,902	)		(720,420	)		(59,749	)
Diageo PLC		(64,260	)		(1,793,221	)		(47,639	)
Drax Group PLC		(24,967	)		(225,820	)		47,034
Evraz PLC		(282,824	)		(530,342	)		(145,660	)
Experian PLC		(58,418	)		(938,676	)		(46,074	)
G4S PLC		(29,885	)		(109,771	)		(19,142	)
Hargreaves Lansdown PLC		(68,175	)		(1,064,395	)		(2,332	)
IMI PLC		(72,785	)		(1,414,323	)		(9,639	)
Intertek Group PLC		(22,849	)		(985,598	)		158,647
John Wood Group PLC		(61,951	)		(616,932	)		43,823
Johnson Matthey PLC		(15,656	)		(820,251	)		(3,423	)
Kazakhmys PLC		(164,658	)		(640,222	)		(16,799	)
Ladbrokes PLC		(97,285	)		(202,480	)		36,045
Lloyds Banking Group PLC		(575,637	)		(689,231	)		12,132
Lonmin PLC		(99,452	)		(354,920	)		80,746
Man Group PLC		(422,762	)		(655,466	)		(396,520	)
Melrose Industries PLC		(258,216	)		(1,030,324	)		(38,549	)
Old Mutual PLC		(239,170	)		(710,289	)		5,416
Pearson PLC		(76,646	)		(1,424,597	)		9,089
Pennon Group PLC		(36,035	)		(374,089	)		(140,731	)
Petrofac Ltd.		(37,550	)		(601,562	)		192,494
Premier Oil PLC		(68,350	)		(220,962	)		44,178

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Prudential PLC		(3,763	)	$	(70,427	)	$	(16,572	)
Rolls-Royce Holdings PLC		(11,872	)		(175,494	)		16,007
Rolls-Royce Holdings PLC		(1,068,480	)		47			(1,712	)
Rotork PLC		(4,998	)		(196,650	)		16,613
Royal Bank of Scotland Group PLC		(126,113	)		(657,392	)		(109,903	)
RSA Insurance Group PLC		(55,739	)		(411,881	)		35,561
SABMiller PLC		(29,289	)		(1,222,627	)		(304,242	)
Serco Group PLC		(279,226	)		(1,152,004	)		455,330
Severn Trent PLC		(19,000	)		(499,688	)		(92,907	)
Spectric PLC		(625	)		(17,831	)		(2,580	)
Spirax-Sarco Engineering PLC		(6,785	)		(306,081	)		4,035
St James’s Place PLC		(27,420	)		(318,170	)		(27,566	)
Standard Life PLC		(75,260	)		(422,758	)		(43,424	)
Telecity Group PLC		(12,877	)		(151,582	)		(9,249	)
Tesco PLC		(721,553	)		(2,023,309	)		(80,523	)
Vedanta Resources PLC		(6,291	)		(67,508	)		11,705
Vodafone Group PLC		(19,526	)		(62,256	)		(4,692	)
Weir Group PLC/The		(26,716	)		(922,700	)		156,598
William Hill PLC		(15,459	)		(86,294	)		(571	)
WM Morrison Supermarkets PLC		(166,877	)		(417,196	)		(58,948	)
								(1,052,185	)
Total of Short Equity Positions								(1,130,155	)
Total of Long and Short Equity Positions								(358,975	)
Net Cash and Other Receivables/ (Payables) (b)								(125,291	)
Swaps, at Value							$	(484,266	)

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

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237

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at December 31, 2014

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	2-13 months maturity 02/20/2015		$(429,183	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Accor SA		605	$	25,198		$	1,997
Aeroports de Paris		3,919		451,744			22,160
Air Liquide SA		78		9,050			602
AtoS		2,210		176,473			(876	)
BNP Paribas SA		3,971		260,929			(26,505	)
Bollore SA		7,400		42,212			(8,511	)
Cap Gemini SA		5,352		327,909			54,851
Casino Guichard Perrachon SA		1,132		126,369			(22,266	)
Christian Dior SA		437		74,929			(142	)
Christian Dior SA Rights		437		(17	)		2,351
Christian Dior SA, EUR 2 Rights		437		(44	)		6,029
Cie Generale des Etablissements Michelin		12,384		1,197,226			(79,363	)
CNP Assurances		3,352		62,347			(2,922	)
Credit Agricole SA		54,747		743,862			(37,159	)
Danone SA		6,505		439,793			(14,509	)
Dassault Systemes		1,996		118,360			3,357
Eiffage SA		2,813		149,786			(7,168	)
Electricite de France		44,327		1,359,020			(138,769	)
Etablissements Maurel et Prom		4,826		64,733			(19,630	)
GDF Suez		17,828		402,520			13,211
Iliad SA		5,542		1,332,861			(2,358	)
Imerys SA		4,506		332,684			(1,174	)
Ingenico		704		64,023			10,135
Lagardere SCA		15,509		484,119			(80,234	)
Legrand SA		2,497		123,556			7,432
L’Oreal SA		4,099		627,714			58,344
Natixis SA		11,036		66,834			5,989
Neopost SA		10,388		726,727			(137,258	)
Orange SA		72,782		1,094,485			143,297
Pernod-Ricard SA		1,437		153,807			5,898
Publicis Groupe SA		3,944		329,429			(46,584	)
Rexel SA		20,198		476,550			(114,680	)
Safran SA		11,053		705,829			(23,914	)
Sanofi		16,157		1,469,302			3,739
SCOR SE		19,343		569,782			16,317
SES SA		8,644		247,799			62,348
Societe BIC SA		2,503		306,364			25,590
Societe Generale SA		9,319		479,622			(89,621	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Suez Environnement Co.		72,048		$	1,212,733		$	42,575
Thales SA		9,082			522,774			(31,372	)
Total SA		32,972			1,799,332			(110,110	)
Valeo SA		3,469			380,222			51,426
Vinci SA		15,252			907,534			(74,736	)
Zodiac Aerospace		5,695			164,587			27,151
								(505,062	)
Total of Long Equity Positions								(505,062	)
Short Positions
France
Air France-KLM		(44,931	)		(460,164	)		29,613
Alcatel-Lucent		(632,665	)		(2,007,238	)		(255,945	)
AXA SA		(9,266	)		(216,232	)		2,716
Bouygues SA		(16,124	)		(575,511	)		(6,697	)
Carrefour SA		(6,824	)		(212,373	)		4,709
Cie de Saint-Gobain		(24,902	)		(1,146,288	)		91,418
Edenred		(13,619	)		(319,153	)		(57,494	)
Essilor International SA		(7,420	)		(691,183	)		(136,291	)
European Aeronautic Defence and Space Co. NV		(10,560	)		(608,026	)		85,961
Eutelsat Communications SA		(7,120	)		(180,233	)		(50,025	)
Faurecia		(6,450	)		(204,898	)		(34,515	)
JCDecaux SA		(5,441	)		(173,832	)		(13,506	)
Kering		(2,266	)		(419,793	)		(15,666	)
LVMH Moet Hennessy Louis Vuitton SA		(5,104	)		(788,310	)		(20,173	)
LVMH Moet Hennessy Louis Vuitton SA Rights		(5,104	)		647			(89,303	)
Peugeot SA		(132,550	)		(1,641,011	)		16,957
Remy Cointreau SA		(25,977	)		(1,717,923	)		(15,249	)
Renault SA		(8,472	)		(621,617	)		4,548
Schneider Electric SE		(11,637	)		(849,724	)		2,210
Societe Television Francaise 1		(10,787	)		(151,727	)		(14,106	)
Technip SA		(8,525	)		(670,227	)		162,414
Vallourec SA		(26,043	)		(1,072,463	)		366,655

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

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238

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Veolia Environnement SA		(86,448	)	$	(1,173,166	)	$	(358,074	)
Wendel SA		(422	)		(53,176	)		5,893
								(293,950	)
Total of Short Equity Positions								(293,950	)
Total of Long and Short Equity Positions								(799,012	)
Net Cash and Other Receivables/ (Payables) (b)								369,829
Swaps, at Value							$	(429,183	)

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

239

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

LONG INVESTMENTS - 111.8%	SHARES		VALUE (Note 5)
COMMON STOCKS - 21.3%
Belgium - 0.7%
Belgacom SA		3,434	$	124,598
bpost SA		7,271		182,651
Colruyt SA		63		2,929
Delhaize Group SA		1,334		97,149
				407,327
Denmark - 0.5%
AP Moeller - Maersk A/S, Class B (a)		28		55,691
Danske Bank A/S (a)		1,380		37,309
GN Store Nord A/S (a)		387		8,455
H Lundbeck A/S		1,399		27,769
Jyske Bank A/S †(a)		898		45,391
Novo Nordisk A/S, Class B (a)		1,097		46,403
TDC A/S (a)		6,995		53,350
William Demant Holding A/S †(a)		44		3,336
				277,704
Finland - 0.5%
Elisa OYJ		162		4,422
Fortum OYJ		2,691		58,426
Kesko OYJ, B Shares		1,228		44,661
Metso OYJ		723		21,646
Neste Oil OYJ		1,435		34,953
Orion OYJ, Class B		3,826		118,990
UPM-Kymmene OYJ		1,965		32,203
Wartsila OYJ		461		20,633
				335,934
Germany - 1.7%
Allianz SE (a)		15		2,484
Aurubis AG (a)		2,156		120,521
Axel Springer SE (a)		479		28,891
Bayer AG (a)		76		10,359
Bayerische Motoren Werke AG (a)		146		15,756
Brenntag AG (a)		246		13,754
Daimler AG (a)		951		78,984
Deutsche Telekom AG (a)		1,842		29,473
Fresenius Medical Care AG & Co. KGaA (a)		1,631		121,733
GEA Group AG (a)		51		2,242
Hannover Rueck SE (a)		1,416		127,739
HeidelbergCement AG (a)		580		40,936
HOCHTIEF AG (a)		567		40,001
Infineon Technologies AG (a)		224		2,370
K+S AG (a)		2,189		60,406
MAN SE (a)		59		6,571
Merck KGaA (a)		1,204		113,307
MTU Aero Engines AG (a)		88		7,648
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		457		91,006
ProSiebenSat.1 Media AG (a)		38		1,588
Rhoen Klinikum AG (a)		2,341		65,610
Software AG (a)		476		11,567
Symrise AG (a)		456		27,472
Wacker Chemie AG (a)		59		6,472
				1,026,890
Italy - 1.0%
Atlantia SpA		691		16,060
Autogrill SpA †		2,909		21,938
Davide Campari-Milano SpA		4,583		28,607
Enel SpA		10,328		46,037
Eni SpA		6,732		117,921
Finmeccanica SpA †		2,536		23,572

	SHARES		VALUE (Note 5)
Italy - 1.0% (continued)
GTECH SpA		1,544	$	34,476
Hera SpA		25,481		60,002
Mediobanca SpA		12,700		103,194
Pirelli & C. SpA		4,378		59,048
Saipem SpA †		1,240		12,998
Snam SpA		3,821		18,911
Tenaris SA		1,064		16,078
Terna Rete Elettrica Nazionale SpA		981		4,456
Unione di Banche Italiane SCpA		3,058		21,872
				585,170
Japan - 11.0%
ABC-Mart, Inc. (a)		900		43,549
Air Water, Inc. (a)		3,000		47,518
Aisin Seiki Co., Ltd. (a)		1,800		64,671
Ajinomoto Co., Inc. (a)		1,000		18,617
Alfresa Holdings Corp. (a)		7,100		85,739
ANA Holdings, Inc. (a)		7,000		17,308
Aozora Bank Ltd. (a)		12,000		37,146
Asahi Group Holdings Ltd. (a)		400		12,375
Asahi Kasei Corp. (a)		20,000		182,449
Astellas Pharma, Inc. (a)		5,000		69,610
Bandai Namco Holdings, Inc. (a)		2,600		55,045
Bank of Yokohama Ltd./The (a)		4,000		21,725
Benesse Holdings, Inc. (a)		800		23,738
Bridgestone Corp. (a)		800		27,746
Brother Industries Ltd. (a)		9,900		179,461
Calbee, Inc. (a)		500		17,223
Canon, Inc. (a)		1,400		44,497
Central Japan Railway Co. (a)		700		104,913
Chiba Bank Ltd./The (a)		1,000		6,553
Chugoku Bank Ltd./The (a)		7,000		95,417
Dai Nippon Printing Co., Ltd. (a)		2,000		18,013
Daicel Corp. (a)		5,000		58,402
Daihatsu Motor Co., Ltd. (a)		1,900		24,816
Disco Corp. (a)		1,000		79,983
East Japan Railway Co. (a)		800		60,297
Electric Power Development Co., Ltd. (a)		200		6,758
FamilyMart Co., Ltd. (a)		800		30,131
FUJIFILM Holdings Corp. (a)		1,300		39,668
Fujitsu Ltd. (a)		13,000		69,312
Fukuoka Financial Group, Inc. (a)		16,000		82,487
Hakuhodo DY Holdings, Inc. (a)		18,600		178,001
Hikari Tsushin, Inc. (a)		700		42,577
Hitachi Chemical Co., Ltd. (a)		2,800		49,467
Hitachi High-Technologies Corp. (a)		1,500		43,090
Hitachi Metals Ltd. (a)		5,000		84,954
Hoya Corp. (a)		3,500		118,387
Ibiden Co., Ltd. (a)		3,400		50,205
Inpex Corp. (a)		3,600		40,079
Isuzu Motors Ltd. (a)		2,600		31,669
ITOCHU Corp. (a)		3,800		40,565
Itochu Techno-Solutions Corp. (a)		2,800		98,796
Japan Airlines Co., Ltd. (a)		8,000		237,192
Japan Tobacco, Inc. (a)		300		8,257
JGC Corp. (a)		1,000		20,587
JTEKT Corp. (a)		1,600		26,928
Kamigumi Co., Ltd. (a)		5,000		44,539
Kaneka Corp. (a)		4,000		21,433
Kao Corp. (a)		600		23,661
KDDI Corp. (a)		900		56,542
Kinden Corp. (a)		16,000		161,611
Kobayashi Pharmaceutical Co., Ltd. (a)		300		17,456
Kobe Steel Ltd.		11,000		18,947

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

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240

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Japan - 11.0% (continued)
Komatsu Ltd. (a)		4,500	$	99,486
Konica Minolta, Inc. (a)		1,600		17,434
Kuraray Co., Ltd. (a)		1,000		11,362
Kurita Water Industries Ltd. (a)		1,700		35,449
Mabuchi Motor Co., Ltd. (a)		400		15,877
Makita Corp. (a)		1,800		81,112
Marubeni Corp. (a)		700		4,188
Maruichi Steel Tube Ltd. (a)		1,000		21,283
Medipal Holdings Corp. (a)		3,900		45,551
Miraca Holdings, Inc. (a)		100		4,302
Mitsubishi Chemical Holdings Corp. (a)		3,900		18,917
Mitsubishi Electric Corp. (a)		7,000		83,146
Mitsubishi Motors Corp. (a)		2,400		21,925
Mitsubishi Tanabe Pharma Corp. (a)		5,400		79,156
Mitsubishi UFJ Financial Group, Inc. (a)		16,700		91,754
Mitsui & Co., Ltd. (a)		6,000		80,359
Mizuho Financial Group, Inc.		9,700		16,260
Murata Manufacturing Co., Ltd. (a)		200		21,824
Nagoya Railroad Co., Ltd. (a)		7,000		26,063
NH Foods Ltd. (a)		2,000		43,757
NHK Spring Co., Ltd. (a)		3,200		27,844
Nippon Express Co., Ltd.		3,000		15,203
Nippon Telegraph & Telephone Corp. (a)		1,300		66,407
Nishi-Nippon City Bank Ltd./The (a)		66,000		189,905
Nissin Foods Holdings Co., Ltd. (a)		500		23,832
Nitori Holdings Co., Ltd. (a)		600		32,237
NOK Corp. (a)		3,300		83,997
NTT DOCOMO, Inc. (a)		1,600		23,301
Omron Corp. (a)		200		8,947
Oriental Land Co., Ltd. (a)		400		92,246
Osaka Gas Co., Ltd. (a)		21,000		78,434
Otsuka Corp. (a)		1,600		50,733
Otsuka Holdings Co., Ltd. (a)		7,700		230,855
Resona Holdings, Inc. (a)		26,100		131,844
Ricoh Co., Ltd.		2,600		26,284
Rohm Co., Ltd. (a)		2,000		120,507
Sankyo Co., Ltd. (a)		1,000		34,304
Secom Co., Ltd. (a)		400		22,982
Seiko Epson Corp. (a)		2,000		83,688
Sekisui Chemical Co., Ltd. (a)		6,000		72,186
Seven & i Holdings Co., Ltd. (a)		1,500		53,957
Seven Bank Ltd. (a)		1,100		4,617
Shimamura Co., Ltd. (a)		1,000		86,297
Shimano, Inc. (a)		400		51,809
Sumitomo Heavy Industries Ltd. (a)		37,000		199,022
Sumitomo Rubber Industries Ltd. (a)		8,600		127,848
Suruga Bank Ltd. (a)		800		14,702
Suzuken Co., Ltd. (a)		700		19,336
Suzuki Motor Corp. (a)		800		23,974
Taiheiyo Cement Corp.		1,000		3,137
Taisei Corp. (a)		2,000		11,344
Taisho Pharmaceutical Holdings Co., Ltd. (a)		600		36,660
Takashimaya Co., Ltd. (a)		1,000		7,985
THK Co., Ltd. (a)		300		7,210
Toho Gas Co., Ltd. (a)		30,000		146,771
Tohoku Electric Power Co., Inc. (a)		10,600		123,347
Tokyo Gas Co., Ltd. (a)		16,000		86,331
TonenGeneral Sekiyu KK (a)		1,000		8,537
TOTO Ltd. (a)		1,000		11,633
Toyo Suisan Kaisha Ltd. (a)		1,700		54,738
Toyoda Gosei Co., Ltd. (a)		400		8,046
Toyota Industries Corp. (a)		100		5,125
USS Co., Ltd. (a)		2,000		30,729
West Japan Railway Co. (a)		2,400		113,468

	SHARES		VALUE (Note 5)
Japan - 11.0% (continued)
Yamada Denki Co., Ltd. (a)		4,300	$	14,427
Yamaha Motor Co., Ltd. (a)		2,600		52,019
Yamato Kogyo Co., Ltd.		100		2,797
Yamazaki Baking Co., Ltd. (a)		7,000		86,375
				6,667,292
Luxembourg - 0.0% (b)
Millicom International Cellular SA SDR		401		29,712
Netherlands - 1.1%
Boskalis Westminster NV		2,585		141,413
Delta Lloyd NV		5,205		114,460
Heineken NV		348		24,711
Koninklijke Ahold NV		6,292		111,827
Koninklijke DSM NV		233		14,211
Koninklijke Vopak NV		1,567		81,299
QIAGEN NV †(a)		759		17,679
Royal Dutch Shell PLC, A Shares (a)		1,195		39,828
Wolters Kluwer NV		3,547		108,238
				653,666
Norway - 0.7%
DNB ASA (a)		10,286		151,725
Gjensidige Forsikring ASA (a)		584		9,529
Marine Harvest ASA (a)		1,219		16,738
Orkla ASA (a)		401		2,730
Statoil ASA (a)		3,662		64,476
Telenor ASA (a)		940		19,015
Yara International ASA (a)		3,047		135,690
				399,903
Spain - 1.3%
Acciona SA †		130		8,772
Acerinox SA		1,420		21,423
Amadeus IT Holding SA, A Shares		83		3,306
Banco de Sabadell SA		2,018		5,339
Banco Santander SA		6,672		55,999
Bolsas y Mercados Espanoles SA		21		813
Ebro Foods SA		2,074		34,283
Enagas SA		1,835		57,878
Endesa SA		7,084		141,817
Ferrovial SA		2,466		48,748
Gas Natural SDG SA		2,626		65,967
Iberdrola SA		21,278		143,430
Prosegur Cia de Seguridad SA		3,439		19,593
Red Electrica Corp. SA		64		5,642
Repsol SA		650		12,168
Tecnicas Reunidas SA		1,729		75,574
Telefonica SA		4,393		63,073
				763,825
Sweden - 1.0%
Boliden AB (a)		5,033		80,452
Electrolux AB, Series B (a)		632		18,467
Holmen AB, B Shares		340		11,553
Husqvarna AB, B Shares		8,480		62,332
ICA Gruppen AB		2,133		83,055
Meda AB, A Shares		1,329		19,058
Nordea Bank AB (a)		1,515		17,537
Securitas AB, B Shares (a)		3,334		40,334
Skandinaviska Enskilda Banken AB, Class A (a)		6,308		80,103
Skanska AB, B Shares (a)		2,829		60,740
Swedish Match AB (a)		1,208		37,852
Tele2 AB, B Shares		1,031		12,493

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

AQR Funds Annual Report December 2014

241

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Sweden - 1.0% (continued)
Telefonaktiebolaget LM Ericsson, B Shares (a)		3,536	$	42,814
TeliaSonera AB (a)		7,784		50,046
				616,836
Switzerland - 1.5%
Actelion Ltd. †(a)		78		8,979
Aryzta AG †(a)		524		40,269
Bucher Industries AG (a)		336		83,792
Chocoladefabriken Lindt & Sprungli AG (a)		1		4,944
Flughafen Zuerich AG (a)		1		669
Galenica AG (a)		8		6,379
Givaudan SA †(a)		3		5,382
Lonza Group AG †(a)		436		49,090
Nestle SA (a)		182		13,268
Novartis AG (a)		1,236		114,629
OC Oerlikon Corp. AG †(a)		1,116		13,931
Partners Group Holding AG (a)		16		4,655
Roche Holding AG (a)		233		63,129
Sika AG (a)		33		97,348
Sonova Holding AG (a)		5		735
STMicroelectronics NV		4,614		34,497
Straumann Holding AG (a)		71		17,838
Swiss Life Holding AG †(a)		330		77,996
Swiss Re AG †(a)		1,175		98,432
Swisscom AG (a)		259		135,905
Zurich Insurance Group AG †(a)		35		10,938
				882,805
United Kingdom - 0.3%
Fiat Chrysler Automobiles NV †		4,256		49,454
International Consolidated Airlines Group SA †(a)		8,294		61,784
Reed Elsevier NV		1,549		36,991
Unilever NV CVA		1,584		61,962
				210,191
TOTAL COMMON STOCKS (cost $13,334,992)				12,857,255
PREFERRED STOCKS - 0.2%
Germany - 0.2%
Henkel AG & Co. KGaA (a)		19		2,047
Porsche Automobil Holding SE		440		35,584
Volkswagen AG (a)		479		106,460
TOTAL PREFERRED STOCKS (cost $148,196)				144,091
RIGHTS - 0.0% (b)
GTECH SpA †
(cost $—)		883		—
MONEY MARKET FUNDS - 90.3%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (c)		279,051		279,051
Dreyfus Treasury Cash Management, Class I, 0.010% (c)		1,116,205		1,116,205
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^		48,140,757		48,140,757
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)		3,550,002		3,550,002

MONEY MARKET FUNDS - 90.3% (continued)	SHARES			VALUE (Note 5)
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c)		1,395,256		$	1,395,256
TOTAL MONEY MARKET FUNDS (cost $54,481,271)					54,481,271
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $67,964,459)					67,482,617
SECURITIES SOLD SHORT - (17.7)%
COMMON STOCKS - (17.7)%
Belgium - (0.4)%
KBC Groep NV †		(872	)		(48,667	)
Telenet Group Holding NV †		(1,191	)		(66,836	)
UCB SA		(1,606	)		(122,116	)
					(237,619	)
Denmark - (0.4)%
FLSmidth & Co. A/S		(3,600	)		(157,829	)
Novozymes A/S, B Shares		(492	)		(20,710	)
Tryg A/S		(8	)		(894	)
Vestas Wind Systems A/S †		(1,040	)		(37,769	)
					(217,202	)
Finland - (0.5)%
Cargotec OYJ, B Shares		(4,486	)		(137,695	)
Kone OYJ, Class B		(389	)		(17,710	)
Nokia OYJ		(3,455	)		(27,325	)
Nokian Renkaat OYJ		(6,036	)		(147,240	)
					(329,970	)
Germany - (1.7)%
adidas AG		(377	)		(26,181	)
AIXTRON SE †		(5,212	)		(58,589	)
Bilfinger SE		(2,561	)		(143,157	)
Commerzbank AG †		(3,938	)		(51,653	)
Deutsche Bank AG		(2,800	)		(83,844	)
Deutsche Lufthansa AG		(429	)		(7,109	)
E.ON SE		(467	)		(7,982	)
LANXESS AG		(3,027	)		(140,187	)
METRO AG †		(1,505	)		(46,004	)
Rheinmetall AG		(2,192	)		(95,438	)
RWE AG		(3,174	)		(97,964	)
Salzgitter AG		(3,146	)		(88,035	)
Siemens AG		(99	)		(11,108	)
Telefonica Deutschland Holding AG †		(5,628	)		(29,828	)
ThyssenKrupp AG †		(2,702	)		(68,830	)
Wirecard AG		(908	)		(39,593	)
					(995,502	)
Italy - (1.0)%
A2A SpA		(23,949	)		(24,267	)
Banca Monte dei Paschi di Siena SpA †		(30,590	)		(17,426	)
Banca Popolare dell’Emilia Romagna SC †		(15,487	)		(101,532	)
Banco Popolare SC †		(7,467	)		(89,841	)
Buzzi Unicem SpA		(513	)		(6,493	)
Mediaset SpA †		(16,299	)		(67,063	)
Mediolanum SpA		(24,730	)		(157,597	)
Moncler SpA		(2,558	)		(34,179	)
Salvatore Ferragamo SpA		(3,184	)		(78,361	)
Telecom Italia SpA †		(5,971	)		(6,368	)
World Duty Free SpA †		(3,142	)		(30,167	)
					(613,294	)

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

AQR Funds Annual Report December 2014

242

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Japan - (9.1)%
Acom Co., Ltd. †		(49,600	)	$	(151,421	)
Advantest Corp.		(14,300	)		(177,239	)
Aeon Co., Ltd.		(18,400	)		(184,911	)
Aeon Credit Service Co., Ltd.		(4,600	)		(90,854	)
Amada Co., Ltd.		(1,600	)		(13,710	)
Asahi Glass Co., Ltd.		(8,000	)		(38,945	)
Chubu Electric Power Co., Inc. †		(2,100	)		(24,677	)
Chugoku Electric Power Co., Inc./The		(1,900	)		(24,842	)
Citizen Holdings Co., Ltd.		(3,900	)		(30,008	)
Credit Saison Co., Ltd.		(7,000	)		(130,175	)
Dai-ichi Life Insurance Co., Ltd./The		(3,000	)		(45,540	)
Daiichi Sankyo Co., Ltd.		(1,000	)		(13,983	)
Daikin Industries Ltd.		(1,900	)		(121,836	)
Dena Co., Ltd.		(3,400	)		(40,614	)
Don Quijote Holdings Co., Ltd.		(500	)		(34,374	)
Eisai Co., Ltd.		(700	)		(27,071	)
FANUC Corp.		(200	)		(32,976	)
Fast Retailing Co., Ltd.		(400	)		(145,558	)
Fuji Electric Co., Ltd.		(3,000	)		(11,961	)
GS Yuasa Corp.		(33,000	)		(140,308	)
Hisamitsu Pharmaceutical Co., Inc.		(100	)		(3,153	)
Hitachi Capital Corp.		(1,200	)		(26,411	)
Hokkaido Electric Power Co., Inc. †		(12,700	)		(101,663	)
Hokuriku Electric Power Co.		(300	)		(3,831	)
IHI Corp.		(17,000	)		(86,096	)
Isetan Mitsukoshi Holdings Ltd.		(7,700	)		(95,281	)
J Front Retailing Co., Ltd.		(200	)		(2,316	)
Japan Display, Inc. †		(10,700	)		(32,656	)
Japan Steel Works Ltd./The		(50,000	)		(176,906	)
JFE Holdings, Inc.		(1,200	)		(26,761	)
JSR Corp.		(600	)		(10,299	)
JX Holdings, Inc.		(11,900	)		(46,310	)
Kajima Corp.		(9,000	)		(37,011	)
Kakaku.com, Inc.		(6,300	)		(90,132	)
Kansai Electric Power Co., Inc./The †		(7,800	)		(74,202	)
Kansai Paint Co., Ltd.		(3,000	)		(46,476	)
Kawasaki Heavy Industries Ltd.		(6,000	)		(27,285	)
Keikyu Corp.		(7,000	)		(51,792	)
Keisei Electric Railway Co., Ltd.		(1,000	)		(12,160	)
Kikkoman Corp.		(3,000	)		(73,527	)
Kintetsu Corp.		(4,000	)		(13,152	)
Kubota Corp.		(4,000	)		(58,059	)
Kyocera Corp.		(700	)		(32,032	)
Kyushu Electric Power Co., Inc.		(15,300	)		(153,233	)
LIXIL Group Corp.		(3,200	)		(67,346	)
M3, Inc.		(1,900	)		(31,791	)
Marui Group Co., Ltd.		(4,000	)		(36,079	)
Mazda Motor Corp.		(1,600	)		(38,425	)
Mitsubishi Gas Chemical Co., Inc.		(5,000	)		(25,095	)
Mitsubishi Logistics Corp.		(3,000	)		(43,632	)
Mitsubishi Materials Corp.		(37,000	)		(122,745	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		(100	)		(470	)
Mitsui Chemicals, Inc.		(26,000	)		(73,642	)
Mitsui OSK Lines Ltd.		(16,000	)		(47,404	)
Nexon Co., Ltd.		(2,800	)		(26,102	)
NGK Insulators Ltd.		(3,000	)		(61,495	)
NGK Spark Plug Co., Ltd.		(400	)		(12,154	)
Nintendo Co., Ltd.		(1,800	)		(187,844	)
Nippon Electric Glass Co., Ltd.		(3,000	)		(13,499	)
Nippon Paint Holdings Co., Ltd.		(2,000	)		(57,956	)
Nippon Steel & Sumitomo Metal Corp.		(24,000	)		(59,535	)
Nissan Motor Co., Ltd.		(1,400	)		(12,211	)
Nitto Denko Corp.		(1,100	)		(61,463	)
NSK Ltd.		(2,000	)		(23,614	)

	SHARES			VALUE (Note 5)
Japan - (9.1)% (continued)
NTT Data Corp.		(300	)	$	(11,177	)
Obayashi Corp.		(2,000	)		(12,892	)
Odakyu Electric Railway Co., Ltd.		(3,000	)		(26,574	)
Olympus Corp. †		(1,300	)		(45,539	)
Ono Pharmaceutical Co., Ltd.		(1,100	)		(97,389	)
Panasonic Corp.		(3,700	)		(43,580	)
Rakuten, Inc.		(11,600	)		(161,307	)
Santen Pharmaceutical Co., Ltd.		(100	)		(5,384	)
Sharp Corp. †		(45,000	)		(99,553	)
Shikoku Electric Power Co., Inc. †		(5,500	)		(66,713	)
Shimizu Corp.		(1,000	)		(6,792	)
Shinsei Bank Ltd.		(26,000	)		(45,251	)
Shionogi & Co., Ltd.		(1,100	)		(28,419	)
Shizuoka Bank Ltd./The		(1,000	)		(9,144	)
Showa Denko KK		(37,000	)		(45,547	)
Showa Shell Sekiyu KK		(500	)		(4,925	)
SoftBank Corp.		(1,000	)		(59,523	)
Sony Corp.		(6,700	)		(136,742	)
Sony Financial Holdings, Inc.		(1,100	)		(16,198	)
Sumco Corp.		(2,500	)		(35,790	)
Sumitomo Mitsui Trust Holdings, Inc.		(13,000	)		(49,794	)
T&D Holdings, Inc.		(100	)		(1,199	)
Takeda Pharmaceutical Co., Ltd.		(1,200	)		(49,677	)
TDK Corp.		(300	)		(17,669	)
Teijin Ltd.		(4,000	)		(10,632	)
Terumo Corp.		(1,700	)		(38,584	)
Tobu Railway Co., Ltd.		(3,000	)		(12,828	)
Tokyu Corp.		(4,000	)		(24,786	)
Toray Industries, Inc.		(4,000	)		(31,960	)
Toshiba Corp.		(10,000	)		(42,173	)
Toyo Seikan Group Holdings Ltd.		(3,900	)		(48,444	)
Toyota Boshoku Corp.		(1,900	)		(25,224	)
Trend Micro, Inc.		(1,200	)		(33,160	)
Ube Industries Ltd.		(13,000	)		(19,329	)
Yahoo Japan Corp.		(36,000	)		(129,021	)
Yamaha Corp.		(300	)		(4,422	)
Yaskawa Electric Corp.		(12,900	)		(164,773	)
Yokogawa Electric Corp.		(4,900	)		(53,768	)
					(5,480,131	)
Luxembourg - (0.3)%
Altice SA †		(900	)		(71,185	)
ArcelorMittal		(12,271	)		(134,440	)
					(205,625	)
Netherlands - (1.0)%
Akzo Nobel NV		(598	)		(41,376	)
ASML Holding NV		(756	)		(81,684	)
Fugro NV CVA		(4,667	)		(96,937	)
Koninklijke KPN NV		(30,555	)		(96,473	)
OCI NV †		(3,173	)		(110,325	)
Randstad Holding NV		(1,986	)		(95,559	)
SBM Offshore NV †		(1,924	)		(22,628	)
TNT Express NV		(12,187	)		(81,243	)
					(626,225	)
Norway - (0.4)%
Aker Solutions ASA 144A †(e)		(4,569	)		(25,414	)
Fred Olsen Energy ASA		(10,120	)		(92,603	)
Petroleum Geo-Services ASA		(4,000	)		(22,518	)
Schibsted ASA		(1,538	)		(97,539	)
					(238,074	)

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

AQR Funds Annual Report December 2014

243

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Spain - (1.1)%
Abertis Infraestructuras SA		(77	)	$	(1,527	)
Banco Bilbao Vizcaya Argentaria SA		(637	)		(6,016	)
Banco Popular Espanol SA		(14,876	)		(74,154	)
Bankia SA †		(21,037	)		(31,217	)
CaixaBank SA		(5,004	)		(26,220	)
Grifols SA		(1,137	)		(45,370	)
Inditex SA		(3,981	)		(113,560	)
Indra Sistemas SA		(13,154	)		(127,797	)
Mapfre SA		(17,190	)		(58,102	)
Mediaset Espana Comunicacion SA †		(3,950	)		(49,660	)
Obrascon Huarte Lain SA		(1,568	)		(34,989	)
Zardoya Otis SA		(9,992	)		(110,807	)
					(679,419	)
Sweden - (0.8)%
Alfa Laval AB		(655	)		(12,386	)
Assa Abloy AB, Class B		(568	)		(30,000	)
Atlas Copco AB, A Shares		(801	)		(22,288	)
Elekta AB, B Shares		(12,992	)		(132,682	)
Getinge AB, B Shares		(543	)		(12,365	)
Hennes & Mauritz AB, B Shares		(667	)		(27,711	)
Modern Times Group MTG, B Shares		(264	)		(8,372	)
Sandvik AB		(5,161	)		(50,181	)
SKF AB, B Shares		(2,599	)		(54,749	)
SSAB AB, A Shares †		(12,400	)		(71,705	)
Svenska Cellulosa AB SCA, Class B		(1,200	)		(25,871	)
Trelleborg AB, B Shares		(2,190	)		(36,868	)
					(485,178	)
Switzerland - (1.0)%
Adecco SA †		(282	)		(19,385	)
Cie Financiere Richemont SA		(1,497	)		(132,720	)
Credit Suisse Group AG †		(1,989	)		(49,966	)
DKSH Holding AG		(48	)		(3,654	)
Dufry AG †		(112	)		(16,740	)
EMS-Chemie Holding AG		(138	)		(55,866	)
GAM Holding AG †		(167	)		(3,002	)
Holcim Ltd. †		(9	)		(643	)
Julius Baer Group Ltd. †		(508	)		(23,194	)
Panalpina Welttransport Holding AG		(538	)		(72,118	)
Sulzer AG		(783	)		(83,759	)
Swatch Group AG/The		(74	)		(32,875	)
Transocean Ltd.		(4,877	)		(89,490	)
					(583,412	)
United Kingdom - 0.0% (b)
Subsea 7 SA		(843	)		(8,627	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $11,194,359)					(10,700,278	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $11,194,359)					(10,700,278	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 94.1% (cost $56,770,100)					56,782,339
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9% (f)					3,583,563
NET ASSETS - 100.0%				$	60,365,902

† Non income-producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $7,818,229. In addition, $2,363,465 of cash collateral was pledged.

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

(c) Represents annualized seven-day yield as of December 31, 2014.

(d) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

(e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

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

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

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certification

SDR - Special Drawing Rights

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	75,399			0.1	%
Consumer Staples		667,096			1.1
Energy		94,458			0.2
Financials		359,148			0.6
Health Care		731,168			1.2
Industrials		(219,417	)		(0.4	)
Information Technology		(263,102	)		(0.4	)
Materials		(93,432	)		(0.2	)
Telecommunication Services		476,147			0.8
Utilities		473,603			0.8
Money Market Funds		54,481,271			90.3
Total Investments		56,782,339			94.1
Other Assets in Excess of Liabilities (f)		3,583,563			5.9
Net Assets	$	60,365,902			100.0	%

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total return swap contracts outstanding as of December 31, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond March Futures	3/2015	CAD		5,331,887			$61,405
Bank of America	10-Year Japanese Government Bond March Futures	3/2015	JPY		(1,028,376,300	)		(51,902	)
Bank of America	30-Year Euro Buxl Bond March Futures	3/2015	EUR		(905,804	)		(29,720	)
Goldman Sachs	BIST 30 February Futures	2/2015	TRY		31,686			171
Bank of America	Bovespa Index February Futures	2/2015	BRL		(1,235,149	)		(9,751	)
CitiBank	Corn March Futures^	2/2015	USD		253,029			5,020
CitiBank	Corn March Futures^	2/2015	USD		(253,812	)		(4,236	)
Bank of America	Euro - Bobl March Futures	3/2015	EUR		388,234			3,203
Bank of America	Euro - Bund March Futures	3/2015	EUR		461,689			7,291
Bank of America	Euro - SCHATZ March Futures	3/2015	EUR		(9,871,141	)		(19,560	)
Bank of America	Hang Seng Index January Futures	1/2015	HKD		1,169,970			1,609
Bank of America	H-SHARES Index January Futures	1/2015	HKD		1,802,610			(548	)
Bank of America	Long Gilt March Futures	3/2015	GBP		3,186,753			63,344
Bank of America	MSCI Taiwan Stock Index January Futures	1/2015	USD		270,710			3,770
Bank of America	SGX S&P CNX Nifty Index January Futures	1/2015	USD		16,678			40
Bank of America	Swiss Market Index March Futures	3/2015	CHF		358,068			(1,808	)
Bank of America	Taiwan Stock Exchange January Futures	1/2015	TWD		1,800,662			1,748
Bank of America	Tel Aviv 25 Index January Futures	1/2015	ILS		1,031,624			(1,554	)
Bank of America	U.S. Treasury 10-Year Note March Futures	3/2015	USD		2,149,315			6,232
Bank of America	U.S. Treasury 2-Year Note March Futures	3/2015	USD		(7,877,902	)		8,527
Bank of America	U.S. Treasury 5-Year Note March Futures	3/2015	USD		475,616			103
Bank of America	U.S. Treasury Long Bond March Futures	3/2015	USD		(1,126,829	)		(29,671	)
Goldman Sachs	WIG20 Index March Futures	3/2015	PLN		284,072			(1,667	)
								$12,046

Money Market Fund is pledged as collateral to Bank of America for total return swap contracts in the amount of $120,000 at December 31, 2014. Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $3,330,000 at December 31, 2014.

Open futures contracts outstanding at December 31, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
12	Goldman Sachs	Gold 100 OZ Futures^	2/2015	$	1,429,936	$	1,420,920	$	(9,016	)
1	J.P. Morgan	LME Copper Futures^	2/2015		165,352		158,287		(7,065	)
1	J.P. Morgan	LME Copper Futures^	2/2015		162,177		157,850		(4,327	)
10	J.P. Morgan	LME Copper Futures^	3/2015		1,595,504		1,577,000		(18,504	)
4	J.P. Morgan	LME Copper Futures^	3/2015		634,321		630,313		(4,008	)
16	Goldman Sachs	Silver Futures^	3/2015		1,310,254		1,247,920		(62,334	)
9	Barclays Capital	Amsterdam Index Futures	1/2015		881,419		925,688		44,269
11	J.P. Morgan	BIST 30 Futures	2/2015		49,727		50,393		666
11	Barclays Capital	DAX Index Futures	3/2015		3,215,992		3,275,560		59,568
3	J.P. Morgan	FTSE Bursa Malaysia KLCI Index Futures	1/2015		75,468		75,118		(350	)
33	Barclays Capital	Hang Seng Index Futures	1/2015		5,019,377		5,031,930		12,553
3	Barclays Capital	H-SHARES Index Futures	1/2015		232,554		231,906		(648	)
6	Barclays Capital	KOSPI Index 200 Futures	3/2015		679,605		665,969		(13,636	)
3	J.P. Morgan	MSCI Singapore Index Futures	1/2015		170,997		172,846		1,849
6	Barclays Capital	MSCI Taiwan Stock Index Futures	1/2015		203,277		205,860		2,583

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
7	J.P. Morgan	SET50 Index Futures	3/2015		$ 43,287			$ 42,089			$ (1,198	)
2	J.P. Morgan	SGX S&P CNX Nifty Index Futures	1/2015		33,362			33,436			74
14	Barclays Capital	TOPIX Index Futures	3/2015		1,659,413			1,645,099			(14,314	)
47	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		14,207,993			14,210,268			2,275
58	J.P. Morgan	3-Month Euro Euribor Futures	9/2015		17,532,530			17,536,952			4,422
8	J.P. Morgan	3-Month Euro Euribor Futures	12/2015		2,418,070			2,418,769			699
77	J.P. Morgan	90-Day EURODollar Futures	6/2015		19,164,377			19,166,263			1,886
61	J.P. Morgan	90-Day EURODollar Futures	9/2015		15,136,740			15,150,875			14,135
52	J.P. Morgan	90-Day EURODollar Futures	12/2015		12,891,981			12,881,050			(10,931	)
					98,913,713			98,912,361			(1,352	)
Short Contracts:
12	Goldman Sachs	Brent Crude Futures^	1/2015		$(805,968	)		$(687,960	)		$118,008
47	Goldman Sachs	Corn Futures^	3/2015		(951,358	)		(932,950	)		18,408
1	J.P. Morgan	LME Copper Futures^	2/2015		(165,593	)		(158,287	)		7,306
1	J.P. Morgan	LME Copper Futures^	2/2015		(162,122	)		(157,850	)		4,272
4	J.P. Morgan	LME Copper Futures^	3/2015		(634,489	)		(630,313	)		4,176
13	Goldman Sachs	Natural Gas Futures^	1/2015		(432,704	)		(375,570	)		57,134
15	Goldman Sachs	Soybean Futures^	3/2015		(782,572	)		(767,625	)		14,947
19	Barclays Capital	CAC40 Index Futures	1/2015		(967,228	)		(983,323	)		(16,095	)
49	Barclays Capital	Euro Stoxx 50 Index	3/2015		(1,822,969	)		(1,857,633	)		(34,664	)
17	Barclays Capital	FTSE 100 Index Futures	3/2015		(1,681,809	)		(1,728,214	)		(46,405	)
28	Barclays Capital	FTSE/JSE Top 40 Index Futures	3/2015		(1,037,903	)		(1,071,275	)		(33,372	)
10	Barclays Capital	FTSE/MIB Index Futures	3/2015		(1,119,331	)		(1,153,722	)		(34,391	)
3	Barclays Capital	IBEX 35 Index Futures	1/2015		(371,348	)		(371,884	)		(536	)
7	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures	3/2015		(203,803	)		(204,913	)		(1,110	)
6	Barclays Capital	OMXS30 Index Futures	1/2015		(107,728	)		(112,891	)		(5,163	)
8	J.P. Morgan	S&P 500 E-Mini Futures	3/2015		(832,572	)		(820,960	)		11,612
12	J.P. Morgan	S&P/Toronto Stock Exchange 60 Index Futures	3/2015		(1,747,315	)		(1,759,201	)		(11,886	)
5	J.P. Morgan	SPI 200 Index Futures	3/2015		(522,372	)		(549,335	)		(26,963	)
35	J.P. Morgan	10-Year Japanese Government Bond	3/2015		(4,314,308	)		(4,319,920	)		(5,612	)
106	J.P. Morgan	90-Day Sterling Futures	6/2015		(20,511,653	)		(20,519,282	)		(7,629	)
84	J.P. Morgan	90-Day Sterling Futures	9/2015		(16,205,507	)		(16,247,472	)		(41,965	)
48	J.P. Morgan	90-Day Sterling Futures	12/2015		(9,267,183	)		(9,274,918	)		(7,735	)
40	J.P. Morgan	Australia 10-Year Bond Futures	3/2015		(4,138,690	)		(4,184,703	)		(46,013	)
135	J.P. Morgan	Australia 3-Year Bond Futures	3/2015		(12,221,095	)		(12,264,811	)		(43,716	)
16	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	6/2015		(3,397,916	)		(3,397,142	)		774
33	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	9/2015		(7,001,040	)		(7,003,765	)		(2,725	)
16	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2015		(3,395,159	)		(3,394,044	)		1,115
					(94,801,735	)		(94,929,963	)		(128,228	)
				$	4,111,978		$	3,982,398		$	(129,580	)

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,222,885, $199,706 and $835,995, respectively at December 31, 2014.

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

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		397,000		$325,495		$322,422		$(3,073	)
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		397,000		325,465		322,420		(3,045	)
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		450,000		167,895		165,967		(1,928	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		450,000		167,859		165,967		(1,892	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		2,200,000		1,911,222		1,890,613		(20,609	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		2,271,000		1,974,167		1,951,628		(22,539	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		413,500		430,508		416,473		(14,035	)
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		441,500		459,371		444,674		(14,697	)
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		193,000		31,562		31,380		(182	)
Euro, Expiring 03/18/15	CitiBank	EUR		1,205,500		1,479,970		1,459,684		(20,286	)
Euro, Expiring 03/18/15	Credit Suisse International	EUR		1,251,500		1,536,790		1,515,384		(21,406	)
British Pound, Expiring 03/18/15	CitiBank	GBP		348,000		543,776		542,079		(1,697	)
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		403,000		630,436		627,753		(2,683	)
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		27,000		3,482		3,482		—
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		17,500,000		70,379		66,763		(3,616	)
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		18,500,000		74,411		70,576		(3,835	)
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		370,000		94,199		94,885		686
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		370,000		94,172		94,885		713
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		23,250,000		368,650		362,825		(5,825	)
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		43,150,000		677,800		673,374		(4,426	)
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		53,375,000		445,518		445,896		378
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		53,375,000		445,495		445,896		401
Korean Won, Expiring 03/18/15*	CitiBank	KRW		273,000,000		245,931		247,545		1,614
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		273,000,000		245,928		247,545		1,617
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		1,620,000		109,897		109,308		(589	)
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		1,620,000		109,956		109,308		(648	)
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		52,500		7,029		7,030		1
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		52,500		7,029		7,030		1
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		1,032,000		792,691		799,369		6,678

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		1,032,000			$ 792,626			$ 799,368			$ 6,742
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		880,000			260,432			247,751			(12,681	)
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		1,200,000			350,046			337,842			(12,204	)
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		6,100,000			113,402			96,326			(17,076	)
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		8,000,000			150,457			126,329			(24,128	)
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		473,500			62,257			60,756			(1,501	)
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		473,500			62,257			60,756			(1,501	)
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		407,000			310,973			306,866			(4,107	)
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		407,000			310,867			306,866			(4,001	)
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		1,950,000			851,562			822,025			(29,537	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		3,690,000			1,590,423			1,555,521			(34,902	)
Taiwanese Dollar, Expiring 03/18/15*	CitiBank	TWD		1,950,000			62,681			61,732			(949	)
Taiwanese Dollar, Expiring 03/18/15*	Credit Suisse International	TWD		1,950,000			62,679			61,732			(947	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		2,520,000			219,657			215,281			(4,376	)
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		3,120,000			270,810			266,539			(4,271	)
							$19,248,212			$18,967,851			$(280,361	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/18/15	CitiBank	AUD		(92,500	)		$(78,435	)		$(75,123	)		$3,312
Australian Dollar, Expiring 03/18/15	Credit Suisse International	AUD		(92,500	)		(78,454	)		(75,123	)		3,331
Brazilian Real, Expiring 03/18/15*	CitiBank	BRL		(865,000	)		(318,749	)		(319,025	)		(276	)
Brazilian Real, Expiring 03/18/15*	Credit Suisse International	BRL		(1,495,000	)		(547,011	)		(551,379	)		(4,368	)
Canadian Dollar, Expiring 03/18/15	CitiBank	CAD		(235,500	)		(202,175	)		(202,381	)		(206	)
Canadian Dollar, Expiring 03/18/15	Credit Suisse International	CAD		(235,500	)		(202,175	)		(202,381	)		(206	)
Swiss Franc, Expiring 03/18/15	CitiBank	CHF		(3,470,500	)		(3,546,434	)		(3,495,447	)		50,987
Swiss Franc, Expiring 03/18/15	Credit Suisse International	CHF		(3,645,500	)		(3,723,498	)		(3,671,705	)		51,793
Danish Krone, Expiring 03/18/15	CitiBank	DKK		(222,000	)		(37,043	)		(36,095	)		948
Danish Krone, Expiring 03/18/15	Credit Suisse International	DKK		(335,000	)		(55,859	)		(54,468	)		1,391
Euro, Expiring 03/18/15	CitiBank	EUR		(184,000	)		(229,526	)		(222,796	)		6,730
Euro, Expiring 03/18/15	Credit Suisse International	EUR		(292,000	)		(360,867	)		(353,568	)		7,299

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
British Pound, Expiring 03/18/15	CitiBank	GBP		(100,500	)		$ (157,264	)		$ (156,548	)		$ 716
British Pound, Expiring 03/18/15	Credit Suisse International	GBP		(100,500	)		(157,269	)		(156,548	)		721
Hong Kong Dollar, Expiring 03/18/15	CitiBank	HKD		(34,000	)		(4,385	)		(4,384	)		1
Hong Kong Dollar, Expiring 03/18/15	Credit Suisse International	HKD		(61,000	)		(7,866	)		(7,866	)		—
Hungarian Forint, Expiring 03/18/15	CitiBank	HUF		(7,000,000	)		(27,445	)		(26,707	)		738
Hungarian Forint, Expiring 03/18/15	Credit Suisse International	HUF		(7,000,000	)		(27,447	)		(26,707	)		740
Israeli Shekel, Expiring 03/18/15	CitiBank	ILS		(1,380,000	)		(348,432	)		(353,891	)		(5,459	)
Israeli Shekel, Expiring 03/18/15	Credit Suisse International	ILS		(2,510,000	)		(636,142	)		(643,673	)		(7,531	)
Indian Rupee, Expiring 03/18/15*	CitiBank	INR		(2,550,000	)		(40,543	)		(39,794	)		749
Indian Rupee, Expiring 03/18/15*	Credit Suisse International	INR		(2,550,000	)		(40,542	)		(39,794	)		748
Japanese Yen, Expiring 03/18/15	CitiBank	JPY		(56,716,000	)		(474,550	)		(473,806	)		744
Japanese Yen, Expiring 03/18/15	Credit Suisse International	JPY		(155,228,000	)		(1,296,006	)		(1,296,778	)		(772	)
Korean Won, Expiring 03/18/15*	CitiBank	KRW		(369,500,000	)		(332,763	)		(335,047	)		(2,284	)
Korean Won, Expiring 03/18/15*	Credit Suisse International	KRW		(369,500,000	)		(332,766	)		(335,047	)		(2,281	)
Mexican Peso, Expiring 03/18/15	CitiBank	MXN		(8,965,000	)		(632,397	)		(604,909	)		27,488
Mexican Peso, Expiring 03/18/15	Credit Suisse International	MXN		(15,765,000	)		(1,092,192	)		(1,063,735	)		28,457
Norwegian Krone, Expiring 03/18/15	CitiBank	NOK		(6,871,000	)		(968,921	)		(920,017	)		48,904
Norwegian Krone, Expiring 03/18/15	Credit Suisse International	NOK		(7,993,000	)		(1,122,232	)		(1,070,251	)		51,981
New Zealand Dollar, Expiring 03/18/15	CitiBank	NZD		(132,000	)		(100,715	)		(102,244	)		(1,529	)
New Zealand Dollar, Expiring 03/18/15	Credit Suisse International	NZD		(132,000	)		(100,747	)		(102,244	)		(1,497	)
Poland Zloty, Expiring 03/18/15	CitiBank	PLN		(415,000	)		(121,452	)		(116,835	)		4,617
Poland Zloty, Expiring 03/18/15	Credit Suisse International	PLN		(415,000	)		(121,443	)		(116,837	)		4,606
Russian Ruble, Expiring 03/18/15*	CitiBank	RUB		(7,050,000	)		(127,383	)		(111,327	)		16,056
Russian Ruble, Expiring 03/18/15*	Credit Suisse International	RUB		(7,050,000	)		(127,394	)		(111,327	)		16,067
Swedish Krona, Expiring 03/18/15	CitiBank	SEK		(6,442,500	)		(857,182	)		(826,651	)		30,531
Swedish Krona, Expiring 03/18/15	Credit Suisse International	SEK		(7,520,500	)		(995,922	)		(964,973	)		30,949
Singapore Dollar, Expiring 03/18/15	CitiBank	SGD		(862,500	)		(656,341	)		(650,301	)		6,040
Singapore Dollar, Expiring 03/18/15	Credit Suisse International	SGD		(1,412,500	)		(1,070,475	)		(1,064,985	)		5,490
Turkish Lira, Expiring 03/18/15	CitiBank	TRY		(505,000	)		(212,813	)		(212,884	)		(71	)
Turkish Lira, Expiring 03/18/15	Credit Suisse International	TRY		(505,000	)		(212,852	)		(212,884	)		(32	)
South African Rand, Expiring 03/18/15	CitiBank	ZAR		(925,000	)		(79,485	)		(79,022	)		463
South African Rand, Expiring 03/18/15	Credit Suisse International	ZAR		(925,000	)		(79,491	)		(79,022	)		469
							(21,943,083	)		(21,566,529	)		376,554
							$(2,694,871	)		$(2,598,678	)		$96,193

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

Money Market Fund is pledged as collateral to CitiBank for forward foreign currency exchange contracts in the amount of $100,002 at December 31, 2014.

* Non-deliverable forward. (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps* Outstanding at December 31, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	9 -12 months maturity ranging from 09/23/2015 - 01/04/2016		$277,614

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		1,000	$	40,010	$	210
Netherlands
QIAGEN NV		400		9,525		(141	)
Singapore
Avago Technologies Ltd.		400		39,582		654
Flextronics International Ltd.		10,600		118,985		(477	)
						177
Sweden
Autoliv, Inc.		300		29,860		1,976
Switzerland
Allied World Assurance Co. Holdings AG		1,100		40,975		737
Garmin Ltd.		1,000		53,139		(309	)
TE Connectivity Ltd.		1,600		101,428		(228	)
						200

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Aon PLC		800	$	72,719	$	3,145
Delphi Automotive PLC		1,900		133,424		4,744
						7,889
United States
3M Co.		300		43,809		5,487
AbbVie, Inc.		800		53,178		(826	)
Accenture PLC		100		8,052		879
ACE Ltd.		200		21,413		1,563
Actavis PLC		300		78,423		(1,200	)
Activision Blizzard, Inc.		3,700		76,771		(2,216	)
Acuity Brands, Inc.		600		84,207		(165	)
Advance Auto Parts, Inc.		300		44,716		3,068
AECOM Technology Corp.		600		21,148		(2,926	)
Aetna, Inc.		2,300		200,270		4,039
AGCO Corp.		200		9,286		(246	)
AGL Resources, Inc.		800		42,044		1,564
Akamai Technologies, Inc.		1,100		70,089		(833	)
Alaska Air Group, Inc.		2,100		107,705		17,791

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

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Alexion Pharmaceuticals, Inc.		300	$	57,410	$	(1,901	)
Alliant Techsystems, Inc.		200		27,438		(4,188	)
Allstate Corp./The		1,100		76,090		1,185
Altria Group, Inc.		700		35,451		(962	)
Amdocs Ltd.		800		38,301		(977	)
AMERCO		400		109,449		4,255
Ameren Corp.		1,300		49,725		10,244
American Airlines Group, Inc.		1,300		67,923		1,796
American Electric Power Co., Inc.		3,400		193,005		13,443
American Express Co.		300		27,547		365
American Financial Group, Inc.		1,300		78,486		450
American Water Works Co., Inc.		100		4,914		416
Ameriprise Financial, Inc.		1,400		184,338		812
AmerisourceBergen Corp.		700		62,742		370
Amgen, Inc.		1,100		168,803		6,416
ANN, Inc.		400		16,548		(1,956	)
Anthem, Inc.		1,900		236,520		2,253
Apollo Education Group, Inc.		1,400		37,273		10,481
Apple, Inc.		1,100		122,246		(828	)
AptarGroup, Inc.		100		6,204		480
Archer-Daniels-Midland Co.		2,800		146,976		(1,376	)
ARRIS Group, Inc.		3,400		103,499		(853	)
Arrow Electronics, Inc.		600		36,738		(2,004	)
Ascena Retail Group, Inc.		1,900		26,953		(3,089	)
Aspen Insurance Holdings Ltd.		700		30,517		122
Associated Banc-Corp.		300		5,564		25
Assurant, Inc.		500		32,817		1,398
AT&T, Inc.		400		14,057		(621	)
Atmos Energy Corp.		900		46,825		3,341
AutoNation, Inc.		1,000		58,410		2,000
AutoZone, Inc.		200		115,544		8,278
Avnet, Inc.		300		13,302		(396	)
Axis Capital Holdings Co.		200		9,649		569
Ball Corp.		800		52,472		2,064
Bank of New York Mellon Corp./The		100		4,071		(14	)
Baxter International, Inc.		300		21,809		178
BB&T Corp.		1,000		38,890		—
Becton Dickinson and Co.		400		45,985		9,679
Bed Bath & Beyond, Inc.		200		12,873		2,361
Bemis Co., Inc.		100		3,902		619
Big Lots, Inc.		2,500		100,346		(296	)
Bill Barrett Corp.		500		5,855		(160	)
Biogen Idec, Inc.		200		65,407		2,483
Bio-Techne Corp.		100		9,403		(163	)
BlackRock, Inc.		100		36,379		(623	)
Booz Allen Hamilton Holding Corp.		2,800		73,089		1,195
Brinker International, Inc.		100		5,701		168
Broadcom Corp.		1,500		63,588		1,407
Broadridge Financial Solutions, Inc.		1,600		69,861		4,027

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Brocade Communications Systems, Inc.		13,600	$	154,151	$	6,873
Bunge Ltd.		600		54,679		(133	)
CA, Inc.		1,200		34,539		2,001
Cablevision Systems Corp.		4,600		92,475		2,469
Cabot Corp.		300		16,595		(3,437	)
Capital One Financial Corp.		2,400		200,559		(2,439	)
Cardinal Health, Inc.		900		68,499		4,158
Carlisle Cos., Inc.		100		9,143		(119	)
Carnival Corp.		1,200		55,054		(658	)
Caterpillar, Inc.		1,100		106,396		(5,713	)
Celanese Corp.		500		30,529		(549	)
Celgene Corp.		200		18,579		3,793
Centene Corp.		700		68,945		3,750
CenturyLink, Inc.		1,300		52,597		(1,143	)
Charles River Laboratories International, Inc.		800		48,683		2,229
Chesapeake Energy Corp.		700		17,398		(3,699	)
Chevron Corp.		800		96,209		(6,465	)
Cigna Corp.		200		18,991		1,591
Cinemark Holdings, Inc.		1,600		56,758		170
Cintas Corp.		700		50,795		4,113
Cisco Systems, Inc.		4,700		128,165		2,566
CMS Energy Corp.		100		2,944		531
Coca-Cola Enterprises, Inc.		100		4,585		(163	)
Commercial Metals Co.		1,700		30,716		(3,023	)
Compass Minerals International, Inc.		100		8,466		217
Computer Sciences Corp.		1,700		105,949		1,236
ConocoPhillips		2,100		155,739		(10,713	)
Consolidated Edison, Inc.		1,300		76,062		9,751
Convergys Corp.		2,400		48,571		317
Corning, Inc.		3,300		71,632		4,037
CR Bard, Inc.		500		75,592		7,718
Crane Co.		100		6,827		(957	)
Crown Holdings, Inc.		600		31,105		(565	)
CST Brands, Inc.		900		38,969		280
CSX Corp.		1,300		45,950		1,149
Cummins, Inc.		400		57,290		378
CVR Energy, Inc.		200		7,970		(228	)
CVS Caremark Corp.		1,700		149,661		14,066
Cytec Industries, Inc.		200		10,069		(835	)
Deckers Outdoor Corp.		1,100		104,691		(4,547	)
Delta Air Lines, Inc.		3,300		139,346		22,981
Deluxe Corp.		1,400		86,451		699
Devon Energy Corp.		1,500		96,316		(4,501	)
DeVry, Inc.		900		43,865		(1,142	)
Dillard’s, Inc.		400		48,170		1,902
Discover Financial Services		2,100		138,448		(919	)
DISH Network Corp.		100		7,293		(4	)
Dolby Laboratories, Inc.		800		34,948		(452	)
Dollar General Corp.		200		13,779		361
Dollar Tree, Inc.		100		5,702		1,336
Dover Corp.		300		25,633		(4,117	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dow Chemical Co./The		1,600	$	77,386	$	(4,410	)
DR Horton, Inc.		600		14,956		218
Dr Pepper Snapple Group, Inc.		2,300		156,338		8,526
DST Systems, Inc.		900		82,442		2,293
DTE Energy Co.		800		60,606		8,490
Dun & Bradstreet Corp./The		100		11,721		375
Eastman Chemical Co.		200		15,377		(205	)
eBay, Inc.		1,700		95,650		(246	)
EchoStar Corp.		200		10,502		(2	)
Edison International		900		55,224		3,708
Edwards Lifesciences Corp.		200		23,357		2,119
EI du Pont de Nemours & Co.		200		14,711		77
Electronic Arts, Inc.		1,100		45,559		6,157
Eli Lilly & Co.		1,700		118,267		(984	)
EMC Corp.		3,800		115,230		(2,218	)
Endurance Specialty Holdings Ltd.		400		22,923		1,013
Energizer Holdings, Inc.		600		77,542		(406	)
Entergy Corp.		1,800		147,196		10,268
EOG Resources, Inc.		400		39,532		(2,704	)
Equifax, Inc.		200		15,560		614
Everest Re Group Ltd.		500		82,094		3,056
Exelon Corp.		3,000		109,342		1,898
Expedia, Inc.		1,600		140,406		(3,830	)
Express Scripts PLC		200		14,901		2,033
Exxon Mobil Corp.		600		56,836		(1,366	)
FedEx Corp.		400		66,999		2,465
Fidelity National Information Services, Inc.		600		34,854		2,466
Fifth Third BanCorp.		300		6,315		(203	)
Fiserv, Inc.		1,300		91,269		992
Fluor Corp.		100		7,012		(949	)
Foot Locker, Inc.		4,500		254,664		(1,854	)
Ford Motor Co.		100		1,564		(14	)
Franklin Resources, Inc.		200		11,316		(242	)
Freeport-McMoRan, Inc.		800		27,505		(8,817	)
Frontier Communications Corp.		1,800		12,264		(258	)
GameStop Corp.		100		4,398		(1,018	)
Gannett Co., Inc.		3,800		122,867		(1,533	)
Gap, Inc./The		1,600		67,909		(533	)
Gartner, Inc.		300		25,606		(343	)
GATX Corp.		400		24,515		(1,499	)
General Dynamics Corp.		1,200		168,458		(3,314	)
General Mills, Inc.		200		10,168		498
Genuine Parts Co.		600		60,630		3,312
Gilead Sciences, Inc.		1,600		164,152		(13,336	)
Google, Inc.		100		59,605		(6,539	)
Graham Holdings Co.		200		161,883		10,859
H&R Block, Inc.		600		19,331		877
Halliburton Co.		2,700		116,171		(9,980	)
Hanesbrands, Inc.		200		22,452		(128	)
Hanover Insurance Group, Inc./The		200		13,434		830
Harman International Industries, Inc.		100		10,895		(224	)
Harris Corp.		600		42,067		1,025

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hasbro, Inc.		100	$	5,610	$	(111	)
HCA Holdings, Inc.		2,000		146,502		278
HCC Insurance Holdings, Inc.		500		27,272		(512	)
Health Net, Inc.		2,200		111,754		6,012
Helix Energy Solutions Group, Inc.		5,600		122,140		(620	)
Helmerich & Payne, Inc.		1,100		89,538		(15,376	)
Herman Miller, Inc.		800		23,837		(293	)
Hess Corp.		1,700		139,242		(13,748	)
Hewlett-Packard Co.		4,100		158,920		5,613
Home Depot, Inc./The		400		38,086		3,902
Honeywell International, Inc.		300		28,822		1,154
Hormel Foods Corp.		700		36,574		(104	)
Hospira, Inc.		200		11,894		356
Howard Hughes Corp./The		100		15,177		(2,135	)
Humana, Inc.		900		123,868		5,399
Huntington Ingalls Industries, Inc.		1,200		135,282		(330	)
IAC/InterActiveCorp.		900		59,343		(4,632	)
Illinois Tool Works, Inc.		100		8,885		585
Ingram Micro, Inc.		1,400		39,250		(554	)
Ingredion, Inc.		600		49,905		999
Intel Corp.		4,700		169,809		754
InterDigital, Inc.		1,000		54,520		(1,620	)
International Business Machines Corp.		200		38,711		(6,623	)
International Flavors & Fragrances, Inc.		100		10,016		120
International Paper Co.		500		27,253		(463	)
Interpublic Group of Cos., Inc./The		100		1,876		201
ITT Corp.		500		24,074		(3,844	)
Jabil Circuit, Inc.		2,800		61,569		(445	)
Jacobs Engineering Group, Inc.		200		8,904		34
Jarden Corp.		150		6,143		1,039
JetBlue Airways Corp.		900		12,353		1,921
JM Smucker Co./The		100		9,968		130
Johnson & Johnson		1,000		106,380		(1,810	)
Johnson Controls, Inc.		200		9,326		342
JPMorgan Chase & Co.		1,000		62,088		492
Juniper Networks, Inc.		800		18,285		(429	)
Kellogg Co.		300		18,798		834
Kimberly-Clark Corp.		1,000		106,857		8,683
KLA-Tencor Corp.		200		16,064		(2,000	)
Kohl’s Corp.		600		37,544		(920	)
L-3 Communications Holdings, Inc.		100		11,584		1,037
Lam Research Corp.		1,100		86,923		351
Landstar System, Inc.		500		37,145		(880	)
Lear Corp.		1,100		109,386		(1,498	)
Legg Mason, Inc.		300		15,699		312
Lennar Corp.		600		26,840		46
Lexmark International, Inc.		3,800		168,523		(11,697	)
LifePoint Hospitals, Inc.		1,000		73,997		(2,087	)
Lincoln National Corp.		400		22,891		177
Lockheed Martin Corp.		800		146,967		7,089
Loews Corp.		500		21,485		(475	)

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

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Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lowe’s Cos., Inc.		1,300	$	84,939	$	4,501
LyondellBasell Industries NV		500		53,453		(13,758	)
M&T Bank Corp.		100		12,741		(179	)
Mallinckrodt PLC		1,200		114,792		4,044
ManpowerGroup, Inc.		200		15,185		(1,551	)
Marathon Oil Corp.		1,500		56,094		(13,659	)
Marathon Petroleum Corp.		100		8,858		168
Marriott International, Inc.		200		15,564		42
Marsh & McLennan Cos., Inc.		1,500		84,110		1,750
Marvell Technology Group Ltd.		1,100		15,290		660
McGraw Hill Financial, Inc.		200		17,310		486
McKesson Corp.		300		58,843		3,431
MeadWestvaco Corp.		100		4,504		(65	)
Medivation, Inc.		200		20,053		(131	)
Medtronic, Inc.		1,000		69,275		2,925
Mentor Graphics Corp.		400		8,856		(88	)
Merck & Co., Inc.		1,300		76,751		(2,924	)
Microchip Technology, Inc.		100		4,893		(382	)
Micron Technology, Inc.		4,400		150,298		3,746
Microsoft Corp.		1,400		66,034		(1,004	)
Mondelez International, Inc.		400		14,221		309
Monster Beverage Corp.		200		21,654		16
Moody’s Corp.		400		38,704		(380	)
Murphy Oil Corp.		900		49,824		(4,356	)
Murphy USA, Inc.		1,700		104,080		12,982
Mylan, Inc.		800		46,362		(1,266	)
Myriad Genetics, Inc.		1,600		59,915		(5,419	)
National Oilwell Varco, Inc.		1,700		124,404		(13,003	)
Navient Corp.		9,900		209,101		4,838
NetApp, Inc.		500		21,708		(983	)
New York Community Bancorp., Inc.		1,600		26,321		(721	)
Newfield Exploration Co.		1,700		45,749		355
NextEra Energy, Inc.		100		9,502		1,127
Nordstrom, Inc.		400		29,714		2,042
Norfolk Southern Corp.		1,100		123,062		(2,491	)
Northrop Grumman Corp.		1,200		166,423		10,445
Norwegian Cruise Line Holdings Ltd.		800		35,274		2,134
Nucor Corp.		800		39,516		(276	)
NVIDIA Corp.		1,400		29,061		(991	)
Occidental Petroleum Corp.		400		27,969		4,275
Oil States International, Inc.		100		6,290		(1,400	)
Omnicom Group, Inc.		300		21,190		2,051
ON Semiconductor Corp.		900		8,855		262
Oracle Corp.		1,200		49,944		4,020
O’Reilly Automotive, Inc.		400		69,944		7,104
PACCAR, Inc.		400		27,964		(760	)
Packaging Corp. of America		500		38,967		58

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Parker-Hannifin Corp.		200	$	23,399	$	2,391
PartnerRe Ltd.		1,600		182,738		(130	)
Patterson Cos., Inc.		100		4,093		717
Penske Automotive Group, Inc.		400		17,711		1,917
People’s United Financial, Inc.		1,000		15,019		161
PepsiCo, Inc.		600		57,217		(481	)
Pfizer, Inc.		2,000		61,351		949
PG&E Corp.		2,500		133,826		(726	)
Phillips 66		700		60,169		(9,979	)
Pilgrim’s Pride Corp.		4,400		147,864		(3,588	)
Pinnacle Foods, Inc.		1,000		35,305		(5	)
Pinnacle West Capital Corp.		200		13,641		21
PNC Financial Services Group, Inc./The		1,900		171,256		2,081
Polycom, Inc.		3,100		41,397		453
PPG Industries, Inc.		200		40,706		5,524
PTC, Inc.		600		22,829		(839	)
Public Service Enterprise Group, Inc.		3,300		136,447		206
Pulte Group, Inc.		2,900		58,717		3,517
Quanta Services, Inc.		1,200		35,866		(1,797	)
Rackspace Hosting, Inc.		600		28,962		(876	)
Raytheon Co.		1,100		115,708		3,279
Regal Entertainment Group		1,300		26,686		1,082
Reinsurance Group of America, Inc.		2,500		215,823		3,227
Reliance Steel & Aluminum Co.		1,100		73,738		(6,341	)
RenaissanceRe Holdings Ltd.		100		10,197		(475	)
Republic Services, Inc.		1,800		72,590		(140	)
Reynolds American, Inc.		1,200		73,012		4,112
RF Micro Devices, Inc.		1,100		14,079		4,170
Rock-Tenn Co.		600		36,068		520
Ross Stores, Inc.		400		32,058		5,646
Rovi Corp.		1,100		24,000		849
Royal Caribbean Cruises Ltd.		400		28,737		4,235
RR Donnelley & Sons Co.		200		3,432		(71	)
Ryder System, Inc.		1,300		121,562		(857	)
SCANA Corp.		200		9,998		2,082
Seagate Technology PLC		200		11,894		1,406
SEI Investments Co.		800		31,000		1,032
Sensient Technologies Corp.		100		5,539		495
Sherwin-Williams Co./The		200		51,259		1,349
Silgan Holdings, Inc.		500		26,083		717
Skyworks Solutions, Inc.		800		48,342		9,826
SM Energy Co.		800		45,328		(14,464	)
Snap-on, Inc.		600		81,709		335
Southern Co./The		400		18,219		1,425
Southwest Airlines Co.		2,700		98,205		16,059
Spectra Energy Corp.		500		18,867		(717	)
Spectrum Brands Holdings, Inc.		900		86,076		36
Spirit AeroSystems Holdings, Inc.		100		4,342		(38	)

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

AQR Funds Annual Report December 2014

253

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SPX Corp.		300	$	30,234	$	(4,458	)
Steel Dynamics, Inc.		4,700		98,351		(5,573	)
STERIS Corp.		500		31,259		1,166
SunTrust Banks, Inc.		100		4,018		172
Superior Energy Services, Inc.		900		17,491		644
SUPERVALU, Inc.		1,000		9,716		(16	)
Symantec Corp.		1,200		30,841		(55	)
Synopsys, Inc.		800		33,995		781
Sysco Corp.		300		11,393		514
Targa Resources Corp.		100		10,813		(208	)
Tech Data Corp.		900		59,000		(2,093	)
Teleflex, Inc.		800		90,433		1,423
Teradyne, Inc.		100		2,080		(101	)
Texas Instruments, Inc.		200		9,784		909
Textron, Inc.		1,400		58,742		212
Time Warner, Inc.		500		38,716		3,994
Total System Services, Inc.		400		12,694		890
Travelers Cos., Inc./The		1,400		143,057		5,133
Tupperware Brands Corp.		100		7,315		(1,015	)
Tyco International PLC		100		4,480		(94	)
Tyson Foods, Inc.		2,300		90,953		1,254
UGI Corp.		2,900		110,656		(514	)
Ultra Petroleum Corp.		600		14,929		(7,033	)
Union Pacific Corp.		1,600		186,958		3,650
Unit Corp.		2,700		113,116		(21,046	)
United Parcel Service, Inc.		200		19,934		2,300
United Rentals, Inc.		400		43,612		(2,808	)
United States Steel Corp.		6,500		202,992		(29,182	)
United Technologies Corp.		300		32,538		1,962
United Therapeutics Corp.		600		77,632		62
UnitedHealth Group, Inc.		1,800		173,191		8,771
Unum Group		1,300		47,293		(1,949	)
US Bancorp.		1,000		43,040		1,910
Valero Energy Corp.		1,400		67,797		1,503
Validus Holdings Ltd.		300		11,834		634
Valmont Industries, Inc.		200		27,523		(2,123	)
Valspar Corp./The		300		25,976		(32	)
Vectren Corp.		900		39,414		2,193
VeriSign, Inc.		1,300		75,034		(934	)
Verizon Communications, Inc.		300		14,876		(842	)
VF Corp.		100		6,652		838
Vishay Intertechnology, Inc.		200		3,125		(295	)
WABCO Holdings, Inc.		200		18,755		2,201
Walgreens Boots Alliance, Inc.		100		6,308		1,312
Wal-Mart Stores, Inc.		100		7,631		957
Walt Disney Co./The		500		45,955		1,140
Wells Fargo & Co.		2,500		135,235		1,815
Werner Enterprises, Inc.		500		12,752		2,823
Westar Energy, Inc.		1,400		55,706		2,030
Western Digital Corp.		1,000		103,335		7,365
Whirlpool Corp.		200		37,780		968
Whiting Petroleum Corp.		400		33,112		(19,912	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
World Fuel Services Corp.		2,100		$	97,709		$	844
Worthington Industries, Inc.		700			24,915			(3,852	)
WR Berkley Corp.		400			20,786			(282	)
Wyndham Worldwide Corp.		200			16,386			766
Xcel Energy, Inc.		800			26,255			2,481
Yahoo!, Inc.		1,200			60,266			346
Zebra Technologies Corp.		100			7,551			190
								132,286
Total of Long Equity Positions								142,597
Short Positions
Canada
lululemon athletica, Inc.		(400	)		(19,489	)		(2,827	)
Ireland
Allegion PLC		(700	)		(35,486	)		(3,336	)
Endo International PLC		(3,400	)		(241,072	)		(4,136	)
Jazz Pharmaceuticals PLC		(400	)		(66,859	)		1,367
								(6,105	)
Netherlands
Chicago Bridge & Iron Co. NV		(900	)		(43,196	)		5,414
Core Laboratories NV		(1,300	)		(159,975	)		3,533
								8,947
Norway
Golar LNG Ltd.		(900	)		(53,178	)		20,355
Switzerland
Weatherford International PLC		(2,100	)		(46,914	)		22,869
United Kingdom
Ensco PLC		(200	)		(7,644	)		1,654
Liberty Global PLC		(1,000	)		(48,098	)		(2,107	)
Noble Corp. PLC		(100	)		(1,945	)		288
Pentair PLC		(1,000	)		(67,032	)		612
								447
United States
Aaron’s, Inc.		(500	)		(15,312	)		27
Abercrombie & Fitch Co.		(200	)		(5,704	)		(24	)
ACI Worldwide, Inc.		(100	)		(1,916	)		(101	)
Acxiom Corp.		(2,500	)		(49,445	)		(1,230	)
Adobe Systems, Inc.		(100	)		(7,290	)		20
ADT Corp./The		(400	)		(13,900	)		(592	)
ADTRAN, Inc.		(4,800	)		(105,215	)		575
Advent Software, Inc.		(100	)		(3,134	)		70
AES Corp.		(3,400	)		(47,861	)		1,043
Agilent Technologies, Inc.		(400	)		(16,955	)		579
Alcoa, Inc.		(3,100	)		(50,194	)		1,245
Alere, Inc.		(200	)		(7,966	)		366
Align Technology, Inc.		(1,600	)		(90,018	)		562

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

AQR Funds Annual Report December 2014

254

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allegheny Technologies, Inc.		(3,800	)	$	(139,081	)	$	6,955
Alliance Data Systems Corp.		(100	)		(24,914	)		(3,691	)
Allison Transmission Holdings, Inc.		(200	)		(5,983	)		(797	)
Allscripts Healthcare Solutions, Inc.		(3,100	)		(40,467	)		880
Alnylam Pharmaceuticals, Inc.		(1,200	)		(100,075	)		(16,325	)
Altera Corp.		(700	)		(25,898	)		40
Amazon.com, Inc.		(400	)		(126,475	)		2,335
AMC Networks, Inc.		(300	)		(18,825	)		(306	)
American Eagle Outfitters, Inc.		(4,300	)		(61,111	)		1,427
Anadarko Petroleum Corp.		(100	)		(10,685	)		2,435
ANSYS, Inc.		(100	)		(8,304	)		104
Apache Corp.		(800	)		(51,136	)		1,000
Armstrong World Industries, Inc.		(1,800	)		(93,067	)		1,051
Artisan Partners Asset Management, Inc.		(2,100	)		(106,404	)		291
athenahealth, Inc.		(900	)		(121,242	)		(9,888	)
Atmel Corp.		(8,200	)		(70,003	)		1,164
Autodesk, Inc.		(200	)		(11,134	)		(878	)
Avis Budget Group, Inc.		(200	)		(12,863	)		(403	)
Avon Products, Inc.		(6,500	)		(70,068	)		9,033
B/E Aerospace, Inc.		(2,900	)		(166,543	)		(1,715	)
BancorpSouth, Inc.		(2,300	)		(51,375	)		(398	)
Bank of America Corp.		(2,700	)		(46,126	)		(2,177	)
BankUnited, Inc.		(200	)		(5,891	)		97
Belden, Inc.		(100	)		(7,108	)		(773	)
BioMarin Pharmaceutical, Inc.		(1,200	)		(85,012	)		(23,468	)
Black Hills Corp.		(300	)		(15,347	)		(565	)
BorgWarner, Inc.		(100	)		(5,620	)		125
Boston Scientific Corp.		(1,700	)		(21,123	)		(1,402	)
Bristol-Myers Squibb Co.		(500	)		(27,284	)		(2,231	)
Brookdale Senior Living, Inc.		(2,400	)		(80,150	)		(7,858	)
Bruker Corp.		(5,100	)		(101,170	)		1,108
Brunswick Corp./DE		(600	)		(27,572	)		(3,184	)
Cabela’s, Inc.		(1,100	)		(62,351	)		4,370
Cabot Oil & Gas Corp.		(2,800	)		(88,721	)		5,813
Calpine Corp.		(1,600	)		(36,044	)		636
Cameron International Corp.		(100	)		(7,113	)		2,118
CarMax, Inc.		(1,100	)		(65,136	)		(8,102	)
Carpenter Technology Corp.		(2,300	)		(113,881	)		606
Catamaran Corp.		(600	)		(28,023	)		(3,027	)
Cathay General Bancorp		(300	)		(7,862	)		185
CBOE Holdings, Inc.		(100	)		(5,625	)		(717	)
CBS Corp.		(900	)		(50,105	)		299
CDW Corp./DE		(200	)		(6,316	)		(718	)
CenterPoint Energy, Inc.		(1,000	)		(24,211	)		781
Cerner Corp.		(200	)		(11,698	)		(1,234	)
Charles Schwab Corp./The		(4,600	)		(140,200	)		1,326
Charter Communications, Inc.		(200	)		(32,401	)		(923	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cheniere Energy, Inc.		(1,100	)	$	(84,551	)	$	7,111
Chico’s FAS, Inc.		(500	)		(7,759	)		(346	)
Chipotle Mexican Grill, Inc.		(100	)		(69,345	)		894
Ciena Corp.		(9,100	)		(168,858	)		(7,773	)
Cincinnati Financial Corp.		(1,300	)		(64,012	)		(3,367	)
CIT Group, Inc.		(100	)		(4,806	)		23
Citigroup, Inc.		(500	)		(26,794	)		(261	)
Citrix Systems, Inc.		(100	)		(7,237	)		857
Civeo Corp.		(1,100	)		(27,969	)		23,448
Clean Harbors, Inc.		(1,000	)		(50,935	)		2,885
Cleco Corp.		(300	)		(16,557	)		195
Coach, Inc.		(5,300	)		(194,616	)		(4,452	)
Cobalt International Energy, Inc.		(19,500	)		(203,955	)		30,600
Coca-Cola Co./The		(200	)		(8,332	)		(112	)
Colfax Corp.		(3,100	)		(166,969	)		7,102
Colgate-Palmolive Co.		(900	)		(60,882	)		(1,388	)
Comcast Corp.		(200	)		(11,399	)		(203	)
Community Health Systems, Inc.		(300	)		(17,079	)		903
CommVault Systems, Inc.		(1,800	)		(93,207	)		165
ConAgra Foods, Inc.		(300	)		(9,879	)		(1,005	)
Concho Resources, Inc.		(100	)		(13,327	)		3,352
CONSOL Energy, Inc.		(1,900	)		(71,759	)		7,520
Copart, Inc.		(200	)		(6,762	)		(536	)
CoreLogic, Inc.		(500	)		(14,061	)		(1,734	)
Corporate Executive Board Co./The		(500	)		(34,600	)		(1,665	)
CoStar Group, Inc.		(500	)		(85,898	)		(5,917	)
Costco Wholesale Corp.		(100	)		(12,636	)		(1,539	)
Coty, Inc.		(3,600	)		(67,341	)		(7,035	)
Covanta Holding Corp.		(1,300	)		(28,008	)		(605	)
Cree, Inc.		(1,100	)		(43,993	)		8,551
Cubist Pharmaceuticals, Inc.		(500	)		(33,294	)		(17,031	)
Darden Restaurants, Inc.		(200	)		(9,975	)		(1,751	)
DaVita HealthCare Partners, Inc.		(200	)		(15,209	)		61
Dean Foods Co.		(10,800	)		(188,700	)		(20,604	)
Deere & Co.		(100	)		(8,368	)		(479	)
Denbury Resources, Inc.		(2,200	)		(28,112	)		10,226
Diebold, Inc.		(600	)		(21,605	)		821
Discovery Communications, Inc.		(2,100	)		(77,501	)		5,156
Donaldson Co., Inc.		(700	)		(27,411	)		370
DreamWorks Animation SKG, Inc.		(4,000	)		(93,224	)		3,904
Dril-Quip, Inc.		(600	)		(46,624	)		586
DSW, Inc.		(4,100	)		(144,894	)		(8,036	)
Dunkin’ Brands Group, Inc.		(1,100	)		(50,499	)		3,584
E*TRADE Financial Corp.		(3,000	)		(72,946	)		181
Eagle Materials, Inc.		(100	)		(7,660	)		57
Emerson Electric Co.		(800	)		(51,583	)		2,199
Energen Corp.		(400	)		(30,207	)		4,703
EQT Corp.		(200	)		(19,100	)		3,960
Equinix, Inc.		(103	)		(21,797	)		(1,556	)
Estee Lauder Cos., Inc./The		(900	)		(68,333	)		(247	)

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

AQR Funds Annual Report December 2014

255

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Expeditors International of Washington, Inc.		(300	)	$	(12,662	)	$	(721	)
Facebook, Inc.		(600	)		(47,132	)		320
Fastenal Co.		(1,300	)		(60,817	)		(1,011	)
Federated Investors, Inc.		(900	)		(28,149	)		(1,488	)
FEI Co.		(1,500	)		(135,032	)		(493	)
First Horizon National Corp.		(3,300	)		(42,600	)		(2,214	)
First Niagara Financial Group, Inc.		(17,900	)		(148,816	)		(2,081	)
First Republic Bank		(800	)		(40,143	)		(1,553	)
First Solar, Inc.		(700	)		(39,662	)		8,445
FirstEnergy Corp.		(300	)		(10,326	)		(1,371	)
FirstMerit Corp.		(300	)		(5,325	)		(342	)
FLIR Systems, Inc.		(200	)		(6,710	)		248
Flowers Foods, Inc.		(800	)		(15,246	)		(106	)
Flowserve Corp.		(1,000	)		(61,565	)		1,735
FMC Corp.		(2,300	)		(131,713	)		544
FNF Group		(800	)		(22,622	)		(4,938	)
Forest City Enterprises, Inc.		(4,800	)		(100,950	)		(1,290	)
Fortinet, Inc.		(1,000	)		(26,683	)		(3,977	)
Fortune Brands Home & Security, Inc.		(1,200	)		(52,052	)		(2,272	)
Fossil Group, Inc.		(200	)		(22,143	)		(5	)
Freescale Semiconductor Ltd.		(200	)		(4,404	)		(642	)
FTI Consulting, Inc.		(800	)		(30,539	)		(364	)
General Motors Co.		(500	)		(16,479	)		(976	)
Genesee & Wyoming, Inc.		(100	)		(9,290	)		298
Genworth Financial, Inc.		(6,900	)		(69,823	)		11,173
GNC Holdings, Inc.		(1,800	)		(75,586	)		(8,942	)
Goodyear Tire & Rubber Co./The		(100	)		(2,419	)		(438	)
Graco, Inc.		(700	)		(54,472	)		(1,654	)
Groupon, Inc.		(3,100	)		(23,545	)		(2,061	)
Guess?, Inc.		(900	)		(18,538	)		(434	)
Hain Celestial Group, Inc./The		(400	)		(20,608	)		(2,708	)
Harley-Davidson, Inc.		(300	)		(19,794	)		21
Harsco Corp.		(6,600	)		(133,115	)		8,441
Hartford Financial Services Group, Inc./The		(100	)		(3,793	)		(376	)
HD Supply Holdings, Inc.		(700	)		(20,337	)		(306	)
Hertz Global Holdings, Inc.		(5,800	)		(148,031	)		3,379
Hexcel Corp.		(1,400	)		(55,558	)		(2,528	)
Hilton Worldwide Holdings, Inc.		(2,500	)		(63,838	)		(1,387	)
HMS Holdings Corp.		(6,500	)		(141,970	)		4,560
HollyFrontier Corp.		(900	)		(34,522	)		790
Hologic, Inc.		(1,900	)		(46,754	)		(4,052	)
HomeAway, Inc.		(4,300	)		(132,024	)		3,970
Huntsman Corp.		(600	)		(14,284	)		616
Illumina, Inc.		(100	)		(17,722	)		(736	)
Incyte Corp.		(1,700	)		(94,836	)		(29,451	)
Informatica Corp.		(500	)		(18,920	)		(148	)
Ingersoll-Rand PLC		(200	)		(12,034	)		(644	)
Intersil Corp.		(1,000	)		(15,755	)		1,285
Intuitive Surgical, Inc.		(100	)		(47,271	)		(5,623	)
InvesCo., Ltd.		(100	)		(4,125	)		173

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Itron, Inc.		(700	)	$	(29,006	)	$	(597	)
Janus Capital Group, Inc.		(1,800	)		(27,688	)		(1,346	)
JDS Uniphase Corp.		(6,900	)		(94,607	)		(61	)
Joy Global, Inc.		(500	)		(27,763	)		4,503
Kansas City Southern		(300	)		(36,368	)		(241	)
Kate Spade & Co.		(2,100	)		(63,938	)		(3,283	)
KBR, Inc.		(500	)		(8,768	)		293
Kennametal, Inc.		(900	)		(34,237	)		2,026
Keurig Green Mountain, Inc.		(200	)		(27,333	)		854
KLX, Inc.		(550	)		(30,382	)		7,694
Kosmos Energy Ltd.		(4,400	)		(41,147	)		4,231
Lamar Advertising Co.		(800	)		(40,432	)		(2,480	)
Laredo Petroleum, Inc.		(400	)		(5,169	)		1,029
Las Vegas Sands Corp.		(1,600	)		(94,740	)		1,684
Leidos Holdings, Inc.		(100	)		(4,296	)		(56	)
Leucadia National Corp.		(300	)		(7,217	)		491
Level 3 Communications, Inc.		(200	)		(9,922	)		46
Liberty Media Corp.		(200	)		(7,380	)		326
Life Time Fitness, Inc.		(500	)		(25,170	)		(3,140	)
Linear Technology Corp.		(800	)		(37,134	)		654
LinkedIn Corp.		(400	)		(86,755	)		(5,129	)
Lions Gate Entertainment Corp.		(2,400	)		(79,945	)		3,097
Live Nation Entertainment, Inc.		(1,300	)		(34,424	)		481
LKQ Corp.		(3,100	)		(87,161	)		(11	)
Louisiana-Pacific Corp.		(4,300	)		(65,148	)		(6,060	)
LPL Financial Holdings, Inc.		(300	)		(13,470	)		105
Madison Square Garden Co./The		(200	)		(13,170	)		(1,882	)
Manitowoc Co., Inc./The		(2,200	)		(49,324	)		704
Masco Corp.		(400	)		(9,686	)		(394	)
MasterCard, Inc.		(200	)		(16,507	)		(725	)
MDU Resources Group, Inc.		(800	)		(18,979	)		179
MEDNAX, Inc.		(100	)		(6,685	)		74
MetLife, Inc.		(400	)		(22,420	)		784
MGM Resorts International		(1,900	)		(43,763	)		3,141
Michael Kors Holdings Ltd.		(400	)		(30,744	)		704
Middleby Corp./The		(300	)		(27,698	)		(2,032	)
Monsanto Co.		(300	)		(34,419	)		(1,422	)
Morgan Stanley		(200	)		(7,219	)		(541	)
Mosaic Co./The		(600	)		(28,027	)		637
Motorola Solutions, Inc.		(1,600	)		(103,709	)		(3,619	)
National Fuel Gas Co.		(100	)		(7,323	)		370
Navistar International Corp.		(5,600	)		(200,055	)		12,567
NCR Corp.		(1,900	)		(62,582	)		7,216
Netflix, Inc.		(300	)		(103,755	)		1,272
NetSuite, Inc.		(600	)		(53,872	)		(11,630	)
New York Times Co./The		(2,300	)		(27,652	)		(2,754	)
News Corp.		(1,000	)		(16,873	)		1,183
Nielsen NV		(900	)		(40,473	)		216
Noble Energy, Inc.		(1,600	)		(86,531	)		10,643
Nordson Corp.		(300	)		(23,913	)		525
NRG Energy, Inc.		(1,500	)		(46,037	)		5,612

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

AQR Funds Annual Report December 2014

256

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nuance Communications, Inc.		(300	)	$	(4,563	)	$	282
Oasis Petroleum, Inc.		(2,500	)		(46,571	)		5,221
Oceaneering International, Inc.		(400	)		(26,184	)		2,660
Ocwen Financial Corp.		(5,500	)		(98,208	)		15,158
Office Depot, Inc.		(7,000	)		(40,059	)		(19,966	)
Old Republic International Corp.		(700	)		(10,447	)		206
Omnicare, Inc.		(900	)		(65,699	)		62
ONEOK, Inc.		(1,600	)		(79,850	)		186
Oshkosh Corp.		(200	)		(9,599	)		(131	)
Owens Corning		(200	)		(6,976	)		(186	)
Owens-Illinois, Inc.		(3,500	)		(94,876	)		411
PacWest Bancorp		(900	)		(41,181	)		267
Palo Alto Networks, Inc.		(400	)		(39,325	)		(9,703	)
Pandora Media, Inc.		(3,200	)		(67,176	)		10,120
PBF Energy, Inc.		(2,700	)		(66,903	)		(5,025	)
Peabody Energy Corp.		(17,600	)		(170,985	)		34,761
Perrigo Co PLC		(300	)		(49,951	)		(197	)
Pharmacyclics, Inc.		(900	)		(111,920	)		1,886
Pitney Bowes, Inc.		(800	)		(19,836	)		340
Platform Specialty Products Corp.		(900	)		(24,302	)		3,404
Polaris Industries, Inc.		(100	)		(15,330	)		206
PolyOne Corp.		(400	)		(14,424	)		(740	)
Popular, Inc.		(200	)		(6,488	)		(322	)
Post Holdings, Inc.		(4,800	)		(185,936	)		(15,136	)
Precision Castparts Corp.		(200	)		(46,959	)		(1,217	)
Progressive Corp./The		(2,100	)		(53,488	)		(3,191	)
Prudential Financial, Inc.		(300	)		(27,517	)		379
PVH Corp.		(200	)		(24,992	)		(642	)
QEP Resources, Inc.		(2,600	)		(50,518	)		(2,054	)
Range Resources Corp.		(2,900	)		(180,194	)		25,189
Regeneron Pharmaceuticals, Inc.		(100	)		(35,989	)		(5,036	)
Rent-A-Center, Inc.		(100	)		(3,107	)		(525	)
Rite Aid Corp.		(2,800	)		(17,954	)		(3,102	)
Riverbed Technology, Inc.		(3,400	)		(69,248	)		(146	)
Rosetta Resources, Inc.		(3,600	)		(99,379	)		19,063
Rowan Cos. PLC		(800	)		(20,872	)		2,216
RPC, Inc.		(4,800	)		(63,828	)		1,236
Salesforce.com, Inc.		(2,400	)		(142,151	)		(193	)
Salix Pharmaceuticals Ltd.		(1,000	)		(128,195	)		13,255
Sally Beauty Holdings, Inc.		(200	)		(5,576	)		(572	)
SBA Communications Corp.		(400	)		(45,505	)		1,201
Scripps Networks Interactive, Inc.		(200	)		(15,593	)		539
Seadrill Ltd.		(7,300	)		(99,844	)		12,682
Sealed Air Corp.		(1,400	)		(50,985	)		(8,417	)
Seattle Genetics, Inc.		(1,600	)		(59,119	)		7,711
SeaWorld Entertainment, Inc.		(800	)		(12,912	)		(1,408	)
Semtech Corp.		(3,100	)		(86,331	)		864
Sensata Technologies Holding NV		(1,000	)		(50,961	)		(1,449	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Service Corp. International		(4,200	)	$	(95,134	)	$	(206	)
ServiceNow, Inc.		(1,000	)		(65,941	)		(1,909	)
Sirius XM Holdings, Inc.		(44,400	)		(157,995	)		2,595
Sirona Dental Systems, Inc.		(100	)		(7,738	)		(999	)
Six Flags Entertainment Corp.		(1,900	)		(76,652	)		(5,333	)
SLM Corp		(1,300	)		(13,351	)		104
SolarWinds, Inc.		(300	)		(13,203	)		(1,746	)
Solera Holdings, Inc.		(900	)		(46,157	)		95
Sotheby’s		(2,900	)		(117,677	)		(7,545	)
Southwestern Energy Co.		(200	)		(6,766	)		1,308
Splunk, Inc.		(1,700	)		(102,893	)		2,678
Sprint Corp.		(16,700	)		(86,090	)		16,785
Stanley Black & Decker, Inc.		(100	)		(9,267	)		(341	)
Starbucks Corp.		(900	)		(70,538	)		(3,307	)
Starwood Hotels & Resorts Worldwide, Inc.		(200	)		(16,765	)		551
Stratasys Ltd.		(1,000	)		(98,407	)		15,297
SunEdison, Inc.		(7,600	)		(156,119	)		7,843
SVB Financial Group		(100	)		(11,838	)		231
Synovus Financial Corp.		(2,700	)		(68,443	)		(4,700	)
Tableau Software, Inc.		(700	)		(50,872	)		(8,460	)
Target Corp.		(900	)		(57,692	)		(10,627	)
Taylor Morrison Home Corp.		(7,700	)		(144,305	)		(1,148	)
Teekay Corp.		(1,400	)		(73,266	)		2,020
Tempur Sealy International, Inc.		(1,100	)		(62,834	)		2,433
Tenet Healthcare Corp.		(3,500	)		(187,267	)		9,922
Teradata Corp.		(100	)		(4,464	)		96
Terex Corp.		(700	)		(22,309	)		2,793
Tesla Motors, Inc.		(100	)		(26,452	)		4,211
Tesoro Corp.		(200	)		(12,396	)		(2,474	)
Thor Industries, Inc.		(100	)		(5,400	)		(187	)
Thoratec Corp.		(2,100	)		(68,104	)		(62	)
Tidewater, Inc.		(500	)		(16,669	)		464
Tiffany & Co.		(300	)		(32,405	)		347
Time, Inc.		(400	)		(9,594	)		(250	)
T-Mobile US, Inc.		(3,100	)		(85,033	)		1,519
Toll Brothers, Inc.		(800	)		(27,022	)		(394	)
Trimble Navigation Ltd.		(2,800	)		(77,546	)		3,234
Trinity Industries, Inc.		(100	)		(3,175	)		374
TripAdvisor, Inc.		(900	)		(68,883	)		1,689
Triumph Group, Inc.		(600	)		(40,980	)		648
Twenty-First Century Fox, Inc.		(2,000	)		(72,656	)		(4,154	)
Ulta Salon Cosmetics & Fragrance, Inc.		(300	)		(35,570	)		(2,782	)
Umpqua Holdings Corp.		(7,800	)		(134,741	)		2,063
Under Armour, Inc.		(500	)		(34,770	)		820
United Continental Holdings, Inc.		(800	)		(42,428	)		(11,084	)
United Natural Foods, Inc.		(300	)		(19,096	)		(4,102	)
Universal Corp.		(100	)		(3,996	)		(402	)
Urban Outfitters, Inc.		(1,200	)		(43,177	)		1,021
USG Corp.		(4,400	)		(125,673	)		2,517
Vantiv, Inc.		(100	)		(3,167	)		(225	)

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

AQR Funds Annual Report December 2014

257

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VCA, Inc.		(100	)	$	(4,176	)	$	(701	)
VeriFone Systems, Inc.		(4,300	)		(160,294	)		334
Verisk Analytics, Inc.		(500	)		(32,317	)		292
Vertex Pharmaceuticals, Inc.		(800	)		(79,045	)		(15,995	)
VMware, Inc.		(300	)		(26,358	)		1,602
Vulcan Materials Co.		(400	)		(26,664	)		372
Waddell & Reed Financial, Inc.		(1,200	)		(59,140	)		(644	)
Watsco, Inc.		(100	)		(8,883	)		(1,817	)
WellCare Health Plans, Inc.		(2,000	)		(153,118	)		(11,002	)
Wendy’s Co./The		(4,100	)		(35,461	)		(1,562	)
Western Union Co./The		(1,000	)		(16,800	)		(1,110	)
WhiteWave Foods Co./The		(1,200	)		(44,262	)		2,274
Williams Cos., Inc./The		(1,000	)		(46,681	)		1,741
Woodward, Inc.		(500	)		(25,253	)		638
Workday, Inc.		(500	)		(42,244	)		1,439
WPX Energy, Inc.		(900	)		(10,519	)		52
WR Grace & Co.		(1,100	)		(107,991	)		3,062
Xylem, Inc.		(300	)		(11,693	)		272
Yelp, Inc.		(2,300	)		(130,535	)		4,656
Yum! Brands, Inc.		(400	)		(29,160	)		20
Zions Bancorporation		(2,600	)		(75,820	)		1,694

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zoetis, Inc.		(1,400	)	$	(51,526	)	$	(8,716	)
Zynga, Inc.		(18,600	)		(56,055	)		6,579
								57,163
Total of Short Equity Positions								100,849
Total of Long and Short Equity Positions								243,446
Net Cash and Other Receivables/ (Payables) (b)								34,168
Swaps, at Value							$	277,614

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	2 -12 months maturity ranging from 01/21/2015 - 12/31/2015		$54,522

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		1,205	$	65,301	$	1,038
South Africa
Investec PLC		4,037		35,872		(2,049	)
Mondi PLC		4,640		77,405		(2,026	)
						(4,075	)
Switzerland
Coca-Cola HBC AG		1,016		19,910		(566	)
Glencore PLC		18,418		90,716		(5,701	)
Wolseley PLC		351		20,252		(184	)
						(6,451	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Amec Foster Wheeler PLC		4,078	$	59,121	$	(5,264	)
Amlin PLC		2,223		15,593		897
Associated British Foods PLC		1,736		73,248		11,623
AstraZeneca PLC		441		31,964		(816	)
Aviva PLC		24,134		191,187		(9,859	)
Babcock International Group PLC		2,271		37,882		(678	)
Barratt Developments PLC		14,259		96,343		7,436
Berkeley Group Holdings PLC		161		5,939		251
Booker Group PLC		11,765		22,179		7,707
BP PLC		1,745		12,892		(1,815	)

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

AQR Funds Annual Report December 2014

258

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
BT Group PLC		10,533	$	64,400	$	1,116
Bunzl PLC		1,660		45,663		(283	)
Cobham PLC		7,073		32,210		3,297
Compass Group PLC		4,221		72,058		91
Direct Line Insurance Group PLC		15,188		69,263		(558	)
easyJet PLC		2,592		65,326		1,753
Evraz PLC		8,457		19,529		685
G4S PLC		9,666		42,036		(340	)
GKN PLC		18,256		98,624		(1,452	)
GlaxoSmithKline PLC		876		19,342		(549	)
Hays PLC		18,529		35,965		5,723
Henderson Group PLC		5,499		18,531		(350	)
Hikma Pharmaceuticals PLC		1,248		30,952		7,338
HSBC Holdings PLC		13,903		134,922		(3,542	)
Imperial Tobacco Group PLC		4,931		220,445		(3,385	)
Inchcape PLC		15,002		166,936		1,613
Indivior PLC		73		137		33
Inmarsat PLC		5,258		66,156		(960	)
Intermediate Capital Group PLC		17,270		119,247		4,129
International Consolidated Airlines Group SA		2,847		20,616		816
ITV PLC		2,188		6,980		319
J Sainsbury PLC		10,835		47,829		(6,453	)
Kingfisher PLC		5,101		25,697		1,268
Ladbrokes PLC		11,609		20,274		(413	)
Legal & General Group PLC		9,992		38,000		580
Marks & Spencer Group PLC		1,601		10,535		1,319
Meggitt PLC		797		6,422		(11	)
National Grid PLC		7,993		113,572		(157	)
Next PLC		342		36,999		(727	)
Persimmon PLC		1,318		28,594		3,597
Premier Oil PLC		1,967		10,527		(5,439	)
Provident Financial PLC		3,502		128,215		5,462
Prudential PLC		30		671		22
Reckitt Benckiser Group PLC		73		5,900		13
Rentokil Initial PLC		56,440		107,910		(1,632	)
Rexam PLC		1,142		8,575		(536	)
Rightmove PLC		407		14,996		(803	)
Rotork PLC		871		32,880		(1,505	)
Royal Mail PLC		1,662		11,122		(47	)
Sage Group PLC/The		3,783		22,093		5,230
Sky PLC		10,579		149,267		(1,623	)
Smith & Nephew PLC		461		7,579		734
SSE PLC		4,353		107,690		2,298
Standard Chartered PLC		1,675		25,114		(63	)
Tate & Lyle PLC		1,771		20,236		(3,643	)
Taylor Wimpey PLC		1,959		4,167		12
Travis Perkins PLC		1,094		28,981		2,508
United Utilities Group PLC		7,297		102,907		739
Weir Group PLC/The		990		29,849		(1,460	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Whitbread PLC		305		$	20,143		$	2,429
WPP PLC		3,874			80,428			119
								26,794
Total of Long Equity Positions								17,306
Short Positions
United Kingdom
Aberdeen Asset Management PLC		(10,913	)		(76,972	)		4,052
Admiral Group PLC		(3,852	)		(76,993	)		(2,031	)
Aggreko PLC		(217	)		(5,421	)		361
Anglo American PLC		(2,289	)		(42,461	)		104
Antofagasta PLC		(796	)		(8,631	)		(643	)
ARM Holdings PLC		(10,794	)		(160,344	)		(5,478	)
Ashtead Group PLC		(183	)		(3,382	)		132
ASOS PLC		(3,418	)		(121,665	)		(14,227	)
BAE Systems PLC		(1,665	)		(12,089	)		(88	)
Barclays PLC		(4,454	)		(16,188	)		(556	)
BG Group PLC		(6,932	)		(97,394	)		4,632
British American Tobacco PLC		(27	)		(1,520	)		57
Burberry Group PLC		(5,013	)		(124,964	)		(2,225	)
Croda International PLC		(992	)		(33,996	)		(6,949	)
Diageo PLC		(2,155	)		(61,214	)		(520	)
Drax Group PLC		(19,019	)		(146,374	)		10,181
DS Smith PLC		(2,493	)		(12,649	)		217
Experian PLC		(12,961	)		(217,739	)		(744	)
Hargreaves Lansdown PLC		(11,263	)		(175,878	)		(353	)
ICAP PLC		(5,181	)		(37,294	)		1,016
IMI PLC		(7,563	)		(147,207	)		(755	)
Informa PLC		(392	)		(2,981	)		118
Intertek Group PLC		(702	)		(29,102	)		3,695
John Wood Group PLC		(791	)		(9,094	)		1,777
Johnson Matthey PLC		(31	)		(1,515	)		(116	)
Kazakhmys PLC		(17,048	)		(65,408	)		(2,617	)
Lloyds Banking Group PLC		(85,962	)		(102,171	)		1,057
Lonmin PLC		(12,593	)		(40,094	)		5,377
Man Group PLC		(9,130	)		(17,828	)		(4,890	)
Melrose Industries PLC		(23,446	)		(93,508	)		(3,545	)
Old Mutual PLC		(11,072	)		(33,699	)		1,068
Pearson PLC		(5,042	)		(94,341	)		1,225
Petrofac Ltd.		(1,969	)		(31,926	)		10,476
Rolls-Royce Holdings PLC		(39,330	)		(2	)		(63	)
Rolls-Royce Holdings PLC		(479	)		(7,509	)		1,075
Royal Bank of Scotland Group PLC		(3,593	)		(20,162	)		(1,699	)
RSA Insurance Group PLC		(1,111	)		(8,210	)		709
SABMiller PLC		(426	)		(23,718	)		1,510
Serco Group PLC		(11,404	)		(40,558	)		12,105
Severn Trent PLC		(299	)		(9,076	)		(250	)
Smiths Group PLC		(352	)		(6,514	)		529
Spectric PLC		(1,265	)		(41,034	)		(279	)
Spirax-Sarco Engineering PLC		(625	)		(27,733	)		(90	)

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

AQR Funds Annual Report December 2014

259

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Sports Direct International PLC		(3,280	)	$	(36,020	)	$	(62	)
St James’s Place PLC		(6,526	)		(81,893	)		(393	)
Standard Life PLC		(3,071	)		(19,884	)		862
TalkTalk Telecom Group PLC		(3,474	)		(16,538	)		187
Telecity Group PLC		(1,380	)		(15,922	)		(1,314	)
Tesco PLC		(34,260	)		(100,967	)		1,076
UBM PLC		(3,757	)		(27,996	)		(81	)
Vedanta Resources PLC		(846	)		(13,645	)		6,141
Vodafone Group PLC		(8,067	)		(28,171	)		512
William Hill PLC		(14,600	)		(81,624	)		(415	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
WM Morrison Supermarkets PLC		(10,479	)	$	(29,266	)	$	(634	)
								19,234
Total of Short Equity Positions								19,234
Total of Long and Short Equity Positions								36,540
Net Cash and Other Receivables/ (Payables) (b)								17,982
Swaps, at Value							$	54,522

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	9 -12 months maturity ranging from 09/23/2015 - 12/31/2015		$1,896

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Accor SA		39	$	1,711	$	42
Aeroports de Paris		659		79,089		601
AtoS		222		16,324		1,315
Cap Gemini SA		284		20,706		(395	)
Casino Guichard Perrachon SA		127		13,910		(2,230	)
Christian Dior SA Rights		41		2		221
Christian Dior SA		304		52,419		(393	)
Christian Dior SA, EUR 2 Rights		41		4		566
Cie Generale des Etablissements Michelin		847		80,776		(4,320	)
CNP Assurances		410		7,348		(80	)
Credit Agricole SA		2,471		34,854		(2,957	)
Dassault Systemes		348		22,099		(878	)
Electricite de France SA		4,050		118,865		(7,375	)
GDF Suez		1,181		28,040		(500	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Iliad SA		351	$	77,941	$	6,326
Imerys SA		1,156		84,098		950
Lagardere SCA		2,491		65,498		(628	)
L’Oreal SA		60		9,036		1,006
Neopost SA		1,223		78,882		(9,482	)
Orange SA		4,111		59,439		10,475
Publicis Groupe SA		170		11,975		217
Safran SA		331		20,698		(277	)
Sanofi		349		33,698		(1,880	)
SCOR SE		2,777		82,323		1,821
Societe BIC SA		431		55,779		1,381
Suez Environnement Co.		5,778		98,763		1,908
Technip SA		680		40,941		(436	)
Thales SA		723		37,973		1,146
Total SA		1,883		111,717		(15,248	)
Valeo SA		97		11,021		1,049
Vinci SA		1,138		63,639		(1,502	)
Vivendi SA		55		1,373		(4	)

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

AQR Funds Annual Report December 2014

260

Consolidated Schedule of Investments December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Zodiac Aerospace		37		$	1,120		$	126
								(19,435	)
Total of Long Equity Positions								(19,435	)
Short Positions
France
Alcatel-Lucent		(39,748	)		(133,745	)		(8,442	)
Arkema SA		(761	)		(53,373	)		3,043
AXA SA		(769	)		(18,495	)		774
Bollore SA		(200	)		(1,140	)		230
Bouygues SA		(1,681	)		(57,305	)		(3,393	)
Bureau Veritas SA		(1,439	)		(31,583	)		(300	)
Carrefour SA		(456	)		(13,800	)		(77	)
Cie de Saint-Gobain		(1,661	)		(74,003	)		3,641
Edenred		(617	)		(16,708	)		(356	)
Essilor International SA		(324	)		(33,530	)		(2,602	)
Etablissements Maurel et Prom		(708	)		(6,524	)		(93	)
European Aeronautic Defence and Space Co. NV		(259	)		(15,524	)		2,719
JCDecaux SA		(429	)		(14,806	)		35
Kering		(13	)		(2,622	)		124
Legrand SA		(260	)		(13,763	)		123
LVMH Moet Hennessy Louis Vuitton SA		(425	)		(69,702	)		2,381

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
LVMH Moet Hennessy Louis Vuitton SA Rights		(425	)	$	(54	)	$	(7,436	)
Peugeot SA		(9,574	)		(119,703	)		2,399
Remy Cointreau SA		(1,672	)		(119,851	)		8,296
Renault SA		(465	)		(33,828	)		(41	)
Schneider Electric SE		(468	)		(35,795	)		1,711
Societe Television Francaise 1		(1,495	)		(21,208	)		(1,775	)
Vallourec SA		(1,157	)		(53,401	)		22,044
Veolia Environnement SA		(4,337	)		(73,078	)		(3,742	)
								19,263
Total of Short Equity Positions								19,263
Total of Long and Short Equity Positions								(172	)
Net Cash and Other Receivables/ (Payables) (b)								2,068
Swaps, at Value							$	1,896

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

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

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Annual Report December 2014

261

Statements of Assets and Liabilities December 31, 2014

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
ASSETS:
Investments in securities, at cost		$2,947,335,830			$5,399,142			$33,104,956			$49,827,080
Investments in securities, at value		$2,831,758,259			$5,390,331			$33,104,956			$49,827,080
Cash		29,778,917			—			350			—
Foreign currency, at value		5,650,995			24,630			—			137,472
Due from brokers		261,972,388			1,981,669			3,064,453			491,146
Unrealized appreciation on forward foreign currency exchange contracts		6,466,083			7,211			238,068			—
Swaps, at value		23,614,747			329,807			145,134			3,491,115
Unrealized appreciation on futures contracts		309,803			—			392,942			930,241
Receivables:
Securities sold		19,448,456			6,194			—			56,749
Foreign tax reclaim		102,845			96			—			—
Dividends and interest		13,357,017			32			129			155
Capital shares sold		2,433,920			12,500			150,236			362,702
Due from Investment Advisor		—			22,189			—			—
Due from custodian		2,320,125			—			—			—
Prepaid expenses		256,848			62,361			47,162			28,316
Total Assets		3,197,470,403			7,837,020			37,143,430			55,324,976
LIABILITIES:
Securities sold short, at value (proceeds $900,325,973, $1,881,439, $— and $—, respectively)		905,442,911			1,862,056			—			—
Options written, at value (proceeds $2,340,132, $—, $— and $—, respectively)		741,825			—			—			—
Due to custodian		—			34,336			—			3,597
Foreign currency due to custodian, at value		—			—			3,739			—
Due to brokers		11,290,000			—			284,855			—
Unrealized depreciation on forward foreign currency exchange contracts		—			—			—			145,635
Swaps, at value		13,535,711			—			121,757			—
Unrealized depreciation on futures contracts		12,413,572			7,134			—			—
Payables:
Securities purchased		13,700,491			6,171			—			56,751
Accrued investment advisory fees		1,947,619			—			26,970			25,574
Accrued distribution fees—Class N		146,835			250			220			2,163
Accrued trustee fees		—			25			—			—
Capital shares redeemed		10,328,813			—			4,858			236,490
Dividends and interest payable on securities sold short		1,316,868			764			—			—
Other accrued expenses and liabilities		1,297,868			37,653			82,462			72,619
Total Liabilities		972,162,513			1,948,389			524,861			542,829
Net Assets		$2,225,307,890			$5,888,631			$36,618,569			$54,782,147
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$2,436,092,014			$5,879,367			$36,623,368			$54,651,580
Undistributed (accumulated) net investment income (loss)		(8,055,847	)		(332,715	)		(1,356,611	)		(3,498,829	)
Undistributed (accumulated) net realized gain (loss)		(97,838,761	)		5,117			559,832			(557,344	)
Net unrealized appreciation (depreciation)		(104,889,516	)		336,862			791,980			4,186,740
Net Assets		$2,225,307,890			$5,888,631			$36,618,569			$54,782,147
NET ASSETS:
Class I		$1,546,685,430			$1,445,483			$35,465,943			$43,666,707
Class N		678,528,488			1,233,101			1,050,219			10,688,087
Class R6		93,972			3,210,047			102,407			427,353
SHARES OUTSTANDING:
Class I		152,568,773			144,471			3,569,196			4,018,314
Class N		67,172,038			123,239			105,875			985,542
Class R6		9,281			320,778			10,307			39,315
NET ASSET VALUE:
Class I		$10.14			$10.01			$9.94			$10.87
Class N		$10.10			$10.01			$9.92			$10.84
Class R6		$10.13			$10.01			$9.94			$10.87

Foreign currency at cost of $5,886,532, $24,787, $(3,766) and $138,755, respectively.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

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

AQR Funds Annual Report December 2014

262

Statements of Assets and Liabilities December 31, 2014

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
ASSETS:
Investments in securities, at cost	$	6,445,716,688		$	178,832,847		$	1,263,127,273		$	71,643,269
Investments in securities, at value	$	6,446,011,117		$	178,836,211		$	1,349,363,325		$	71,643,271
Cash		5,197,104			—			13,283,861			300,000
Foreign currency, at value		1,862,454			21,384			8,042,937			—
Due from brokers		309,212,369			9,232,473			542,774,540			1,166,402
Unrealized appreciation on forward foreign currency exchange contracts		66,567,551			2,739,576			5,072,224			—
Swaps, at value		18,048,438			2,130,339			84,394,099			—
Unrealized appreciation on futures contracts		209,463,816			8,034,990			2,289,678			—
Receivables:
Securities sold		1,552,281			68,398			1,644,915			—
Foreign tax reclaim		—			—			1,185,897			—
Dividends and interest		9,488			263			1,935,807			403
Capital shares sold		20,394,314			3,528,163			7,785,494			679,551
Prepaid expenses		403,850			28,768			112,173			40,122
Total Assets		7,078,722,782			204,620,565			2,017,884,950			73,829,749
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $355,282,352 and $—, respectively)		—			—			424,707,982			—
Options written, at value (proceeds $—, $—, $104,437 and $—, respectively)		—			—			239,581			—
Due to custodian		—			130,000			—			—
Due to brokers		104,586,769			2,796,440			8,825,900			564,520
Swaps, at value		12,141,765			13,394			2,334,546			5,361,543
Unrealized depreciation on futures contracts		—			—			9,022,946			722,171
Payables:
Securities purchased		1,552,672			68,416			1,042,524			—
Accrued investment advisory fees		6,035,157			224,987			2,300,306			14,603
Accrued distribution fees—Class N		274,769			1,901			17,311			1,294
Capital shares redeemed		5,171,223			88,313			4,776,667			355,719
Dividends and interest payable on securities sold short		—			—			355,984			—
Other accrued expenses and liabilities		4,270,874			232,514			754,068			121,139
Total Liabilities		134,033,229			3,555,965			454,377,815			7,140,989
Net Assets	$	6,944,689,553		$	201,064,600		$	1,563,507,135		$	66,688,760
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	7,033,715,768		$	195,440,255		$	1,616,654,195		$	75,759,344
Undistributed (accumulated) net investment income (loss)		(353,785,167	)		(13,004,528	)		(118,003,854	)		(2,974,242	)
Undistributed (accumulated) net realized gain (loss)		(17,034,443	)		5,751,628			(27,840,083	)		(12,630	)
Net unrealized appreciation (depreciation)		281,793,395			12,877,245			92,696,877			(6,083,712	)
Net Assets	$	6,944,689,553		$	201,064,600		$	1,563,507,135		$	66,688,760
NET ASSETS:
Class I	$	5,633,607,124		$	146,261,163		$	1,443,798,613		$	46,442,651
Class N		1,310,969,433			9,367,013			84,480,441			4,763,616
Class R6		112,996			45,436,424			35,228,081			15,482,493
SHARES OUTSTANDING:
Class I		530,096,760			13,022,456			147,968,675			6,649,535
Class N		124,354,461			835,483			8,674,153			686,315
Class R6		10,639			4,047,305			3,611,564			2,214,833
NET ASSET VALUE:
Class I		$10.63			$11.23			$9.76			$6.98
Class N		$10.54			$11.21			$9.74			$6.94
Class R6		$10.62			$11.23			$9.75			$6.99

Foreign currency at cost of $1,891,943, $21,635, $8,264,619 and $—, respectively.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

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

AQR Funds Annual Report December 2014

263

Statements of Assets and Liabilities December 31, 2014

	AQR RISK PARITY FUND**			AQR RISK PARITY II HV FUND**			AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
ASSETS:
Investments in securities, at cost		$618,416,065			$50,318,098			$114,541,562			$593,630,722
Investments in securities, at value		$611,837,623			$49,460,557			$113,179,082			$584,645,340
Cash		1,608,684			3,476			—			56,064
Foreign currency, at value		1,855,406			40,545			113,371			639,916
Due from brokers		6,950,359			1,661,647			2,494,061			36,681,258
Unrealized appreciation on forward foreign currency exchange contracts		—			137,764			203,793			2,462,754
Swaps, at value		16,987,659			577,101			597,341			17,067,926
Unrealized appreciation on futures contracts		4,834,575			1,198,783			1,906,055			2,238,282
Receivables:
Securities sold		14,207			7,462			17,695			1,565,679
Foreign tax reclaim		—			—			—			277,835
Dividends and interest		481,131			48,429			71,104			145,824
Capital shares sold		603,603			208,073			6,313			56,573,509
Prepaid expenses		100,170			31,240			41,946			51,804
Total Assets		645,273,417			53,375,077			118,630,761			702,406,191
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $— and $169,892,486, respectively)		—			—			—			161,562,941
Due to custodian		—			—			5			—
Due to brokers		8,480,704			312,738			314,992			3,836,173
Unrealized depreciation on forward foreign currency exchange contracts		1,883,546			—			—			—
Swaps, at value		11,108,466			2,144,589			3,014,438			687,015
Unrealized depreciation on futures contracts		23,622			492,239			735,912			5,395,985
Payables:
Securities purchased		14,211			7,464			17,700			876,109
Accrued investment advisory fees		436,496			21,503			32,650			426,013
Accrued distribution fees—Class N		8,316			1,716			1,441			5,390
Capital shares redeemed		2,688,604			64,351			10,447			40,121,897
Dividends and interest payable on securities sold short		—			—			—			162,812
Other accrued expenses and liabilities		374,646			123,412			138,460			198,978
Total Liabilities		25,018,611			3,168,012			4,266,045			213,273,313
Net Assets		$620,254,806			$50,207,065			$114,364,716			$489,132,878
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$625,952,341			$50,587,208			$115,065,060			$507,824,106
Undistributed (accumulated) net investment income (loss)		1,562,779			678,142			1,024,360			(27,093,370	)
Undistributed (accumulated) net realized gain (loss)		3,284,544			528,438			689,263			(6,716,241	)
Net unrealized appreciation (depreciation)		(10,544,858	)		(1,586,723	)		(2,413,967	)		15,118,383
Net Assets		$620,254,806			$50,207,065			$114,364,716			$489,132,878
NET ASSETS:
Class I		$583,926,805			$42,278,663			$106,473,068			$387,666,359
Class N		36,231,976			7,833,547			7,795,063			26,594,173
Class R6		96,025			94,855			96,585			74,872,346
SHARES OUTSTANDING:
Class I		57,585,796			4,427,252			10,758,104			39,308,249
Class N		3,571,499			819,606			790,138			2,694,354
Class R6		9,472			9,937			9,763			7,587,508
NET ASSET VALUE:
Class I		$10.14			$9.55			$9.90			$9.86
Class N		$10.14			$9.56			$9.87			$9.87
Class R6		$10.14			$9.55			$9.89			$9.87

Foreign currency at cost of $1,975,224, $41,065, $114,402 and $652,042, respectively.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

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

AQR Funds Annual Report December 2014

264

Statements of Assets and Liabilities December 31, 2014

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities, at cost		$67,964,459
Investments in securities, at value		$67,482,617
Due from brokers		4,642,654
Unrealized appreciation on forward foreign currency exchange contracts		96,193
Swaps, at value		346,078
Unrealized appreciation on futures contracts		137,147
Receivables:
Securities sold		3,689,422
Foreign tax reclaim		623
Dividends and interest		6,762
Capital shares sold		207,796
Due from Investment Advisor		16,780
Prepaid expenses		64,519
Total Assets		76,690,591
LIABILITIES:
Securities sold short, at value (proceeds $11,194,359)		10,700,278
Due to custodian		1,368,996
Foreign currency due to custodian, at value		93,677
Due to brokers		2,200
Unrealized depreciation on futures contracts		266,727
Payables:
Securities purchased		3,723,756
Accrued distribution fees—Class N		1,758
Accrued trustee fees		72
Capital shares redeemed		26,204
Dividends and interest payable on securities sold short		5,904
Other accrued expenses and liabilities		135,117
Total Liabilities		16,324,689
Net Assets		$60,365,902
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$60,286,394
Undistributed (accumulated) net investment income (loss)		(795,466	)
Undistributed (accumulated) net realized gain (loss)		548,399
Net unrealized appreciation (depreciation)		326,575
Net Assets		$60,365,902
NET ASSETS:
Class I		$28,094,401
Class N		8,576,652
Class R6		23,694,849
SHARES OUTSTANDING:
Class I		2,760,295
Class N		843,532
Class R6		2,329,001
NET ASSET VALUE:
Class I		$10.18
Class N		$10.17
Class R6		$10.17

Foreign currency at cost $(93,576).

** 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, 2014

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 10/07/14*- 12/31/14			FOR THE PERIOD 04/08/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2014
INVESTMENT INCOME:
Dividend income†		$56,260,502			$7,421			$579			$14
Interest income		51,894,210			—			2,047			—
Total Income		108,154,712			7,421			2,626			14
EXPENSES:
Investment advisory fees		27,087,992			13,879			283,411			213,352
Custody fees		239,975			1,496			12,223			7,115
Administration & accounting fees		629,025			494			7,098			6,071
Legal fees		160,668			4,792			12,225			64,325
Audit & tax fees		242,982			43,975			77,248			44,529
Shareholder reporting fees		373,593			217			4,678			3,783
Transfer agent fees		3,141,060			4,413			14,673			21,511
Trustee fees		141,501			49			918			425
Organization and offering costs		—			5,822			63,613			21,959
Distribution fees—Class N		1,898,137			624			1,831			6,645
Dividends and interest on securities sold short		18,267,228			4,199			—			—
Registration fees		65,125			11,312			31,279			37,720
Pricing fee		267,620			3,924			16,999			26,474
Other expenses		178,716			903			23,333			2,638
Total Expenses		52,693,622			96,099			549,529			456,547
Less fee waivers and/or reimbursements		(6,760	)		(75,598	)		(218,797	)		(197,735	)
Net Expenses		52,686,862			20,501			330,732			258,812
Net Investment Income (Loss)		55,467,850			(13,080	)		(328,106	)		(258,798	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		92,835,510			12,059			536			—
Foreign currency and foreign currency transactions		(2,832,193	)		444			19,809			(15,701	)
Forward foreign currency exchange contracts		5,899,941			12,786			486,961			(477,299	)
Futures contracts		(66,260,562	)		(19,496	)		(760,177	)		277,868
Securities sold short		(96,436,775	)		(233	)		—			—
Swap contracts		(10,909,073	)		(20,421	)		(42,737	)		196,220
Written options		2,528,855			—			—			—
Net realized gain (loss)		(75,174,297	)		(14,861	)		(295,608	)		(18,912	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(207,260,940	)		(8,811	)		—			—
Foreign currency and foreign currency translations		(316,880	)		(3,594	)		24,263			(87,831	)
Forward foreign currency exchange contracts		7,062,468			7,211			238,068			(145,188	)
Futures contracts		(535,222	)		(7,134	)		392,942			848,762
Securities sold short		76,223,695			19,383			—			—
Swap contracts		(3,188,733	)		329,807			136,707			3,226,570
Written options		1,661,622			—			—			—
Net change in unrealized appreciation (depreciation)		(126,353,990	)		336,862			791,980			3,842,313
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(201,528,287	)		322,001			496,372			3,823,401
Net increase (decrease) in net assets resulting from operations		$(146,060,437	)		$308,921			$168,266			$3,564,603
† Net of foreign taxes withheld of		$195,371			$480			$—			$—

* Commencement of operations.

** 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, 2014

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2014
INVESTMENT INCOME:
Dividend income†		$166,664			$958			$22,897,773			$4,773
Interest income		1,909,917			35,883			10,550,898			733
Total Income		2,076,581			36,841			33,448,671			5,506
EXPENSES:
Investment advisory fees		65,534,388			1,894,411			27,702,256			397,594
Shareholder servicing fees		—			—			—			28,540
Custody fees		600,562			17,406			389,489			13,002
Administration & accounting fees		2,284,012			47,104			560,112			19,192
Legal fees		236,182			38,383			69,995			2,630
Audit & tax fees		121,173			115,043			242,193			119,558
Shareholder reporting fees		1,135,629			21,831			206,917			12,058
Transfer agent fees		6,141,907			95,754			1,096,589			70,841
Trustee fees		310,164			5,648			78,227			2,602
Organization and offering costs		—			14,227			—			—
Distribution fees—Class N		3,336,467			16,008			196,294			20,434
Dividends and interest on securities sold short		—			—			25,566,070			—
Registration fees		242,925			39,233			78,081			31,363
Pricing fee		—			—			22,086			—
Other expenses		410,649			15,025			108,656			7,842
Total Expenses		80,354,058			2,320,073			56,316,965			725,656
Less fee waivers and/or reimbursements		(13,511	)		(146,066	)		(233,795	)		(173,512	)
Net Expenses		80,340,547			2,174,007			56,083,170			552,144
Net Investment Income (Loss)		(78,263,966	)		(2,137,166	)		(22,634,499	)		(546,638	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		2,571			(17	)		183,232,627			(1,038	)
Foreign currency and foreign currency transactions		102,637			9,612			(2,513,885	)		—
Forward foreign currency exchange contracts		228,217,811			11,506,281			42,293,381			—
Futures contracts		299,127,435			9,093,885			(66,045,852	)		(1,244,899	)
Securities sold short		—			—			(100,496,773	)		—
Swap contracts		154,709,273			7,372,785			95,562,504			(6,801,874	)
Written options		—			—			259,320			—
Net realized gain (loss)		682,159,727			27,982,546			152,291,322			(8,047,811	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		215,859			3,088			(149,650,921	)		(153	)
Foreign currency and foreign currency translations		(894,205	)		(20,241	)		(1,820,213	)		—
Forward foreign currency exchange contracts		(46,184,801	)		1,719,440			544,059			—
Futures contracts		86,772,768			6,954,253			(3,834,469	)		(556,472	)
Securities sold short		—			—			84,256,510			—
Swap contracts		(14,059,854	)		2,142,954			49,095,152			(4,789,316	)
Written options		—			—			(143,949	)		—
Net change in unrealized appreciation (depreciation)		25,849,767			10,799,494			(21,553,831	)		(5,345,941	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		708,009,494			38,782,040			130,737,491			(13,393,752	)
Net increase (decrease) in net assets resulting from operations		$629,745,528			$36,644,874			$108,102,992			($13,940,390	)
†  Net of foreign taxes withheld of		$—			$—			$2,754,404			$—

** 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, 2014

	AQR RISK PARITY FUND**		AQR RISK PARITY II HV FUND**		AQR RISK PARITY II MV FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014		FOR THE YEAR ENDED DECEMBER 31, 2014		FOR THE YEAR ENDED DECEMBER 31, 2014		FOR THE YEAR ENDED DECEMBER 31, 2014
INVESTMENT INCOME:
Dividend income†		$18,992		$389		$1,552		$7,651,976
Interest income		4,424,101		417,722		514,623		—
Total Income		4,443,093		418,111		516,175		7,651,976
EXPENSES:
Investment advisory fees		5,986,294		386,721		583,042		6,516,045
Shareholder servicing fees		—		30,273		42,606		—
Custody fees		44,962		24,603		15,479		14,710
Administration & accounting fees		290,426		15,360		29,776		156,184
Legal fees		27,607		6,865		7,153		70,986
Audit & tax fees		136,514		119,557		119,558		110,028
Shareholder reporting fees		92,045		6,888		13,664		52,529
Transfer agent fees		464,429		35,704		77,143		155,759
Trustee fees		43,321		2,015		3,914		23,865
Organization and offering costs		—		—		—		24,336
Distribution fees—Class N		137,826		23,370		16,786		52,705
Dividends and interest on securities sold short and reverse repurchase agreements		—		19,948		—		5,083,036
Recoupment of waiver		15,985		—		—		4,579
Registration fees		57,101		29,123		37,133		48,758
Pricing fee		7,608		5		5		17,508
Other expenses		45,283		5,243		6,649		84,119
Total Expenses		7,349,401		705,675		952,908		12,415,147
Less fee waivers and/or reimbursements		(1)		(156,918)		(142,423)		(27,257)
Net Expenses		7,349,400		548,757		810,485		12,387,890
Net Investment Income (Loss)		(2,906,307)		(130,646)		(294,310)		(4,735,914)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		2,083,148		95,819		135,864		21,087,584
Foreign currency and foreign currency transactions		1,045,759		(13,990)		(16,637)		176,334
Forward foreign currency exchange contracts		13,412,570		928,121		1,390,731		13,279,255
Futures contracts		28,515,426		4,434,884		5,534,765		(625,177)
Securities sold short		—		—		—		(8,838,015)
Swap contracts		41,026,376		48,749		(849,978)		24,372,920
Net realized gain (loss)		86,083,279		5,493,583		6,194,745		49,452,901
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(7,129,702)		(815,862)		(1,292,027)		(15,410,170)
Foreign currency and foreign currency translations		369,516		(6,530)		(9,382)		121,680
Forward foreign currency exchange contracts		(375,013)		170,195		252,690		2,087,994
Futures contracts		(2,275,353)		296,486		986,827		(6,849,163)
Securities sold short		—		—		—		15,764,625
Swap contracts		(14,007,993)		(1,606,004)		(2,659,372)		19,125,828
Net change in unrealized appreciation (depreciation)		(23,418,545)		(1,961,715)		(2,721,264)		14,840,794
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		62,664,734		3,531,868		3,473,481		64,293,695
Net increase (decrease) in net assets resulting from operations		$59,758,427		$3,401,222		$3,179,171		$59,557,781
†  Net of foreign taxes withheld of		$—		$—		$—		$1,068,154

** 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, 2014

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE PERIOD 09/17/14* -12/31/14
INVESTMENT INCOME:
Dividend income†		$53,443
Total Income		53,443
EXPENSES:
Investment advisory fees		56,880
Custody fees		450
Administration & accounting fees		3,553
Legal fees		8,071
Audit & tax fees		100,300
Shareholder reporting fees		1,068
Transfer agent fees		6,332
Trustee fees		261
Organization and offering costs		7,191
Distribution fees—Class N		2,356
Dividends and interest on securities sold short		20,716
Registration fees		14,142
Pricing fee		5,467
Other expenses		2,355
Total Expenses		229,142
Less fee waivers and/or reimbursements		(138,312)
Net Expenses		90,830
Net Investment Income (Loss)		(37,387)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		16,865
Foreign currency and foreign currency transactions		(2,206)
Forward foreign currency exchange contracts		301,925
Futures contracts		(145,411)
Securities sold short		28,849
Swap contracts		282,088
Net realized gain (loss)		482,110
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(481,842)
Foreign currency and foreign currency translations		1,645
Forward foreign currency exchange contracts		96,193
Futures contracts		(129,580)
Securities sold short		494,081
Swap contracts		346,078
Net change in unrealized appreciation (depreciation)		326,575
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		808,685
Net increase (decrease) in net assets resulting from operations		$771,298
†  Net of foreign taxes withheld of		$9,730

* Commencement of operations.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013			FOR THE PERIOD 10/07/14*- 12/31/14
OPERATIONS:
Net investment income (loss)		$55,467,850			$38,088,437			$(13,080	)
Net realized gain (loss)		(75,174,297	)		(17,054,593	)		(14,861	)
Net change in unrealized appreciation (depreciation)		(126,353,990	)		22,579,937			336,862
Net increase (decrease) in net assets resulting from operations		(146,060,437	)		43,613,781			308,921
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(30,805,978	)		(29,570,772	)		(84,782	)
Class N		(11,376,648	)		(10,955,754	)		(66,536	)
Class R6		(1,920	)		—			(176,241	)
Total		(42,184,546	)		(40,526,526	)		(327,559	)
Net realized gain:
Class I		—			(12,468,588	)		—
Class N		—			(5,475,329	)		—
Total		—			(17,943,917	)		—
Return of capital:
Class I		—			(15,100,534	)		(708	)
Class N		—			(6,624,075	)		(613	)
Class R6		—			—			(1,779	)
Total		—			(21,724,609	)		(3,100	)
Total distributions		(42,184,546	)		(80,195,052	)		(330,659	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		761,610,218			853,020,321			1,787,490
Reinvestment of distributions		23,069,874			47,464,198			85,490
Cost of shares redeemed		(978,469,368	)		(751,220,427	)		(412,526	)
Net increase (decrease) from capital transactions		(193,789,276	)		149,264,092			1,460,454
CLASS N
Proceeds from shares sold		197,396,546			298,155,480			1,175,276
Reinvestment of distributions		10,346,737			20,315,353			67,149
Cost of shares redeemed		(313,338,405	)		(232,413,627	)		(530	)
Net increase (decrease) from capital transactions		(105,595,122	)		86,057,206			1,241,895
CLASS R6
Proceeds from shares sold		100,000	(a)		—			3,030,000
Reinvestment of distributions		1,920			—			178,020
Net increase (decrease) from capital transactions		101,920			—			3,208,020
Net increase (decrease) in net assets resulting from capital transactions		(299,282,478	)		235,321,298			5,910,369
Total increase (decrease) in net assets		(487,527,461	)		198,740,027			5,888,631
NET ASSETS:
Beginning of period		2,712,835,351			2,514,095,324			—
End of period		$2,225,307,890			$2,712,835,351			$5,888,631
Undistributed accumulated net investment income (loss)		$(8,055,847	)		$(14,073,713	)		$(332,715	)

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

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Statements of Changes in Net Assets December 31, 2014

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013			FOR THE PERIOD 10/07/14*- 12/31/14
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		172,057,279			158,688,997			—
Shares sold		69,963,023			76,411,318			177,332
Shares issued on reinvestment of distributions		2,279,632			4,354,773			8,506
Shares redeemed		(91,731,161	)		(67,397,809	)		(41,367	)
Shares outstanding, end of period		152,568,773			172,057,279			144,471
CLASS N
Shares outstanding, beginning of period		76,969,086			69,181,212			—
Shares sold		18,245,229			26,829,009			116,610
Shares issued on reinvestment of distributions		1,025,444			1,870,652			6,682
Shares redeemed		(29,067,721	)		(20,911,787	)		(53	)
Shares outstanding, end of period		67,172,038			76,969,086			123,239
CLASS R6
Shares outstanding, beginning of period		—	(a)		—			—
Shares sold		9,091			—			303,065
Shares issued on reinvestment of distributions		190			—			17,713
Shares outstanding, end of period		9,281			—			320,778

*  Commencement of operations.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
	FOR THE PERIOD 4/08/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 7/16/13*- 12/31/13
OPERATIONS:
Net investment income (loss)		$(328,106	)		$(258,798	)		$(33,862	)
Net realized gain (loss)		(295,608	)		(18,912	)		285,657
Net change in unrealized appreciation (depreciation)		791,980			3,842,313			344,427
Net increase (decrease) in net assets resulting from operations		168,266			3,564,603			596,222
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(2,729,179	)		(316,646	)
Class N		—			(654,639	)		(52,907	)
Class R6		—			(27,208	)		—
Total		—			(3,411,026	)		(369,553	)
Net realized gain:
Class I		(63,628	)		(354,882	)		(107,112	)
Class N		(1,903	)		(84,612	)		(18,230	)
Class R6		(187	)		(3,512	)		—
Total		(65,718	)		(443,006	)		(125,342	)
Return of capital:
Class I		—			(117,680	)		—
Class N		—			(18,740	)		—
Class R6		—			(1,022	)		—
Total		—			(137,442	)		—
Total distributions		(65,718	)		(3,991,474	)		(494,895	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		48,818,406			43,091,168			4,751,453
Reinvestment of distributions		62,389			3,161,208			423,758
Cost of shares redeemed		(13,522,273	)		(7,568,381	)		(11,827	)
Net increase (decrease) from capital transactions		35,358,522			38,683,995			5,163,384
CLASS N
Proceeds from shares sold		1,083,274			11,177,580			1,087,057
Reinvestment of distributions		1,903			749,097			71,137
Cost of shares redeemed		(27,865	)		(2,007,478	)		(266,708	)
Net increase (decrease) from capital transactions		1,057,312			9,919,199			891,486
CLASS R6
Proceeds from shares sold		100,000	(a)		417,885	(a)		—
Reinvestment of distributions		187			31,742			—
Net increase (decrease) from capital transactions		100,187			449,627			—
Net increase (decrease) in net assets resulting from capital transactions		36,516,021			49,052,821			6,054,870
Total increase (decrease) in net assets		36,618,569			48,625,950			6,156,197
NET ASSETS:
Beginning of period		—			6,156,197			—
End of period		$36,618,569			$54,782,147			$6,156,197
Undistributed accumulated net investment income (loss)		$(1,356,611	)		$(3,498,829	)		$(252,842	)

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

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Statements of Changes in Net Assets December 31, 2014

	AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
	FOR THE PERIOD 4/08/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 7/16/13*- 12/31/13
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—			513,771			—
Shares sold		4,933,146			3,887,179			473,112
Shares issued on reinvestment of distributions		6,308			288,168			41,832
Shares redeemed		(1,370,258	)		(670,804	)		(1,173	)
Shares outstanding, end of period		3,569,196			4,018,314			513,771
CLASS N
Shares outstanding, beginning of period		—			89,144			—
Shares sold		108,567			1,003,577			108,364
Shares issued on reinvestment of distributions		193			68,411			7,022
Shares redeemed		(2,885	)		(175,590	)		(26,242	)
Shares outstanding, end of period		105,875			985,542			89,144
CLASS R6
Shares outstanding, beginning of period		—	(a)		—	(a)		—
Shares sold		10,288			36,421			—
Shares issued on reinvestment of distributions		19			2,894			—
Shares outstanding, end of period		10,307			39,315			—

*  Commencement of operations.

**  Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 7/16/13*- 12/31/13
OPERATIONS:
Net investment income (loss)		$(78,263,966	)		$(51,865,139	)		$(2,137,166	)		$(224,405	)
Net realized gain (loss)		682,159,727			254,277,194			27,982,546			761,930
Net change in unrealized appreciation (depreciation)		25,849,767			179,213,487			10,799,494			2,077,751
Net increase (decrease) in net assets resulting from operations		629,745,528			381,625,542			36,644,874			2,615,276
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(220,437,134	)		—			(13,390,213	)		—
Class N		(46,941,973	)		—			(636,578	)		—
Class R6		(4,374	)		—			(8,393	)		—
Total		(267,383,481	)		—			(14,035,184	)		—
Net realized gain:
Class I		(263,407,986	)		(44,703,867	)		(4,057,424	)		(37,471	)
Class N		(60,693,546	)		(13,828,173	)		(198,548	)		(2,323	)
Class R6		(5,125	)		—			(2,529	)		—
Total		(324,106,657	)		(58,532,040	)		(4,258,501	)		(39,794	)
Total distributions		(591,490,138	)		(58,532,040	)		(18,293,685	)		(39,794	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		2,628,023,103			2,963,680,604			186,205,825			37,265,431
Reinvestment of distributions		376,407,901			35,641,387			12,480,048			37,471
Cost of shares redeemed		(1,916,986,986	)		(888,754,364	)		(106,972,499	)		(2,656,317	)
Net increase (decrease) from capital transactions		1,087,444,018			2,110,567,627			91,713,374			34,646,585
CLASS N
Proceeds from shares sold		501,774,445			1,012,924,117			9,131,352			2,502,670
Reinvestment of distributions		106,513,303			13,776,405			835,126			2,323
Cost of shares redeemed		(703,673,411	)		(210,372,539	)		(2,754,447	)		(1,005,655	)
Net increase (decrease) from capital transactions		(95,385,663	)		816,327,983			7,212,031			1,499,338
CLASS R6
Proceeds from shares sold		100,000	(a)		—			45,055,679	(a)		—
Reinvestment of distributions		9,499			—			10,922			—
Net increase (decrease) from capital transactions		109,499			—			45,066,601			—
Net increase (decrease) in net assets resulting from capital transactions		992,167,854			2,926,895,610			143,992,006			36,145,923
Total increase (decrease) in net assets		1,030,423,244			3,249,989,112			162,343,195			38,721,405
NET ASSETS:
Beginning of period		5,914,266,309			2,664,277,197			38,721,405			—
End of period		$6,944,689,553			$5,914,266,309			$201,064,600			$38,721,405
Undistributed accumulated net investment income (loss)		$(353,785,167	)		$(46,677	)		$(13,004,528	)		$—

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

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Statements of Changes in Net Assets December 31, 2014

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 7/16/13*- 12/31/13
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		425,328,151			218,555,645			3,432,251			—
Shares sold		256,868,757			290,847,133			18,621,473			3,683,449
Shares issued on reinvestment of distributions		36,088,959			3,427,066			1,142,862			3,562
Shares redeemed		(188,189,107	)		(87,501,693	)		(10,174,130	)		(254,760	)
Shares outstanding, end of period		530,096,760			425,328,151			13,022,456			3,432,251
CLASS N
Shares outstanding, beginning of period		133,922,115			54,190,271			152,311			—
Shares sold		49,711,170			99,221,038			867,382			246,459
Shares issued on reinvestment of distributions		10,291,143			1,334,923			76,617			221
Shares redeemed		(69,569,967	)		(20,824,117	)		(260,827	)		(94,369	)
Shares outstanding, end of period		124,354,461			133,922,115			835,483			152,311
CLASS R6
Shares outstanding, beginning of period		—	(a)		—			—	(a)		—
Shares sold		9,728			—			4,046,305			—
Shares issued on reinvestment of distributions		911			—			1,000			—
Shares outstanding, end of period		10,639			—			4,047,305			—

*  Commencement of operations.

**  Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR MULTI-STRATEGY ALTERNATIVE FUND**					AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$(22,634,499)			$(21,316,846)		$(546,638)			$(645,518)
Net realized gain (loss)		152,291,322			(1,726,073)		(8,047,811)			(11,750,402)
Net change in unrealized appreciation (depreciation)		(21,553,831)			78,979,221		(5,345,941)			693,419
Net increase (decrease) in net assets resulting from operations		108,102,992			55,936,302		(13,940,390)			(11,702,501)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(103,622,431)			(63,777,345)		—			—
Class N		(5,415,268)			(3,214,925)		—			—
Class R6		(7,433)			—		—			—
Total		(109,045,132)			(66,992,270)		—			—
Net realized gain:
Class I		—			(17,108,033)		—			—
Class N		—			(901,984)		—			—
Total		—			(18,010,017)		—			—
Total distributions		(109,045,132)			(85,002,287)		—			—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		590,215,635			924,993,719		69,600,700			23,425,236
Reinvestment of distributions		88,204,896			66,445,405		—			—
Cost of shares redeemed		(687,354,210)			(318,011,140)		(40,288,267)			(47,521,978)
Net increase (decrease) from capital transactions		(8,933,679)			673,427,984		29,312,433			(24,096,742)
CLASS N
Proceeds from shares sold		47,448,202			53,142,617		12,707,985			5,602,455
Reinvestment of distributions		5,370,558			4,089,028		—			—
Cost of shares redeemed		(43,303,801)			(24,341,705)		(9,284,044)			(3,103,737)
Net increase (decrease) from capital transactions		9,514,959			32,889,940		3,423,941			2,498,718
CLASS R6
Proceeds from shares sold		35,242,596	(a)		—		15,656,186	(a)		—
Reinvestment of distributions		7,433			—		—			—
Net increase (decrease) from capital transactions		35,250,029			—		15,656,186			—
Net increase (decrease) in net assets resulting from capital transactions		35,831,309			706,317,924		48,392,560			(21,598,024)
Total increase (decrease) in net assets		34,889,169			677,251,939		34,452,170			(33,300,525)
NET ASSETS:
Beginning of period		1,528,617,966			851,366,027		32,236,590			65,537,115
End of period		$1,563,507,135			$1,528,617,966		$66,688,760			$32,236,590
Undistributed accumulated net investment income (loss)		$(118,003,854)			$(37,359,639)		$(2,974,242)			$—

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

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Statements of Changes in Net Assets December 31, 2014

	AQR MULTI-STRATEGY ALTERNATIVE FUND**					AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		148,651,004			81,626,174		3,422,135			6,413,854
Shares sold		60,196,339			91,941,333		8,654,189			2,602,548
Shares issued on reinvestment of distributions		9,130,942			6,814,913		—			—
Shares redeemed		(70,009,610)			(31,731,416)		(5,426,789)			(5,594,267)
Shares outstanding, end of period		147,968,675			148,651,004		6,649,535			3,422,135
CLASS N
Shares outstanding, beginning of period		7,646,878			4,359,055		467,151			223,691
Shares sold		4,877,478			5,303,536		1,401,956			606,741
Shares issued on reinvestment of distributions		557,112			420,250		—			—
Shares redeemed		(4,407,315)			(2,435,963)		(1,182,792)			(363,281)
Shares outstanding, end of period		8,674,153			7,646,878		686,315			467,151
CLASS R6
Shares outstanding, beginning of period		—	(a)		—		—	(a)		—
Shares sold		3,610,795			—		2,214,833			—
Shares issued on reinvestment of distributions		769			—		—			—
Shares outstanding, end of period		3,611,564			—		2,214,833			—

**  Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR RISK PARITY FUND**					AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$(2,906,307)			$(7,831,929)		$(130,646)			$(253,403)
Net realized gain (loss)		86,083,279			(7,757,827)		5,493,583			(3,507,474)
Net change in unrealized appreciation (depreciation)		(23,418,545)			(1,399,212)		(1,961,715)			364,376
Net increase (decrease) in net assets resulting from operations		59,758,427			(16,988,968)		3,401,222			(3,396,501)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(15,918,499)			(21,096,377)		(210,221)			(49,264)
Class N		(829,910)			(1,568,986)		(9,382)			(24,033)
Class R6		(2,479)			—		(567)			—
Total		(16,750,888)			(22,665,363)		(220,170)			(73,297)
Net realized gain:
Class I		(60,212,532)			(35,650,580)		(4,493,162)			(41,465)
Class N		(3,765,221)			(3,239,083)		(889,329)			(20,229)
Class R6		(9,157)			—		(10,388)			—
Total		(63,986,910)			(38,889,663)		(5,392,879)			(61,694)
Total distributions		(80,737,798)			(61,555,026)		(5,613,049)			(134,991)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		152,916,166			522,146,729		36,625,458			57,186,061
Reinvestment of distributions		73,481,484			48,021,450		4,581,805			89,047
Cost of shares redeemed		(476,525,839)			(514,099,505)		(14,267,310)			(54,453,441)
Net increase (decrease) from capital transactions		(250,128,189)			56,068,674		26,939,953			2,821,667
CLASS N
Proceeds from shares sold		11,002,195			37,388,598		2,602,504			24,623,879
Reinvestment of distributions		4,401,999			4,729,810		898,711			44,262
Cost of shares redeemed		(58,203,755)			(125,206,912)		(4,362,269)			(19,787,752)
Net increase (decrease) from capital transactions		(42,799,561)			(83,088,504)		(861,054)			4,880,389
CLASS R6
Proceeds from shares sold		100,000	(a)		—		100,000	(a)		—
Reinvestment of distributions		11,636			—		10,955			—
Net increase (decrease) from capital transactions		111,636			—		110,955			—
Net increase (decrease) in net assets resulting from capital transactions		(292,816,114)			(27,019,830)		26,189,854			7,702,056
Total increase (decrease) in net assets		(313,795,485)			(105,563,824)		23,978,027			4,170,564
NET ASSETS:
Beginning of period		934,050,291			1,039,614,115		26,229,038			22,058,474
End of period		$620,254,806			$934,050,291		$50,207,065			$26,229,038
Undistributed accumulated net investment income (loss)		$1,562,779			$(5,931,952)		$678,142			$(8,332)

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

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Statements of Changes in Net Assets December 31, 2014

	AQR RISK PARITY FUND**					AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		79,392,512			75,596,068		1,780,470			1,591,812
Shares sold		13,463,455			44,822,715		3,475,987			5,572,364
Shares issued on reinvestment of distributions		7,232,430			4,471,363		477,769			9,058
Shares redeemed		(42,502,601)			(45,497,634)		(1,306,974)			(5,392,764)
Shares outstanding, end of period		57,585,796			79,392,512		4,427,252			1,780,470
CLASS N
Shares outstanding, beginning of period		7,343,876			14,906,004		877,168			567,306
Shares sold		966,513			3,211,181		249,127			2,325,030
Shares issued on reinvestment of distributions		433,268			440,803		93,616			4,503
Shares redeemed		(5,172,158)			(11,214,112)		(400,305)			(2,019,671)
Shares outstanding, end of period		3,571,499			7,343,876		819,606			877,168
CLASS R6
Shares outstanding, beginning of period		—	(a)		—		—	(a)		—
Shares sold		8,327			—		8,795			—
Shares issued on reinvestment of distributions		1,145			—		1,142			—
Shares outstanding, end of period		9,472			—		9,937			—

**  Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2014

	AQR RISK PARITY II MV FUND**					AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 10/30/13*- 12/31/13
OPERATIONS:
Net investment income (loss)		$(294,310)			$(452,972)		$(4,735,914)			$(1,032,370)
Net realized gain (loss)		6,194,745			(4,178,303)		49,452,901			14,118,343
Net change in unrealized appreciation (depreciation)		(2,721,264)			242,828		14,840,794			277,589
Net increase (decrease) in net assets resulting from operations		3,179,171			(4,388,447)		59,557,781			13,363,562
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(165,150)			(51,310)		(44,246,577)			(6,574,253)
Class N		—			(12,869)		(2,622,452)			(253,100)
Class R6		(232)			—		(3,291,780)			—
Total		(165,382)			(64,179)		(50,160,809)			(6,827,353)
Net realized gain:
Class I		(6,594,470)			(8,622)		(14,958,495)			(992,985)
Class N		(477,309)			(2,163)		(680,314)			(38,950)
Class R6		(6,436)			—		(300,202)			—
Total		(7,078,215)			(10,785)		(15,939,011)			(1,031,935)
Total distributions		(7,243,597)			(74,964)		(66,099,820)			(7,859,288)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		89,277,763			93,026,269		576,188,151			390,642,419
Reinvestment of distributions		5,960,913			42,081		52,644,301			7,567,238
Cost of shares redeemed		(22,497,423)			(81,847,252)		(589,197,151)			(318,591)
Redemption in-kind (See Note 15)		—			—		(52,771,157)			—
Net increase (decrease) from capital transactions		72,741,253			11,221,098		(13,135,856)			397,891,066
CLASS N
Proceeds from shares sold		6,316,708			29,862,796		19,158,791			15,941,402
Reinvestment of distributions		477,309			14,991		3,302,766			292,050
Cost of shares redeemed		(8,457,919)			(21,642,916)		(11,013,561)			(413,823)
Net increase (decrease) from capital transactions		(1,663,902)			8,234,871		11,447,996			15,819,629
CLASS R6
Proceeds from shares sold		100,000	(a)		—		74,748,363	(a)		—
Reinvestment of distributions		6,668			—		3,591,982			—
Cost of shares redeemed		—			—		(192,537)			—
Net increase (decrease) from capital transactions		106,668			—		78,147,808			—
Net increase (decrease) in net assets resulting from capital transactions		71,184,019			19,455,969		76,459,948			413,710,695
Total increase (decrease) in net assets		67,119,593			14,992,558		69,917,909			419,214,969
NET ASSETS:
Beginning of period		47,245,123			32,252,565		419,214,969			—
End of period		$114,364,716			$47,245,123		$489,132,878			$419,214,969
Undistributed accumulated net investment income (loss)		$1,024,360			$(45,004)		$(27,093,370)			$(943,313)

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

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Statements of Changes in Net Assets December 31, 2014

	AQR RISK PARITY II MV FUND**					AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD 10/30/13*- 12/31/13
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,779,116			2,950,196		39,620,574			—
Shares sold		8,554,703			9,091,173		56,129,013			38,910,297
Shares issued on reinvestment of distributions		600,898			4,212		5,292,887			741,160
Shares redeemed		(2,176,613)			(8,266,465)		(56,706,868)			(30,883)
Redemption in-kind (See Note 15)		—			—		(5,027,357)			—
Shares outstanding, end of period		10,758,104			3,779,116		39,308,249			39,620,574
CLASS N
Shares outstanding, beginning of period		940,172			221,957		1,568,834			—
Shares sold		606,458			2,885,341		1,868,292			1,580,201
Shares issued on reinvestment of distributions		48,262			1,504		333,070			28,604
Shares redeemed		(804,754)			(2,168,630)		(1,075,842)			(39,971)
Shares outstanding, end of period		790,138			940,172		2,694,354			1,568,834
CLASS R6
Shares outstanding, beginning of period		—	(a)		—		—	(a)		—
Shares sold		9,091			—		7,239,589			—
Shares issued on reinvestment of distributions		672			—		365,410			—
Shares redeemed		—			—		(17,491)			—
Shares outstanding, end of period		9,763			—		7,587,508			—

*  Commencement of operations.

**  Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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281

Statements of Changes in Net Assets December 31, 2014

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE PERIOD 9/17/14*- 12/31/14
OPERATIONS:
Net investment income (loss)		$(37,387)
Net realized gain (loss)		482,110
Net change in unrealized appreciation (depreciation)		326,575
Net increase (decrease) in net assets resulting from operations		771,298
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(38,445)
Class N		(75,553)
Class R6		(218,868)
Total		(332,866)
Net realized gain:
Class I		(13,618)
Class N		(27,510)
Class R6		(76,360)
Total		(117,488)
Total distributions		(450,354)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		28,178,979
Reinvestment of distributions		52,063
Cost of shares redeemed		(140,561)
Net increase (decrease) from capital transactions		28,090,481
CLASS N
Proceeds from shares sold		8,671,505
Reinvestment of distributions		103,063
Cost of shares redeemed		(115,319)
Net increase (decrease) from capital transactions		8,659,249
CLASS R6
Proceeds from shares sold		23,000,000
Reinvestment of distributions		295,228
Net increase (decrease) from capital transactions		23,295,228
Net increase (decrease) in net assets resulting from capital transactions		60,044,958
Total increase (decrease) in net assets		60,365,902
NET ASSETS:
Beginning of period		—
End of period		$60,365,902
Undistributed accumulated net investment income (loss)		$(795,466)

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

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Statements of Changes in Net Assets December 31, 2014

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE PERIOD 9/17/14*- 12/31/14
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—
Shares sold		2,768,876
Shares issued on reinvestment of distributions		5,114
Shares redeemed		(13,695)
Shares outstanding, end of period		2,760,295
CLASS N
Shares outstanding, beginning of period		—
Shares sold		844,737
Shares issued on reinvestment of distributions		10,134
Shares redeemed		(11,339)
Shares outstanding, end of period		843,532
CLASS R6
Shares outstanding, beginning of period		—
Shares sold		2,300,000
Shares issued on reinvestment of distributions		29,001
Shares outstanding, end of period		2,329,001

* Commencement of operations.

** 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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283

Statements of Cash Flows December 31, 2014

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD ENDED 10/07/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2014
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(146,060,437	)	$	308,921		$	108,102,992
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used in) operating activities:
Payments to purchase securities		(7,322,286,495	)		(2,194,771	)		(1,114,778,767	)
Payments to cover short securities		(2,381,441,587	)		(178,331	)		(1,471,483,516	)
Proceeds from sale of securities		6,844,577,133			142,268			1,785,821,214
Proceeds from securities sold short		2,879,225,698			2,059,538			908,260,786
Proceeds from written options		2,427,120			—			353,519
Payments to close written options		(12,312	)		—			—
(Purchases) sales of short-term investments, net		(32,162,270	)		(3,334,581	)		(73,411,504	)
Realized (gain) loss on investments in securities		(92,835,510	)		(12,059	)		(183,232,627	)
Realized (gain) loss on securities sold short		96,436,775			233			100,496,773
Realized (gain) loss on written options		(2,528,855	)		—			(259,320	)
Realized (gain) loss on paydowns		(188,935	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		207,260,940			8,811			149,650,921
Change in unrealized (appreciation) depreciation on securities sold short		(76,223,695	)		(19,383	)		(84,256,510	)
Change in unrealized (appreciation) depreciation on written options		(1,661,622	)		—			143,949
Amortization (accretion) of bond premium		458,164			—			(5,895	)
(Increases) decrease in operating assets:
Due from brokers		373,412,965			(1,981,669	)		38,714,178
Unrealized appreciation on forward foreign currency exchange contracts		(6,466,083	)		(7,211	)		(544,059	)
Swaps, at value		10,257,780			(329,807	)		(45,529,802	)
Unrealized appreciation on futures contracts		504,977			—			1,315,323
Receivable for securities sold		77,970,030			(6,194	)		19,941,643
Foreign tax reclaim		(30,311	)		(96	)		(572,388	)
Dividends and interest		1,116,984			(32	)		182,052
Expense reimbursement due from Advisor		—			(22,189	)		—
Due from custodian		(2,320,125	)		—			—
Prepaid expenses		(103,800	)		(62,361	)		(60,595	)
Increases (decreases) in operating liabilities:
Due to custodian		—			34,336			—
Due to broker		10,987,409			—			1,931,365
Unrealized depreciation on forward foreign currency exchange contracts		(596,385	)		—			—
Swaps, at value		(8,956,725	)		—			(5,859,269	)
Unrealized depreciation on futures contracts		30,245			7,134			2,519,146
Payable for securities purchased		(67,191,087	)		6,171			(48,787,784	)
Accrued Investment advisory fees		(503,155	)		—			(82,545	)
Accrued Distribution fees—Class N		(30,768	)		250			789
Accrued Trustees fees		—			25			—
Dividends and interest payable on securities sold short and reverse repurchase agreements		1,125,984			764			(111,363	)
Other accrued expenses and liabilities		68,006			37,653			88,561
Net cash used in operating activities	$	364,260,053		$	(5,542,580	)	$	88,547,267
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		961,225,342			5,980,266			667,824,284
Payments on shares redeemed		(1,287,085,372	)		(413,056	)		(728,439,180	)
Cash distributions paid		(8,765,329	)		—			(15,462,245	)
Due to custodian		—			—			(1,025,978	)
Net cash provided by (used in) financing activities	$	(334,625,359	)	$	5,567,210		$	(77,103,119	)
Net change in cash and foreign currency		29,634,694			24,630			11,444,148
Cash, beginning of period		5,795,218			—			9,882,650
Cash, end of period	$	35,429,912		$	24,630		$	21,326,798

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $7,254,465, $1,711 and $9,707,475.

* Commencement of operations.

** Consolidated financial statements, 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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284

Statements of Cash Flows December 31, 2014

	AQR RISK PARITY II HV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE PERIOD ENDED 09/17/14*- 12/31/14
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	3,401,222		$	59,557,781		$	771,298
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(35,605,186	)		(293,286,858	)		(13,565,091	)
Payments to cover short securities		—			(275,560,237	)		(235,175	)
Proceeds from sale of securities		29,509,468			301,760,400			98,771
Proceeds from securities sold short		—			278,034,946			11,458,380
(Purchases) sales of short-term investments, net		(9,727,839	)		(99,370,944	)		(54,481,271	)
Realized (gain) loss on investments in securities		(95,819	)		(21,087,584	)		(16,865	)
Realized (gain) loss on securities sold short		—			8,838,015			(28,849	)
Change in unrealized (appreciation) depreciation on investments in securities		815,862			15,410,170			481,842
Change in unrealized (appreciation) depreciation on securities sold short		—			(15,764,625	)		(494,081	)
Amortization (accretion) of bond premium		(107,230	)		—			—
Increases (decreases) in operating assets:
Repurchase agreements, at value		191,000			—			—
Due from brokers		(355,515	)		17,589			(4,642,654	)
Unrealized appreciation on forward foreign currency exchange contracts		(137,764	)		(2,087,994	)		(96,193	)
Swaps, at value		(266,267	)		(14,855,663	)		(346,078	)
Unrealized appreciation on futures contracts		(502,427	)		1,453,178			(137,147	)
Receivable for securities sold		(7,462	)		(1,506,577	)		(3,689,422	)
Foreign tax reclaim		—			(272,537	)		(623	)
Dividends and interest		12,160			(79,623	)		(6,762	)
Expense reimbursement due from Advisor		—			—			(16,780	)
Prepaid expenses		(16,311	)		(36,175	)		(64,519	)
Increases (decreases) in operating liabilities:
Due to broker		284,325			2,257,532			2,200
Unrealized depreciation on forward foreign currency exchange contracts		(32,431	)		—			—
Swaps, at value		1,872,271			(4,270,165	)		—
Unrealized depreciation on futures contracts		205,941			5,395,985			266,727
Payable for securities purchased		7,464			876,012			3,723,756
Accrued Investment advisory fees		11,799			71,186			—
Accrued Shareholder servicing fees		(5,671	)		—			—
Accrued Distribution fees—Class N		(261	)		2,477			1,758
Accrued Trustees fees		—			—			72
Dividends and interest payable on securities sold short and reverse repurchase agreements		(1,733	)		(22,059	)		5,904
Other accrued expenses and liabilities		26,197			1,652			135,117
Net cash used in operating activities	$	(10,524,207	)	$	(54,524,118	)	$	(60,875,685	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		39,128,475			655,129,486			59,642,688
Net change in reverse repurchase agreements		(9,937,250	)		—			—
Payments on shares redeemed		(18,566,826	)		(613,060,300	)		(229,676	)
Cash distributions paid		(121,578	)		(6,560,771	)		—
Due to custodian		—			—			1,462,673
Net cash provided (used in) financing activities	$	10,502,821		$	35,508,415		$	60,875,685
Net change in cash and foreign currency		(21,386	)		(19,015,703	)		—
Cash, beginning of period		65,407			19,711,683			—
Cash, end of period	$	44,021		$	695,980		$	—

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $19,948, $1,180,692 and $495.

Non-cash financing activities not included herein consist of a redemption in-kind in the amount of $52,771,157 for AQR Style Premia Alternative Fund, see Note 15 in the Notes to Financial Statements for additional information.

* Commencement of operations.

** Consolidated financial statements, 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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285

Financial Highlights December 31, 2014

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations5									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80	)		(0.57	)		(0.20	)		—			—			(0.20	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.05		0.17			0.02			0.19			(0.18	)		(0.06	)		(0.09	)		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.89		0.10	6		0.24			0.34			(0.13	)		(0.05	)		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2011		$11.15		0.13			(0.02	)		0.11			(0.09	)		(0.28	)		—			(0.37	)
FOR THE YEAR ENDED DECEMBER 31, 2010†,^		$10.80		0.06			0.46			0.52			(0.04	)		(0.13	)		—			(0.17	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81	)		(0.60	)		(0.17	)		—			—			(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.01		0.13			0.04			0.17			(0.16	)		(0.06	)		(0.09	)		(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.85		0.06	6		0.24			0.30			(0.09	)		(0.05	)		—			(0.14	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$11.12		0.10			(0.02	)		0.08			(0.07	)		(0.28	)		—			(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2010†,^		$10.78		0.05			0.43			0.48			(0.01	)		(0.13	)		—			(0.14	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$11.00		0.16			(0.82	)		(0.66	)		(0.21	)		—			—			(0.21	)
AQR EQUITY MARKET NEUTRAL FUND CLASS I
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)13		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)13		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)13		(0.59	)
AQR GLOBAL MACRO FUND CLASS I
FOR THE PERIOD 4/08/149—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
FOR THE PERIOD 4/08/149—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
FOR THE PERIOD 9/02/148—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, 2014		$10.21		(0.14	)		1.67			1.53			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.06	)		1.17			1.11			(0.67	)		(0.23	)		—			(0.90	)
AQR LONG-SHORT EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20	)		1.70			1.50			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.07	)		1.17			1.10			(0.66	)		(0.23	)		—			(0.89	)
AQR LONG-SHORT EQUITY FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$11.05		(0.08	)		0.78			0.70			(0.75	)		(0.10	)		(0.03	)		(0.88	)
AQR MANAGED FUTURES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		—			(0.97	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.78		(0.12	)		1.04			0.92			—			(0.11	)		—			(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.57		(0.12	)		0.40			0.28			(0.07	)		—			—			(0.07	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.30		(0.12	)		(0.53	)		(0.65	)		(0.04	)		(0.04	)		—			(0.08	)
FOR THE PERIOD 1/06/109—12/31/10†		$10.00		(0.12	)		0.66			0.54			(0.09	)		(0.15	)		—			(0.24	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		—			(0.93	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.73		(0.15	)		1.04			0.89			—			(0.11	)		—			(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.55		(0.14	)		0.39			0.25			(0.07	)		—			—			(0.07	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$ 10.28		(0.15	)		(0.52	)		(0.67	)		(0.02	)		(0.04	)		—			(0.06	)
FOR THE PERIOD 1/06/109—12/31/10†		$10.00		(0.15	)		0.66			0.51			(0.08	)		(0.15	)		—			(0.23	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
FOR THE PERIOD 9/02/148–12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		—			(0.98	)

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

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286

Financial Highlights December 31, 2014

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$10.14		(5.25	)%		$1,546,685,430		1.88	%		1.20	%		1.88	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,480,736		1.64	%		1.20	%		1.64	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,723,858		2.30	%		1.21	%		2.32	%		0.88	%6		312	%
	$10.89		0.99	%		$1,456,748,122		2.75	%		1.20	%		2.84	%		1.18	%		298	%
	$11.15		4.81	%7		$824,237,659		2.59	%		1.20	%		2.62	%		1.13	%		361	%
	$10.10		(5.51	)%		$678,528,488		2.12	%		1.44	%		2.12	%		1.99	%		380	%
	$10.87		1.51	%		$836,354,615		1.88	%		1.44	%		1.88	%		1.21	%		349	%
	$11.01		2.83	%		$761,371,466		2.62	%		1.52	%		2.62	%		0.57	%6		312	%
	$10.85		0.68	%		$651,790,519		3.05	%		1.50	%		3.08	%		0.89	%		298	%
	$11.12		4.52	%7		$382,758,131		2.89	%		1.50	%		2.92	%		0.85	%		361	%
	$10.13		(5.99	)%		$93,972		1.94	%		1.10	%		1.94	%		4.69	%		380	%
	$10.01		5.93	%		$1,445,483		1.63	%		1.30	%		4.57	%10		(1.04	)%		152	%
	$10.01		5.88	%		$1,233,101		1.88	%		1.55	%		4.83	%10		(1.29	)%		152	%
	$10.01		5.95	%		$3,210,047		1.53	%		1.20	%		4.49	%10		(0.95	)%		152	%
	$9.94		(0.42	)%		$35,465,943		1.45	%		1.45	%		2.24	%10		(1.44	)%		0	%
	$9.92		(0.62	)%		$1,050,219		1.70	%		1.70	%		2.49	%10		(1.69	)%		0	%
	$9.94		2.45	%		$102,407		1.35	%		1.35	%		2.02	%10		(1.37	)%		0	%
	$10.87		14.91	%		$43,666,707		1.30	%		1.30	%		2.34	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,245,981		1.30	%		1.30	%		3.56	%10		(1.29	)%		0	%
	$10.84		14.55	%		$10,688,087		1.55	%		1.55	%		2.46	%		(1.81	)%		0	%
	$10.21		11.04	%		$910,216		1.55	%		1.55	%		5.49	%10		(1.54	)%		0	%
	$10.87		6.19	%		$427,353		1.20	%		1.20	%		1.99	%		(2.21	)%		0	%
	$10.63		9.69	%		$5,633,607,124		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,180,876		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$9.78		2.99	%		$2,136,959,054		1.25	%		1.25	%		1.25	%		(1.24	)%		0	%
	$9.57		(6.37	)%		$1,078,662,373		1.25	%		1.25	%		1.30	%		(1.22	)%		0	%
	$10.30		5.41	%		$657,237,349		1.25	%		1.25	%		1.28	%		(1.27	)%		0	%
	$10.54		9.34	%		$1,310,969,433		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.51		9.14	%		$1,408,085,433		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.73		2.68	%		$527,318,143		1.50	%		1.50	%		1.52	%		(1.48	)%		0	%
	$9.55		(6.59	)%		$476,854,001		1.50	%		1.50	%		1.57	%		(1.47	)%		0	%
	$10.28		5.12	%		$271,043,038		1.50	%		1.50	%		1.56	%		(1.54	)%		0	%
	$10.62		12.99	%		$112,996		1.15	%		1.15	%		1.16	%		(1.11	)%		0	%

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

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Financial Highlights December 31, 2014

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations5									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 HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
FOR THE PERIOD 7/16/139–12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
FOR THE PERIOD 7/16/139–12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14	)		0.85			0.71			(0.73	)		—			(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.90		(0.17	)		0.61			0.44			(0.44	)		(0.12	)		(0.56	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.70		(0.17	)		0.40			0.23			(0.01	)		(0.02	)		(0.03	)
FOR THE PERIOD 7/18/119—12/31/1		$10.00		(0.05	)		(0.21	)		(0.26	)		(0.04	)		—			(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17	)		0.85			0.68			(0.70	)		—			(0.70	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.89		(0.20	)		0.61			0.41			(0.42	)		(0.12	)		(0.54	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.69		(0.23	)		0.45			0.22			—			(0.02	)		(0.02	)
FOR THE PERIOD 7/18/119—12/31/11		$10.00		(0.06	)		(0.21	)		(0.27	)		(0.04	)		—			(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
FOR THE PERIOD 9/02/148—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, 2014		$8.29		(0.08	)		(1.23	)		(1.31	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.87		(0.09	)		(1.49	)		(1.58	)		—			—			—
FOR THE PERIOD 7/09/129—12/31/12		$10.00		(0.05	)		(0.08	)		(0.13	)		—			—			—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11	)		(1.22	)		(1.33	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.86		(0.11	)		(1.48	)		(1.59	)		—			—			—
FOR THE PERIOD 7/09/129—12/31/12		$10.00		(0.06	)		(0.08	)		(0.14	)		—			—			—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$8.60		(0.02	)		(1.59	)		(1.61	)		—			—			—
AQR RISK PARITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04	)		0.81			0.77			(0.30	)		(1.10	)		(1.40	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.49		(0.07	)		0.08	12		0.01			(0.27	)		(0.46	)		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.62		—			1.49			1.49			(0.14	)		(0.48	)		(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.28		0.04			0.51			0.55			(0.21	)		(0.00	)13		(0.21	)
FOR THE PERIOD 9/30/109—12/31/10		$10.00		0.02			0.38			0.40			(0.12	)		—			(0.12	)
AQR RISK PARITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07	)		0.80			0.73			(0.25	)		(1.10	)		(1.35	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.47		(0.11	)		0.08	12		(0.03	)		(0.22	)		(0.46	)		(0.68	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.59		(0.03	)		1.50			1.47			(0.11	)		(0.48	)		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.27		0.03			0.49			0.52			(0.20	)		(0.00	)13		(0.20	)
FOR THE PERIOD 9/30/109—12/31/10†		$10.00		0.01			0.38			0.39			(0.12	)		—			(0.12	)
AQR RISK PARITY FUND CLASS R6
FOR THE PERIOD 9/02/148–12/31/14		$12.01		(0.04	)		(0.43	)12		(0.47	)		(0.30	)		(1.10	)		(1.40	)
AQR RISK PARITY II HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.87		(0.03	)		0.95			0.92			(0.06	)		(1.18	)		(1.24	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.21		(0.06	)		(0.23	)		(0.29	)		(0.03	)		(0.02	)		(0.05	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		0.01			0.23			0.24			(0.03	)		—			(0.03	)
AQR RISK PARITY II HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04	)		0.93			0.89			(0.01	)		(1.18	)		(1.19	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.23		(0.09	)		(0.23	)		(0.32	)		(0.03	)		(0.02	)		(0.05	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		(0.01	)		0.25			0.24			(0.01	)		—			(0.01	)
AQR RISK PARITY II HV FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$11.37		(0.05	)		(0.53	)12		(0.58	)		(0.06	)		(1.18	)		(1.24	)

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

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Financial Highlights December 31, 2014

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$11.23		14.68	%		$146,261,163		1.65	%		1.65	%		1.76	%10		(1.62	)%		0	%
	$10.80		8.14	%		$37,077,791		1.68	%		1.65	%		2.51	%10		(1.66	)%		0	%
	$11.21		14.37	%		$9,367,013		1.90	%		1.90	%		2.12	%10		(1.88	)%		0	%
	$10.79		8.04	%		$1,643,614		1.93	%		1.90	%		4.03	%10		(1.92	)%		0	%
	$11.23		19.94	%		$45,436,424		1.55	%		1.55	%		1.68	%		(1.52	)%		0	%
	$9.76		7.31	%		$1,443,798,613		3.65	%		1.98	%		3.67	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,976,567		3.34	%		1.98	%		3.37	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,261,775		3.52	%		1.98	%		3.60	%		(1.73	)%		208	%
	$9.70		(2.57	)%11		$257,168,435		2.23	%		1.98	%		2.59	%		(1.09	)%		133	%
	$9.74		7.03	%		$84,480,441		3.91	%		2.23	%		3.96	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641,399		3.59	%		2.23	%		3.66	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104,252		3.76	%		2.23	%		3.93	%		(2.32	)%		208	%
	$9.69		(2.73	)%11		$44,676,329		2.48	%		2.23	%		2.85	%		(1.37	)%		133	%
	$9.75		6.19	%		$35,228,081		3.14	%		1.88	%		3.21	%		(3.41	)%		204	%
	$6.98		(15.80	)%		$46,442,651		1.01	%		1.01	%		1.34	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375,483		1.05	%		1.05	%		1.32	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,330,812		1.05	%		1.05	%		1.72	%		(1.04	)%		0	%
	$6.94		(16.08	)%		$4,763,616		1.26	%		1.26	%		1.59	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861,107		1.30	%		1.30	%		1.70	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206,303		1.30	%		1.30	%		4.00	%		(1.30	)%		0	%
	$6.99		(18.72	)%		$15,482,493		0.90	%		0.90	%		1.31	%		(0.89	)%		0	%
	$10.14		7.04	%		$583,926,805		0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
	$10.77		0.12	%		$855,024,124		0.89	%		0.88	%		0.89	%		(0.64	)%		167	%
	$11.49		14.05	%		$868,660,662		0.95	%		0.95	%		0.95	%		(0.03	)%		72	%
	$10.62		5.45	%14		$337,526,380		0.95	%		0.95	%		1.06	%		0.41	%		66	%
	$10.28		3.98	%		$12,747,565		0.95	%		0.95	%		3.80	%		0.44	%		19	%
	$10.14		6.69	%		$36,231,976		1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
	$10.76		(0.23	)%		$79,026,167		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$11.47		13.89	%		$170,953,453		1.20	%		1.20	%		1.23	%		(0.26	)%		72	%
	$10.59		5.12	%14		$51,560,342		1.20	%		1.20	%		1.42	%		0.30	%		66	%
	$10.27		3.88	%		$11,234,980		1.20	%		1.20	%		3.96	%		0.22	%		19	%
	$10.14		(3.96	)%		$96,025		0.85	%		0.85	%		0.86	%		(0.99	)%		94	%
	$9.55		9.23	%		$42,278,663		1.20	%		1.15	%		1.54	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577,063		1.23	%		1.15	%		1.85	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,253,630		1.28	%		1.15	%		2.26	%		0.53	%		0	%
	$9.56		9.02	%		$7,833,547		1.45	%		1.40	%		1.86	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,651,975		1.48	%		1.40	%		2.22	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,804,844		1.53	%		1.40	%		3.44	%		(0.62	)%		0	%
	$9.55		(5.10	)%		$94,855		1.10	%		1.05	%		1.47	%		(1.49	)%		108	%

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

AQR Funds Annual Report December 2014

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Financial Highlights December 31, 2014

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations5									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 RISK PARITY II MV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04	)		0.65			0.61			(0.02	)		(0.71	)		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.17		(0.06	)		(0.08	)		(0.14	)		(0.01	)		(0.00	)13		(0.01	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		—			0.19			0.19			(0.02	)		—			(0.02	)
AQR RISK PARITY II MV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06	)		0.65			0.59			—			(0.71	)		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.18		(0.07	)		(0.11	)		(0.18	)		(0.01	)		(0.00	)13		(0.01	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		—			0.18			0.18			—			—			—
AQR RISK PARITY II MV FUND CLASS R6
FOR THE PERIOD 9/02/148—12/31/14		$11.00		(0.04	)		(0.33	)12		(0.37	)		(0.03	)		(0.71	)		(0.74	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10	)		1.24			1.14			(1.16	)		(0.30	)		(1.46	)
FOR THE PERIOD 10/30/139—12/31/13		$10.00		(0.03	)		0.44			0.41			(0.20	)		(0.03	)		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16	)		1.28			1.12			(1.13	)		(0.30	)		(1.43	)
FOR THE PERIOD 10/30/139—12/31/13		$10.00		(0.04	)		0.45			0.41			(0.20	)		(0.03	)		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
FOR THE PERIOD 9/02/148—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 PERIOD 9/17/149—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 PERIOD 9/17/149—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 PERIOD 9/17/149—12/31/14		$10.00		(0.01	)		0.31			0.30			(0.10	)		(0.03	)		(0.13	)

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

AQR Funds Annual Report December 2014

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Financial Highlights December 31, 2014

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$9.90		6.04	%		$106,473,068		0.95	%		0.95	%		1.12	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848,351		0.95	%		0.95	%		1.18	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993,223		0.95	%		0.95	%		2.07	%		0.18	%		0	%
	$9.87		5.87	%		$7,795,063		1.20	%		1.20	%		1.44	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,396,772		1.20	%		1.20	%		1.59	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259,342		1.20	%		1.20	%		2.81	%		(0.29	)%		0	%
	$9.89		(3.44	)%		$96,585		0.85	%		0.85	%		1.03	%		(1.13	)%		128	%
	$9.86		11.30	%		$387,666,359		2.56	%		1.50	%		2.56	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,242,880		2.07	%		1.50	%		2.11	%10		(1.77	)%		133	%
	$9.87		11.08	%		$26,594,173		2.81	%		1.75	%		2.92	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972,089		2.44	%		1.75	%		2.70	%10		(2.05	)%		133	%
	$9.87		7.67	%		$74,872,346		2.46	%		1.40	%		2.57	%		(1.94	)%		145	%
	$10.18		3.07	%		$28,094,401		1.01	%		0.85	%		1.49	%10		(0.68	)%		191	%
	$10.17		2.94	%		$8,576,652		1.32	%		1.10	%		1.92	%10		(0.91	)%		191	%
	$10.17		2.98	%		$23,694,849		1.00	%		0.75	%		1.75	%10		(0.32	)%		191	%

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

AQR Funds Annual Report December 2014

291

Financial Highlights December 31, 2014

  * Annualized for periods less than one year.

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

  ^ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on the SEC method.

  1 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.

  2 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.

  3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Diversified Arbitrage Fund—Class I		$0.08		0.73	%
AQR Diversified Arbitrage Fund—Class N		0.04		0.42

  7 For the year ended December 31, 2010, the Advisor contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Advisor’s contribution increased the total return by 0.08%.

  8 Commencement of offering of shares.

  9 Commencement of operations.

10 Certain expenses incurred by the Fund were not annualized for the period.

11 For the year ended December 31, 2011, the Advisor contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Advisor’s contribution increased the Fund’s total return by 0.14%.

12 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.

13 Amount is less than $.005 per share.

14 For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%.

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

AQR Funds Annual Report December 2014

292

Notes to Financial Statements December 31, 2014

1. Organization

AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”), and applies the specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”). As of December 31, 2014, the Trust consists of twenty-nine active series, thirteen of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment advisor of each Fund. The Advisor has retained CNH Partners, LLC (the “Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The AQR Global Macro Fund commenced operations on April 8, 2014. The AQR Style Premia Alternative LV Fund commenced operations on September 17, 2014. The AQR Equity Market Neutral Fund commenced operations on October 7, 2014.

The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each of these funds offer Class I, Class N, and Class R6 shares.

The Class R6 Shares of the AQR Diversified Arbitrage Fund, the AQR Global Macro Fund, the AQR Long-Short Equity Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, 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 Style Premia Alternative Fund commenced operations on September 2, 2014.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows where applicable and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV 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 (“CFC Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation for the CFC Funds.

For Federal tax purposes, taxable income for each CFC Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”) and each Subsidiary’s taxable income is included in the calculation of the relevant CFC Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the CFC Funds either in the current period or future periods. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

The CFC Funds may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investment strategies consistent with the CFC Funds’ investment objectives and policies. The CFC 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 CFC Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY		SUBSIDIARY NET ASSETS AT DECEMBER 31, 2014		% OF TOTAL NET ASSETS AT DECEMBER 31, 2014			NET REALIZED GAIN (LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd.		April 8, 2014	$	8,422,338		22.5	%	$	580,318
AQR Managed Futures Strategy Offshore Fund Ltd.		January 6, 2010		1,612,423,480		23.2	%		451,868,037
AQR Managed Futures Strategy HV Offshore Fund Ltd.		July 16, 2013		46,110,214		22.9	%		17,435,877
AQR Multi-Strategy Alternative Offshore Fund Ltd.		July 18, 2011		248,310,884		15.9	%		46,056,450
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		July 9, 2012		14,768,468		22.3	%		(8,016,384	)
AQR Risk Parity Offshore Fund Ltd.		September 30, 2010		123,257,082		19.9	%		(14,916,218	)
AQR Risk Parity II HV Offshore Fund Ltd.		November 5, 2012		11,356,628		22.6	%		(1,889,063	)
AQR Risk Parity II MV Offshore Fund Ltd.		November 5, 2012		16,901,944		14.8	%		(3,355,010	)
AQR Style Premia Alternative Offshore Fund Ltd.		October 30, 2013		110,101,365		22.5	%		17,958,815
AQR Style Premia Alternative LV Offshore Fund Ltd.		September 17, 2014		13,949,458		23.1	%		235,289

AQR Funds Annual Report December 2014

293

Notes to Financial Statements December 31, 2014

3. Significant Accounting Policies

The following summarizes the significant accounting policies of the Funds:

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Advisor 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 and Cash Equivalents: Cash comprises U.S. dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

Due to/from Broker: Due to/from broker 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 year. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is adjusted for the changes in the relevant consumer price index.

Allocation of Income and Expenses: Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund, such as advisory fees and registration costs. 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.

Organization and Offering Cost: Organizational costs incurred by the relevant Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal period. Offering costs, including professional fees, printing fees and the offering of the initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

AQR Funds Annual Report December 2014

294

Notes to Financial Statements December 31, 2014

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 Advisor 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 returns of the Funds for the prior three fiscal years, or since inception if shorter, are open for examination. As of December 31, 2014, the Funds had no examinations in progress.

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.

Distributions to Shareholders: 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. Distributions to shareholders are recorded on the ex-dividend date. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition—“temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

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.

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.

Loan Participations and Assignments: Certain Funds invest in loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically 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 on such collateral or have its interest subordinated to other indebtedness of the obligor. The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. 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.

Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security (short sale). When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

AQR Funds Annual Report December 2014

295

Notes to Financial Statements December 31, 2014

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 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. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.

The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND
AQR Diversified Arbitrage Fund	$	4,974,388
AQR Equity Market Neutral Fund		1,092
AQR Multi-Strategy Alternative Fund		3,671,840
AQR Style Premia Alternative Fund		511,179
AQR Style Premia Alternative LV Fund		285

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements are contracts that govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions. 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.

Customer Account Agreements govern cleared derivatives transactions and exchange traded futures and options transactions. Cleared derivative transactions require posting of initial margin as determined by each relevant clearing organization. Futures transactions require initial margin to be posted as required by each futures exchange. Such collateral is segregated at an account held at a broker registered with the Commodity Futures Trading Commission (CFTC), or other applicable regulator.

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 option transactions or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing arrangements 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.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern over-the-counter (“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.

ISDA Master Agreements contain termination events applicable to the Fund or the counterparty. Such events may 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, respectively. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC swap and foreign exchange 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 impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure (net of existing collateral already in place (“initial margin”)) 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 and other securities or money market funds as agreed to by the Fund and the applicable counterparty or as permitted by the clearing house or exchange.

AQR Funds Annual Report December 2014

296

Notes to Financial Statements December 31, 2014

Collateral pledged by a Fund pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund’s custodian and, with respect to those amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within due to brokers in the Statements of Assets and Liabilities.

The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.

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 be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to or received by a Fund upon the purchase or sale of a futures contract. Upon the purchase of a futures contract, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments to and from the broker will be made on a periodic basis as the prices of the instruments fluctuate. A change in market value of an open futures contract is recorded in the Statements of Operations as 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. Securities deposited as initial margin are designated in the Schedules of Investments and cash pledged/received is presented as Due to/from Broker on the Statements of Assets and Liabilities. The use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the contract amount of the futures contracts. 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 an 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 OTC market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.

The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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. Upon entering into a centrally cleared swap, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. Subsequent payments, known as variation margin, are made or received by the Fund, depending on fluctuations in the value of the underlying referenced debt obligation. Such 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. Credit default contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the

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total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after 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.

Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

Transactions in call and put options written during the period ended December 31, 2014 for AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:

	CALL OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2013		(10,229	)	$	(2,511,095	)
Options written		(27,177	)		(2,427,120	)
Options terminated		877			150,312
Options expired		21,061			747,195
Options exercised		9,752			1,700,576
Options outstanding, December 31, 2014		(5,716	)	$	(2,340,132	)
	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2013		(1,432	)	$	(10,237	)
Options written		(3,423	)		(353,519	)
Options expired		1,432			10,237
Options exercised		2,594			249,082
Options outstanding, December 31, 2014		(829	)	$	(104,437	)

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Notes to Financial Statements December 31, 2014

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 business of the regular session of trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made.

For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees. The Advisor has established a Valuation Committee (the “VC”) whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and determine in good faith the fair value of portfolio holdings after consideration of all relevant factors. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis.

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, a security will be valued based on its fair value as determined by the VC in accordance with the valuation procedures approved by the Funds’ Board of Trustees. The valuation procedures may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

On a daily basis, the Trust’s fund accounting agent compares trade execution prices to the prior night’s valuation price for all positions which were traded and held the previous day. The VC, reviews third party model prices are reviewed against internal model prices. The VC reviews the results of back testing and reports for the Funds’ Board of Trustees on the results of fair value determinations.

Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:

Level 1 — unadjusted quoted prices in active markets for identical securities

Level 2 — other significant observable inputs (including quoted prices for identical or similar securities in non-active markets, interest rates, pre-payment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions 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, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades and are therefore considered 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 considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Advisor 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 Depository Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time the Funds calculate their net asset value.

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Fixed income securities (other than certain short-term investments maturing in less than 61 days) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in less than 61 days may be valued at amortized cost which approximates fair market value.

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 use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, 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, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Advisor in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market or, if no sales occurred on such date, at the “mid-market” price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

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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Quantitative Information

The following tables represent each Funds’ valuation inputs as presented on the Schedule of Investments.

AQR DIVERSIFIED ARBITRAGE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	637,083,833		$	169,570,054		$	70,436,249		$	877,090,136
Convertible Preferred Stocks†		175,700,385			31,609,704			24,872,000			232,182,089
Corporate Bonds†		—			228,797,033			79,701,483			308,498,516
Convertible Bonds†		—			626,526,579			354,963			626,881,542
Closed End Funds		122,755,197			45,190			—			122,800,387
Loan Participations†		—			26,858,495			—			26,858,495
Preferred Stocks†		4,119,832			2,408,718			853,511			7,382,061
Rights†		789,115			134,561			3,286,022			4,209,698
Short-Term Investments		—			179,197,991			—			179,197,991
U.S. Treasury Obligations		—			2,876,124			—			2,876,124
Warrants†		12,472,656			2,876,570			1,270,739			16,619,965
Money Market Funds		—			426,986,797			—			426,986,797
Purchased Options		174,458			—			—			174,458
Futures Contracts*		309,803			—			—			309,803
Forward Foreign Currency Exchange Contracts*		—			6,466,083			—			6,466,083
Total Return Basket Swaps Contracts		—			23,645,411			—			23,645,411
Total Assets	$	953,405,279		$	1,727,999,310		$	180,774,967		$	2,862,179,556
LIABILITIES
Common Stocks (Sold Short)†	$	(853,974,025	)	$	(7,364,356	)	$	(453	)	$	(861,338,834	)
Convertible Bonds (Sold Short)†		—			(41,227,953	)		—			(41,227,953	)
U.S. Treasury Obligations (Sold Short)		—			(2,876,124	)		—			(2,876,124	)
Written Options (Sold Short)*		(536,057	)		(205,768	)		—			(741,825	)
Futures Contracts*		(12,413,572	)		—			—			(12,413,572	)
Credit Default Swap Contracts*		—			(13,566,375	)		—			(13,566,375	)
Total Liabilities	$	(866,923,654	)	$	(65,240,576	)	$	(453	)	$	(932,164,683	)
AQR EQUITY MARKET NEUTRAL FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	—		$	2,025,099		$	—		$	2,025,099
Preferred Stocks†		—			30,651			—			30,651
Money Market Funds		—			3,334,581			—			3,334,581
Forward Foreign Currency Exchange Contracts*		—			7,211			—			7,211
Total Return Basket Swaps Contracts*		—			329,807			—			329,807
Total Assets	$	—		$	5,727,349		$	—		$	5,727,349
LIABILITIES
Common Stocks (Sold Short)†	$	(48,840	)	$	(1,806,104	)	$	—		$	(1,854,944	)
Preferred Stocks (Sold Short)†		—			(7,112	)		—			(7,112	)
Futures Contracts*		(7,134	)		—			—			(7,134	)
Total Liabilities	$	(55,974	)	$	(1,813,216	)	$	—		$	(1,869,190	)

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AQR GLOBAL MACRO FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—	$	33,104,956		$	—	$	33,104,956
Futures Contracts*		392,942		—			—		392,942
Forward Foreign Currency Exchange Contracts*		—		238,068			—		238,068
Total Return Swap Contracts*		—		145,134			—		145,134
Total Assets	$	392,942	$	33,488,158		$	—	$	33,881,100
LIABILITIES
Interest Rate Swap Contracts*	$	—	$	(121,757	)	$	—	$	(121,757	)
Total Liabilities	$	—	$	(121,757	)	$	—	$	(121,757	)
AQR LONG-SHORT EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—	$	49,827,080		$	—	$	49,827,080
Futures Contracts*		930,241		—			—		930,241
Total Return Basket Swap Contracts*		—		3,475,677			—		3,475,677
Total Return Swap Contracts*		—		15,442			—		15,442
Total Assets	$	930,241	$	53,318,199		$	—	$	54,248,440
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(145,635	)	$	—	$	(145,635	)
Total Liabilities	$	—	$	(145,635	)	$	—	$	(145,635	)
AQR MANAGED FUTURES STRATEGY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Short-Term Investments	$	—	$	5,027,995,388		$	—	$	5,027,995,388
Money Market Funds		—		1,418,015,729			—		1,418,015,729
Futures Contracts*		209,463,816		—			—		209,463,816
Forward Foreign Currency Exchange Contracts*		—		66,567,551			—		66,567,551
Total Return Swap Contracts*		—		18,048,438			—		18,048,438
Total Assets	$	209,463,816	$	6,530,627,106		$	—	$	6,740,090,922
LIABILITIES
Total Return Swap Contracts*	$	—	$	(12,141,765	)	$	—	$	(12,141,765	)
Total Liabilities	$	—	$	(12,141,765	)	$	—	$	(12,141,765	)

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303

Notes to Financial Statements December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Short-Term Investments	$	—		$	110,906,764		$	—		$	110,906,764
Money Market Funds		—			67,929,447			—			67,929,447
Futures Contracts*		8,034,990			—			—			8,034,990
Forward Foreign Currency Exchange Contracts*		—			2,739,576			—			2,739,576
Total Return Swap Contracts*		—			2,130,339			—			2,130,339
Total Assets	$	8,034,990		$	183,706,126		$	—		$	191,741,116
LIABILITIES
Total Return Swap Contracts*	$	—		$	(13,394	)	$	—		$	(13,394	)
Total Liabilities	$	—		$	(13,394	)	$	—		$	(13,394	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	99,272,395		$	114,104,100		$	—		$	213,376,495
Convertible Preferred Stocks†		61,745,916			2,714,593			—			64,460,509
Corporate Bonds†		—			1,422,000			—			1,422,000
Convertible Bonds†		6,286,063			408,703,966			—			414,990,029
Preferred Stocks†		873,428			—			—			873,428
Rights†		—			—			—	(a)		—	(a)
Short-Term Investments		—			53,481,133			—			53,481,133
U.S. Treasury Obligations		—			1,725,675			—			1,725,675
Money Market Funds		—			599,034,056			—			599,034,056
Futures Contracts*		2,289,678			—			—			2,289,678
Forward Foreign Currency Exchange Contracts*		—			5,072,224			—			5,072,224
Credit Default Swap Contracts*		—			3,547,704			—			3,547,704
Total Return Basket Swap Contracts*		—			63,718,781			—			63,718,781
Total Return Swap Contracts*		—			17,127,614			—			17,127,614
Total Assets	$	170,467,480		$	1,270,651,846		$	—	(a)	$	1,441,119,326
LIABILITIES
Common Stocks (Sold Short)†	$	(421,990,879	)	$	(991,428	)	$	—		$	(422,982,307	)
U.S. Treasury Obligations (Sold Short)		—			(1,725,675	)		—			(1,725,675	)
Written Options (Sold Short)*		(239,581	)		—			—			(239,581	)
Futures Contracts*		(9,022,946	)		—			—			(9,022,946	)
Total Return Swap Contracts*		—			(2,334,546	)		—			(2,334,546	)
Total Liabilities	$	(431,253,406	)	$	(5,051,649	)	$	—		$	(436,305,055	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Short-Term Investments	$	—		$	351,895		$	—		$	351,895
Money Market Funds		—			71,291,376			—			71,291,376
Total Assets	$	—		$	71,643,271		$	—		$	71,643,271
LIABILITIES
Futures Contracts*	$	(722,171	)	$	—		$	—		$	(722,171	)
Total Return Swap Contracts*		—			(5,361,543	)		—			(5,361,543	)
Total Liabilities	$	(722,171	)	$	(5,361,543	)	$	—		$	(6,083,714	)

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304

Notes to Financial Statements December 31, 2014

AQR RISK PARITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—		$	91,473,174		$	—	$	91,473,174
Short-Term Investments		—			115,430,182			—		115,430,182
U.S. Treasury Obligations		—			116,628,211			—		116,628,211
Money Market Funds		—			288,306,056			—		288,306,056
Futures Contracts*		4,834,575			—			—		4,834,575
Interest Rate Swap Contracts*		—			4,749,641			—		4,749,641
Credit Default Swap Contracts*		—			14,616,214			—		14,616,214
Total Return Swap Contracts*		—			6,992,119			—		6,992,119
Total Assets	$	4,834,575		$	638,195,597		$	—	$	643,030,172
LIABILITIES
Futures Contracts*	$	(23,622	)	$	—		$	—	$	(23,622	)
Forward Foreign Currency Exchange Contracts*		—			(1,883,546	)		—		(1,883,546	)
Total Return Swap Contracts*		—			(20,478,781	)		—		(20,478,781	)
Total Liabilities	$	(23,622	)	$	(22,362,327	)	$	—	$	(22,385,949	)
AQR RISK PARITY II HV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—		$	9,243,990		$	—	$	9,243,990
Short-Term Investments		—			7,484,702			—		7,484,702
U.S. Treasury Obligations		—			11,734,479			—		11,734,479
Money Market Funds		—			20,997,386			—		20,997,386
Futures Contracts*		1,198,783			—			—		1,198,783
Forward Foreign Currency Exchange Contracts*		—			137,764			—		137,764
Total Return Swap Contracts*		—			577,101			—		577,101
Total Assets	$	1,198,783		$	50,175,422		$	—	$	51,374,205
LIABILITIES
Futures Contracts*	$	(492,239	)	$	—		$	—	$	(492,239	)
Total Return Swap Contracts*		—			(2,144,589	)		—		(2,144,589	)
Total Liabilities	$	(492,239	)	$	(2,144,589	)	$	—	$	(2,636,828	)
AQR RISK PARITY II MV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—		$	13,155,124		$	—	$	13,155,124
Short-Term Investments		—			18,771,214			—		18,771,214
U.S. Treasury Obligations		—			16,957,144			—		16,957,144
Money Market Funds		—			64,295,600			—		64,295,600
Futures Contracts*		1,906,055			—			—		1,906,055
Forward Foreign Currency Exchange Contracts*		—			203,793			—		203,793
Total Return Swap Contracts*		—			597,341			—		597,341
Total Assets	$	1,906,055		$	113,980,216		$	—	$	115,886,271
LIABILITIES
Futures Contracts*	$	(735,912	)	$	—		$	—	$	(735,912	)
Total Return Swap Contracts*		—			(3,014,438	)		—		(3,014,438	)
Total Liabilities	$	(735,912	)	$	(3,014,438	)	$	—	$	(3,750,350	)

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305

Notes to Financial Statements December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	—		$	191,572,102		$	—		$	191,572,102
Preferred Stocks†		—			3,759,671			—			3,759,671
Rights†		—			—	(a)		—			—	(a)
Money Market Funds		—			389,313,567			—			389,313,567
Futures Contracts*		2,238,282			—			—			2,238,282
Forward Foreign Currency Exchange Contracts*		—			2,462,754			—			2,462,754
Total Return Basket Swap Contracts*		—			16,304,539			—			16,304,539
Total Return Swap Contracts*		—			794,980			—			794,980
Total Assets	$	2,238,282		$	604,207,613		$	—		$	606,445,895
LIABILITIES
Common Stocks (Sold Short)†	$	(1,541,491	)	$	(159,989,996	)	$	(31,454	)	$	(161,562,941	)
Futures Contracts*		(5,395,985	)		—			—			(5,395,985	)
Total Return Swap Contracts*		—			(718,608	)		—			(718,608	)
Total Liabilities	$	(6,937,476	)	$	(160,708,604	)	$	(31,454	)	$	(167,677,534	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	—		$	12,857,255		$	—		$	12,857,255
Preferred Stocks†		—			144,091			—			144,091
Rights†		—			—	(a)		—			—	(a)
Money Market Funds		—			54,481,271			—			54,481,271
Futures Contracts*		137,147			—			—			137,147
Forward Foreign Currency Exchange Contracts*		—			96,193			—			96,193
Total Return Basket Swaps Contracts*		—			334,032			—			334,032
Total Return Swap Contracts*		—			13,542			—			13,542
Total Assets	$	137,147		$	67,926,384		$	—		$	68,063,531
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(10,700,278	)	$	—		$	(10,700,278	)
Futures Contracts*		(266,727	)		—			—			(266,727	)
Total Return Swap Contracts*		—			(1,496	)		—			(1,496	)
Total Liabilities	$	(266,727	)	$	(10,701,774	)	$	—		$	(10,968,501	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the unrealized appreciation (depreciation) of the instrument. Credit default swap, interest rate swap and option contracts are reported at market value.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended December 31, 2014, the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund had twenty-two investments and one investment, respectively, which transferred levels between 1 and 2. There were no transfers of investments between levels for any of the remaining Funds.

There were no Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund. Securities classified as Level 3 in the Schedule of Investments are considered quantitatively insignificant in the aggregate for AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund.

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306

Notes to Financial Statements December 31, 2014

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period ended December 31, 2014 for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCK			CONVERTIBLE PREFERRED STOCK			LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BONDS			PREFERRED STOCKS			RIGHTS		WARRANTS			SHORT COMMON STOCKS
Balance as of December 31, 2013		$14,041,304			$24,735,848			$74,581,303			$7,850,420			$20,828,897			$2,835		$9,194,739		$	—
Accrued discounts/(premiums)		—			—			(811,601	)		1,157			—			—		—			—
Realized gain/(loss)		(2,109,884	)		(56,989	)		941,437			446,879			343,509			—		(469,846	)		—
Change in unrealized appreciation/(depreciation)		(680,382	)		1,297,846			(15,011,080	)		(637,382	)		(184,573	)		3,283,187		(5,156,650	)		(453	)
Purchases1		46,800,620			—			62,064,173			1,688,988			—			—		—(	a)		—	(a)
Sales2		(139,113	)		(1,104,705	)		(67,862,823	)		(8,995,099	)		(20,134,322	)		—		(2,065,855	)		—
Transfers in to Level 3		24,878,862			—			28,273,160			—			—			—		11,162			—
Transfers out of Level 3		(12,355,158	)		—			(2,473,086	)		—			—			—		(242,811	)		—
Balance as of December 31, 2014		$70,436,249			$24,872,000			$79,701,483			$354,963			$853,511			$3,286,022		$1,270,739			$(453)
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2014		$(2,802,251)			$1,199,942			$(17,785,689)			$(444,961)			$(13,310)			$3,283,187		$912,454			$(453)

AQR MULTI-STRATEGY ALTERNATIVE FUND	CONVERTIBLE BOND			RIGHTS
Balance as of December 31, 2013	$	1,089,000		$	—
Accrued discounts/(premiums)		(32	)		—
Realized gain/(loss)		—			—
Change in unrealized appreciation/(depreciation)		7,818			—
Purchases		—			—	(a)
Sales		(1,096,786	)		—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of December 31, 2014	$	—		$	—	(a)
Change in unrealized appreciation/(depreciation) for securities still held at December 31, 2014	$	—		$	—

1 Purchases include all purchases of securities and securities received in corporate actions.

2 Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

(a) Security has zero value.

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Advisor’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 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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307

Notes to Financial Statements December 31, 2014

At December 31, 2014, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended December 31, 2014 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	FAIR VALUE AT 12/31/14		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stock		$641,894	Enterprise Value Waterfall Analysis	Discount for lack of marketability	20.2%—23.2%	22.2%
				Multiple of EBITDA	6.5x—7.5x	7.0x
				Revenue multiple	1.2x—1.3x	1.25x
		$37,775,050	Fundamental Analysis	Discount for lack of marketability	4.7%—21.1%	6.0%
		$2,250	Liquidation Analysis	Liquidation cost (% of capital)	71.9%	N/A
				Recovery probability	2.5%	N/A
		$1,397,772	Probability Weighted Expected Return	Discount for lack of marketability	34.9%	N/A
				Equity cost of capital	25.0%	N/A
				Legal fees (% of proceeds)	9.8%	N/A
				Scenario probability	50.0%	N/A
Convertible Bonds		$66,523	Liquidation Analysis	Expected remaining distributions (% of par)	4.5%	N/A
				Liquidation cost (% of capital)	71.9%	N/A
				Recovery probability	2.5%	N/A
Convertible Preferred Stocks		$24,871,058	Discounted Cash Flow Analysis	Discount rate	5.6%	N/A
Corporate Bonds		$50,283	Discounted Cash Flow Analysis	Discount rate	11.6%	N/A
				Multiple of EBITDA	5.5x—6.5x	6.0x
		$562,216	Liquidation Analysis	Liquidation cost (% of capital)	0.3%—71.9%	3.8%
				Recovery probability	2.5%	N/A
Preferred Stock		$853,511	Enterprise Value Waterfall Analysis	Discount for lack of marketability	8.0%	N/A
				Multiple of EBITDA	4.8x—5.8x	5.3x
Rights		$343,341	Black-Scholes	Discount for lack of marketability	32.6%	N/A
		$2,889,628	Probability Weighted Expected Return	Discount for lack of marketability	14.0%—40.5%	17.0%
				Equity cost of capital	12.4%—21.0%	13.3%
				Scenario probability	26.3%—90.0%	65.6%
Warrant		$6,458	Black-Scholes	Discount for lack of marketability**	20.9%—39.1%	29.8%

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2014, the value of these securities was $111,314,530. 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.

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308

Notes to Financial Statements December 31, 2014

6. Federal Income Tax Matters

At December 31, 2014, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Diversified Arbitrage Fund	$	2,960,518,080	$	132,087,436	$	(260,847,257	)	$	(128,759,821	)
AQR Equity Market Neutral Fund		5,399,594		64,618		(73,881	)		(9,263	)
AQR Global Macro Fund		33,104,956		—		—			—
AQR Long-Short Equity Fund		49,827,080		—		—			—
AQR Managed Futures Strategy Fund		6,445,716,688		294,429		—			294,429
AQR Managed Futures Strategy HV Fund		178,832,847		3,364		—			3,364
AQR Multi-Strategy Alternative Fund		1,265,926,589		161,375,401		(77,938,665	)		83,436,736
AQR Risk Balanced Commodities Strategy Fund		71,643,269		2		—			2
AQR Risk Parity Fund		620,271,396		1,442,977		(9,876,750	)		(8,433,773	)
AQR Risk Parity II HV Fund		50,469,381		38,777		(1,047,601	)		(1,008,824	)
AQR Risk Parity II MV Fund		114,714,682		3,569		(1,539,169	)		(1,535,600	)
AQR Style Premia Alternative Fund		593,932,704		21,946,681		(31,234,045	)		(9,287,364	)
AQR Style Premia Alternative LV Fund		67,964,806		151,001		(633,190	)		(482,189	)

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (“PFIC”), non-taxable dividends, straddle loss deferral, investments in partnerships, basis adjustments, prior year and current year deflation deferral.

As of December 31, 2014, 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 Diversified Arbitrage Fund	$	18,501,114	$	(55,968,355	)	$	(163,152,258	)	$	(11,138,486	)	$	973,861		$	(210,784,124	)
AQR Equity Market Neutral Fund		—		(3,749	)		15,804			(2,791	)		—			9,264
AQR Global Macro Fund		982,330		410,604			(151,177	)		(1,120,829	)		(125,727	)		(4,799	)
AQR Long-Short Equity Fund		—		—			175,413			(44,846	)		—			130,567
AQR Managed Futures Strategy Fund		95,055,714		95,762,665			(87,665,613	)		—			(192,178,981	)		(89,026,215	)
AQR Managed Futures Strategy HV Fund		5,577,663		8,702,469			(770,941	)		—			(7,884,846	)		5,624,345
AQR Multi-Strategy Alternative Fund		—		11,812,436			(28,277,366	)		(10,485,297	)		(26,196,833	)		(53,147,060	)
AQR Risk Balanced Commodities Strategy Fund		—		(12,630	)		(9,676,051	)		—			618,097			(9,070,584	)
AQR Risk Parity Fund		7,944,454		194,853			(20,006,908	)		(44,630	)		6,214,696			(5,697,535	)
AQR Risk Parity II HV Fund		1,574,300		495,227			(3,380,960	)		—			931,290			(380,143	)
AQR Risk Parity II MV Fund		2,013,409		1,018,242			(5,141,503	)		—			1,409,508			(700,344	)
AQR Style Premia Alternative Fund		8,446,124		—			(23,712,685	)		(7,392,219	)		3,967,552			(18,691,228	)
AQR Style Premia Alternative LV Fund		665,350		28,349			(301,264	)		(197,202	)		(115,725	)		79,508

AQR Funds Annual Report December 2014

309

Notes to Financial Statements December 31, 2014

The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral losses on wash sales 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 future contracts, mark to market on swaps, non-taxable dividends, late year ordinary loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, investments in partnerships, constructive sales, investments in treasury inflation protected securities, unamortized and amortized of organizational costs, post-October capital loss deferrals, derivative contracts closed by offset, basis adjustments, prior year and current year deflation deferral, Section 305(c) deemed dividend adjustment, Cayman subsidiary taxable income, CPDI accrued income, loss deferrals on substantial overlap.

As of December 31, 2014, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS			PAID-IN CAPITAL
AQR Diversified Arbitrage Fund	$	(7,265,438	)	$	(18,136,082	)	$	25,401,520
AQR Equity Market Neutral Fund		7,924			19,978			(27,902	)
AQR Global Macro Fund		(1,028,505	)		921,158			107,347
AQR Long-Short Equity Fund		423,837			(135,894	)		(287,943	)
AQR Managed Futures Strategy Fund		(8,091,043	)		(473,885,239	)		481,976,282
AQR Managed Futures Strategy HV Fund		3,167,822			(19,011,600	)		15,843,778
AQR Multi-Strategy Alternative Fund		51,035,416			(77,976,769	)		26,941,353
AQR Risk Balanced Commodities Strategy Fund		(2,427,604	)		8,047,231			(5,619,627	)
AQR Risk Parity Fund		27,151,926			(13,454,273	)		(13,697,653	)
AQR Risk Parity II HV Fund		1,037,290			1,204,332			(2,241,622	)
AQR Risk Parity II MV Fund		1,529,056			2,458,952			(3,988,008	)
AQR Style Premia Alternative Fund		28,746,666			(45,361,685	)		16,615,019
AQR Style Premia Alternative LV Fund		(425,213	)		183,777			241,436

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due the tax treatment of foreign currency gain/losses, dividend expense for securities sold short, investments in REITs, investments in PFICs, investments in swap contracts, redemptions in-kinds, distribution reclassifications, redemptions used as distributions, return of capital distributions, non-taxable dividends, non-deductible expenses, paydowns gain/loss, net operating losses, prior year and current year deflation deferral, ordinary loss, finance charges and monthly reset on basket swaps, basis adjustments, CPDI accrual income, section 988 reclass and the tax treatment of income from investments in the subsidiary. The result of operations and net assets were not affected by the reclassifications.

The tax character of distributions paid during the periods ended December 31, 2014 and December 31, 2013 were as follows:

FUND	DECEMBER 31, 2014 ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		DECEMBER 31, 2013 ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Diversified Arbitrage Fund	$	42,184,546	$	—	$	—	$	44,059,462	$	14,410,981	$	21,724,609
AQR Equity Market Neutral Fund		327,559		—		3,100		—		—		—
AQR Global Macro Fund		—		65,718		—		—		—		—
AQR Long-Short Equity Fund		3,695,245		158,787		137,442		439,168		55,727		—
AQR Managed Futures Strategy Fund		397,007,505		194,482,633		—		6,115,369		52,416,671		—
AQR Managed Futures Strategy HV Fund		15,283,006		3,010,679		—		39,794		—		—
AQR Multi-Strategy Alternative Fund		108,646,645		398,487		—		77,873,599		7,128,688		—
AQR Risk Balanced Commodities Strategy Fund		—		—		—		—		—		—
AQR Risk Parity Fund		65,645,098		15,092,700		—		49,971,618		11,583,408		—
AQR Risk Parity II HV Fund		3,324,717		2,288,332		—		134,991		—		—
AQR Risk Parity II MV Fund		3,714,288		3,529,309		—		74,964		—		—
AQR Style Premia Alternative Fund		61,067,637		5,032,183		—		7,859,288		—		—
AQR Style Premia Alternative LV Fund		380,534		69,820		—		—		—		—

AQR Funds Annual Report December 2014

310

Notes to Financial Statements December 31, 2014

During the period ended December 31, 2014, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR Multi-Strategy Alternative Fund	$	—	$	25,330,530
AQR Risk Parity II HV Fund		149,828		—
AQR Risk Parity II MV Fund		149,623		—

As of December 31, 2014, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG-TERM
AQR Diversified Arbitrage Fund	$	55,968,355	$	—
AQR Equity Market Neutral Fund		1,143		2,606
AQR Risk Balanced Commodities Strategy Fund		12,630		—

Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law.

7. Investment Transactions

During the period ended December 31, 2014, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	7,081,539,800	$	6,640,137,183	$	2,878,442,152	$	2,368,819,336
AQR Equity Market Neutral Fund		2,192,161		139,734		2,059,538		178,331
AQR Global Macro Fund		—		—		—		—
AQR Long-Short Equity Fund		—		—		—		—
AQR Managed Futures Strategy Fund		—		—		—		—
AQR Managed Futures Strategy HV Fund		—		—		—		—
AQR Multi-Strategy Alternative Fund		1,096,573,449		1,749,679,634		907,855,679		1,463,424,868
AQR Risk-Balanced Commodities Strategy Fund		—		—		—		—
AQR Risk Parity Fund		287,622,413		416,600,461		—		—
AQR Risk Parity II HV Fund		35,357,673		29,344,847		—		—
AQR Risk Parity II MV Fund		54,195,123		43,965,707		—		—
AQR Style Premia Alternative Fund		292,910,737		48,093,570		277,979,252		74,937,697
AQR Style Premia Alternative LV Fund		13,562,477		92,463		11,458,218		234,893

During the period ended December 31, 2014, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES
AQR Diversified Arbitrage Fund	$	34,327,792	$	39,290,680
AQR Multi-Strategy Alternative Fund		5,129,454		4,736,360
AQR Risk Parity Fund		181,234,033		270,177,269
AQR Risk Parity II HV Fund		22,505,361		20,504,892
AQR Risk Parity II MV Fund		35,011,014		30,563,784

8. Derivative Instruments and Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at December 31, 2014, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All financial instruments held by the Funds were subject to a master netting agreement or similar arrangement. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.

AQR Funds Annual Report December 2014

311

Notes to Financial Statements December 31, 2014

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, 2014.

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	—	$	25,996,085	$	—	$	12,177,848	$	2,350,674	$	—	$	741,825
AQR Equity Market Neutral Fund		10,060		329,807		—		17,194		—		—		—
AQR Global Macro Fund		366,317		7,959		—		203,628		1,929		—		—
AQR Long-Short Equity Fund		1,012,487		3,571,282		—		82,246		80,167		—		—
AQR Managed Futures Strategy Fund		33,011,551		6,699,294		—		10,687,827		—		—		—
AQR Managed Futures Strategy HV Fund		1,390,915		287,232		—		441,841		—		—		—
AQR Multi-Strategy Alternative Fund		3,353,314		71,946,389		—		11,481,621		10,496,933		—		239,581
AQR Risk Parity Fund		5,160,051		588,186		—		510,201		—		—		—
AQR Risk Parity II HV Fund		827,900		93,800		—		80,870		—		—		—
AQR Risk Parity II MV Fund		1,204,337		140,206		—		126,349		—		—		—
AQR Style Premia Alternative Fund		3,086,295		17,740,794		—		6,834,503		1,361,956		—		—
AQR Style Premia Alternative LV Fund		133,174		341,370		—		240,731		15,328		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		10,035,791		—		—		3,569,708		—
AQR Equity Market Neutral Fund		—		—		11,071		—		—		3,860		—
AQR Global Macro Fund		—		—		572,156		—		—		334,088		—
AQR Long-Short Equity Fund		—		—		968		—		—		146,603		—
AQR Managed Futures Strategy Fund		—		—		166,480,487		—		—		99,912,936		—
AQR Managed Futures Strategy HV Fund		—		—		6,921,104		—		—		4,181,528		—
AQR Multi-Strategy Alternative Fund		—		—		26,262,697		—		—		21,190,473		—
AQR Risk Parity Fund		—		—		4,676,054		—		—		6,559,600		—
AQR Risk Parity II HV Fund		—		—		147,892		—		—		10,128		—
AQR Risk Parity II MV Fund		—		—		208,316		—		—		4,523		—
AQR Style Premia Alternative Fund		—		—		10,694,693		—		—		8,231,939		—
AQR Style Premia Alternative LV Fund		—		—		421,897		—		—		325,704		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		309,803		—		—		235,724		—		—		—
AQR Global Macro Fund		383,292		3,841,738		—		359,532		3,912,259		—		—
AQR Managed Futures Strategy Fund		89,110,867		7,350,931		—		4,024,580		4,486,736		—		—
AQR Managed Futures Strategy HV Fund		3,829,819		211,451		—		138,898		209,938		—		—
AQR Multi-Strategy Alternative Fund		1,905,557		6,861,339		—		2,752,449		2,016,569		—		—
AQR Risk Parity Fund		184,725		13,427,795		—		—		2,274,221		—		—
AQR Risk Parity II HV Fund		451,752		483,301		—		—		—		—		—
AQR Risk Parity II MV Fund		828,067		457,135		—		—		—		—		—
AQR Style Premia Alternative Fund		731,280		2,866,705		—		2,017,585		3,014,653		—		—
AQR Style Premia Alternative LV Fund		25,306		150,105		—		166,326		130,853		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		1,692,739		—		—		15,259,114		—		—
AQR Multi-Strategy Alternative Fund		—		3,547,704		—		—		—		—		—
AQR Risk Parity Fund		—		16,646,274		—		—		2,030,060		—		—

AQR Funds Annual Report December 2014

312

Notes to Financial Statements December 31, 2014

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS AT MARKET VALUE
Commodity Risk Exposure:
AQR Global Macro Fund	$	349,238		$	158,409		$	—		$	142,745		$	70,541		$	—		$	—
AQR Managed Futures Strategy Fund		112,446,270			33,883,811			—			10,392,465			37,540,627			—			—
AQR Managed Futures Strategy HV Fund		3,782,517			4,075,842			—			387,522			2,247,642			—			—
AQR Multi-Strategy Alternative Fund		4,003,617			21,467,317			—			1,761,686			9,249,694			—			—
AQR Risk-Balanced Commodities Strategy Fund		1,417,298			8,336,102			—			2,139,469			13,697,645			—			—
AQR Risk Parity Fund		3,296			20,163,211			—			26,918			40,641,992			—			—
AQR Risk Parity II HV Fund		349,497			1,409,057			—			841,735			3,553,646			—			—
AQR Risk Parity II MV Fund		500,563			1,988,052			—			1,236,475			5,002,490			—			—
AQR Style Premia Alternative Fund		4,232,675			179,604			—			2,355,865			29,583			—			—
AQR Style Premia Alternative LV Fund		224,251			5,020			—			105,254			4,236			—			—
Netting:
AQR Diversified Arbitrage Fund		(309,803	)		(17,609,788	)		(3,569,708	)		(309,803	)		(17,609,788	)		(3,569,708	)		—
AQR Equity Market Neutral Fund		(10,060	)		—			(3,860	)		(10,060	)		—			(3,860	)		—
AQR Global Macro Fund		(705,905	)		(3,984,729	)		(334,088	)		(705,905	)		(3,984,729	)		(334,088	)		—
AQR Long-Short Equity Fund		(82,246	)		(80,167	)		(968	)		(82,246	)		(80,167	)		(968	)		—
AQR Managed Futures Strategy Fund		(25,104,872	)		(42,027,363	)		(99,912,936	)		(25,104,872	)		(42,027,363	)		(99,912,936	)		—
AQR Managed Futures Strategy HV Fund		(968,261	)		(2,457,580	)		(4,181,528	)		(968,261	)		(2,457,580	)		(4,181,528	)		—
AQR Multi-Strategy Alternative Fund		(9,262,488	)		(21,763,196	)		(21,190,473	)		(9,262,488	)		(21,763,196	)		(21,190,473	)		—
AQR Risk-Balanced Commodities Strategy Fund		(1,417,298	)		(8,336,102	)		—			(1,417,298	)		(8,336,102	)		—			—
AQR Risk Parity Fund		(537,119	)		(44,946,273	)		(4,676,054	)		(537,119	)		(44,946,273	)		(4,676,054	)		—
AQR Risk Parity II HV Fund		(922,605	)		(1,986,158	)		(10,128	)		(922,605	)		(1,986,158	)		(10,128	)		—
AQR Risk Parity II MV Fund		(1,362,824	)		(2,585,393	)		(4,523	)		(1,362,824	)		(2,585,393	)		(4,523	)		—
AQR Style Premia Alternative Fund		(8,050,250	)		(4,406,192	)		(8,231,939	)		(8,050,250	)		(4,406,192	)		(8,231,939	)		—
AQR Style Premia Alternative LV Fund		(382,731	)		(150,417	)		(325,704	)		(382,731	)		(150,417	)		(325,704	)		—
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund		—			10,079,036			6,466,083			12,103,769			—			—			741,825
AQR Equity Market Neutral Fund		—			329,807			7,211			7,134			—			—			—
AQR Global Macro Fund		392,942			23,377			238,068			—			—			—			—
AQR Long-Short Equity Fund		930,241			3,491,115			—			—			—			145,635			—
AQR Managed Futures Strategy Fund		209,463,816			5,906,673			66,567,551			—			—			—			—
AQR Managed Futures Strategy HV Fund		8,034,990			2,116,945			2,739,576			—			—			—			—
AQR Multi-Strategy Alternative Fund		—			82,059,553			5,072,224			6,733,268			—			—			239,581
AQR Risk-Balanced Commodities Strategy Fund		—			—			—			722,171			5,361,543			—			—
AQR Risk Parity Fund		4,810,953			5,879,193			—			—			—			1,883,546			—
AQR Risk Parity II HV Fund		706,544			—			137,764			—			1,567,488			—			—
AQR Risk Parity II MV Fund		1,170,143			—			203,793			—			2,417,097			—			—
AQR Style Premia Alternative Fund		—			16,380,911			2,462,754			3,157,703			—			—			—
AQR Style Premia Alternative LV Fund		—			346,078			96,193			129,580			—			—			—

AQR Funds Annual Report December 2014

313

Notes to Financial Statements December 31, 2014

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended December 31, 2014:

	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 AND SWAPS ON FUTURES CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	(58,846,156)	$	(187,366,300)	$	—	$	2,528,855	$	513,766	$	134,659,869	$	—	$	1,661,622
AQR Equity Market Neutral Fund		(19,496)		(20,421)		—		—		(7,134)		329,807		—		—
AQR Global Macro Fund		(4,021)		(281,130)		—		—		162,689		6,030		—		—
AQR Long-Short Equity Fund		277,868		196,220		—		—		848,762		3,226,570		—		—
AQR Managed Futures Strategy Fund		(79,536,153)		(6,730,607)		—		—		(86,916,254)		3,377,764		—		—
AQR Managed Futures Strategy HV Fund		(5,680,786)		(860,226)		—		—		(7,703)		259,334		—		—
AQR Multi-Strategy Alternative Fund.		(39,017,057)		39,862,253		—		259,320		(4,602,182)		27,304,344		—		(143,949)
AQR Risk Parity Fund		19,793,339		648,260		—		—		(9,241,405)		(722,311)		—		—
AQR Risk Parity II HV Fund		1,933,727		82,706		—		—		30,170		25,991		—		—
AQR Risk Parity II MV Fund		1,807,926		224,533		—		—		177,207		55,922		—		—
AQR Style Premia Alternative Fund		1,953,978		18,112,212		—		—		(5,132,017)		17,238,475		—		—
AQR Style Premia Alternative LV Fund		(4,140)		26,584		—		—		(107,557)		326,043		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		5,899,941		—		—		—		7,062,468		—
AQR Equity Market Neutral Fund		—		—		12,786		—		—		—		7,211		—
AQR Global Macro Fund		—		—		486,961		—		—		—		238,068		—
AQR Long-Short Equity Fund		—		—		(477,299)		—		—		—		(145,188)		—
AQR Managed Futures Strategy Fund		—		—		228,217,811		—		—		—		(46,184,801)		—
AQR Managed Futures Strategy HV Fund		—		—		11,506,281		—		—		—		1,719,440		—
AQR Multi-Strategy Alternative Fund.		—		—		42,293,381		—		—		—		544,059		—
AQR Risk Parity Fund		—		—		13,412,570		—		—		—		(375,013)		—
AQR Risk Parity II HV Fund		—		—		928,121		—		—		—		170,195		—
AQR Risk Parity II MV Fund		—		—		1,390,731		—		—		—		252,690		—
AQR Style Premia Alternative Fund		—		—		13,279,255		—		—		—		2,087,994		—
AQR Style Premia Alternative LV Fund		—		—		301,925		—		—		—		96,193		—

AQR Funds Annual Report December 2014

314

Notes to Financial Statements December 31, 2014

	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 AND SWAPS ON FUTURES CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund	$	(7,414,406)	$	191,292,780	$	—	$	—	$	(1,048,988)	$	(142,472,536)	$	—	$	—
AQR Global Macro Fund		(1,322,239)		233,231		—		—		23,760		42,809		—		—
AQR Managed Futures Strategy Fund		72,773,479		22,713,654		—		—		74,341,913		6,842,193		—		—
AQR Managed Futures Strategy HV Fund		5,352,510		421,037		—		—		3,591,688		31,031		—		—
AQR Multi-Strategy Alternative Fund		(32,726,212)		15,520,398		—		—		997,540		8,117,823		—		—
AQR Risk Parity Fund		3,727,509		27,928,408		—		—		5,237,508		23,662,008		—		—
AQR Risk Parity II HV Fund		2,410,285		1,637,863		—		—		710,800		683,844		—		—
AQR Risk Parity II MV Fund		4,389,143		1,265,215		—		—		1,426,597		488,025		—		—
AQR Style Premia Alternative Fund		(14,875,604)		755,609		—		—		(566,297)		2,587,427		—		—
AQR Style Premia Alternative LV Fund		(356,276)		235,220		—		—		(141,020)		19,251		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		(14,835,553)		—		—		—		4,623,934		—		—
AQR Global Macro Fund		—		(9,073)		—		—		—		—		—		—
AQR Multi-Strategy Alternative Fund		—		817,986		—		—		—		(134,705)		—		—
AQR Risk Parity Fund		—		27,789,743		—		—		—		(13,489,659)		—		—
Commodity Risk Exposure:
AQR Global Macro Fund		566,083		14,235		—		—		206,493		87,868		—		—
AQR Managed Futures Strategy Fund		305,890,109		138,726,226		—		—		99,347,109		(24,279,811)		—		—
AQR Managed Futures Strategy HV Fund		9,422,161		7,811,974		—		—		3,370,268		1,852,589		—		—
AQR Multi-Strategy Alternative Fund		5,697,417		39,361,867		—		—		(229,827)		13,807,690		—		—
AQR Risk-Balanced Commodities Strategy Fund		(1,244,899)		(6,801,874)		—		—		(556,472)		(4,789,316)		—		—
AQR Risk Parity Fund		4,994,578		(15,340,035)		—		—		1,728,544		(23,458,031)		—		—
AQR Risk Parity II HV Fund		90,872		(1,671,820)		—		—		(444,484)		(2,315,839)		—		—
AQR Risk Parity II MV Fund		(662,304)		(2,339,726)		—		—		(616,977)		(3,203,319)		—		—
AQR Style Premia Alternative Fund		12,296,449		5,505,099		—		—		(1,150,849)		(700,074)		—		—
AQR Style Premia Alternative LV Fund		215,005		20,284		—		—		118,997		784		—		—

AQR Funds Annual Report December 2014

315

Notes to Financial Statements December 31, 2014

The following tables present, by counterparty and contract type, the Funds’ derivative assets and liabilities as of December 31, 2014.

AQR DIVERSIFIED ARBITRAGE FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED	(a)		NET AMOUNT
Bank of America	Total Return Basket Swaps Contracts	$	425,787	$	—		$	425,787	$	—		$	—		$	425,787
CitiBank	Credit Default Swap Contracts		1,692,739		(1,692,739	)		—		—			—			—
	Forward Foreign Currency Exchange Contracts		460,800		(46,569	)		414,231		—			—			414,231
	Total Return Basket Swaps Contracts		30,664		—			30,664		—			—			30,664
	Total CitiBank		2,184,203		(1,739,308	)		444,895		—			—			444,895
Credit Suisse	Forward Foreign Currency Exchange Contracts		3,488,268		(644,844	)		2,843,424		—			(2,600,000	)		243,424
Deutsche Bank	Total Return Basket Swaps Contracts		25,283,221		(2,350,674	)		22,932,547		—			—			22,932,547
J.P. Morgan	Futures Contracts		309,803		—			309,803		—			—			309,803
	Total Return Basket Swaps Contracts		256,413		—			256,413		—			—			256,413
	Total J.P. Morgan		566,216		—			566,216		—			—			566,216
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		6,086,723		(2,878,295	)		3,208,428		—			(3,208,428	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			38,034,418		(7,613,121	)		30,421,297		—			(5,808,428	)		24,612,869
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED	(b)		NET AMOUNT
Barclays Capital	Futures Contracts	$	12,413,572	$	—		$	12,413,572	$	—		$	(12,413,572	)	$	—
CitiBank	Credit Default Swap Contracts		15,259,114		(1,692,739	)		13,566,375		—			(13,566,375	)		—
	Forward Foreign Currency Exchange Contracts		46,569		(46,569	)		—		—			—			—
	Total CitiBank		15,305,683		(1,739,308	)		13,566,375		—			(13,566,375	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		644,844		(644,844	)		—		—			—			—
Deutsche Bank	Total Return Basket Swaps Contracts		2,350,674		(2,350,674	)		—		—			—			—
J.P. Morgan	Written Options		741,825		—			741,825		(741,825	)		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		2,878,295		(2,878,295	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			34,334,893		(7,613,121	)		26,721,772		(741,825	)		(25,979,947	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $81,572.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $147,557,356.

AQR Funds Annual Report December 2014

316

Notes to Financial Statements December 31, 2014

AQR EQUITY MARKET NEUTRAL FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Credit Suisse	Forward Foreign Currency Exchange Contracts	$	11,071	$	(3,860	)	$	7,211	$	—	$	—		$	7,211
J.P. Morgan	Futures Contracts		10,060		(10,060	)		—		—		—			—
Morgan Stanley
	Total Return Basket Swaps Contracts		329,807		—			329,807		—		—			329,807
Total financial instruments subject to a master netting arrangement or similar arrangement			350,938		(13,920	)		337,018		—		—			337,018
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Barclays Capital	Futures Contracts	$	6,532	$	—		$	6,532	$	—	$	(6,532	)	$	—
Credit Suisse	Forward Foreign Currency Exchange Contracts		3,860		(3,860	)		—		—		—			—
J.P. Morgan	Futures Contracts		10,662		(10,060	)		602		—		(602	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			21,054		(13,920	)		7,134		—		(7,134	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $917,183.

AQR Funds Annual Report December 2014

317

Notes to Financial Statements December 31, 2014

AQR GLOBAL MACRO FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED	(a)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	66,225	$	(8,959	)	$	57,266	$	—	$	(10,000	)	$	47,266
Barclays Capital	Futures Contracts		366,317		(201,841	)		164,476		—		—			164,476
	Total Return Swap Contracts		60,378		(25,939	)		34,439		—		—			34,439
	Total Barclays Capital		426,695		(227,780	)		198,915		—		—			198,915
CitiBank	Total Return Swap Contracts		98,031		(44,602	)		53,429		—		—			53,429
Credit Suisse	Forward Foreign Currency Exchange Contracts		572,156		(334,088	)		238,068		—		(238,068	)		—
	Interest Rate Swap Contracts		3,783,472		(3,783,472	)		—		—		—			—
	Total Credit Suisse		4,355,628		(4,117,560	)		238,068		—		(238,068	)		—
Goldman Sachs	Futures Contracts		240,911		(61,435	)		179,476		—		—			179,476
J.P. Morgan	Futures Contracts		491,619		(442,629	)		48,990		—		—			48,990
Total financial instruments subject to a master netting agreement or similar arrangement			5,679,109		(4,902,965	)		776,144		—		(248,068	)		528,076
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(b)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	8,959	$	(8,959	)	$	—	$	—	$	—		$	—
Barclays Capital	Futures Contracts		201,841		(201,841	)		—		—		—			—
	Total Return Swap Contracts		25,939		(25,939	)		—		—		—			—
	Total Barclays Capital		227,780		(227,780	)		—		—		—			—
CitiBank	Total Return Swap Contracts		44,602		(44,602	)		—		—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		334,088		(334,088	)		—		—		—			—
	Interest Rate Swap Contracts		3,905,229		(3,783,472	)		121,757		—		(121,757	)		—
	Total Credit Suisse		4,239,317		(4,117,560	)		121,757		—		(121,757	)		—
Goldman Sachs	Futures Contracts		61,435		(61,435	)		—		—		—			—
J.P. Morgan	Futures Contracts		442,629		(442,629	)		—		—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			5,024,722		(4,902,965	)		121,757		—		(121,757	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $41,932.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,041,855.

AQR Funds Annual Report December 2014

318

Notes to Financial Statements December 31, 2014

AQR LONG SHORT EQUITY FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Barclays Capital	Futures Contracts	$	1,012,487	$	(82,246	)	$	930,241	$	—	$	—		$	930,241
CitiBank	Forward Foreign Currency Exchange Contracts		496		(496	)		—		—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		472		(472	)		—		—		—			—
Deutsche Bank	Total Return Basket Swaps Contracts		936,975		(2,219	)		934,756		—		—			934,756
Goldman Sachs	Total Return Basket Swaps Contracts		2,618,865		(77,948	)		2,540,917		—		—			2,540,917
	Total Return Swap Contracts		15,442		—			15,442		—		—			15,442
	Total Goldman Sachs		2,634,307		(77,948	)		2,556,359		—		—			2,556,359
Total financial instruments subject to a master netting arrangement or similar arrangement			4,584,737		(163,381	)		4,421,356		—		—			4,421,356
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Barclays Capital	Futures Contracts	$	82,246	$	(82,246	)	$	—	$	—	$	—		$	—
CitiBank	Forward Foreign Currency Exchange Contracts		73,307		(496	)		72,811		—		(72,811	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		73,296		(472	)		72,824		—		(30,001	)		42,823
Deutsche Bank	Total Return Basket Swaps Contracts		2,219		(2,219	)		—		—		—			—
Goldman Sachs	Total Return Basket Swaps Contracts		77,948		(77,948	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			309,016		(163,381	)		145,635		—		(102,812	)		42,823

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $11,918,280.

AQR Funds Annual Report December 2014

319

Notes to Financial Statements December 31, 2014

AQR MANAGED FUTURES STRATEGY FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED	(a)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	14,050,225	$	(4,486,736	)	$	9,563,489	$	—	$	(7,990,000	)	$	1,573,489
Barclays Capital	Futures Contracts		33,011,551		(9,165,227	)		23,846,324		—		—			23,846,324
	Total Return Swap Contracts		2,111,496		(264,194	)		1,847,302		—		—			1,847,302
	Total Barclays Capital		35,123,047		(9,429,421	)		25,693,626		—		—			25,693,626
CitiBank	Forward Foreign Currency Exchange Contracts		83,099,366		(49,972,132	)		33,127,234		—		—			33,127,234
	Total Return Swap Contracts		18,894,221		(18,894,221	)		—		—		—			—
	Total CitiBank		101,993,587		(68,866,353	)		33,127,234		—		—			33,127,234
Credit Suisse	Forward Foreign Currency Exchange Contracts		83,381,121		(49,940,804	)		33,440,317		—		(25,790,000	)		7,650,317
Deutsche Bank	Total Return Swap Contracts		11,623,027		(4,985,380	)		6,637,647		—		(6,637,647	)		—
Goldman Sachs	Futures Contracts		103,046,119		(3,131,761	)		99,914,358		—		(67,445,508	)		32,468,850
J.P. Morgan	Futures Contracts		98,511,018		(12,807,884	)		85,703,134		—		—			85,703,134
Merrill Lynch	Total Return Swap Contracts		1,255,067		(1,255,067	)		—		—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			448,983,211		(154,903,406	)		294,079,805		—		(107,863,155	)		186,216,650
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(b)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	4,486,736	$	(4,486,736	)	$	—	$	—	$	—		$	—
Barclays Capital	Futures Contracts		9,165,227		(9,165,227	)		—		—		—			—
	Total Return Swap Contracts		264,194		(264,194	)		—		—		—			—
	Total Barclays Capital		9,429,421		(9,429,421	)		—		—		—			—
CitiBank	Forward Foreign Currency Exchange Contracts		49,972,132		(49,972,132	)		—		—		—			—
	Total Return Swap Contracts		27,195,384		(18,894,221	)		8,301,163		—		—			8,301,163
	Total CitiBank		77,167,516		(68,866,353	)		8,301,163		—		—			8,301,163
Credit Suisse	Forward Foreign Currency Exchange Contracts		49,940,804		(49,940,804	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		4,985,380		(4,985,380	)		—		—		—			—
Goldman Sachs	Futures Contracts		3,131,761		(3,131,761	)		—		—		—			—
J.P. Morgan	Futures Contracts		12,807,884		(12,807,884	)		—		—		—			—
Merrill Lynch	Total Return Swap Contracts		5,095,669		(1,255,067	)		3,840,602		—		(3,840,602	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			167,045,171		(154,903,406	)		12,141,765		—		(3,840,602	)		8,301,163

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $8,762,353.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $397,336,809.

AQR Funds Annual Report December 2014

320

Notes to Financial Statements December 31, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	498,683	$	(209,938	)	$	288,745	$	—	$	(270,000	)	$	18,745
Barclays Capital	Futures Contracts		1,390,915		(379,903	)		1,011,012		—		—			1,011,012
	Total Return Swap Contracts		1,758,469		(444,909	)		1,313,560		—		(700,000	)		613,560
	Total Barclays Capital		3,149,384		(824,812	)		2,324,572		—		(700,000	)		1,624,572
CitiBank	Forward Foreign Currency Exchange Contracts		3,454,546		(2,092,506	)		1,362,040		—		—			1,362,040
	Total Return Swap Contracts		1,576,395		(1,576,395	)		—		—		—			—
	Total CitiBank		5,030,941		(3,668,901	)		1,362,040		—		—			1,362,040
Credit Suisse	Forward Foreign Currency Exchange Contracts		3,466,558		(2,089,022	)		1,377,536		—		(1,060,000	)		317,536
Deutsche Bank	Total Return Swap Contracts		740,978		(212,944	)		528,034		—		(300,000	)		228,034
Goldman Sachs	Futures Contracts		3,374,532		(68,398	)		3,306,134		—		(608,392	)		2,697,742
J.P. Morgan	Futures Contracts		4,237,804		(519,960	)		3,717,844		—		—			3,717,844
Total financial instruments subject to a master netting agreement or similar arrangement			20,498,880		(7,593,975	)		12,904,905		—		(2,938,392	)		9,966,513
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	209,938	$	(209,938	)	$	—	$	—	$	—		$	—
Barclays Capital	Futures Contracts		379,903		(379,903	)		—		—		—			—
	Total Return Swap Contracts		444,909		(444,909	)		—		—		—			—
	Total Barclays Capital		824,812		(824,812	)		—		—		—			—
CitiBank	Forward Foreign Currency Exchange Contracts		2,092,506		(2,092,506	)		—		—		—			—
	Total Return Swap Contracts		1,589,789		(1,576,395	)		13,394		—		(13,394	)		—
	Total CitiBank		3,682,295		(3,668,901	)		13,394		—		(13,394	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		2,089,022		(2,089,022	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		212,944		(212,944	)		—		—		—			—
Goldman Sachs	Futures Contracts		68,398		(68,398	)		—		—		—			—
J.P. Morgan	Futures Contracts		519,960		(519,960	)		—		—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			7,607,369		(7,593,975	)		13,394		—		(13,394	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $10,686,322.

AQR Funds Annual Report December 2014

321

Notes to Financial Statements December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED	(a)		NET AMOUNT
Bank of America	Total Return Basket Swap Contracts	$	16,290
	Total Return Swap Contracts		6,952,141
	Total Bank of America		6,968,431	$	(2,084,468	)	$	4,883,963	$	—	$	(4,883,963	)	$	—
Barclays Capital	Futures Contracts		3,353,314		(3,353,314	)		—		—		—			—
CitiBank	Credit Default Swap Contracts		3,547,704		—			3,547,704		—		—			3,547,704
	Forward Foreign Currency Exchange Contracts		12,973,909		(10,598,667	)		2,375,242		—		—			2,375,242
	Total Return Swap Contracts		13,283,774		(7,255,634	)		6,028,140		—		(1,180,000	)		4,848,140
	Total CitiBank		29,805,387		(17,854,301	)		11,951,086		—		(1,180,000	)		10,771,086
Credit Suisse	Forward Foreign Currency Exchange Contracts		13,275,740		(10,586,580	)		2,689,160		—		(2,300,000	)		389,160
Deutsche Bank	Total Return Basket Swaps Contracts		16,074,210
	Total Return Swap Contracts		5,188,237
	Total Deutsche Bank		21,262,447		(7,491,772	)		13,770,675		—		(5,850,000	)		7,920,675
Goldman Sachs	Futures Contracts		2,691,514		(401,836	)		2,289,678		—		—			2,289,678
	Total Return Swap Contracts		42,318		—			42,318		—		—			42,318
	Total Goldman Sachs		2,733,832		(401,836	)		2,331,996		—		—			2,331,996
J.P. Morgan	Futures Contracts		3,217,660		(3,217,660	)		—		—		—			—
	Total Return Basket Swap Contracts		9,425,939		(1,054,343	)		8,371,596		—		—			8,371,596
	Total J.P. Morgan		12,643,599		(4,272,003	)		8,371,596		—		—			8,371,596
Merrill Lynch	Total Return Swap Contracts		2,995,306		(429,457	)		2,565,849		—		—			2,565,849
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		400,061		(400,061	)		—		—		—			—
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		45,896,769		(712,915	)		45,183,854		—		—			45,183,854
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		13,048		(5,226	)		7,822		—		—			7,822
Total financial instruments subject to a master netting arrangement or similar arrangement			139,347,934		(47,591,933	)		91,756,001		—		(14,213,963	)		77,542,038

AQR Funds Annual Report December 2014

322

Notes to Financial Statements December 31, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND (Continued)

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED	(b)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	2,084,468	$	(2,084,468	)	$	—	$	—		$	—		$	—
Barclays Capital	Futures Contracts		10,560,190		(3,353,314	)		7,206,876		—			(7,206,876	)		—
CitiBank	Forward Foreign Currency Exchange Contracts		10,598,667		(10,598,667	)		—		—			—			—
	Total Return Swap Contracts		7,255,634		(7,255,634	)		—		—			—			—
	Total CitiBank		17,854,301		(17,854,301	)		—		—			—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		10,586,580		(10,586,580	)		—		—			—			—
Deutsche Bank	Total Return Basket Swaps Contracts		5,927,169
	Total Return Swap Contracts		1,564,603
	Total Deutsche Bank		7,491,772		(7,491,772	)		—		—			—			—
Goldman Sachs	Futures Contracts		401,836		(401,836	)		—		—			—			—
J.P. Morgan	Futures Contracts		5,033,730		(3,217,660	)		1,816,070		—			(1,816,070	)		—
	Total Return Basket Swap Contracts		1,054,343		(1,054,343	)		—		—			—			—
	Written Options		239,581		—			239,581		(239,581	)		—			—
	Total J.P. Morgan		6,327,654		(4,272,003	)		2,055,651		(239,581	)		(1,816,070	)		—
Merrill Lynch	Total Return Swap Contracts		429,457		(429,457	)		—		—			—			—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		2,734,607		(400,061	)		2,334,546		—			(2,334,546	)		—
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		712,915		(712,915	)		—		—			—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		5,226		(5,226	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			59,189,006		(47,591,933	)		11,597,073		(239,581	)		(11,357,492	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $566,037.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $390,540,379.

AQR Funds Annual Report December 2014

323

Notes to Financial Statements December 31, 2014

AQR RISK BALANCED COMMODITIES STRATEGY FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Barclays Capital	Total Return Swap Contracts	$	308,031	$	(308,031	)	$	—	$	—	$	—		$	—
CitiBank	Total Return Swap Contracts		7,020,971		(7,020,971	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		1,007,100		(1,007,100	)		—		—		—			—
J.P. Morgan	Futures Contracts		1,417,298		(1,417,298	)		—		—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			9,753,400		(9,753,400	)		—		—		—			—
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a	)		NET AMOUNT
Barclays Capital	Total Return Swap Contracts	$	458,035	$	(308,031	)	$	150,004	$	—	$	(150,004	)	$	—
CitiBank	Total Return Swap Contracts		11,750,748		(7,020,971	)		4,729,777		—		(4,729,777	)		—
Deutsche Bank	Total Return Swap Contracts		1,488,862		(1,007,100	)		481,762		—		(481,762	)		—
Goldman Sachs	Futures Contracts		451,428		—			451,428		—		(451,428	)		—
J.P. Morgan	Futures Contracts		1,688,041		(1,417,298	)		270,743		—		(270,743	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			15,837,114		(9,753,400	)		6,083,714		—		(6,083,714	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,514,196.

AQR Funds Annual Report December 2014

324

Notes to Financial Statements December 31, 2014

AQR RISK PARITY FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	6,444,826	$	—		$	6,444,826	$	—	$	(5,500,000	)	$	944,826
Barclays Capital	Futures Contracts		5,042,414		(510,201	)		4,532,213		—		—			4,532,213
	Total Return Swap Contracts		72,433		(72,433	)		—		—		—			—
	Total Barclays Capital		5,114,847		(582,634	)		4,532,213		—		—			4,532,213
CitiBank	Credit Default Swap Contracts		16,646,274		(2,030,060	)		14,616,214
	Exchange Traded Interest Rate Swap Contracts		2,112,841		(198,690	)		1,914,151
	OTC Interest Rate Swap Contracts		4,911,021		(2,075,531	)		2,835,490
	Total Credit Default and Interest Rate Swap Contracts		23,670,136		(4,304,281	)		19,365,855		—		—			19,365,855
	Forward Foreign Currency Exchange Contracts		2,289,268		(2,289,268	)		—		—		—			—
	Total Return Swap Contracts		9,455,444		(9,455,444	)		—		—		—			—
	Total CitiBank		35,414,848		(16,048,993	)		19,365,855		—		—			19,365,855
Credit Suisse	Forward Foreign Currency Exchange Contracts		2,386,786		(2,386,786	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		1,260,715		(1,260,715	)		—		—		—			—
Goldman Sachs	Futures Contracts		3,296		(3,296	)		—		—		—			—
	Total Return Swap Contracts		32,529		—			32,529		—		—			32,529
	Total Goldman Sachs		35,825		(3,296	)		32,529		—		—			32,529
J.P. Morgan	Futures Contracts		302,362		—			302,362		—		—			302,362
Merrill Lynch	Total Return Swap Contracts		9,374,619		(9,374,619	)		—		—		—			—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		514,764		—			514,764		—		—			514,764
Total financial instruments subject to a master netting agreement or similar arrangement			60,849,592		(29,657,043	)		31,192,549		—		(5,500,000	)		25,692,549

AQR Funds Annual Report December 2014

325

Notes to Financial Statements December 31, 2014

AQR RISK PARITY FUND (Continued)

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Barclays Capital	Futures Contracts	$	510,201	$	(510,201	)	$	—	$	—	$	—		$	—
	Total Return Swap Contracts		176,708		(72,433	)		104,275		—		(104,275	)		—
	Total Barclays Capital		686,909		(582,634	)		104,275		—		(104,275	)		—
CitiBank	Credit Default Swap Contracts		2,030,060		(2,030,060	)
	Exchange Traded Interest Rate Swap Contracts		198,690		(198,690	)
	OTC Interest Rate Swap Contracts		2,075,531		(2,075,531	)
	Total Credit Default and Interest Rate Swap Contracts		4,304,281		(4,304,281	)		—		—		—			—
	Forward Foreign Currency Exchange Contracts		3,196,820		(2,289,268	)		907,552		—		(800,000	)		107,552
	Total Return Swap Contracts		18,825,759		(9,455,444	)		9,370,315		—		(9,370,315	)		—
	Total CitiBank		26,326,860		(16,048,993	)		10,277,867		—		(10,170,315	)		107,552
Credit Suisse	Forward Foreign Currency Exchange Contracts		3,362,780		(2,386,786	)		975,994		—		(975,994	)		—
Deutsche Bank	Total Return Swap Contracts		4,309,045		(1,260,715	)		3,048,330		—		(3,048,330	)		—
Goldman Sachs	Futures Contracts		26,918		(3,296	)		23,622		—		(23,622	)		—
Merrill Lynch	Total Return Swap Contracts		17,330,480		(9,374,619	)		7,955,861		—		(7,955,861	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			52,042,992		(29,657,043	)		22,385,949		—		(22,278,397	)		107,552

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $24,534,103.

AQR Funds Annual Report December 2014

326

Notes to Financial Statements December 31, 2014

AQR RISK PARITY II HV FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	487,817	$	—		$	487,817	$	—	$	(320,000	)	$	167,817
Barclays Capital	Futures Contracts		806,053		(80,870	)		725,183		—		—			725,183
CitiBank	Forward Foreign Currency Exchange Contracts		67,976		(2,249	)		65,727		—		—			65,727
	Total Return Swap Contracts		621,923		(621,923	)		—		—		—			—
	Total CitiBank		689,899		(624,172	)		65,727		—		—			65,727
Credit Suisse International	Forward Foreign Currency Exchange Contracts		79,916		(7,879	)		72,037		—		—			72,037
Deutsche Bank	Total Return Swap Contracts		787,134		(787,134	)		—		—		—			—
Goldman Sachs	Futures Contracts		18,730		(18,730	)		—		—		—			—
	Total Return Swap Contracts		89,284		—			89,284		—		—			89,284
	Total Goldman Sachs		108,014		(18,730	)		89,284		—		—			89,284
J.P. Morgan	Futures Contracts*		804,366		(330,767	)		473,599		—		—			473,599
Total financial instruments subject to a master netting agreement or similar arrangement			3,763,199		(1,849,552	)		1,913,647		—		(320,000	)		1,593,647
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Barclays Capital	Futures Contracts	$	80,870	$	(80,870	)	$	—	$	—	$	—		$	—
	Total Return Swap Contracts		20,120		—			20,120		—		—			20,120
	Total Barclays Capital		100,990		(80,870	)		20,120		—		—			20,120
CitiBank	Forward Foreign Currency Exchange Contracts		2,249		(2,249	)		—		—		—			—
	Total Return Swap Contracts		1,388,940		(621,923	)		767,017		—		(767,017	)		—
	Total CitBank		1,391,189		(624,172	)		767,017		—		(767,017	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		7,879		(7,879	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		2,144,586		(787,134	)		1,357,452		—		(1,357,452	)		—
Goldman Sachs	Futures Contracts		148,157		(18,730	)		129,427		—		(129,427	)		—
J.P. Morgan	Futures Contracts*		693,578		(330,767	)		362,811		—		(362,811	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			4,486,379		(1,849,552	)		2,636,827		—		(2,616,707	)		20,120

* All or a portion held in respective Subsidiary.

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,118,205.

AQR Funds Annual Report December 2014

327

Notes to Financial Statements December 31, 2014

AQR RISK PARITY II MV FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	464,798	$	—		$	464,798	$	—	$	(320,000	)	$	144,798
Barclays Capital	Futures Contracts		1,172,407		(126,349	)		1,046,058		—		—			1,046,058
CitiBank	Forward Foreign Currency Exchange Contracts		97,738		(1,171	)		96,567		—		—			96,567
	Total Return Swap Contracts		912,119		(912,119	)		—		—		—			—
	Total CitiBank		1,009,857		(913,290	)		96,567		—		—			96,567
Credit Suisse	Forward Foreign Currency Exchange Contracts		110,578		(3,352	)		107,226		—		(10,000	)		97,226
Deutsche Bank	Total Return Swap Contracts		1,075,933		(1,075,933	)		—		—		—			—
Goldman Sachs	Futures Contracts		16,504		(16,504	)		—		—		—			—
	Total Return Swap Contracts		132,543		—			132,543		—		—			132,543
	Total Goldman Sachs		149,047		(16,504	)		132,543		—		—			132,543
J.P. Morgan	Futures Contracts*		1,344,056		(484,059	)		859,997		—		—			859,997
Total financial instruments subject to a master netting agreement or similar arrangement			5,326,676		(2,619,487	)		2,707,189		—		(330,000	)		2,377,189
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Barclays Capital	Futures Contracts	$	126,349	$	(126,349	)	$	—	$	—	$	—		$	—
	Total Return Swap Contracts		18,910		—			18,910		—		—			18,910
	Total Barclays Capital		145,259		(126,349	)		18,910		—		—			18,910
CitBank	Forward Foreign Currency Exchange Contracts		1,171		(1,171	)		—		—		—			—
	Total Return Swap Contracts		1,992,483		(912,119	)		1,080,364		—		(1,080,364	)		—
	Total CitiBank		1,993,654		(913,290	)		1,080,364		—		(1,080,364	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		3,352		(3,352	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		2,991,097		(1,075,933	)		1,915,164		—		(1,915,164	)		—
Goldman Sachs	Futures Contracts		195,119		(16,504	)		178,615		—		(178,615	)		—
J.P. Morgan	Futures Contracts*		1,041,356		(484,059	)		557,297		—		(557,297	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			6,369,837		(2,619,487	)		3,750,350		—		(3,731,440	)		18,910

* All or a portion held in respective Subsidiary.

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,211,579.

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328

Notes to Financial Statements December 31, 2014

AQR STYLE PREMIA ALTERNATIVE FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED	(a)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	1,047,157	$	(1,047,157	)	$	—	$	—	$	—		$	—
Barclays Capital	Futures Contracts		3,038,315		(3,038,315	)		—		—		—			—
	Total Return Swap Contracts		2,330,900		(1,685,941	)		644,959		—		—			644,959
	Total Barclays Capital		5,369,215		(4,724,256	)		644,959		—		—			644,959
CitiBank	Total Return Swap Contracts		179,604		(29,583	)		150,021		—		—			150,021
Credit Suisse	Forward Foreign Currency Exchange Contracts		10,694,693		(8,231,939	)		2,462,754		—		(2,462,754	)		—
Goldman Sachs	Futures Contracts		3,935,834		(1,697,552	)		2,238,282		—		—			2,238,282
	Total Return Basket Swaps Contracts		17,217,988
	Total Return Swap Contracts		11,454
	Total Swap Contracts		17,229,442		(956,496	)		16,272,946		—		—			16,272,946
	Total Goldman Sachs		21,165,276		(2,654,048	)		18,511,228		—		—			18,511,228
J.P. Morgan	Futures Contracts		1,076,101		(1,076,101	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			39,532,046		(17,763,084	)		21,768,962		—		(2,462,754	)		19,306,208
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(b)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	1,734,172	$	(1,047,157	)	$	687,015	$	—	$	(687,015	)	$	—
Barclays Capital	Futures Contracts		6,822,151		(3,038,315	)		3,783,836		—		(3,783,836	)		—
	Total Return Swap Contracts		1,685,941		(1,685,941	)		—		—		—			—
	Total Barclays Capital		8,508,092		(4,724,256	)		3,783,836		—		(3,783,836	)		—
CitiBank	Total Return Swap Contracts		29,583		(29,583	)		—		—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		8,231,939		(8,231,939	)		—		—		—			—
Goldman Sachs	Futures Contracts		1,697,552		(1,697,552	)		—		—		—			—
	Total Return Basket Swaps Contracts		913,449
	Total Return Swap Contracts		43,047
	Total Swap Contracts		956,496		(956,496	)		—		—		—			—
	Total Goldman Sachs		2,654,048		(2,654,048	)		—		—		—			—
J.P. Morgan	Futures Contracts		2,688,250		(1,076,101	)		1,612,149		—		(1,612,149	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			23,846,084		(17,763,084	)		6,083,000		—		(6,083,000	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $147,246.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $66,207,253.

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329

Notes to Financial Statements December 31, 2014

AQR STYLE PREMIA ALTERNATIVE LV FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	157,272	$	(144,514	)	$	12,758	$	—	$	—		$	12,758
Barclays Capital	Futures Contracts		118,973		(118,973	)		—		—		—			—
CitiBank	Forward Foreign Currency Exchange Contracts		208,381		(151,710	)		56,671		—		—			56,671
	Total Return Swaps Contracts		5,020		(4,236	)		784		—		—			784
	Total CitiBank		213,401		(155,946	)		57,455		—		—			57,455
Credit Suisse	Forward Foreign Currency Exchange Contracts		213,516		(173,994	)		39,522		—		—			39,522
Goldman Sachs	Futures Contracts		208,497		(71,350	)		137,147		—		—			137,147
	Total Return Swaps Contracts		171		(171	)		—
	Total Return Basket Swaps Contracts		334,032		—			334,032
	Total Swap Contracts		334,203		(171	)		334,032		—		—			334,032
	Total Goldman Sachs		542,700		(71,521	)		471,179		—		—			471,179
J.P. Morgan	Futures Contracts		55,261		(55,261	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,301,123		(720,209	)		580,914		—		—			580,914
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED	(a)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	144,514	$	(144,514	)	$	—	$	—	$	—		$	—
Barclays Capital	Futures Contracts		199,224		(118,973	)		80,251		—		(80,251	)		—
CitiBank	Forward Foreign Currency Exchange Contracts		151,710		(151,710	)		—		—		—			—
	Total Return Swaps Contracts		4,236		(4,236	)		—		—		—			—
	Total CitiBank		155,946		(155,946	)		—		—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		173,994		(173,994	)		—		—		—			—
Goldman Sachs	Futures Contracts		71,350		(71,350	)		—		—		—			—
	Total Return Swap Contracts		1,667		(171	)		1,496		—		(1,496	)		—
	Total Goldman Sachs		73,017		(71,521	)		1,496		—		(1,496	)		—
J.P. Morgan	Futures Contracts		241,737		(55,261	)		186,476		—		(186,476	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			988,432		(720,209	)		268,223		—		(268,223	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $5,540,365.

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330

Notes to Financial Statements December 31, 2014

For the period ended December 31, 2014, the quarterly average values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG- SHORT EQUITY FUND		AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Futures Contracts:
Average Notional Balance Long	$	—	$	305,876	$	173,851,967	$	10,387,451	$	21,138,783,819	$	678,067,455	$	2,164,275,433	$	25,077,194
Average Notional Balance Short		835,496,848		497,415		283,641,581		492,356		9,677,118,438		226,741,616		2,456,928,343		16,828,883
Ending Notional Balance Long		—		305,876		205,812,582		28,662,012		26,964,798,630		1,118,822,049		2,645,297,415		25,079,902
Ending Notional Balance Short		711,968,742		497,415		255,584,292		1,402,702		3,711,117,912		145,758,202		1,691,204,744		17,801,582
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased		45,026,479		245,268		26,700,707		4,306,541		9,367,221,190		261,229,366		1,460,175,918		—
Average Settlement Value Sold		133,464,293		431,987		30,619,762		162,916		11,260,748,815		335,937,959		1,733,178,898		—
Ending Value Purchased		70,512,348		245,268		22,743,905		10,770,689		5,753,795,827		239,123,063		1,075,069,619		—
Ending Value Sold		161,334,006		431,987		28,899,504		—		11,078,255,242		463,308,373		1,498,033,817		—
Exchange-Traded Options:
Average Number of Contracts Written		7,672		—		—		—		—		—		1,131		—
Ending Number of Contracts Written		5,716		—		—		—		—		—		829		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		312,318,750		—		—		—		—		—		35,012,500		—
Average Notional Balance—Sell Protection		173,012,500		—		—		—		—		—		42,080,000		—
Ending Notional Balance—Buy Protection		245,075,000		—		—		—		—		—		—		—
Ending Notional Balance—Sell Protection		25,525,000		—		—		—		—		—		55,875,000		—
Total Return Swaps:
Average Notional Balance Long		—		—		10,805,505		433,969		4,399,529,769		158,593,588		783,320,558		184,062,946
Average Notional Balance Short		—		—		8,174,680		—		1,826,203,202		66,091,981		564,832,275		116,422,543
Ending Notional Balance Long		—		—		8,475,671		1,059,633		5,756,634,419		264,293,538		730,551,458		152,847,885
Ending Notional Balance Short		—		—		1,640,057		—		1,328,717,112		74,118,498		529,983,619		104,488,503
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		200,601,687		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		—		—		198,218,084		—		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		258,643,899		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		233,657,442		—		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		950,612,800		8,284,847		—		37,479,604		—		—		2,141,259,110		—
Average Notional of Underlying Positions—Short		587,754,440		8,021,992		—		35,423,944		—		—		1,668,320,613		—
Ending Notional Balance—Long		1,064,338,931		8,284,847		—		94,956,533		—		—		2,803,266,053		—
Ending Notional Balance—Short		380,102,023		8,021,992		—		90,529,732		—		—		2,233,589,398		—

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331

Notes to Financial Statements December 31, 2014

	AQR RISK PARITY FUND		AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND
Futures Contracts:
Average Notional Balance Long	$	416,385,764	$	71,522,369	$	113,294,879	$	2,300,944,773	$	83,015,104
Average Notional Balance Short		78,540,888		6,262,237		9,169,486		1,721,156,664		74,592,943
Ending Notional Balance Long		195,490,152		76,553,537		136,536,419		1,916,841,449		98,912,361
Ending Notional Balance Short		—		6,828,462		9,374,144		1,677,068,071		94,929,963
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased		278,864,253		1,223,168		1,834,181		394,236,751		13,725,959
Average Settlement Value Sold		306,300,312		11,207,292		14,246,252		472,432,158		16,959,166
Ending Value Purchased		257,638,401		586,199		568,617		388,380,718		19,248,212
Ending Value Sold		294,249,496		9,907,750		13,884,379		441,944,524		21,943,083
Credit Default Swaps:
Average Notional Balance—Buy Protection		84,040,251		—		—		—		—
Average Notional Balance—Sell Protection		698,554,629		—		—		—		—
Ending Notional Balance—Buy Protection		—		—		—		—		—
Ending Notional Balance—Sell Protection		524,389,921		—		—		—		—
Total Return Swaps:
Average Notional Balance Long		1,089,016,230		71,647,727		70,688,401		445,190,924		14,917,970
Average Notional Balance Short		294,601,866		15,524,714		19,881,277		552,397,502		37,516,011
Ending Notional Balance Long		967,858,677		81,897,168		92,857,806		234,701,689		14,907,735
Ending Notional Balance Short		152,418,107		9,157,733		12,510,659		753,287,222		31,348,112
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		259,193,071		—		—		—		—
Average Notional Balance—Receives Fixed rate		536,634,340		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		121,387,677		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		356,493,151		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		498,949,229		19,282,545
Average Notional of Underlying Positions—Short		—		—		—		400,958,968		15,439,953
Ending Notional Balance—Long		—		—		—		367,342,392		26,284,895
Ending Notional Balance—Short		—		—		—		300,230,265		21,262,801

* Values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Advisor furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Advisor 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. The Advisor provides persons satisfactory to the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor an Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Diversified Arbitrage Fund		1.00	%
AQR Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Managed Futures Strategy Fund		1.05
AQR Managed Futures Strategy HV Fund		1.45
AQR Multi-Strategy Alternative Fund		1.80	*
AQR Risk-Balanced Commodities Strategy Fund		0.80	**
AQR Risk Parity Fund		0.75	(a)
AQR Risk Parity II HV Fund		0.95	(b)***
AQR Risk Parity II MV Fund		0.75	(c)****
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65

(a) The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

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Notes to Financial Statements December 31, 2014

(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.

Prior to May 1, 2014, the following Funds paid the Advisor an Advisory fee calculated on the average daily net assets for each Fund in the annual ratios below:

* The AQR Multi-Strategy Alternative Fund Advisory Fee was based on the following two tier structure. The first tier charges 1.85% on the first $1 billion of net assets and the second tier charges 1.80% on net assets in excess of $1 billion.

** The AQR Risk-Balanced Commodities Strategy Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion.

*** The AQR Risk Parity II HV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion.

**** The AQR Risk Parity II MV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion.

The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2015 for Class I and N, respectively and at least through April 30, 2016 for Class R6, unless otherwise noted. Pursuant to the Fee Waiver Agreement the Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Diversified Arbitrage Fund		1.20	%		1.50	%		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 Managed Futures Strategy Fund		1.25			1.50			1.15
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55
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

* This arrangement will continue at least through April 30, 2016 for Class I and Class N.

Prior to May 1, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Risk-Balanced Commodities Strategy Fund was as follows:

FUND	CLASS I			CLASS N
AQR Risk-Balanced Commodities Strategy Fund		1.05	%		1.30	%

For the period ended December 31, 2014 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG-SHORT EQUITY FUND
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	—	$	13,879	$	161,785	$	153,419
Expense reimbursements		6,760		61,719		57,012		44,316
Total	$	6,760	$	75,598	$	218,797	$	197,735

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333

Notes to Financial Statements December 31, 2014

	AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	—	$	139,076	$	204,175	$	173,437
Expense reimbursements		13,511		6,990		29,620		75
Total	$	13,511	$	146,066	$	233,795	$	173,512
	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
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	—	$	156,904	$	142,419	$	—	$	56,880
Expense reimbursements		1		14		4		27,257		81,432
Total	$	1	$	156,918	$	142,423	$	27,257	$	138,312

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. 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 applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

For the period ended December 31, 2014, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at December 31, 2014 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2014		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2014		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31,
					2015		2016		2017
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	6,759	$	234,349	$	227,590	$	—	$	6,759
Class N		—		—		—		—		—
Class R6		1		1		—		—		1
Totals	$	6,760	$	234,350	$	227,590	$	—	$	6,760
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	17,217	$	17,217	$	—	$	—	$	17,217
Class N		14,929		14,929		—		—		14,929
Class R6		43,452		43,452		—		—		43,452
Totals	$	75,598	$	75,598	$	—	$	—	$	75,598
AQR GLOBAL MACRO FUND
Class I	$	211,421	$	211,421	$	—	$	—	$	211,421
Class N		7,011		7,011		—		—		7,011
Class R6		365		365		—		—		365
Totals	$	218,797	$	218,797	$	—	$	—	$	218,797
AQR LONG-SHORT EQUITY FUND
Class I	$	173,277	$	254,930	$	—	$	81,653	$	173,277
Class N		24,081		45,862		—		21,781		24,081
Class R6		377		377		—		—		377
Totals	$	197,735	$	301,169	$	—	$	103,434	$	197,735

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334

Notes to Financial Statements December 31, 2014

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2014		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2014		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31,
					2015		2016		2017
AQR MANAGED FUTURES STRATEGY FUND
Class I	$	—	$	—	$	—	$	—	$	—
Class N		13,507		93,165		77,598		2,060		13,507
Class R6		4		4		—		—		4
Totals	$	13,511	$	93,169	$	77,598	$	2,060	$	13,511
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	132,064	$	312,434	$	—	$	180,370	$	132,064
Class N		13,815		30,524		—		16,709		13,815
Class R6		187		187		—		—		187
Totals	$	146,066	$	343,145	$	—	$	197,079	$	146,066
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	193,951	$	907,879	$	449,951	$	263,977	$	193,951
Class N		39,755		135,122		55,557		39,810		39,755
Class R6		89		89		—		—		89
Totals	$	233,795	$	1,043,090	$	505,508	$	303,787	$	233,795
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	146,283	$	478,477	$	181,810	$	150,384	$	146,283
Class N		26,863		63,558		19,100		17,595		26,863
Class R6		366		366		—		—		366
Totals	$	173,512	$	542,401	$	200,910	$	167,979	$	173,512
AQR RISK PARITY FUND
Class I	$	—	$	—	$	—	$	—	$	—
Class N		—		34,933		34,933		—		—
Class R6		1		1		—		—		1
Totals	$	1	$	34,934	$	34,933	$	—	$	1
AQR RISK PARITY II HV FUND
Class I	$	118,124	$	339,455	$	79,653	$	141,678	$	118,124
Class N		38,672		170,687		36,272		95,743		38,672
Class R6		122		122		—		—		122
Totals	$	156,918	$	510,264	$	115,925	$	237,421	$	156,918
AQR RISK PARITY II MV FUND
Class I	$	126,164	$	359,355	$	102,338	$	130,853	$	126,164
Class N		16,202		88,162		13,557		58,403		16,202
Class R6		57		57		—		—		57
Totals	$	142,423	$	447,574	$	115,895	$	189,256	$	142,423
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	—	$	111,025	$	—	$	111,025	$	—
Class N		23,532		33,204		—		9,672		23,532
Class R6		3,725		3,725		—		—		3,725
Totals	$	27,257	$	147,954	$	—	$	120,697	$	27,257
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	12,440	$	12,440	$	—	$	—	$	12,440
Class N		12,768		12,768		—		—		12,768
Class R6		113,104		113,104		—		—		113,104
Totals	$	138,312	$	138,312	$	—	$	—	$	138,312

AQR Funds Annual Report December 2014

335

Notes to Financial Statements December 31, 2014

During the period ended December 31, 2014, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N
AQR Risk Parity Fund	$	—	$	15,985
AQR Style Premia Alternative Fund		4,579		—

Pursuant to the Sub-Advisory Agreements between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily nets assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.

JPMorgan Chase Bank, N.A, serves as the Funds’ Administrator, Accounting Agent and Custodian.

State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

During the period ended December 31, 2014, the Advisor contributed $2,459, $194,737, $1,630, $4,644 and $2,937 into the AQR Diversified Arbitrage Fund, the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Style Premia Alternative Fund and the Multi-Strategy Alternative Fund, respectively for losses incurred due to trade processing errors. The impact of the Advisor’s contributions on the Funds’ total return was immaterial. These amounts have been included in capital transactions in the Statements of Changes in Net Assets.

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, as applicable. 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, as applicable.

11. Shareholder Servicing Agreements

Prior to May 1, 2014, pursuant to a Shareholder Services Agreement between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund) and the Advisor, the Advisor provided certain administrative and/or support services to the Funds and their shareholders. These services included, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as assisting in the distribution of shareholder communications, such as proxy solicitation materials, shareholder reports and annual reports. Under this agreement the Advisor received an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:

FUND	CLASS I			CLASS N
AQR Risk-Balanced Commodities Strategy Fund		0.25	%		0.25	%
AQR Risk Parity II HV Fund		0.25			0.25
AQR Risk Parity II MV Fund		0.25			0.25

Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended December 31, 2014, were as follows:

FUND	CLASS I		CLASS N
AQR Risk-Balanced Commodities Strategy Fund	$	25,097	$	3,443
AQR Risk Parity II HV Fund		22,288		7,985
AQR Risk Parity II MV Fund		35,487		7,119

Effective May 1, 2014, the AQR Risk-Balanced Commodities Strategy, the AQR Risk Parity II HV, and the AQR Risk Parity II MV Funds’ contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee.

12. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

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336

Notes to Financial Statements December 31, 2014

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for OTC derivative transactions. A number of each Fund’s derivative 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 Advisor relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

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337

Notes to Financial Statements December 31, 2014

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

13. Line of Credit

Effective February 28, 2014 and terminating on February 27, 2015, the Trust had renewed a committed $200,000,000 syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which was paid monthly. For the fiscal period ended December 31, 2014, the maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and did not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (300-500% depending on the 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. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. Prior to February 28, 2014, the line of credit available was $175,000,000, subject to substantially similar terms. The Funds did not have any outstanding borrowings under this agreement for the period ended December 31, 2014.

14. Principal Ownership

As of December 31, 2014, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF SHAREHOLDERS		TOTAL PERCENTAGE INTEREST HELD
AQR Equity Market Neutral Fund*		2		86.61	%
AQR Global Macro Fund*		2		60.82	%
AQR Managed Futures Strategy Fund		2		14.63	%
AQR Managed Futures Strategy HV Fund		1		7.26	%
AQR Risk Parity Fund		1		16.47	%
AQR Risk Parity II HV Fund*		2		37.03	%
AQR Risk Parity II MV Fund		2		45.42	%
AQR Style Premia Alternative LV Fund*		1		42.67	%

* The percentage shown is owned by the Advisor and/or affiliates.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ Performance.

15. Redemption in Kind

On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.1% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $52,771,157. The realized gain (loss) associated with the portion redeemed in-kind was $19,331,459.

16. New Accounting Pronouncements

In June 2014, the FASB issued Accounting Standards Update (ASU), ASU No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”), which improves the existing accounting and disclosure guidance on repurchase agreements and other transactions involving a transfer and a forward agreement to repurchase the transferred assets at a fixed price from the transferee to address application issues and changes in the marketplace and to ensure that investors obtain useful information about these transactions. The Funds are required to apply ASU 2014-11 for annual reporting periods beginning on or after December 15, 2014, and interim periods within those periods. Management has evaluated the impact and does not believe the adoption will have a material impact on the Funds’ financial statements.

In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic) 810: Amendments to the Consolidation Analysis, affecting reporting entities that are required to evaluate whether they should consolidate certain legal entities. Management is currently assessing the impact of ASU No. 2015-02.

17. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.

AQR Funds Annual Report December 2014

338

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of AQR Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights as well as the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, and the related consolidated statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of each of the thirteen portfolios that are included in AQR Funds (as listed in Note 1 to the financial statements and collectively referred to as the “Funds”) at December 31, 2014, and the results of each of their operations, the changes in each of their net assets, the cash flows of AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian, brokers and transfer agents and the application of alternative procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 27, 2015

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339

Other Federal Tax Information (Unaudited)

For the period ended December 31, 2014, certain dividends paid by the Funds may be subject to a maximum tax of 20% provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the maximum allowable as taxed at the 20% rate. The following represents the percentage of ordinary income distributions treated as qualifying dividends:

FUND	PERCENTAGE
AQR Diversified Arbitrage Fund		59.36	%
AQR Equity Market Neutral Fund		1.59	%
AQR Multi-Strategy Alternative Fund		1.71	%
AQR Style Premia Alternative Fund		13.46	%
AQR Style Premia Alternative LV Fund		18.13	%

For the taxable period ended December 31, 2014, the following percentages of income dividends paid by the Fund qualify for the 70% dividends received deductions available to corporations:

FUND	PERCENTAGE
AQR Diversified Arbitrage Fund		50.13	%
AQR Multi-Strategy Alternative Fund		20.93	%

The Funds designate the following amounts, or the maximum allowable under the Internal Revenue Code, as long term capital gains distributions qualifying for the maximum 20% income tax rate for individuals:

FUND	TOTAL
AQR Global Macro Fund	$	65,718
AQR Long-Short Equity Fund		158,787
AQR Managed Futures Strategy Fund		194,482,633
AQR Managed Futures Strategy HV Fund		3,010,679
AQR Multi-Strategy Alternative Fund		398,487
AQR Risk Parity Fund		15,092,700
AQR Risk Parity II HV Fund		2,288,332
AQR Risk Parity II MV Fund		3,529,309
AQR Style Premia Alternative Fund		5,032,183
AQR Style Premia Alternative LV Fund		69,820

AQR Funds Annual Report December 2014

340

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 6/30/14” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/14
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$936.30		2.16	%		$10.54
Hypothetical Return		$1,000.00		$1,014.32		2.16	%		$10.97
Class N
Actual Return		$1,000.00		$934.50		2.41	%		$11.75
Hypothetical Return		$1,000.00		$1,013.06		2.41	%		$12.23
Class R6 (1)
Actual Return		$1,000.00		$940.10		1.94	%		$6.19	(a)
Hypothetical Return		$1,000.00		$1,015.43		1.94	%		$9.86
AQR Equity Market Neutral Fund (2)
Class I
Actual Return		$1,000.00		$1,059.30		1.63	%		$3.91	(b)
Hypothetical Return		$1,000.00		$1,016.99		1.63	%		$8.29
Class N
Actual Return		$1,000.00		$1,058.80		1.88	%		$4.51	(b)
Hypothetical Return		$1,000.00		$1,015.73		1.88	%		$9.55
Class R6
Actual Return		$1,000.00		$1,059.50		1.53	%		$3.67	(b)
Hypothetical Return		$1,000.00		$1,017.49		1.53	%		$7.78

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341

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/14
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$1,031.90		1.45	%		$7.43
Hypothetical Return		$1,000.00		$1,017.90		1.45	%		$7.38
Class N
Actual Return		$1,000.00		$1,029.90		1.71	%		$8.75
Hypothetical Return		$1,000.00		$1,016.59		1.71	%		$8.69
Class R6 (1)
Actual Return		$1,000.00		$1,024.50		1.31	%		$4.36	(a)
Hypothetical Return		$1,000.00		$1,018.60		1.31	%		$6.67
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,096.40		1.29	%		$6.82
Hypothetical Return		$1,000.00		$1,018.70		1.29	%		$6.56
Class N
Actual Return		$1,000.00		$1,095.00		1.55	%		$8.18
Hypothetical Return		$1,000.00		$1,017.39		1.55	%		$7.88
Class R6 (1)
Actual Return		$1,000.00		$1,061.90		1.20	%		$4.07	(a)
Hypothetical Return		$1,000.00		$1,019.16		1.20	%		$6.11
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$1,157.00		1.24	%		$6.74
Hypothetical Return		$1,000.00		$1,018.95		1.24	%		$6.31
Class N
Actual Return		$1,000.00		$1,154.90		1.50	%		$8.15
Hypothetical Return		$1,000.00		$1,017.64		1.50	%		$7.63
Class R6 (1)
Actual Return		$1,000.00		$1,129.90		1.15	%		$4.03	(a)
Hypothetical Return		$1,000.00		$1,019.41		1.15	%		$5.85
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$1,242.30		1.65	%		$9.33
Hypothetical Return		$1,000.00		$1,016.89		1.65	%		$8.39
Class N
Actual Return		$1,000.00		$1,240.20		1.90	%		$10.73
Hypothetical Return		$1,000.00		$1,015.63		1.90	%		$9.65
Class R6 (1)
Actual Return		$1,000.00		$1,199.40		1.55	%		$5.60	(a)
Hypothetical Return		$1,000.00		$1,017.39		1.55	%		$7.88
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$1,077.50		3.28	%		$17.18
Hypothetical Return		$1,000.00		$1,008.67		3.28	%		$16.61
Class N
Actual Return		$1,000.00		$1,075.80		3.58	%		$18.73
Hypothetical Return		$1,000.00		$1,007.16		3.58	%		$18.11
Class R6 (1)
Actual Return		$1,000.00		$1,061.90		3.14	%		$10.64	(a)
Hypothetical Return		$1,000.00		$1,009.38		3.14	%		$15.90

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342

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/14
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$735.50		1.00	%		$4.37
Hypothetical Return		$1,000.00		$1,020.16		1.00	%		$5.09
Class N
Actual Return		$1,000.00		$734.40		1.25	%		$5.46
Hypothetical Return		$1,000.00		$1,018.90		1.25	%		$6.36
Class R6 (1)
Actual Return		$1,000.00		$812.80		0.90	%		$2.68	(a)
Hypothetical Return		$1,000.00		$1,020.67		0.90	%		$4.58
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$965.50		0.90	%		$4.46
Hypothetical Return		$1,000.00		$1,020.67		0.90	%		$4.58
Class N
Actual Return		$1,000.00		$963.00		1.20	%		$5.94
Hypothetical Return		$1,000.00		$1,019.16		1.20	%		$6.11
Class R6 (1)
Actual Return		$1,000.00		$960.40		0.85	%		$2.74	(a)
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		$950.70		1.19	%		$5.85
Hypothetical Return		$1,000.00		$1,019.21		1.19	%		$6.06
Class N
Actual Return		$1,000.00		$950.40		1.44	%		$7.08
Hypothetical Return		$1,000.00		$1,017.95		1.44	%		$7.32
Class R6 (1)
Actual Return		$1,000.00		$949.00		1.08	%		$3.46	(a)
Hypothetical Return		$1,000.00		$1,019.76		1.08	%		$5.50
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$967.60		0.95	%		$4.71
Hypothetical Return		$1,000.00		$1,020.42		0.95	%		$4.84
Class N
Actual Return		$1,000.00		$966.80		1.20	%		$5.95
Hypothetical Return		$1,000.00		$1,019.16		1.20	%		$6.11
Class R6 (1)
Actual Return		$1,000.00		$965.60		0.85	%		$2.75	(a)
Hypothetical Return		$1,000.00		$1,020.92		0.85	%		$4.33
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$1,094.70		1.96	%		$10.35
Hypothetical Return		$1,000.00		$1,015.32		1.96	%		$9.96
Class N
Actual Return		$1,000.00		$1,093.60		2.51	%		$13.25
Hypothetical Return		$1,000.00		$1,012.55		2.51	%		$12.73
Class R6 (1)
Actual Return		$1,000.00		$1,076.70		2.46	%		$8.40	(a)
Hypothetical Return		$1,000.00		$1,012.80		2.46	%		$12.48

AQR Funds Annual Report December 2014

343

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/14
AQR Style Premia Alternative LV Fund (3)
Class I
Actual Return		$1,000.00		$1,030.70		1.01	%		$2.95	(c)
Hypothetical Return		$1,000.00		$1,020.11		1.01	%		$5.14
Class N
Actual Return		$1,000.00		$1,029.40		1.32	%		$3.85	(c)
Hypothetical Return		$1,000.00		$1,018.55		1.32	%		$6.72
Class R6
Actual Return		$1,000.00		$1,029.80		1.00	%		$2.92	(c)
Hypothetical Return		$1,000.00		$1,020.16		1.00	%		$5.09

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 offering of shares was September 2, 2014.

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 120 /365 (to reflect the period since commencement of shares).

(2) Commencement of operations was October 7, 2014 .

(b) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 85/365 (to reflect the period since commencement of operations).

(3) Commencement of operations was September 17, 2014 .

(c) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 105/365 (to reflect the period since commencement of operations).

AQR Funds Annual Report December 2014

344

Trustees and Officers (Unaudited) December 31, 2014

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, 3rd Floor, 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 and Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (2009 to 2010) (financial services)	41	Janus Capital Group (since 1998); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950	Trustee, since 2008	Managing Director, Finance Scholars Group (2010 to 2014) (consulting); Managing Director and Owner, LJM Advisory (2008-2010) (consulting)	41	Nuveen Exchange Traded Commodities Funds (since 2012)
William L. Atwell, M.B.A., 1950	Trustee, since 2011	Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008 to 2012) (insurance)	41	Webster Financial Corporation (since 2014)
Gregg D. Behrens, M.M., 1952	Trustee, since 2011	Retired from Northern Trust Company (since 2009) banking)	41	None
Brian Posner, M.B.A., 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting)	41	Biogen Idec (since 2008); Arch Capital Group (since 2010); BG Medicine (since 2012); RiverPark Funds Trust (2010 to 2012)
Mark. A. Zurack, M.B.A., CFA 1957	Trustee, since 2014	Adjunct Professor and Executive-in- Residence, Columbia Business School (since 2002)	41	Exchange Traded Concepts Trust (since 2011); Source ETF Trust (since 2014)
Interested Trustees3
David Kabiller, CFA, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)	41	None
Marco Hanig, Ph.D., 1958	Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008)	41	None
Officers
H.J. Willcox, J.D., 1966	Chief Compliance Officer, since 2013	Managing Director and Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel KKR & Co., L.P. (2008-2013)	N/A	N/A
Heather Bonner, CPA, 1977	Chief Financial Officer, since 2014	Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)	N/A	N/A

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345

Trustees and Officers (Unaudited) December 31, 2014

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)
Aaron Masek, CPA, 1974	Vice President and Treasurer, since 2010	Vice President, AQR Capital Management, LLC (since 2010)	N/A	N/A
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
Brendan R. Kalb, J.D. 1975	Executive Vice President, since 2009; Secretary, since 2008	Managing Director and General Counsel, AQR Capital Management, LLC (since 2004)	N/A	N/A
Nicole DonVito, J.D. 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Senior Counsel—Head of Registered Products, AQR Capital Management, LLC (since 2007)	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.

(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 Advisor.

AQR Funds Annual Report December 2014

346

Board Approval of Investment Advisory Agreements (Unaudited)

AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy HV Fund and AQR Style Premia Alternative Fund

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 7, 2014 to consider the continuation of the: (i) the Investment Management Agreement (as amended) between the Trust, on behalf of the AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy HV Fund and AQR Style Premia Alternative Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”); (ii) Amended and Restated Investment Sub-Advisory Agreement between AQR and CNH Partners, LLC ( “CNH” or the “Sub-Adviser”) for the AQR Diversified Arbitrage Fund; and (iii) the Investment Sub-Advisory Agreement between AQR and CNH for the AQR Multi-Strategy Alternative Fund (collectively, the “Sub-Advisory Agreements”). 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 call in advance of the in-person meeting held on November 7, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 7, 2014, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Investment Management Agreement and the Sub-Advisory Agreements. 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 Investment Management Agreement and Sub-Advisory Agreements; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and certain Funds’ proposed fees and expenses; (v) a discussion of the financial information of AQR and CNH; 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. The Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Advisory Agreement,” as applicable and as the context suggests.

At the in-person meeting held on November 7, 2014, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory 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 Advisory Agreement, including certain administrative services that were proposed at the Meetings for inclusion in the Investment Management Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, 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 marketing services, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Advisory Agreement. The Board also reviewed a wide range of services provided to the Funds pursuant to the Investment Management Agreement. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Advisory Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the

AQR Funds Annual Report December 2014

347

Board Approval of Investment Advisory Agreements (Unaudited)

Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for the Funds.

The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.

To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.

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 its subadvisory services for two Funds. 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, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Advisory Agreement are reasonable.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Advisory Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, would have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show that the advisory fees were set at a level that is competitive relative to comparable funds of larger sizes. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment advisory 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 Advisory Agreement and total expense ratios 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 advisory and management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2014

348

Board Approval of Investment Advisory Agreements (Unaudited)

AQR Equity Market Neutral Fund

AQR Style Premia Alternative LV Fund

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 12-13, 2014, to consider the approval of the Investment Management Agreement between the Trust, on behalf of the AQR Equity Market Neutral Fund and AQR Style Premia Alternative LV Fund (each, a “Fund” and together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (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 call in advance of the in person meeting held on August 12-13, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on August 12-13, 2014, 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 Funds; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Adviser,” as applicable.

At the in person meeting held on August 12-13, 2014, the Board, including the Independent Board Members, unanimously approved the addition of the Funds to the Investment Management Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

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 Funds under the Investment Management Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of the Funds’ investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that would be entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services to be provided to the Funds, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the Funds by AQR.

Finally, the Independent Board Members had an opportunity to meet outside the presence of 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 Funds by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the Funds.

Investment Performance and the Adviser’s Portfolio Management. Because the Funds are newly formed, the Board did not consider the investment performance of the Funds. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the Funds.

The Advisory Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Funds.

To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.

The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to Fund-related activities at an assumed asset level. 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, expense allocations and business mix.

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349

Board Approval of Investment Advisory Agreements (Unaudited)

The Board reviewed the Adviser’s financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting, the Board concluded that the proposed management fees are reasonable.

Economies of Scale. Because the Funds are newly formed and had not commenced operations as of August 12-13, 2014, and the eventual aggregate amount of the Funds’ assets was uncertain, the Adviser was not able to provide the Board Members with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Adviser presented information to show that the fees were set at a level that is competitive relative to comparable funds of an anticipated size. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of an investment management agreement. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed management fee rates and projected total expense ratios are reasonable in relation to the services to be 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 proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the Investment Management Agreement 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 2014

350

Investment Advisor

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Advisor

CNH Partners, LLC

Two Greenwich Plaza, 3rd Floor,

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.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 202-942-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: aqrfunds.com

Item 2. Code of Ethics.

a). As of the end of the period, December 31, 2014, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-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 12 (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, 2014 (“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 one “audit committee financial expert”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy, the Registrant’s audit committee financial expert, is “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 years ended December 31, 2013 and December 31, 2014 were:

	2013		2014
Audit Fees (a)	$	1,071,382	$	1,295,470
Audit Related Fees (b)	$	32,917	$	42,500
Tax Fees (c)	$	116,200	$	194,700
All Other Fees (d)	$	0	$	0
Total:	$	1,220,499	$	1,532,670

(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, 2013 and December 31, 2014 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, 2013 and December 31, 2014 relate to services provided in connection with the review of the June 30, 2013 semi-annual financial statements, review of amendments to the Registrant’s Registration Statement and review of the in-kind transaction for the AQR Style Premia Alternative Fund.

(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 Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(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 permissible non-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 permissible non-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 or sub-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 Rule 2-01 of Regulation S-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 aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-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, 2013 and December 31, 2014: $671,340 and $336,340, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 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 for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the 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. 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 Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

March 9, 2015

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 9, 2015

By: /s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

March 9, 2015