UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 3^rd Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal & Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 3^rd 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: July 1, 2012 to September 30, 2012

Item 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in §§ 210.12-12 - 12-14 of Regulation S-X [17 CFR §§ 210.12-12 — 12-14]. The schedules need not be audited.

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

			VALUE
	SHARES		(Note 3)
COMMON STOCKS - 89.7%
Australia - 3.3%
AGL Energy Ltd.		22,001	$	340,861
Alumina Ltd. (a)		37,995		33,083
Arrium Ltd.		70,988		39,798
ASX Ltd.		2,722		83,170
Australia & New Zealand Banking
Group Ltd.		39,411		1,007,172
BHP Billiton Ltd.		56,623		1,934,742
Boart Longyear Ltd.		104,536		176,881
CFS Retail Property Trust Group REIT		36,456		72,740
Coca-Cola Amatil Ltd.		4,321		60,664
Commonwealth Bank of Australia		19,779		1,138,837
Computershare Ltd.		7,001		60,067
CSL Ltd.		12,744		606,153
Dexus Property Group REIT		74,910		73,647
Downer EDI Ltd. †		55,750		206,388
Flight Centre Ltd. (a)		2,062		50,079
Fortescue Metals Group Ltd.		19,404		69,565
Goodman Group REIT		18,724		76,529
GPT Group - In Specie REIT (3)†(b)		96,388		—
GPT Group REIT		29,672		104,308
GrainCorp Ltd., Class A		5,554		51,658
Lend Lease Group		8,523		69,038
Macquarie Group Ltd.		15,212		446,056
Metcash Ltd.		10,487		38,393
Mirvac Group REIT		51,825		76,645
Mount Gibson Iron Ltd.		216,413		167,098
Myer Holdings Ltd.		12,988		23,378
National Australia Bank Ltd.		48,217		1,267,712
Newcrest Mining Ltd.		12,358		371,495
Nufarm Ltd.		7,082		44,527
OZ Minerals Ltd.		5,222		36,252
Pacific Brands Ltd.		224,391		140,945
Primary Health Care Ltd. (a)		53,534		200,032
Qantas Airways Ltd. †		77,651		97,722
QBE Insurance Group Ltd.		7,362		98,322
Rio Tinto Ltd.		13,290		729,983
Sonic Healthcare Ltd.		22,861		320,240
SP AusNet (a)		82,211		89,127
Stockland REIT		43,746		150,911
Suncorp Group Ltd.		6,114		58,318
Tabcorp Holdings Ltd.		67,828		193,833
Telecom Corp of New Zealand Ltd. (a)		255,086		499,699
Telstra Corp. Ltd.		233,573		946,903
Wesfarmers Ltd.		12,832		454,154
Westfield Group REIT		35,184		369,727
Westfield Retail Trust REIT		46,500		138,845
Westpac Banking Corp. (a)		37,383		958,532
Woolworths Ltd.		21,538		641,336
				14,815,565
Belgium - 0.6%
Anheuser-Busch InBev NV		24,188		2,069,251
Umicore SA		16,041		839,727
				2,908,978
Canada - 4.5% (1)
Agrium, Inc.		6,400		664,022
Alimentation Couche Tard, Inc.,
Class B		13,300		611,224
ARC Resources Ltd.		4,700		114,261
Athabasca Oil Corp. †		4,800		64,352
Bank of Montreal		2,080		122,926
Bank of Nova Scotia		3,299		180,940

			VALUE
	SHARES		(Note 3)
Canada - 4.5% (1) (continued)
Barrick Gold Corp.		16,700	$	697,829
Baytex Energy Corp.		1,900		90,294
BCE, Inc.		7,109		312,750
Bonavista Energy Corp.		1,300		23,062
Brookfield Asset Management, Inc.,
Class A		8,102		279,709
Brookfield Office Properties, Inc.		2,845		47,286
Canadian Imperial Bank of Commerce		11,300		884,483
Canadian National Railway Co.		10,600		937,945
Canadian Oil Sands Ltd.		19,834		424,683
Canadian Tire Corp. Ltd., Class A		3,600		259,115
Cenovus Energy, Inc.		11,300		394,368
CGI Group, Inc., Class A †		3,700		99,359
Crescent Point Energy Corp.		4,600		203,680
Eldorado Gold Corp.		10,600		161,626
Empire Co., Ltd., Class A		4,500		270,888
Enbridge, Inc.		3,400		132,804
Encana Corp.		11,100		243,091
Enerplus Corp.		2,951		48,928
Ensign Energy Services, Inc.		9,400		144,380
Finning International, Inc.		17,900		434,072
Franco-Nevada Corp.		2,100		123,787
Goldcorp, Inc.		12,788		587,174
Great-West Lifeco, Inc.		3,145		71,531
Husky Energy, Inc.		29,300		787,413
IAMGOLD Corp.		32,000		507,456
Imperial Oil Ltd.		21,900		1,008,010
Inmet Mining Corp.		3,980		189,183
Intact Financial Corp.		2,600		158,153
Magna International, Inc.		8,134		351,720
Manulife Financial Corp.		25,700		309,780
MEG Energy Corp. †		2,000		76,066
National Bank of Canada		5,814		439,998
New Gold, Inc. †		7,000		85,800
Nexen, Inc.		8,700		220,354
Onex Corp.		10,500		414,403
Open Text Corp. †		900		49,628
Osisko Mining Corp. †		5,500		54,491
Penn West Petroleum Ltd.		7,500		106,729
Power Corp. of Canada		4,746		115,379
Progress Energy Resources Corp.		3,100		69,057
Research In Motion Ltd. †		7,500		57,370
RioCan Real Estate Investment Trust
REIT		2,100		59,106
Rogers Communications, Inc.,
Class B		19,200		777,296
Royal Bank of Canada		20,024		1,151,619
Russel Metals, Inc.		3,600		100,775
Silver Wheaton Corp.		5,300		210,685
Sun Life Financial, Inc.		34,700		805,466
Suncor Energy, Inc.		37,282		1,226,427
Teck Resources Ltd., Class B		9,493		280,126
TMX Group Ltd. †		99		5,063
Toronto-Dominion Bank/The		8,012		668,196
Tourmaline Oil Corp. †		1,900		59,313
TransCanada Corp. (a)		11,100		505,151
Turquoise Hill Resources Ltd. †		4,885		41,590
Valeant Pharmaceuticals
International, Inc. †		4,574		252,452
Vermilion Energy, Inc.		1,500		70,491
Viterra, Inc.		5,900		96,683

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

			VALUE
	SHARES		(Note 3)
Canada - 4.5% (1) (continued)
Yamana Gold, Inc.		12,000	$	229,234
				20,171,232
China - 0.0% (c)
Foxconn International Holdings Ltd. †		32,101		10,528
Colombia - 0.1%
Pacific Rubiales Energy Corp. (1)		14,400		344,071
Denmark - 0.8%
Coloplast A/S, Class B		4,573		952,932
Danske Bank A/S †		10,597		190,976
DSV A/S		14,561		326,891
Novo Nordisk A/S, Class B		13,544		2,131,473
				3,602,272
Finland - 0.4%
Kone OYJ, Class B		5,983		414,676
Metso OYJ		43,955		1,574,490
				1,989,166
France - 2.9%
Arkema SA		6,498		608,228
AtoS		3,586		249,503
AXA SA		30,119		448,402
BNP Paribas SA		16,706		792,050
Bouygues SA		21,050		511,878
Christian Dior SA		1,281		171,593
Cie Generale des Etablissements
Michelin		12,464		975,953
Danone SA		10,243		630,242
Dassault Systemes SA		2,905		305,211
Edenred		10,876		305,394
Eiffage SA		2,615		85,735
European Aeronautic Defence and
Space Co. NV		6,605		209,345
Klepierre REIT		1,740		60,964
Publicis Groupe SA		2,961		165,617
Renault SA		18,055		845,988
Safran SA		2,688		96,686
Sanofi		26,147		2,237,569
SES SA FDR		1,045		28,417
Societe BIC SA		3,987		481,559
Societe Generale SA †		10,937		309,932
Total SA		45,416		2,259,443
Unibail-Rodamco SE REIT		1,690		336,759
Vinci SA		3,951		168,107
Vivendi SA		53,624		1,044,971
				13,329,546
Germany - 3.0%
Adidas AG		10,466		858,853
BASF SE		18,509		1,563,938
Bayer AG		10,917		938,749
Bayerische Motoren Werke AG		5,658		414,899
Brenntag AG		204		26,140
Continental AG		8,322		816,177
Deutsche Bank AG		31,151		1,233,874
Deutsche Post AG		83,272		1,626,778
E.ON AG		34,185		812,336
Fresenius SE & Co. KGaA		1,761		204,482
GEA Group AG		15,893		481,857
Hannover Rueckversicherung AG		11,338		725,539
Infineon Technologies AG		98,408		625,494
Kabel Deutschland Holding AG †		2,604		185,886

			VALUE
	SHARES		(Note 3)
Germany - 3.0% (continued)
Merck KGaA		11,144	$	1,375,649
RWE AG		5,314		237,791
Salzgitter AG		4,820		186,542
SAP AG		14,749		1,049,589
				13,364,573
Hong Kong - 1.2%
AIA Group Ltd.		145,800		540,252
ASM Pacific Technology Ltd. (a)		2,982		35,261
BOC Hong Kong Holdings Ltd.		68,500		216,638
Cheung Kong Holdings Ltd.		18,201		265,893
Cheung Kong Infrastructure Holdings
Ltd.		5,749		34,767
Chinese Estates Holdings Ltd.		13,000		18,407
CLP Holdings Ltd.		43,011		365,077
First Pacific Co., Ltd.		34,000		36,768
Hang Lung Group Ltd.		11,791		74,460
Hang Seng Bank Ltd.		21,957		335,657
HKT Trust/HKT Ltd.		842		714
Hong Kong & China Gas Co., Ltd.		89,200		225,480
Hong Kong Exchanges and Clearing
Ltd.		16,169		242,920
Hopewell Holdings Ltd.		28,695		98,879
Hutchison Whampoa Ltd.		38,489		371,179
Hysan Development Co., Ltd.		46,823		212,620
Kerry Properties Ltd.		38,000		191,625
Li & Fung Ltd.		111,468		171,890
Link REIT/The REIT (a)		34,329		162,594
Mongolia Energy Corp. Ltd. †		885		37
New World Development Co., Ltd.		58,173		89,645
NWS Holdings Ltd.		19,500		31,256
PCCW Ltd.		65,406		26,664
Sino Land Co., Ltd.		106,000		197,399
SJM Holdings Ltd.		116,000		250,668
Sun Hung Kai Properties Ltd.		16,022		233,127
Swire Pacific Ltd., Class A		11,818		144,283
Swire Properties Ltd.		72		222
Television Broadcasts Ltd.		442		3,263
Wharf Holdings Ltd.		30,604		211,621
Wheelock & Co., Ltd.		34,844		149,696
Wing Hang Bank Ltd.		3,000		28,090
Wynn Macau Ltd. (a)		67,600		181,233
Yue Yuen Industrial Holdings Ltd.		66,123		221,750
				5,370,035
Ireland - 0.4%
Accenture PLC, Class A (1)		12,400		868,372
James Hardie Industries SE CDI		4,289		38,521
Seagate Technology PLC (1)(a)		25,800		799,800
				1,706,693
Italy - 1.1%
Assicurazioni Generali SpA		18,525		267,064
Enel SpA		243,861		863,917
Eni SpA (a)		68,444		1,500,530
Fiat Industrial SpA		25,628		250,980
Intesa Sanpaolo SpA		181,257		276,389
Prysmian SpA		19,581		349,989
Telecom Italia SpA		1,133,228		1,138,389
Tenaris SA		13,412		274,464
UniCredit SpA †		67,592		281,273
				5,202,995

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

			VALUE
	SHARES		(Note 3)
Japan - 7.4%
Ajinomoto Co., Inc.		36,000	$	563,879
Alfresa Holdings Corp.		5,700		280,779
Asahi Glass Co., Ltd.		236		1,570
Asahi Kasei Corp.		78,000		402,062
Astellas Pharma, Inc.		15,900		805,811
Brother Industries Ltd.		42,000		389,012
Canon, Inc.		24,745		794,258
Casio Computer Co., Ltd. (a)		30,500		216,052
Central Japan Railway Co.		6,900		605,661
Chiyoda Corp.		32,000		497,149
Chubu Electric Power Co., Inc.		54		701
Chugai Pharmaceutical Co., Ltd.		16,600		347,927
Credit Saison Co., Ltd.		75		1,812
Daicel Corp.		40,000		239,582
Daido Steel Co., Ltd.		17,000		78,950
Daihatsu Motor Co., Ltd.		6,000		99,970
Dainippon Sumitomo Pharma Co.,
Ltd.		10,100		110,970
Daito Trust Construction Co., Ltd.		1,586		159,209
Daiwa House Industry Co., Ltd.		8,151		118,107
Daiwa Securities Group, Inc.		27,000		102,554
Denki Kagaku Kogyo KK		26,000		80,575
DIC Corp.		495		803
East Japan Railway Co.		3,812		252,221
FANUC Corp.		400		64,383
Fuji Heavy Industries Ltd.		733		6,107
FUJIFILM Holdings Corp.		44		737
Fujitsu Ltd.		141,115		529,777
Fukuoka Financial Group, Inc.		125,000		507,543
Furukawa Electric Co., Ltd. †		46,000		86,428
Hakuhodo DY Holdings, Inc.		780		52,545
Hino Motors Ltd.		975		6,383
Hitachi High-Technologies Corp.		10,758		259,720
Honda Motor Co., Ltd.		13,597		420,220
Hoya Corp.		6		132
IHI Corp.		198,000		440,983
Isetan Mitsukoshi Holdings Ltd.		27,000		281,326
Isuzu Motors Ltd.		88,000		424,050
ITOCHU Corp.		88		888
J Front Retailing Co., Ltd.		26,000		145,711
Japan Petroleum Exploration Co.		6,700		268,516
Japan Real Estate Investment Corp.
REIT		7		70,444
Japan Retail Fund Investment Corp.
REIT		18		32,140
Japan Tobacco, Inc.		31,600		945,906
JGC Corp.		15,000		499,564
JTEKT Corp.		30,388		240,204
JX Holdings, Inc.		14		76
Kajima Corp. (a)		88,000		240,059
Kaneka Corp.		354		1,704
Kao Corp.		9,600		282,252
Keisei Electric Railway Co., Ltd.		41,461		374,013
Kinden Corp.		284		1,787
Kobe Steel Ltd.		759		601
Koito Manufacturing Co., Ltd.		34,000		392,517
Konica Minolta Holdings, Inc.		60,500		465,408
Kubota Corp.		343		3,462
Makita Corp.		46		1,781
Marubeni Corp.		12,000		76,290
Medipal Holdings Corp.		13,800		189,958
Miraca Holdings, Inc.		28		1,257
Mitsubishi Corp.		36		652

			VALUE
	SHARES		(Note 3)
Japan - 7.4% (continued)
Mitsubishi Estate Co., Ltd.		18,764	$	358,770
Mitsubishi UFJ Financial Group, Inc.		303,949		1,422,346
Mitsubishi UFJ Lease & Finance Co.,
Ltd.		4,038		170,004
Mitsui & Co., Ltd.		32,089		450,198
Mitsui Fudosan Co., Ltd.		17,598		351,655
Mitsumi Electric Co., Ltd. †		40		214
Mizuho Financial Group, Inc. (a)		313,241		508,402
Namco Bandai Holdings, Inc.		29,400		498,068
NEC Corp. †		51,000		80,932
NGK Spark Plug Co., Ltd.		8,000		84,165
NHK Spring Co., Ltd.		15,200		130,607
Nippon Building Fund, Inc. REIT		8		86,233
Nippon Kayaku Co., Ltd.		546		5,852
Nippon Meat Packers, Inc.		97		1,244
Nippon Steel Corp.		26,822		54,925
Nippon Telegraph & Telephone Corp.		7,948		378,166
Nishi-Nippon City Bank Ltd./The		22,363		51,761
Nisshin Steel Co., Ltd.		212,000		228,191
Nitto Denko Corp.		7,694		366,233
Nomura Holdings, Inc.		58,800		209,981
Nomura Real Estate Holdings, Inc.		1,700		29,809
NSK Ltd. (a)		70,000		406,552
NTT DOCOMO, Inc.		153		247,198
Obayashi Corp.		77,000		350,902
OJI Paper Co., Ltd. (a)		682		2,076
Omron Corp.		31		596
ORIX Corp.		1,599		160,155
Osaka Gas Co., Ltd.		129,446		569,539
Otsuka Corp.		1,100		98,371
Otsuka Holdings Co., Ltd.		2,200		68,180
Pacific Metals Co., Ltd.		720		2,450
Panasonic Corp. (a)		49,700		328,837
Rengo Co., Ltd.		884		4,062
Resona Holdings, Inc.		125,600		514,269
Sapporo Hokuyo Holdings, Inc.		68		194
Seino Holdings Co., Ltd.		100		633
Sekisui Chemical Co., Ltd.		52,000		418,818
Sekisui House Ltd.		9,000		89,347
Seven & I Holdings Co., Ltd.		28,030		858,932
Shimamura Co., Ltd.		1,800		209,553
Shinsei Bank Ltd.		354,000		457,290
Shionogi & Co., Ltd. (a)		19,100		291,064
Softbank Corp.		13,000		525,610
Sojitz Corp. (a)		168,216		217,481
Sony Corp.		17		199
Stanley Electric Co., Ltd.		8,100		119,911
Sumco Corp. †		5,300		35,679
Sumitomo Corp. (a)		49,700		668,595
Sumitomo Heavy Industries Ltd.		142,000		484,067
Sumitomo Metal Mining Co., Ltd.		29,000		364,862
Sumitomo Mitsui Financial Group, Inc.		25,649		799,176
Sumitomo Mitsui Trust Holdings, Inc.		51,000		151,411
Sumitomo Realty & Development Co.,
Ltd.		5,624		149,027
Suzuken Co., Ltd.		11,900		394,555
Suzuki Motor Corp.		30,400		590,457
T&D Holdings, Inc.		30,800		332,556
Taisei Corp. (a)		169,000		484,252
Takashimaya Co., Ltd.		11,000		75,416
Takeda Pharmaceutical Co., Ltd.		3,769		173,403
THK Co., Ltd.		11,700		178,770
Tohoku Electric Power Co., Inc. †		6,900		55,455

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

			VALUE
	SHARES		(Note 3)
Japan - 7.4% (continued)
Tokai Rika Co., Ltd.		65	$	912
Tokyo Electric Power Co., Inc †		26,870		44,234
Tokyo Gas Co., Ltd.		61,000		335,435
Tokyu Land Corp.		5,000		26,720
Tosoh Corp.		186,000		353,137
Toyota Boshoku Corp. (a)		9,400		97,513
Toyota Motor Corp.		34,041		1,334,725
Toyota Tsusho Corp.		13,600		290,519
USS Co., Ltd.		3,205		338,478
West Japan Railway Co.		12,000		512,463
Yamaha Corp.		19,500		180,535
Yokogawa Electric Corp.		17,100		197,363
				33,524,828
Luxembourg - 0.0% (c)
ArcelorMittal		16,672		239,985
Netherlands - 2.1%
ASML Holding NV		10,947		585,538
Corio NV REIT		1,041		44,260
Gemalto NV		10,132		891,100
ING Groep NV CVA †		60,387		478,277
Koninklijke Ahold NV		108,713		1,361,584
Koninklijke DSM NV		13,315		664,209
Koninklijke Philips Electronics NV		41,172		961,262
LyondellBasell Industries NV,
Class A (1)		55,700		2,877,462
SBM Offshore NV †		39,767		566,595
Unilever NV CVA		24,960		885,232
				9,315,519
Singapore - 0.8%
Ascendas Real Estate Investment
Trust REIT		22,478		44,028
CapitaMall Trust REIT		34,494		56,571
DBS Group Holdings Ltd.		39,054		456,161
Flextronics International Ltd. (1)†		64,400		386,400
Fraser and Neave Ltd.		34,000		245,035
Global Logistic Properties Ltd.		29,000		59,114
Golden Agri-Resources Ltd.		279,000		149,148
Hutchison Port Holdings Trust,
Class U		83,000		59,952
Jardine Cycle & Carriage Ltd.		291		11,359
Keppel Corp. Ltd.		29,000		268,128
Keppel Land Ltd.		52,000		149,640
Oversea-Chinese Banking Corp. Ltd.		45,422		344,488
SembCorp Industries Ltd.		11,777		54,104
Singapore Exchange Ltd.		10,967		62,333
Singapore Technologies Engineering
Ltd.		25,103		72,231
Singapore Telecommunications Ltd.		129,635		337,563
StarHub Ltd.		7,476		22,624
United Overseas Bank Ltd.		28,201		449,721
UOL Group Ltd.		10,340		48,132
Yangzijiang Shipbuilding Holdings Ltd.		190,404		151,203
				3,427,935
Spain - 0.6%
Amadeus IT Holding SA, A Shares		22,103		515,308
Banco Bilbao Vizcaya Argentaria SA		68,218		536,730
Banco Santander SA †		139,823		1,043,696
Bankinter SA (a)		31,445		136,638
Gas Natural SDG SA		31,292		442,802
				2,675,174

			VALUE
	SHARES		(Note 3)
Sweden - 1.2%
Boliden AB		8,196	$	137,067
Electrolux AB, Series B		58,595		1,447,859
Investor AB, B Shares		9,034		199,083
Nordea Bank AB		59,245		586,406
Scania AB, B Shares		15,138		278,296
SKF AB, B Shares		10,868		234,854
Svenska Cellulosa AB, B Shares		54,120		1,006,192
Swedish Match AB		33,407		1,352,370
TeliaSonera AB		34,247		246,430
				5,488,557
Switzerland - 3.1%
ACE Ltd. (1)		2,800		211,680
Adecco SA †		4,888		233,323
Compagnie Financiere Richemont SA,
Class A		18,369		1,102,934
Nestle SA		28,490		1,797,644
Novartis AG		55,589		3,402,242
Roche Holding AG		22,012		4,117,272
STMicroelectronics NV		94,004		507,360
Syngenta AG		3,679		1,376,249
Transocean Ltd.		6,407		286,838
Zurich Insurance Group AG †		3,493		870,831
				13,906,373
United Kingdom - 8.7%
Anglo American PLC		31,900		939,080
Aon PLC (1)		11,900		622,251
AstraZeneca PLC		33,542		1,601,463
Aviva PLC		65,227		337,051
Babcock International Group PLC		36,444		546,431
BAE Systems PLC		204,941		1,077,528
Barclays PLC		651,419		2,262,122
BHP Billiton PLC		35,178		1,098,541
BP PLC		241,809		1,704,724
British American Tobacco PLC		56,922		2,924,847
British Land Co. PLC REIT		13,261		112,005
British Sky Broadcasting Group PLC		73,481		881,958
BT Group PLC		154,901		577,431
Capital Shopping Centres Group PLC
REIT		6,502		34,440
Experian PLC		27,889		464,372
GlaxoSmithKline PLC		133,531		3,082,246
Glencore International PLC		14,355		79,735
Hammerson PLC REIT		10,329		75,393
HSBC Holdings PLC		389,136		3,614,980
Imperial Tobacco Group PLC		54,894		2,033,634
Intermediate Capital Group PLC		6,500		31,383
ITV PLC		240,490		343,788
J Sainsbury PLC		19,295		108,438
Johnson Matthey PLC		11,067		432,275
Kazakhmys PLC		3,856		43,263
Kingfisher PLC		11,333		48,448
Land Securities Group PLC REIT		12,541		154,558
Legal & General Group PLC		136,840		292,140
National Grid PLC		57,009		628,858
Next PLC		13,849		772,622
Randgold Resources Ltd.		1,514		186,241
Reed Elsevier PLC		20,306		194,395
Rio Tinto PLC		21,503		1,005,464
Royal Bank of Scotland Group PLC †		171,718		713,452
Royal Dutch Shell PLC, A Shares		59,129		2,049,176
Royal Dutch Shell PLC, B Shares		53,762		1,913,164
RSA Insurance Group PLC		524,927		938,433

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United Kingdom - 8.7% (continued)
Sage Group PLC/The		21,831	$	110,620
Segro PLC REIT		13,080		48,046
Smith & Nephew PLC		9,045		99,779
Tesco PLC		202,325		1,086,488
TUI Travel PLC		194,118		735,005
Tullow Oil PLC		14,217		315,392
Unilever PLC		21,107		770,657
Vodafone Group PLC		250,556		711,988
Wolseley PLC		28,685		1,227,029
Xstrata PLC		28,345		439,715
				39,471,049
United States - 47.5% (1)
3M Co.		17,300		1,598,866
Abbott Laboratories		30,884		2,117,407
Abercrombie & Fitch Co., Class A (a)		7,100		240,832
Accenture PLC, Class A		11,574		810,527
ACE Ltd.		1,296		97,978
Advance Auto Parts, Inc.		13,400		917,096
Aetna, Inc.		13,600		538,560
Aflac, Inc.		27,600		1,321,488
Agilent Technologies, Inc.		11,100		426,795
Alcoa, Inc.		55,900		494,715
Allstate Corp./The		10,000		396,100
Alpha Natural Resources, Inc. †(a)		31,200		204,984
Altria Group, Inc.		30,296		1,011,583
Ameren Corp.		13,100		427,977
American Electric Power Co., Inc.		9,100		399,854
American Tower Corp. REIT		7,800		556,842
Ameriprise Financial, Inc.		20,500		1,162,145
Amgen, Inc.		16,349		1,378,548
Annaly Capital Management, Inc. REIT (a)		14,918		251,219
Apollo Group, Inc., Class A †(a)		17,000		493,850
Apple, Inc.		14,328		9,560,501
Archer-Daniels-Midland Co. (a)		102,233		2,778,693
Assurant, Inc.		33,400		1,245,820
AT&T, Inc.		144,997		5,466,387
AvalonBay Communities, Inc. REIT (a)		1,311		178,283
Avery Dennison Corp. (a)		7,300		232,286
Avnet, Inc. †		5,500		159,995
Axis Capital Holdings Ltd.		39,100		1,365,372
Bank of America Corp.		79,838		704,970
Bank of New York Mellon Corp/The (a)		51,100		1,155,882
Becton Dickinson and Co. (a)		1,086		85,316
Berkshire Hathaway, Inc., Class B †		13,150		1,159,830
Best Buy Co., Inc. (a)		90,700		1,559,133
Biogen Idec, Inc. †		3,800		567,074
BlackRock, Inc.		500		89,150
Boeing Co./The		7,600		529,112
Boston Properties, Inc. REIT (a)		2,763		305,615
Boston Scientific Corp. †		85,900		493,066
Bristol-Myers Squibb Co.		12,932		436,455
CA, Inc.		33,900		873,433
Campbell Soup Co. (a)		6,500		226,330
Cardinal Health, Inc.		26,000		1,013,220
CF Industries Holdings, Inc.		6,300		1,400,112
Chevron Corp.		47,800		5,571,568
Chubb Corp./The		249		18,994
Cisco Systems, Inc.		127,289		2,429,947
Citigroup, Inc.		30,419		995,310
Coca-Cola Co./The		65,760		2,494,277
Colgate-Palmolive Co.		1,828		195,998

	SHARES		VALUE (Note 3)
United States - 47.5% (1) (continued)
Comcast Corp., Class A		50,600	$	1,809,962
Comerica, Inc. (a)		13,000		403,650
ConAgra Foods, Inc.		46,074		1,271,182
ConocoPhillips		29,175		1,668,227
CSX Corp.		21,094		437,700
CVS Caremark Corp.		47,300		2,290,266
Deere & Co.		6,600		544,434
Dell, Inc.		122,400		1,206,864
Denbury Resources, Inc. †		26,200		423,392
Devon Energy Corp.		17,690		1,070,245
DIRECTV †		13,869		727,568
DISH Network Corp., Class A		35,174		1,076,676
DTE Energy Co.		13,900		833,166
Duke Energy Corp.		11,600		751,680
Edison International		4,656		212,733
EI du Pont de Nemours & Co. (a)		24,800		1,246,696
Electronic Arts, Inc. †		61,600		781,704
Eli Lilly & Co.		70,900		3,361,369
Emerson Electric Co.		5,600		270,312
Entergy Corp. (a)		13,700		949,410
Equity Residential REIT		4,548		261,646
Everest Re Group Ltd. (a)		22,700		2,427,992
Exxon Mobil Corp.		99,589		9,107,414
Fidelity National Information Services, Inc.		700		21,854
Fifth Third Bancorp		94,400		1,464,144
Ford Motor Co. (a)		47,100		464,406
Forest Laboratories, Inc. †		14,086		501,602
Freeport-McMoRan Copper & Gold,
Inc.		22,600		894,508
GameStop Corp., Class A (a)		86,000		1,806,000
Gap, Inc./The		34,919		1,249,402
General Electric Co.		125,502		2,850,150
General Growth Properties, Inc. REIT		8,100		157,788
Goldman Sachs Group, Inc./The		2,100		238,728
Google, Inc., Class A †		3,802		2,868,609
Hartford Financial Services Group, Inc. (a)		11,200		217,728
HCP, Inc. REIT		8,272		367,939
Hillshire Brands Co.		24,927		667,545
HollyFrontier Corp.		12,200		503,494
Home Depot, Inc./The		19,706		1,189,651
Honeywell International, Inc.		9,802		585,670
Host Hotels & Resorts, Inc. REIT (a)		9,300		149,265
Humana, Inc.		17,000		1,192,550
Ingersoll-Rand PLC		36,500		1,635,930
Intel Corp.		125,767		2,852,396
International Business Machines Corp.		15,923		3,303,226
International Paper Co. (a)		13,200		479,424
Invesco Ltd. (a)		9,300		232,407
Johnson & Johnson (a)		55,496		3,824,229
Johnson & Johnson		1,720		118,525
JPMorgan Chase & Co.		96,473		3,905,227
KeyCorp		231,200		2,020,688
Kimberly-Clark Corp.		25,563		2,192,794
Kimco Realty Corp. REIT		6,500		131,755
KLA-Tencor Corp.		12,200		582,001
Kohl’s Corp. (a)		14,300		732,446
Kraft Foods, Inc., Class A		28,821		1,191,748
L-3 Communications Holdings, Inc.		12,753		914,518
Life Technologies Corp. †		4,800		234,624
Lincoln National Corp. (a)		19,900		481,381

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United States - 47.5% (1) (continued)
Lockheed Martin Corp.		1,143	$	106,733
Loews Corp.		25,600		1,056,256
Lowe’s Cos., Inc.		39,100		1,182,384
Macerich Co./The REIT		2,100		120,183
Marathon Oil Corp.		46,729		1,381,777
Marriott International, Inc., Class A (a)		8,200		320,620
Marvell Technology Group Ltd.		165,900		1,517,985
Maxim Integrated Products, Inc.		8,500		226,270
McDonald’s Corp.		10,925		1,002,369
Medtronic, Inc.		21,882		943,552
Merck & Co., Inc.		75,219		3,392,377
MGM Resorts International †		17,400		187,050
Microsoft Corp.		135,750		4,042,635
Monsanto Co.		7,500		682,650
Murphy Oil Corp.		22,194		1,191,596
Nabors Industries Ltd. †		47,800		670,634
Newell Rubbermaid, Inc.		12,700		242,443
Newfield Exploration Co. †		18,000		563,760
Newmont Mining Corp.		5,161		289,068
News Corp., Class A (a)		108,200		2,654,146
Northrop Grumman Corp.		35,479		2,356,870
Occidental Petroleum Corp.		7,990		687,619
Omnicom Group, Inc. (a)		4,200		216,552
Owens-Illinois, Inc. †		29,000		544,040
Parker Hannifin Corp. (a)		8,700		727,146
PepsiCo, Inc.		20,772		1,470,034
Pfizer, Inc.		219,843		5,463,099
Philip Morris International, Inc.		36,793		3,309,162
Plains Exploration & Production Co. †		11,600		434,652
PNC Financial Services Group, Inc.		22,500		1,419,750
PPG Industries, Inc. (a)		12,700		1,458,468
Procter & Gamble Co./The		68,108		4,723,971
Prologis, Inc. REIT		5,980		209,479
Prudential Financial, Inc.		11,000		599,610
Public Service Enterprise Group, Inc.		10,500		337,890
Public Storage REIT		2,869		399,279
Raytheon Co. (a)		21,467		1,227,054
Reynolds American, Inc. (a)		13,974		605,633
Sears Holdings Corp. †(a)		6,500		360,685
Simon Property Group, Inc. REIT		6,042		917,236
SLM Corp.		58,700		922,764
Southwest Airlines Co. (a)		19,200		168,384
Sprint Nextel Corp. †		95,700		528,264
St Jude Medical, Inc. (a)		4,700		198,011
Starbucks Corp.		7,200		365,400
Stryker Corp.		21,900		1,218,954
Symantec Corp. †		56,400		1,015,200
Target Corp.		8,200		520,454
TE Connectivity Ltd.		960		32,650
Textron, Inc. (a)		18,500		484,145
Time Warner, Inc.		7,366		333,901
TJX Cos., Inc.		4,900		219,471
Total System Services, Inc.		9,600		227,520
Travelers Cos., Inc./The		27,201		1,856,740
Tyson Foods, Inc., Class A		170,800		2,736,216
Union Pacific Corp.		1,700		201,790
United States Steel Corp. (a)		67,200		1,281,504
United Technologies Corp.		3,849		301,338
UnitedHealth Group, Inc.		7,700		426,657
Unum Group		79,709		1,532,007
URS Corp.		16,500		582,615
US Bancorp		18,100		620,830
Ventas, Inc. REIT		4,800		298,800

	SHARES		VALUE (Note 3)
United States - 47.5% (1) (continued)
Verizon Communications, Inc.		80,412	$	3,664,375
Viacom, Inc., Class B		25,037		1,341,733
Vornado Realty Trust REIT		2,748		222,725
Wal-Mart Stores, Inc.		62,205		4,590,729
Walt Disney Co./The		7,500		392,100
Warner Chilcott PLC, Class A		1,700		22,950
Waste Management, Inc. (a)		2,373		76,126
Wells Fargo & Co.		83,370		2,878,766
Western Digital Corp.		22,400		867,552
Weyerhaeuser Co. REIT		8,600		224,804
Zimmer Holdings, Inc. (a)		21,500		1,453,830
				214,550,157
TOTAL COMMON STOCKS (cost $347,935,601)				405,415,231
PREFERRED STOCKS - 0.6%
Germany - 0.6%
Henkel AG & Co. KGaA		9,766		777,946
ProSiebenSat.1 Media AG		32,425		817,456
Volkswagen AG		4,235		774,350
TOTAL PREFERRED STOCKS (cost $2,041,956)				2,369,752
MONEY MARKET FUNDS - 7.0%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (d)		1,530,013		1,530,013
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d)		30,330,578		30,330,578
TOTAL MONEY MARKET FUNDS (cost $31,860,591)				31,860,591
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 3.6%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (d)(e)
(cost $16,456,541)		16,456,541		16,456,541
TOTAL INVESTMENTS - 100.9% (cost $398,294,689)				456,102,115
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.9%) (f)				(4,115,561)
NET ASSETS - 100.0%			$	451,986,554

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $15,947,735; cash collateral of $16,456,541 was received with which the Fund purchased a money market fund. In accordance with the fund’s security lending standards and guidelines, additional collateral was subsequently received the next business day.

(b) Security fair valued at $0 as of September 30, 2012 using procedures approved by the Board of Trustees.

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

(d) Represents annualized seven-day yield as of September 30, 2012.

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

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

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

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:

CDI - Chess Depository Interest

CVA - Dutch Certificate of Shares

FDR - Fiduciary Depositary Receipt

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	41,583,799		9.2	%
Consumer Staples		53,587,050		11.9
Energy		40,975,301		9.1
Financials		78,709,862		17.4
Health Care		53,595,404		11.9
Industrials		38,508,439		8.5
Information Technology		43,439,576		9.6
Materials		30,973,036		6.8
Telecommunication Services		17,453,425		3.9
Utilities		8,959,091		2.0
Money Market Funds		48,317,132		10.6
Total Investments		456,102,115		100.9
Liabilities in Excess of Other Assets (f)		(4,115,561)		(0.9)
Net Assets	$	451,986,554		100.0	%

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

Total return swap contract outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index Futures	12/21/2012	CHF		31,646,408	$	(153,326	)

Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
42	Amsterdam Index Futures	October 19, 2012	$	3,628,378		$	3,499,551		$	(128,827	)
595	CAC40 10 Euro Futures	October 19, 2012		26,808,654			25,637,197			(1,171,457	)
60	DAX Index Futures	December 21, 2012		14,206,443			13,952,752			(253,691	)
217	FTSE 100 Index Futures	December 21, 2012		20,455,095			20,019,014			(436,081	)
3	FTSE/MIB Index Futures	December 21, 2012		308,250			289,984			(18,266	)
118	IBEX 35 Index Futures	October 19, 2012		12,156,580			11,649,883			(506,697	)
9	MSCI Singapore Index Futures	October 30, 2012		516,100			516,297			197
4	S&P 500 E-Mini Futures	December 21, 2012		290,346			286,840			(3,506	)
				78,369,846			75,851,518			(2,518,328	)
Short Contracts:
8	Hang Seng Index Futures	October 30, 2012		(1,062,460	)		(1,076,856	)		(14,396	)
176	OMXS30 Index Futures	October 19, 2012		(2,959,455	)		(2,880,282	)		79,173
145	S&P/Toronto Stock Exchange 60 Index Futures	December 20, 2012		(20,981,957	)		(20,669,617	)		312,340
435	SPI 200 Index Futures	December 20, 2012		(49,700,642	)		(49,454,313	)		246,329
16	TOPIX Index Futures	December 13, 2012		(1,487,148	)		(1,506,920	)		(19,772	)
				(76,191,662	)		(75,587,988	)		603,674
			$	2,178,184		$	263,530		$	(1,914,654	)

Cash held as collateral with broker for futures contracts was $10,644,360 at September 30, 2012.

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		5,354,000	$	5,474,615	$	5,515,974	$	41,359
Canadian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	CAD		18,311,000		18,499,869		18,592,096		92,227
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		12,118,000		12,950,684		12,903,460		(47,224	)
Danish Krone, Expiring 12/19/12	The Royal Bank of Scotland	DKK		513,000		90,120		88,577		(1,543	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		25,351,000		32,413,866		32,605,366		191,500
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		11,141,000		18,079,288		17,986,476		(92,812	)
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		3,461,000		446,350		446,362		12
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		4,358,000		1,080,162		1,108,568		28,406
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		686,567,000		8,820,483		8,804,610		(15,873	)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR GLOBAL EQUITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		400,500,000		$	68,993,741		$	69,702,039		$	708,298
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		17,054,000			14,011,166			14,059,709			48,543
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		428,242,000			64,098,469			65,039,584			941,115
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		646,000			518,546			526,378			7,832
							245,477,359			247,379,199			1,901,840
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		(23,430,000	)	$	(24,049,278	)	$	(24,138,827	)	$	(89,549	)
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		(28,166,000	)		(29,691,717	)		(29,991,654	)		(299,937	)
Danish Krone, Expiring 12/19/12	The Royal Bank of Scotland	DKK		(8,362,000	)		(1,429,212	)		(1,443,827	)		(14,615	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		(54,051,000	)		(68,975,087	)		(69,518,071	)		(542,984	)
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		(10,969,000	)		(17,538,626	)		(17,708,792	)		(170,166	)
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		(115,000	)		(14,833	)		(14,832	)		1
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		(44,000	)		(11,249	)		(11,193	)		56
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		(5,879,784,000	)		(74,963,022	)		(75,402,991	)		(439,969	)
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		(17,342,000	)		(3,022,061	)		(3,018,159	)		3,902
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		(12,146,000	)		(9,605,630	)		(10,013,441	)		(407,811	)
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		(127,080,000	)		(18,985,126	)		(19,300,373	)		(315,247	)
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		(15,000	)		(12,100	)		(12,222	)		(122	)
							(248,297,941	)		(250,574,382	)		(2,276,441	)
						$	(2,820,582	)	$	(3,195,183	)	$	(374,601	)

Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $1,530,013.

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

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

COMMON STOCKS - 85.6%	SHARES		VALUE (Note 3)
Australia - 7.8%
AGL Energy Ltd.		37,161	$	575,735
Alumina Ltd. (a)		85,028		74,036
Amcor Ltd.		28,354		227,506
Arrium Ltd. ADR (1)†		135,841		76,157
ASX Ltd.		5,817		177,738
Australia & New Zealand Banking Group Ltd.		138,839		3,548,114
BHP Billiton Ltd.		175,219		5,987,029
BlueScope Steel Ltd. †		32,442		14,058
Boart Longyear Ltd.		368,114		622,868
Caltex Australia Ltd.		17,951		305,845
CFS Retail Property Trust Group REIT		103,020		205,554
Commonwealth Bank of Australia		64,746		3,727,950
Computershare Ltd.		15,439		132,464
CSL Ltd.		34,896		1,659,785
Dexus Property Group REIT		226,661		222,838
Downer EDI Ltd. †		233,505		864,443
Flight Centre Ltd. (a)		1,209		29,363
Fortescue Metals Group Ltd. (a)		71,153		255,088
Goodman Group REIT		82,940		338,995
GPT Group - In Specie REIT (3)†(b)		143,427		—
GPT Group REIT		79,625		279,910
GrainCorp Ltd., Class A		34,110		317,260
Insurance Australia Group Ltd. (1)		40,441		182,396
Lend Lease Group		21,131		171,166
Macquarie Group Ltd.		58,662		1,720,126
Metcash Ltd.		69,814		255,592
Mirvac Group REIT		167,786		248,143
Mount Gibson Iron Ltd.		623,142		481,143
Myer Holdings Ltd. (a)		80,420		144,750
National Australia Bank Ltd.		139,713		3,673,308
Newcrest Mining Ltd.		36,384		1,093,743
OZ Minerals Ltd.		11,735		81,467
Pacific Brands Ltd. (a)		757,731		475,948
Primary Health Care Ltd. (a)		227,449		849,871
Qantas Airways Ltd. †		289,153		363,893
QBE Insurance Group Ltd.		47,732		637,475
Rio Tinto Ltd.		31,773		1,745,202
Sims Metal Management Ltd.		67,180		664,489
Sonic Healthcare Ltd.		55,603		778,893
SP AusNet (a)		411,435		446,045
Stockland REIT		127,919		441,284
Suncorp Group Ltd.		81,362		776,067
Tabcorp Holdings Ltd. (a)		240,273		686,632
Telecom Corp of New Zealand Ltd. (a)		502,620		984,604
Telstra Corp. Ltd.		799,209		3,239,988
Wesfarmers Ltd.		45,525		1,611,233
Westfield Group REIT		117,916		1,239,108
Westfield Retail Trust REIT		166,603		497,463
Westpac Banking Corp. (a)		125,580		3,219,977
Woolworths Ltd.		91,608		2,727,808
				49,080,550
Belgium - 1.8%
Anheuser-Busch InBev NV		88,424		7,564,555
Groupe Bruxelles Lambert SA		2,641		196,152
UCB SA		6,814		374,965
Umicore SA		58,208		3,047,117
				11,182,789
China - 0.0% (c)
Foxconn International Holdings Ltd. †		69,406		22,763

	SHARES		VALUE (Note 3)
Denmark - 2.2%
Coloplast A/S, Class B		15,321	$	3,192,624
Danske Bank A/S †		31,768		572,515
DSV A/S		27,819		624,529
Novo Nordisk A/S, Class B		61,763		9,719,888
				14,109,556
Finland - 1.1%
Kone OYJ, Class B		22,443		1,555,502
Metso OYJ		152,331		5,456,574
				7,012,076
France - 7.7%
Arkema SA		23,557		2,204,992
AtoS		22,659		1,576,542
AXA SA		78,177		1,163,874
BNP Paribas SA		44,081		2,089,928
Bouygues SA		55,818		1,357,340
Casino Guichard Perrachon SA		5,328		471,296
Christian Dior SA		13,165		1,763,485
Cie Generale des Etablissements Michelin		46,641		3,652,071
Credit Agricole SA †		59,088		406,428
Dassault Systemes SA		8,002		840,722
Edenred		20,340		571,139
European Aeronautic Defence and Space Co. NV		107,771		3,415,795
France Telecom SA		78,349		948,774
Klepierre REIT		3,675		128,760
Lagardere SCA		4,912		134,166
PPR		10,786		1,655,441
Publicis Groupe SA		39,203		2,192,738
Renault SA (1)		74,494		3,490,501
Sanofi		50,669		4,336,075
SES SA FDR		22,845		621,237
Societe BIC SA		14,375		1,736,247
Societe Generale SA †		45,655		1,293,768
Sodexo		19,090		1,437,330
Thales SA		5,928		203,489
Total SA		139,740		6,952,055
Unibail-Rodamco SE REIT		3,619		721,142
Vivendi SA		151,119		2,944,858
				48,310,193
Germany - 7.2%
Adidas AG		38,902		3,192,347
BASF SE		54,079		4,569,464
Bayer AG		61,462		5,285,097
Beiersdorf AG		18,763		1,378,045
Continental AG		19,155		1,878,618
Deutsche Bank AG		142,976		5,663,199
Deutsche Post AG		178,051		3,478,352
E.ON AG		133,519		3,172,805
GEA Group AG		53,314		1,616,416
Hannover Rueckversicherung AG		23,595		1,509,886
HeidelbergCement AG		23,024		1,209,308
Infineon Technologies AG		318,519		2,024,548
Merck KGaA		44,418		5,483,090
Muenchener Rueckversicherungs AG		5,694		890,328
Salzgitter AG		10,079		390,075
SAP AG		38,335		2,728,050
Suedzucker AG		17,164		608,032
				45,077,660

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Hong Kong - 2.8%
AIA Group Ltd.		341,400	$	1,265,034
ASM Pacific Technology Ltd. (a)		6,404		75,725
BOC Hong Kong Holdings Ltd.		149,553		472,976
Cheung Kong Holdings Ltd.		29,278		427,714
Cheung Kong Infrastructure Holdings Ltd.		25,827		156,187
CLP Holdings Ltd.		114,009		967,706
First Pacific Co., Ltd.		104,000		112,466
Hang Lung Group Ltd.		42,276		266,972
Hang Seng Bank Ltd.		64,535		986,549
Henderson Land Development Co. Ltd. (1)		71,000		508,463
HKT Trust/HKT Ltd.		694		589
Hong Kong & China Gas Co., Ltd.		217,600		550,051
Hong Kong Exchanges and Clearing Ltd.		54,954		825,618
Hopewell Holdings Ltd.		70,500		242,933
Hutchison Whampoa Ltd.		132,832		1,281,001
Hysan Development Co., Ltd.		109,000		494,962
Kerry Properties Ltd.		146,500		738,766
Li & Fung Ltd.		433,336		668,228
Lifestyle International Holdings Ltd.		47,000		96,879
Link REIT/The REIT (a)		119,882		567,801
Mongolia Energy Corp. Ltd. †		406		17
MTR Corp. Ltd.		181,000		684,257
New World Development Co., Ltd.		154,896		238,695
NWS Holdings Ltd.		39,000		62,513
PCCW Ltd.		131,000		53,405
Shanghai Industrial Urban Development Group Ltd. †		8		1
Sino Land Co., Ltd.		506,000		942,302
SJM Holdings Ltd.		506,000		1,093,429
Sun Hung Kai Properties Ltd.		39,046		568,137
Swire Pacific Ltd., Class A		31,530		384,943
Swire Properties Ltd.		71		219
Television Broadcasts Ltd.		403		2,975
Wharf Holdings Ltd.		82,243		568,694
Wheelock & Co., Ltd. (a)		131,621		565,468
Wing Hang Bank Ltd.		7,000		65,543
Wynn Macau Ltd. (a)		300,800		806,432
Yue Yuen Industrial Holdings Ltd.		239,109		801,875
				17,545,525
Italy - 2.0%
Assicurazioni Generali SpA		52,361		754,858
Enel SpA		355,437		1,259,193
Eni SpA		219,563		4,813,584
Fiat Industrial SpA		123,907		1,213,446
Intesa Sanpaolo SpA		450,059		686,271
Prysmian SpA		98,378		1,758,398
Telecom Italia SpA		1,385,934		1,392,246
UniCredit SpA †		181,238		754,193
				12,632,189
Japan - 17.4%
Ajinomoto Co., Inc.		160,000		2,506,128
Alfresa Holdings Corp.		14,500		714,262
Asahi Glass Co., Ltd.		413		2,747
Asahi Kasei Corp.		190,000		979,381
Astellas Pharma, Inc.		55,400		2,807,668
Azbil Corp.		37		742
Bank of Yokohama Ltd./The		56,000		266,294
Brother Industries Ltd.		185,000		1,713,506
Canon, Inc.		48,515		1,557,220

	SHARES		VALUE (Note 3)
Japan - 17.4% (continued)
Casio Computer Co., Ltd. (a)		128,100	$	907,420
Central Japan Railway Co.		28,100		2,466,533
Chiyoda Corp.		141,000		2,190,563
Chubu Electric Power Co., Inc.		97		1,260
Credit Saison Co., Ltd.		12		290
Daicel Corp.		193,000		1,155,981
Daido Steel Co., Ltd. (a)		148,000		687,329
Daito Trust Construction Co., Ltd.		3,987		400,232
Daiwa House Industry Co., Ltd.		17,295		250,603
Daiwa Securities Group, Inc. (1)		87,000		330,451
East Japan Railway Co.		24,213		1,602,055
FamilyMart Co., Ltd.		7,200		353,732
Fuji Heavy Industries Ltd.		721		6,007
FUJIFILM Holdings Corp.		43		720
Fujitsu Ltd.		280,000		1,051,182
Fukuoka Financial Group, Inc.		266,046		1,080,237
Hitachi High-Technologies Corp.		13,800		333,160
Honda Motor Co., Ltd.		33,697		1,041,418
Idemitsu Kosan Co., Ltd.		3,200		261,728
IHI Corp.		591,000		1,316,266
Isetan Mitsukoshi Holdings Ltd. (1)		51,600		537,645
Isuzu Motors Ltd.		357,000		1,720,295
ITOCHU Corp.		38,144		385,075
J Front Retailing Co., Ltd.		26,000		145,711
Japan Petroleum Exploration Co.		12,000		480,924
Japan Real Estate Investment Corp. REIT		29		291,839
Japan Retail Fund Investment Corp. REIT		93		166,055
Japan Tobacco, Inc.		115,600		3,460,341
JGC Corp.		63,000		2,098,167
JTEKT Corp.		89,370		706,431
JX Holdings, Inc.		95		519
Kajima Corp. (1)(a)		145,000		395,552
Kaneka Corp.		625		3,009
Kansai Electric Power Co., Inc./The		32		250
Kao Corp.		7,085		208,308
KDDI Corp.		6,200		480,887
Keisei Electric Railway Co., Ltd.		100,000		902,083
Kinden Corp.		564		3,548
Koito Manufacturing Co., Ltd.		102,000		1,177,550
Komatsu Ltd.		38		745
Konica Minolta Holdings, Inc.		258,000		1,984,715
Lawson, Inc.		1,600		122,823
Marubeni Corp. (a)		155,974		991,606
Medipal Holdings Corp.		55,700		766,716
Miraca Holdings, Inc.		5,306		238,283
Mitsubishi Estate Co., Ltd.		66,020		1,262,310
Mitsubishi UFJ Financial Group, Inc.		1,027,091		4,806,328
Mitsubishi UFJ Lease & Finance Co., Ltd.		18,600		783,080
Mitsui & Co., Ltd.		33,843		474,806
Mitsui Fudosan Co., Ltd.		44,205		883,333
Mitsumi Electric Co., Ltd. †		89		475
Mizuho Financial Group, Inc. (a)		826,310		1,341,132
MS&AD Insurance Group Holdings (1)		66,500		1,147,948
Namco Bandai Holdings, Inc.		116,600		1,975,331
NEC Corp. (1)†		215,000		341,182
NGK Spark Plug Co., Ltd. (a)		19,000		199,893
NHK Spring Co., Ltd.		51,700		444,236
Nippon Building Fund, Inc. REIT		31		334,151
Nippon Electric Glass Co., Ltd. (a)		56,000		308,582
Nippon Meat Packers, Inc.		42,000		538,636

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Japan - 17.4% (continued)
Nippon Steel Corp. (1)		90,405	$	185,126
Nippon Telegraph & Telephone Corp.		19,019		904,926
Nippon Yusen KK		18,000		31,797
Nishi-Nippon City Bank Ltd./The		737		1,706
Nissan Motor Co., Ltd.		12,700		108,086
Nisshin Seifun Group, Inc. (a)		20,084		246,913
Nisshin Steel Co., Ltd.		399,000		429,472
Nitto Denko Corp.		15,383		732,229
Nomura Holdings, Inc.		191,200		682,796
Nomura Real Estate Holdings, Inc.		3,300		57,864
NSK Ltd. (a)		172,000		998,955
NTT DOCOMO, Inc.		175		282,743
Obayashi Corp. (1)		165,000		751,933
ORIX Corp.		5,939		594,848
Osaka Gas Co., Ltd.		389,802		1,715,058
Otsuka Holdings Co., Ltd.		23,600		731,386
Panasonic Corp.		265,300		1,755,343
Rengo Co., Ltd.		299		1,374
Resona Holdings, Inc.		488,500		2,000,163
Seiko Epson Corp. (1)(a)		25,500		155,732
Seino Holdings Co., Ltd.		837		5,299
Sekisui Chemical Co., Ltd.		109,000		877,906
Sekisui House Ltd.		26,000		258,113
Seven & I Holdings Co., Ltd.		95,039		2,912,310
Sharp Corp.		245		606
Shimamura Co., Ltd.		6,400		745,076
Shinsei Bank Ltd.		1,213,000		1,566,928
Shionogi & Co., Ltd. (a)		103,900		1,583,325
Showa Denko KK (a)		99,000		157,078
Softbank Corp.		40,500		1,637,477
Sojitz Corp. (a)		609,162		787,567
Sony Corp.		71		830
Sumco Corp. †		52,200		351,409
Sumitomo Corp.		153,200		2,060,941
Sumitomo Heavy Industries Ltd.		426,000		1,452,201
Sumitomo Metal Mining Co., Ltd.		54,000		679,397
Sumitomo Mitsui Financial Group, Inc.		81,136		2,528,051
Sumitomo Mitsui Trust Holdings, Inc.		206,341		612,595
Sumitomo Realty & Development Co., Ltd.		20,261		536,885
Suzuken Co., Ltd. (1)		28,700		951,575
Suzuki Motor Corp.		97,200		1,887,908
T&D Holdings, Inc.		112,300		1,212,533
Taisei Corp. (a)		734,000		2,103,200
Takeda Pharmaceutical Co., Ltd.		5,981		275,171
THK Co., Ltd.		26,100		398,795
Toho Co., Ltd.		4,000		73,545
Tohoku Electric Power Co., Inc.		15,700		126,181
Tokai Rika Co., Ltd.		99		1,389
Tokyo Electric Power Co., Inc †		62,373		102,680
Tokyo Gas Co., Ltd.		178,071		979,201
Tokyu Land Corp.		26,483		141,525
Tosoh Corp.		889,000		1,687,845
Toyo Suisan Kaisha Ltd.		11,000		275,254
Toyota Boshoku Corp. (a)		22,200		230,297
Toyota Motor Corp.		98,078		3,845,572
Toyota Tsusho Corp.		38,500		822,426
USS Co., Ltd.		16,584		1,751,428
West Japan Railway Co.		48,900		2,088,287
Yamaha Corp.		39,400		364,774
Yokogawa Electric Corp.		61,900		714,431
				109,252,076

	SHARES		VALUE (Note 3)
Luxembourg - 0.3%
ArcelorMittal		68,789	$	990,181
Millicom International Cellular SA SDR (1)		8,418		781,072
				1,771,253
Netherlands - 3.4%
ASML Holding NV		110,701		5,921,226
Corio NV REIT		2,205		93,750
Gemalto NV (1)		34,422		3,027,381
ING Groep NV CVA †		159,010		1,259,392
Koninklijke Ahold NV		339,927		4,257,440
Koninklijke DSM NV		41,865		2,088,406
Koninklijke Philips Electronics NV		88,106		2,057,051
Unilever NV CVA		75,159		2,665,592
				21,370,238
Singapore - 1.6%
Ascendas Real Estate Investment
Trust REIT		80,637		157,944
CapitaLand Ltd.		91,000		234,400
CapitaMall Trust REIT		116,994		191,874
ComfortDelGro Corp. Ltd.		467,000		651,450
DBS Group Holdings Ltd.		92,128		1,076,078
Fraser and Neave Ltd.		64,000		461,242
Global Logistic Properties Ltd.		89,000		181,419
Golden Agri-Resources Ltd.		969,000		518,009
Hutchison Port Holdings Trust, Class U		253,000		182,745
Jardine Cycle & Carriage Ltd. (a)		2,066		80,644
Keppel Corp. Ltd.		109,728		1,014,522
Keppel Land Ltd.		101,000		290,648
Neptune Orient Lines Ltd. †(a)		251,000		229,957
Oversea-Chinese Banking Corp. Ltd.		48,479		367,673
SembCorp Industries Ltd.		48,017		220,592
Singapore Airlines Ltd.		38,000		331,663
Singapore Exchange Ltd.		40,472		230,029
Singapore Press Holdings Ltd.		36,000		119,155
Singapore Technologies Engineering Ltd.		63,265		182,038
Singapore Telecommunications Ltd.		422,524		1,100,231
StarHub Ltd.		23,988		72,594
United Overseas Bank Ltd.		78,097		1,245,413
UOL Group Ltd.		18,000		83,789
Wilmar International Ltd.		25,000		66,010
Yangzijiang Shipbuilding Holdings Ltd. (a)		880,319		699,075
				9,989,194
Spain - 1.7%
ACS Actividades de Construccion y Servicios SA (1)		40,777		840,439
Amadeus IT Holding SA, A Shares		35,353		824,218
Banco Bilbao Vizcaya Argentaria SA		196,454		1,545,672
Banco Santander SA †		442,545		3,303,336
Distribuidora Internacional de Alimentacion SA		367,312		2,028,476
Enagas SA (1)		46,356		914,151
Gas Natural SDG SA		76,679		1,085,058
				10,541,350
Sweden - 2.8%
Boliden AB		110,830		1,853,487
Electrolux AB, Series B (1)		202,708		5,008,832
Investor AB, B Shares		19,364		426,726
Scania AB, B Shares		60,520		1,112,598

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Sweden - 2.8% (continued)
SKF AB, B Shares (1)		40,839	$	882,518
Svenska Cellulosa AB, B Shares		164,814		3,064,199
Swedish Match AB		118,340		4,790,597
TeliaSonera AB		90,089		648,250
				17,787,207
Switzerland - 6.7%
Aryzta AG †		7,955		381,843
Compagnie Financiere Richemont SA, Class A		69,122		4,150,305
Nestle SA		176,041		11,107,725
Novartis AG		112,540		6,887,844
Roche Holding AG		56,374		10,544,570
STMicroelectronics NV (1)		302,856		1,634,580
Sulzer AG		6,198		904,724
Syngenta AG		15,534		5,810,996
Transocean Ltd.		11,824		529,354
Zurich Insurance Group AG †		2,038		508,088
				42,460,029
United Kingdom - 19.1%
Anglo American PLC		35,930		1,057,716
AstraZeneca PLC		171,603		8,193,184
Aviva PLC		280,251		1,448,155
Babcock International Group PLC		33,537		502,844
BAE Systems PLC		442,521		2,326,664
Barclays PLC		2,236,606		7,766,852
BHP Billiton PLC		107,199		3,347,617
BP PLC		867,638		6,116,742
British American Tobacco PLC		148,481		7,629,462
British Land Co. PLC REIT		29,205		246,670
BT Group PLC		320,700		1,195,487
Experian PLC		97,933		1,630,655
GKN PLC		159,668		555,168
GlaxoSmithKline PLC		404,847		9,344,931
Glencore International PLC		202,161		1,122,907
Hammerson PLC REIT		28,872		210,742
HSBC Holdings PLC		1,335,018		12,401,995
Imperial Tobacco Group PLC		139,644		5,173,331
Investec PLC		62,846		389,079
ITV PLC		1,565,368		2,237,744
J Sainsbury PLC		140,391		788,996
Johnson Matthey PLC (1)		70,274		2,744,891
Kingfisher PLC		422,221		1,804,985
Land Securities Group PLC REIT		24,126		297,335
Legal & General Group PLC		1,181,933		2,523,314
Lloyds Banking Group PLC †		2,090,666		1,316,403
National Grid PLC		42,987		474,184
Next PLC		35,023		1,953,899
Randgold Resources Ltd.		3,761		462,650
Reed Elsevier PLC		49,673		475,533
Rio Tinto PLC		65,621		3,068,388
Royal Bank of Scotland Group PLC †		333,629		1,386,158
Royal Dutch Shell PLC, A Shares		181,544		6,291,592
Royal Dutch Shell PLC, B Shares		114,217		4,064,504
RSA Insurance Group PLC		1,325,063		2,368,868
Sage Group PLC/The		58,964		298,777
Segro PLC REIT		49,428		181,562
Tate & Lyle PLC		124,842		1,342,791
Tesco PLC		185,867		998,108
TUI Travel PLC		469,786		1,778,790
Tullow Oil PLC		33,537		743,990
Unilever PLC		67,483		2,463,935
Vodafone Group PLC		1,171,928		3,330,189

	SHARES		VALUE (Note 3)
United Kingdom - 19.1% (continued)
Wolseley PLC		88,007	$	3,764,584
WPP PLC		62,942		857,325
Xstrata PLC		106,095		1,645,850
				120,325,546
TOTAL COMMON STOCKS (cost $504,142,908)				538,470,194
PREFERRED STOCKS - 0.8%
Germany - 0.8%
Henkel AG & Co. KGaA		23,829		1,898,185
ProSiebenSat.1 Media AG		33,298		839,465
Volkswagen AG		13,560		2,479,383
TOTAL PREFERRED STOCKS (cost $4,525,910)				5,217,033
MONEY MARKET FUNDS - 10.7%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (d)(e)		1,680,001		1,680,001
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d)		65,424,148		65,424,148
TOTAL MONEY MARKET FUNDS (cost $67,104,149)				67,104,149
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.3%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (d)(f)
(cost $14,778,500)		14,778,500		14,778,500
TOTAL INVESTMENTS - 99.4% (cost $590,551,467)				625,569,876
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% (g)				3,958,623
NET ASSETS - 100.0%			$	629,528,499

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $13,953,809; cash collateral of $14,778,500 was received with which the Fund purchased a money market fund.

(b) Security fair valued at $0 as of September 30, 2012 using procedures approved by the Board of Trustees.

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

(d) Represents annualized seven-day yield as of September 30, 2012.

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

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

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

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

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

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

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

The following abbreviations are used in portfolio descriptions:

ADR - American Depositary Receipt

CVA - Dutch Certificate of Shares

FDR - Fiduciary Depositary Receipt

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	67,222,051		10.7	%
Consumer Staples		74,732,966		11.9
Energy		30,560,853		4.8
Financials		113,153,776		18.0
Health Care		74,719,203		11.9
Industrials		70,142,078		11.1
Information Technology		27,620,053		4.4
Materials		53,012,183		8.4
Telecommunication Services		19,998,320		3.2
Utilities		12,525,744		2.0
Money Market Funds		81,882,649		13.0
Total Investments		625,569,876		99.4
Other Assets in Excess of Liabilities (g)		3,958,623		0.6
Net Assets	$	629,528,499		100.0	%

See notes to Schedule Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Total return swap contract outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index Futures	12/21/2012		CHF		34,660,576	$	(174,993	)

Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
987	CAC40 10 Euro Futures	October 19, 2012	$	44,422,389		$	42,527,586		$	(1,894,803	)
92	DAX Index Futures	December 21, 2012		21,769,352			21,394,219			(375,133	)
357	FTSE 100 Index Futures	December 21, 2012		33,575,491			32,934,508			(640,983	)
8	FTSE/MIB Index Futures	December 21, 2012		811,278			773,293			(37,985	)
256	IBEX 35 Index Futures	October 19, 2012		26,317,296			25,274,322			(1,042,974	)
37	MSCI Singapore Index Futures	October 30, 2012		2,121,507			2,122,555			1,048
				129,017,313			125,026,483			(3,990,830	)
Short Contracts:
5	Amsterdam Index Futures	October 19, 2012		(428,861	)		(416,613	)		12,248
120	Hang Seng Index Futures	October 30, 2012		(15,968,722	)		(16,152,849	)		(184,127	)
1,041	OMXS30 Index Futures	October 19, 2012		(17,504,667	)		(17,036,217	)		468,450
404	SPI 200 Index Futures	December 20, 2012		(46,174,829	)		(45,929,983	)		244,846
72	TOPIX Index Futures	December 13, 2012		(6,844,019	)		(6,781,138	)		62,881
				(86,921,098	)		(86,316,800	)		604,298
			$	42,096,215		$	38,709,683		$	(3,386,532	)

Cash held as collateral with broker for futures contracts was $16,885,963 at September 30, 2012.

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		7,634,000	$	7,836,556	$	7,864,951	$	28,395
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		5,488,000		5,913,961		5,843,719		(70,242	)
Danish Krone, Expiring 12/19/12	The Royal Bank of Scotland	DKK		2,422,000		423,507		418,195		(5,312	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		51,772,000		66,169,028		66,586,919		417,891
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		40,265,300		65,326,041		65,005,912		(320,129	)
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		17,288,000		2,229,573		2,229,619		46
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		14,857,000		3,683,918		3,779,254		95,336
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		507,761,000		6,501,084		6,511,583		10,499
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		783,212,000		134,972,677		136,308,298		1,335,621
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		32,624,000		26,545,378		26,895,974		350,596

See notes to Schedule Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Swedish Krona,
Expiring 12/19/12	The Royal Bank of Scotland	SEK		774,190,000		$	115,933,543		$	117,580,702		$	1,647,159
Singapore Dollar,
Expiring 12/19/12	The Royal Bank of Scotland	SGD		2,672,300			2,147,306			2,177,461			30,155
						$	437,682,572		$	441,202,587		$	3,520,015
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar,
Expiring 12/19/12	The Royal Bank of Scotland	AUD		(48,614,900	)	$	(49,744,150	)	$	(50,085,644	)	$	(341,494	)
Swiss Franc,
Expiring 12/19/12	The Royal Bank of Scotland	CHF		(39,619,800	)		(41,757,119	)		(42,187,863	)		(430,744	)
Danish Krone,
Expiring 12/19/12	The Royal Bank of Scotland	DKK		(40,058,000	)		(6,906,903	)		(6,916,625	)		(9,722	)
Euro,
Expiring 12/19/12	The Royal Bank of Scotland	EUR		(101,833,600	)		(130,232,886	)		(130,973,995	)		(741,109	)
British Pound,
Expiring 12/19/12	The Royal Bank of Scotland	GBP		(15,061,000	)		(24,047,810	)		(24,315,081	)		(267,271	)
Hong Kong Dollar,
Expiring 12/19/12	The Royal Bank of Scotland	HKD		(1,144,000	)		(147,566	)		(147,541	)		25
Israeli Shekel,
Expiring 12/19/12	The Royal Bank of Scotland	ILS		(201,000	)		(51,364	)		(51,129	)		235
Japanese Yen,
Expiring 12/19/12	The Royal Bank of Scotland	JPY		(8,617,811,200	)		(109,904,678	)		(110,515,750	)		(611,072	)
Norwegian Krone,
Expiring 12/19/12	The Royal Bank of Scotland	NOK		(45,536,000	)		(7,841,656	)		(7,924,974	)		(83,318	)
New Zealand Dollar,
Expiring 12/19/12	The Royal Bank of Scotland	NZD		(7,755,000	)		(6,136,050	)		(6,393,400	)		(257,350	)
Swedish Krona,
Expiring 12/19/12	The Royal Bank of Scotland	SEK		(115,618,000	)		(17,390,241	)		(17,559,573	)		(169,332	)
Singapore Dollar,
Expiring 12/19/12	The Royal Bank of Scotland	SGD		(70,000	)		(56,535	)		(57,038	)		(503	)
							(394,216,958	)		(397,128,613	)		(2,911,655	)
						$	43,465,614		$	44,073,974		$	608,360

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $1,680,001.

Additional cash held as collateral with broker for forward currency exchange contracts was $300,000 at September 30, 2012.

AUD - Australian 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

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR EMERGING DEFENSIVE EQUITY FUND

COMMON STOCKS - 92.1%	SHARES		VALUE (Note 3)
Brazil - 11.9%
All America Latina Logistica SA (1)		1,300	$	5,342
CCR SA (1)		2,500		22,247
Centrais Eletricas Brasileiras SA ADR (1)(a)		4,252		25,214
Cia de Bebidas das Americas ADR (1)(a)		1,941		74,282
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1)		207		16,811
Cia Energetica de Minas Gerais ADR (1)		2,487		30,142
Cia Paranaense de Energia ADR (1)(a)		518		8,506
Cia Siderurgica Nacional SA ADR (1)		981		5,523
Cielo SA (1)		200		4,986
CPFL Energia SA ADR (1)		3,056		66,957
Diagnosticos da America SA (1)		4,600		27,501
EDP - Energias do Brasil SA (1)		11,800		74,039
Light SA (1)		5,900		68,568
Natura Cosmeticos SA (1)		1,200		32,497
Souza Cruz SA (1)		5,200		69,692
Telefonica Brasil SA ADR (1)		2,735		59,459
Tim Participacoes SA ADR (1)(a)		177		3,402
Tractebel Energia SA (1)†		3,600		56,737
				651,905
Chile - 5.8%
Banco Santander Chile ADR (1)		857		62,767
Cencosud SA (1)		12,916		78,234
Enersis SA ADR (1)		3,843		62,987
SACI Falabella (1)		6,594		66,582
Sociedad Quimica y Minera de Chile SA ADR (1)		728		44,874
				315,444
China - 1.9%
China Petroleum & Chemical Corp. ADR (1)		135		12,477
China Yurun Food Group Ltd. †		25,000		17,851
Dongfeng Motor Group Co., Ltd., H Shares		8,000		9,296
PetroChina Co., Ltd. ADR (1)		165		21,311
Sun Art Retail Group Ltd.		32,500		40,335
ZHuzhou CSR Times Electric Co., Ltd., H Shares		2,000		5,116
				106,386
Hong Kong - 1.2%
China Merchants Holdings International Co. Ltd.		4,000		12,259
China Unicom Hong Kong Ltd. ADR (1)(a)		2,731		44,542
GOME Electrical Appliances Holding Ltd. †		107,000		11,229
				68,030
India - 0.4%
Dr Reddy’s Laboratories Ltd. ADR (1)		693		21,386
Indonesia - 4.0%
Bank Central Asia Tbk PT		64,000		52,670
Bank Mandiri Persero Tbk PT		10,500		8,960
Bank Negara Indonesia Persero Tbk PT		17,000		6,943
Semen Gresik Persero Tbk PT		37,000		55,712
Telekomunikasi Indonesia Persero Tbk PT ADR (1)		2,106		81,987

	SHARES		VALUE (Note 3)
Indonesia - 4.0% (continued)
United Tractors Tbk PT		5,500	$	11,843
				218,115
Korea, Republic of - 11.2%
Amorepacific Corp.		42		44,580
Cheil Industries, Inc.		322		29,248
E-Mart Co., Ltd.		61		13,274
Honam Petrochemical Corp.		23		5,426
Hyundai Department Store Co., Ltd.		195		26,687
Hyundai Mobis		106		29,469
Hyundai Wia Corp.		34		5,706
Kangwon Land, Inc.		2,470		55,383
Kia Motors Corp.		303		18,826
Korea Zinc Co. Ltd.		20		8,704
KT Corp. ADR (1)		1,432		22,397
KT&G Corp.		1,019		77,666
LG Chem Ltd.		97		28,674
LG Household & Health Care Ltd.		92		52,394
Lotte Shopping Co., Ltd.		232		66,531
Samsung Engineering Co., Ltd.		118		20,247
Samsung Fire & Marine Insurance Co. Ltd.		25		5,349
Samsung Heavy Industries Co., Ltd.		360		12,096
Samsung Life Insurance Co., Ltd.		329		28,351
SK Telecom Co., Ltd. ADR (1)		4,489		65,270
				616,278
Malaysia - 14.4%
AMMB Holdings Bhd		16,900		35,110
Axiata Group Bhd		30,600		64,978
CIMB Group Holdings Bhd		19,100		46,782
DiGi.Com Bhd		53,900		92,908
Kuala Lumpur Kepong Bhd		9,400		67,763
Malayan Banking Bhd		26,500		77,998
Maxis Bhd		35,500		80,308
Petronas Chemicals Group Bhd		35,200		73,518
Public Bank Bhd †		14,000		65,833
Sime Darby Bhd		23,200		74,336
Telekom Malaysia Bhd		40,600		82,101
Tenaga Nasional Bhd		9,400		20,897
UMW Holdings Bhd		1,600		5,226
				787,758
Mexico - 3.8%
America Movil SAB de CV, Series L ADR (1)(a)		1,726		43,909
Coca-Cola Femsa SAB de CV ADR (1)(a)		531		68,499
Grupo Televisa SAB ADR (1)(a)		963		22,640
Wal-Mart de Mexico SAB de CV, Series V (1)		26,400		74,349
				209,397
Poland - 3.9%
PGE SA		8,494		49,050
Powszechna Kasa Oszczednosci Bank Polski SA		1,390		15,449
Powszechny Zaklad Ubezpieczen SA		555		62,430
Telekomunikacja Polska SA		16,456		84,567
				211,496
Russia - 2.3%
Lukoil OAO ADR (1)		949		58,402
Magnit OJSC GDR		234		7,969

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR EMERGING DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 3)
Russia - 2.3% (continued)
MMC Norilsk Nickel OJSC ADR (1)		1,841	$	29,106
Tatneft OAO ADR		751		31,239
				126,716
South Africa - 14.0%
ABSA Group Ltd.		942		15,716
Aspen Pharmacare Holdings Ltd. †		4,681		80,551
Bidvest Group Ltd.		3,210		79,410
FirstRand Ltd.		3,618		12,126
Gold Fields Ltd. ADR (1)(a)		2,311		29,696
Kumba Iron Ore Ltd.		235		14,166
Life Healthcare Group Holdings Ltd.		18,417		70,361
MTN Group Ltd.		1,534		29,614
Nedbank Group Ltd.		1,661		36,642
Remgro Ltd. †		4,302		75,211
Sanlam Ltd.		11,228		50,735
Shoprite Holdings Ltd.		3,556		71,849
Standard Bank Group Ltd./South Africa		5,253		66,732
Tiger Brands Ltd.		338		11,087
Vodacom Group Ltd.		2,962		36,344
Woolworths Holdings Ltd.		11,513		84,069
				764,309
Taiwan - 10.2%
Acer, Inc. †		43,000		42,111
Cheng UEI Precision Industry Co., Ltd. †		6,059		14,469
China Steel Corp.		32,480		29,589
Chunghwa Telecom Co., Ltd. ADR (1)		2,279		72,358
Evergreen Marine Corp. Taiwan Ltd. †		39,000		20,489
Foxconn Technology Co., Ltd.		7,350		28,454
HTC Corp.		2,000		19,313
Powertech Technology, Inc. †		10,000		19,111
Realtek Semiconductor Corp.		20,200		39,796
Richtek Technology Corp. †		6,000		35,801
Synnex Technology International Corp.		18,000		40,677
Taiwan Mobile Co. Ltd.		23,000		83,875
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		2,756		43,600
Uni-President Enterprises Corp.		28,890		51,044
Wistron Corp.		13,650		16,344
				557,031
Thailand - 4.2%
Advanced Info Service PCL NVDR		11,800		81,946
CP ALL PCL NVDR †		57,700		66,361
PTT Global Chemical PCL NVDR		27,200		55,597
PTT PCL NVDR		2,400		25,599
				229,503
Turkey - 2.9%
KOC Holding AS		12,784		51,160
Turk Hava Yollari †		5,020		10,515
Turk Telekomunikasyon AS		18,470		73,568
Turkcell Iletisim Hizmetleri AS †		3,600		21,955
				157,198
TOTAL COMMON STOCKS (cost $4,838,269)				5,040,952
PREFERRED STOCKS - 0.6%
Brazil - 0.6%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA (1) (cost $33,767)		3,200		31,033

	SHARES		VALUE (Note 3)
EXCHANGE-TRADED FUNDS - 6.0%
iShares MSCI Emerging Markets Index Fund (1) (cost $313,402)		7,955	$	328,701
MONEY MARKET FUNDS - 1.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b) (cost $89,063)		89,063		89,063
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (b)(c) (cost $152,366)		152,366		152,366
TOTAL INVESTMENTS - 103.1% (cost $5,426,867)				5,642,115
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.1%)				(169,318)
NET ASSETS - 100.0%			$	5,472,797

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $148,864; cash collateral of $152,366 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR EMERGING DEFENSIVE EQUITY FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	401,643		7.3	%
Consumer Staples		919,726		16.8
Energy		149,027		2.7
Financials		725,804		13.3
Health Care		199,799		3.7
Industrials		325,061		5.9
Information Technology		304,661		5.6
Materials		409,834		7.5
Mutual Fund		328,701		6.0
Telecommunication Services		1,125,489		20.6
Utilities		510,941		9.3
Money Market Funds		241,429		4.4
Total Investments		5,642,115		103.1
Liabilities in Excess of Other Assets		(169,318)		(3.1)
Net Assets	$	5,472,797		100.0	%

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

COMMON STOCKS - 92.4%	SHARES		VALUE (Note 3)
Australia - 13.8%
AGL Energy Ltd.		2,108	$	32,659
Amcor Ltd.		5,974		47,934
ASX Ltd.		1,108		33,855
BlueScope Steel Ltd. †		5,747		2,490
Boral Ltd.		2,169		8,594
Brambles Ltd.		275		1,993
Coca-Cola Amatil Ltd.		3,221		45,221
Cochlear Ltd.		280		19,425
Commonwealth Bank of Australia		160		9,212
Computershare Ltd.		222		1,905
Insurance Australia Group Ltd.		1,888		8,515
Orica Ltd.		208		5,349
Sonic Healthcare Ltd.		3,275		45,877
Tabcorp Holdings Ltd.		14,521		41,497
Transurban Group		7,180		44,518
Wesfarmers Ltd.		1,415		50,080
Woodside Petroleum Ltd.		387		13,239
Woolworths Ltd.		1,588		47,286
				459,649
Belgium - 0.6%
Belgacom SA		371		11,320
Delhaize Group SA		191		7,377
				18,697
Canada - 14.9%
Agrium, Inc. (1)		22		2,283
Bank of Montreal (1)		608		35,932
Bank of Nova Scotia (1)		714		39,161
Barrick Gold Corp. (1)		203		8,483
BCE, Inc. (1)		1,046		46,017
Canadian Imperial Bank of Commerce (1)		500		39,136
Canadian National Railway Co. (1)		283		25,041
Eldorado Gold Corp. (1)		904		13,784
Enbridge, Inc. (1)		523		20,428
Goldcorp, Inc. (1)		173		7,944
IAMGOLD Corp. (1)		414		6,565
Imperial Oil Ltd. (1)		500		23,014
National Bank of Canada (1)		482		36,477
Rogers Communications, Inc., Class B (1)		434		17,570
Royal Bank of Canada (1)		159		9,144
Shaw Communications, Inc., Class B (1)		1,065		21,796
Shoppers Drug Mart Corp. (1)		1,038		43,216
Toronto-Dominion Bank/The (1)		283		23,602
TransCanada Corp. (1)(a)		734		33,404
Yamana Gold, Inc. (1)		2,335		44,605
				497,602
Denmark - 1.3%
Novo Nordisk A/S, Class B		270		42,491
France - 1.5%
Cie Generale d’Optique Essilor
International SA		120		11,229
Danone SA		282		17,351
L’Oreal SA		103		12,735
SES SA FDR		361		9,817
				51,132
Germany - 2.2%
Beiersdorf AG		685		50,310

	SHARES		VALUE (Note 3)
Germany - 2.2% (continued)
Deutsche Postbank AG †		177	$	6,782
Fresenius Medical Care AG & Co.
KGaA		135		9,902
Metro AG		236		7,071
				74,065
Hong Kong - 1.6%
CLP Holdings Ltd.		1,500		12,732
Hang Seng Bank Ltd.		1,100		16,816
Power Assets Holdings Ltd.		3,000		25,473
				55,021
Japan - 26.4%
Aeon Co., Ltd.		200		2,258
Ajinomoto Co., Inc.		1,000		15,663
All Nippon Airways Co., Ltd.		3,000		6,306
Asahi Group Holdings Ltd.		1,400		34,526
Asahi Kasei Corp.		3,000		15,464
Astellas Pharma, Inc.		900		45,612
Bank of Yokohama Ltd./The		1,000		4,755
Canon, Inc.		600		19,259
Central Japan Railway Co.		500		43,888
Chiba Bank Ltd./The		1,000		5,813
Chugai Pharmaceutical Co., Ltd.		1,200		25,151
Dai Nippon Printing Co., Ltd.		1,000		6,973
Dentsu, Inc.		300		7,598
East Japan Railway Co.		300		19,849
Eisai Co., Ltd.		200		9,010
FamilyMart Co., Ltd.		500		24,565
Inpex Corp.		1		5,945
Kao Corp.		1,600		47,042
KDDI Corp.		700		54,294
Konami Corp.		100		2,271
Kuraray Co., Ltd.		200		2,271
Lawson, Inc.		300		23,029
Mitsumi Electric Co., Ltd. †		400		2,136
Nippon Electric Glass Co., Ltd.		2,000		11,021
Nippon Express Co., Ltd.		2,000		7,575
Nitori Holdings Co., Ltd.		350		32,485
NTT DOCOMO, Inc.		26		42,007
Oriental Land Co., Ltd.		200		26,333
Osaka Gas Co., Ltd.		10,000		43,998
Rakuten, Inc.		100		1,017
Secom Co., Ltd.		300		15,637
Seven & I Holdings Co., Ltd.		800		24,515
Shionogi & Co., Ltd.		1,200		18,287
Shiseido Co., Ltd.		100		1,371
Shizuoka Bank Ltd./The		2,000		20,465
Suzuki Motor Corp.		200		3,885
Takeda Pharmaceutical Co., Ltd.		700		32,205
Tokyo Gas Co., Ltd.		6,000		32,994
Toyo Suisan Kaisha Ltd.		1,000		25,023
Trend Micro, Inc.		400		11,153
Unicharm Corp.		400		22,934
West Japan Railway Co.		700		29,894
Yamada Denki Co., Ltd.		220		9,651
Yamato Holdings Co., Ltd.		2,700		42,702
				878,830
Netherlands - 0.7%
Koninklijke Ahold NV		1,533		19,200

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 3)
Netherlands - 0.7% (continued)
Unilever NV CVA		130	$	4,611
				23,811
Norway - 0.5%
Telenor ASA		872		17,019
Singapore - 1.4%
Golden Agri-Resources Ltd.		7,000		3,742
Singapore Airlines Ltd.		2,000		17,456
Singapore Telecommunications Ltd.		10,000		26,040
				47,238
Spain - 0.9%
Inditex SA		243		30,193
Sweden - 2.0%
Hennes & Mauritz AB, B Shares		680		23,666
Swedish Match AB		555		22,468
Tele2 AB, B Shares		1,063		19,306
				65,440
Switzerland - 4.8%
Kuehne + Nagel International AG		135		15,277
Nestle SA		731		46,124
Novartis AG		787		48,167
Roche Holding AG		21		3,928
SGS SA		8		16,451
Swisscom AG		68		27,376
Syngenta AG		10		3,741
				161,064
United Kingdom - 19.3%
ARM Holdings PLC		781		7,290
Associated British Foods PLC		2,207		45,988
AstraZeneca PLC		966		46,122
British American Tobacco PLC		843		43,316
Burberry Group PLC		132		2,137
Centrica PLC		6,016		31,834
Compass Group PLC		1,907		21,080
Experian PLC		561		9,341
GlaxoSmithKline PLC		1,283		29,615
Imperial Tobacco Group PLC		381		14,115
J Sainsbury PLC		3,512		19,737
Marks & Spencer Group PLC		4,636		26,754
National Grid PLC		3,861		42,590
Pearson PLC		795		15,541
Reckitt Benckiser Group PLC		804		46,322
Rexam PLC		1,352		9,513
Royal Dutch Shell PLC, B Shares		459		16,334
Sage Group PLC/The		1,205		6,106
Serco Group PLC		1,039		9,744
Shire PLC		80		2,360
Smith & Nephew PLC		3,441		37,959
SSE PLC		1,989		44,758
Tesco PLC		1,004		5,392
Vodafone Group PLC		15,558		44,210
Whitbread PLC		485		17,789
WM Morrison Supermarkets PLC		10,081		46,481
				642,428

	SHARES		VALUE (Note 3)
United States - 0.5%
Thomson Reuters Corp. (1)		569	$	16,449
TOTAL COMMON STOCKS (cost $2,913,324)				3,081,129
PREFERRED STOCKS - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA		157		12,506
Porsche Automobil Holding SE		30		1,798
TOTAL PREFERRED STOCKS (cost $11,979)				14,304
EXCHANGE-TRADED FUNDS - 5.7%
iShares MSCI EAFE Index Fund (1) (cost $183,191)		3,606		191,118
MONEY MARKET FUNDS - 1.6%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares, 0.000% (b) (cost $52,318)		52,318		52,318
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 1.1%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (b)(c) (cost $35,012)		35,012		35,012
TOTAL INVESTMENTS - 101.2% (cost $3,195,824)				3,373,881
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%)			(40,401)
NET ASSETS - 100.0%			$	3,333,480

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $33,334; cash collateral of $35,012 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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 Certificate of Shares

FDR - Fiduciary Depositary Receipt

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	309,487		9.3	%
Consumer Staples		831,573		24.9
Energy		112,363		3.4
Financials		289,667		8.7
Health Care		427,340		12.8
Industrials		312,647		9.4
Information Technology		61,139		1.8
Materials		179,019		5.4
Mutual Fund		191,118		5.7
Telecommunication Services		305,160		9.1
Utilities		267,038		8.0
Money Market Funds		87,330		2.7
Total Investments		3,373,881		101.2
Liabilities in Excess of Other Assets		(40,401)		(1.2)
Net Assets	$	3,333,480		100.0	%

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR U.S. DEFENSIVE EQUITY FUND

COMMON STOCKS - 90.3%	SHARES		VALUE (Note 3)
Consumer Discretionary - 8.0%
Amazon.com, Inc. †		120	$	30,518
AutoZone, Inc. †		42		15,526
Bed Bath & Beyond, Inc. †		79		4,977
Big Lots, Inc. †(a)		328		9,702
Buckle, Inc./The (a)		64		2,908
Chipotle Mexican Grill, Inc. †		24		7,621
Dollar Tree, Inc. †		337		16,269
Family Dollar Stores, Inc.		110		7,293
GameStop Corp., Class A (a)		72		1,512
ITT Educational Services, Inc. †		56		1,805
Kohl’s Corp.		84		4,303
McDonald’s Corp.		418		38,352
McGraw-Hill Cos., Inc./The		218		11,901
Panera Bread Co., Class A †		40		6,836
PetSmart, Inc.		86		5,932
RadioShack Corp. (a)		1,220		2,904
Ross Stores, Inc.		22		1,421
Scripps Networks Interactive, Inc., Class A		71		4,347
Target Corp.		318		20,183
TJX Cos., Inc.		81		3,628
Tupperware Brands Corp.		48		2,572
Viacom, Inc., Class B		248		13,290
Washington Post Co./The, Class B		6		2,178
Yum! Brands, Inc.		116		7,695
				223,673
Consumer Staples - 23.4%
Altria Group, Inc.		1,087		36,295
Archer-Daniels-Midland Co.		45		1,223
Brown-Forman Corp., Class B		394		25,709
Campbell Soup Co. (a)		371		12,918
Church & Dwight Co., Inc.		618		33,366
Clorox Co./The		226		16,283
Coca-Cola Co./The		414		15,703
Colgate-Palmolive Co.		350		37,527
ConAgra Foods, Inc.		242		6,677
Costco Wholesale Corp.		379		37,947
CVS Caremark Corp.		215		10,410
Estee Lauder Cos., Inc./The, Class A		18		1,108
General Mills, Inc.		528		21,041
Hershey Co./The		142		10,066
HJ Heinz Co.		468		26,185
Hormel Foods Corp. (a)		469		13,714
Kellogg Co.		234		12,088
Kimberly-Clark Corp.		443		38,001
Kroger Co./The		954		22,457
Lorillard, Inc.		293		34,120
McCormick & Co., Inc.		183		11,353
PepsiCo, Inc.		499		35,314
Philip Morris International, Inc.		418		37,595
Procter & Gamble Co./The		553		38,356
Reynolds American, Inc. (a)		808		35,019
Sysco Corp. (a)		224		7,004
Walgreen Co.		492		17,929
Wal-Mart Stores, Inc.		506		37,343
Whole Foods Market, Inc.		205		19,967
				652,718
Energy - 1.3%
CARBO Ceramics, Inc. (a)		63		3,964
Chevron Corp.		63		7,343

	SHARES		VALUE (Note 3)
Energy - 1.3% (continued)
Exxon Mobil Corp.		145	$	13,260
Spectra Energy Corp.		378		11,098
				35,665
Financials - 8.9%
ACE Ltd. (Switzerland)		47		3,553
Aon PLC (United Kingdom)		119		6,223
Bank of Hawaii Corp. (a)		483		22,034
Chubb Corp./The		466		35,547
City National Corp. (a)		37		1,906
Cullen/Frost Bankers, Inc. (a)		419		24,063
Everest Re Group Ltd.		329		35,190
FirstMerit Corp. (a)		43		633
HCC Insurance Holdings, Inc.		19		644
M&T Bank Corp. (a)		161		15,321
Marsh & McLennan Cos., Inc.		191		6,481
New York Community Bancorp, Inc. (a)		1,111		15,732
Northern Trust Corp.		220		10,211
People’s United Financial, Inc.		2,505		30,411
Progressive Corp./The		141		2,924
Travelers Cos., Inc./The		285		19,454
US Bancorp		134		4,596
WR Berkley Corp. (a)		402		15,071
				249,994
Health Care - 16.6%
Abbott Laboratories		359		24,613
Aetna, Inc.		146		5,782
Alexion Pharmaceuticals, Inc. †		18		2,059
Allergan, Inc.		150		13,737
AmerisourceBergen Corp.		223		8,632
Amgen, Inc.		247		20,827
Baxter International, Inc.		276		16,632
Becton Dickinson and Co. (a)		266		20,897
Biogen Idec, Inc. †		158		23,578
Bristol-Myers Squibb Co.		901		30,409
Cardinal Health, Inc.		328		12,782
Celgene Corp. †		272		20,781
CR Bard, Inc.		173		18,105
Edwards Lifesciences Corp. †		51		5,476
Eli Lilly & Co.		697		33,045
Forest Laboratories, Inc. †		373		13,283
Gilead Sciences, Inc. †		195		12,934
Henry Schein, Inc. †		102		8,086
IDEXX Laboratories, Inc. †(a)		87		8,644
Johnson & Johnson		554		38,176
Laboratory Corp of America Holdings †		95		8,785
McKesson Corp.		214		18,410
Merck & Co., Inc.		161		7,261
Mettler-Toledo International, Inc. †(a)		38		6,488
Myriad Genetics, Inc. †		407		10,985
Patterson Cos., Inc.		431		14,758
Pfizer, Inc.		199		4,945
Quest Diagnostics, Inc.		12		761
St Jude Medical, Inc.		88		3,707
Stryker Corp.		386		21,485
UnitedHealth Group, Inc.		203		11,248
Vertex Pharmaceuticals, Inc. †		53		2,965
WellPoint, Inc.		40		2,320
Zimmer Holdings, Inc.		149		10,075
				462,671

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR U.S. DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 3)
Industrials - 4.8%
3M Co.		154	$	14,233
CH Robinson Worldwide, Inc. (a)		106		6,206
Clean Harbors, Inc. †		50		2,443
Dun & Bradstreet Corp./The		71		5,653
Fastenal Co.		74		3,181
General Dynamics Corp.		136		8,992
Honeywell International, Inc.		55		3,286
Lockheed Martin Corp. (a)		68		6,350
Northrop Grumman Corp.		108		7,174
Raytheon Co.		151		8,631
Republic Services, Inc.		110		3,026
Stericycle, Inc. †		284		25,708
United Parcel Service, Inc., Class B		119		8,517
United Technologies Corp.		44		3,445
Waste Management, Inc. (a)		783		25,119
Werner Enterprises, Inc. (a)		136		2,906
				134,870
Information Technology - 13.2%
Accenture PLC, Class A (Ireland)		312		21,849
Altera Corp.		119		4,044
Analog Devices, Inc.		448		17,557
Apple, Inc.		11		7,340
Autodesk, Inc. †		40		1,335
Automatic Data Processing, Inc.		540		31,676
Broadcom Corp., Class A †		185		6,397
F5 Networks, Inc. †		6		628
FactSet Research Systems, Inc. (a)		184		17,741
Google, Inc., Class A †		49		36,971
IAC/InterActiveCorp		371		19,314
Intel Corp.		562		12,746
International Business Machines Corp.		176		36,511
Intuit, Inc.		297		17,487
Linear Technology Corp.		603		19,206
Marvell Technology Group Ltd.		84		769
Mastercard, Inc., Class A		28		12,641
Maxim Integrated Products, Inc.		90		2,396
MEMC Electronic Materials, Inc. †(a)		1,422		3,911
Microchip Technology, Inc.		119		3,896
Microsoft Corp.		461		13,729
Paychex, Inc. (a)		285		9,488
QUALCOMM, Inc.		18		1,125
Riverbed Technology, Inc. †(a)		298		6,934
SAIC, Inc.		133		1,601
Silicon Laboratories, Inc. †(a)		258		9,484
Synopsys, Inc. †		391		12,911
Texas Instruments, Inc. (a)		52		1,433
Total System Services, Inc.		147		3,484
VeriSign, Inc. †		187		9,105
Visa, Inc., Class A		112		15,039
Xilinx, Inc.		319		10,658
				369,406
Materials - 0.6%
Newmont Mining Corp.		180		10,082
Sherwin-Williams Co./The		32		4,765
Sigma-Aldrich Corp. (a)		8		576
				15,423
Telecommunication Services - 3.1%
AT&T, Inc.		806		30,386
CenturyLink, Inc.		390		15,756
tw telecom, Inc. †(a)		116		3,024

	SHARES		VALUE (Note 3)
Telecommunication Services - 3.1% (continued)
Verizon Communications, Inc.		772	$	35,180
Windstream Corp. (a)		319		3,225
				87,571
Utilities - 10.4%
American Electric Power Co., Inc.		328		14,412
American Water Works Co., Inc.		448		16,603
CenterPoint Energy, Inc.		181		3,855
Consolidated Edison, Inc.		397		23,776
Dominion Resources, Inc.		709		37,535
DTE Energy Co.		201		12,048
Duke Energy Corp.		274		17,755
Entergy Corp.		235		16,286
Exelon Corp.		19		676
NextEra Energy, Inc.		85		5,978
NiSource, Inc.		90		2,293
OGE Energy Corp.		35		1,941
ONEOK, Inc.		58		2,802
PG&E Corp.		402		17,153
Pinnacle West Capital Corp.		103		5,438
Public Service Enterprise Group, Inc.		460		14,803
Questar Corp.		494		10,043
Sempra Energy		506		32,632
Southern Co.		627		28,899
UGI Corp.		543		17,240
Wisconsin Energy Corp.		53		1,997
Xcel Energy, Inc.		242		6,706
				290,871
TOTAL COMMON STOCKS (cost $2,463,574)				2,522,862
EXCHANGE-TRADED FUNDS - 7.7%
SPDR S&P 500 ETF Trust
(cost $215,876)		1,504		216,471
MONEY MARKET FUNDS - 2.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b)
(cost $55,162)		55,162		55,162
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 9.3%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(b)(c)
(cost $260,239)		260,239		260,239
TOTAL INVESTMENTS - 109.3% (cost $2,994,851)				3,054,734
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.3%)				(259,425)
NET ASSETS - 100.0%			$	2,795,309

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR U.S. DEFENSIVE EQUITY FUND

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $254,024; cash collateral of $260,239 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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

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

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 104.3%	SHARES		VALUE (Note 3)
COMMON STOCKS - 36.5%
Consumer Discretionary - 3.7%
American Greetings Corp., Class A		76,957	$	1,292,878
Astral Media, Inc., Class A (Canada)		217,107		10,640,032
Carnival PLC ADR (United Kingdom)		199,861		7,346,890
China Century Dragon Media, Inc. (3)†(a)		150,272		20
China Networks International Holdings Ltd. (3)†(a)		2,287,278		11,436
Collective Brands, Inc. †		588,673		12,780,091
Dollar General Corp. †		44,000		2,267,760
J Alexander’s Corp. †		937		13,558
JAKKS Pacific, Inc.		329,407		4,799,460
Learning Tree International, Inc. †		94,450		480,750
Lennar Corp. B Shares, Class B		40,782		1,098,667
Liberty Global, Inc. †		740,523		41,780,308
Michael Kors Holdings Ltd. (Hong Kong) †		41,250		2,193,675
RONA, Inc. (Canada) †		531,740		5,998,369
Tesla Motors, Inc. †		82,500		2,415,600
				93,119,494
Consumer Staples - 6.2%
Celsius Holdings, Inc. †		161,622		53,335
Central Garden and Pet Co. †		601,898		7,156,567
Green Mountain Coffee Roasters, Inc. †		31,981		759,549
Grupo Modelo SAB de CV, Series C (Mexico)		1,289,038		11,605,774
Hillshire Brands Co.		245,313		6,569,482
Kraft Foods, Inc., Class A		2,646,892		109,448,984
Neptune Technologies & Bioressources, Inc. (Canada) †		113,400		447,930
Physicians Formula Holdings, Inc. †		439,061		2,138,227
Post Holdings, Inc. †		60,500		1,818,630
Viterra, Inc. (Canada)		887,477		14,543,032
				154,541,510
Energy - 3.2%
Approach Resources, Inc. †(b)		71,500		2,154,295
CREDO Petroleum Corp. †		10,496		152,087
CVR Energy, Inc. †		4,666		171,475
Emerald Oil, Inc. †		121,500		100,845
Gulf United Energy, Inc. (3)†(a)		1,959,798		117,588
Halcon Resources Corp. †		190,407		1,395,683

	SHARES		VALUE (Note 3)
Energy - 3.2% (continued)
Mission NewEnergy Ltd. (Australia) †		20,132	$	1,309
Nexen, Inc. (Canada)		475,182		12,041,112
Progress Energy Resources Corp. (Canada)		608,447		13,554,053
Pure Energy Services Ltd. (Canada)		26,151		292,074
Royal Dutch Shell PLC, Class A ADR (Netherlands)		476,000		33,039,160
Union Drilling, Inc. †		8,694		56,424
Venoco, Inc. †		1,475,417		17,527,954
				80,604,059
Financials - 7.6%
Andina Acquisition Corp. †(b)		415,800		4,041,576
Arlington Asset Investment Corp., Class A		40,500		966,330
Australia Acquisition Corp. (Australia) †		612,000		6,107,760
Azteca Acquisition Corp. †(b)		800,000		7,840,000
BancTrust Financial Group, Inc. †		637,279		1,918,210
Beacon Federal Bancorp, Inc. †		94,879		1,950,712
BGS Acquisition Corp. (Argentina) †(b)		671,160		6,577,368
Blue Wolf Mongolia Holdings Corp. †(b)		526,500		5,265,000
Cazador Acquisition Corp. Ltd. (Cayman Islands) †		306,257		2,878,816
Chesapeake Lodging Trust REIT		20,533		407,991
China Growth Equity Investment Ltd. (China) †		395,000		3,910,500
China VantagePoint Acquisition Co. †		199,098		1,180,651
CITIC Securities Co. Ltd., H Shares (China) (2)		220,000		385,834
Citizens South Banking Corp.		238,478		1,669,346
Empeiria Acquisition Corp. †		680,000		6,888,400
European CleanTech SE, Class A (Germany) (2)†		621,000		7,861,561
Fifth Street Finance Corp.		75,661		830,758
First California Financial Group, Inc. †		946,877		6,590,264
FlatWorld Acquisition Corp. (Virgin Islands, British) (3)(a)		219,450		—
General American Investors Co., Inc.		9,044		263,000
General Growth Properties, Inc. REIT		353,993		6,895,784
Global Cornerstone Holdings Ltd. (3)†(a)		632,000		6,376,880
Global Eagle Acquisition Corp. (2)†		1,382,500		13,852,650
Health Care REIT, Inc. REIT		38,500		2,223,375

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 7.6% (continued)
Healthcare Realty Trust, Inc. REIT		88,000	$	2,028,400
Hudson City Bancorp, Inc.		629,095		5,007,596
Hyde Park Acquisition Corp. II †		1,195,400		12,085,494
Infinity Cross Border Acquisition Corp. (Israel) †		287,100		2,334,123
Janus Capital Group, Inc.		2,500		23,600
L&L Acquisition Corp. (3)†(a)		306,000		—
Lone Oak Acquisition Corp. (Hong Kong) †		328,820		2,587,813
Nautilus Marine Acquisition Corp. (Greece) †		777,600		7,744,896
New England Bancshares, Inc.		1,238		16,948
Pacific Capital Bancorp †		581		26,668
Patriot National Bank ADR (3)†(a)		2,000,000		1,718,200
PMI Group, Inc./The †		263		5
Prime Acquisition Corp. (China) †		423,935		4,163,042
RLJ Acquisition, Inc. †		974,044		9,389,784
ROI Acquisition Corp. †		756,000		7,182,000
Rouse Properties, Inc. REIT		13,278		190,539
Santa Monica Media Corp. (3)†(a)		15,377		—
Savannah Bancorp, Inc./The †		46,382		463,356
SCG Financial Acquistion Corp. (3)†(a)		631,210		6,248,979
SeaBright Holdings, Inc.		730,930		8,040,230
Selway Capital Acquisition Corp., Class A †		414,792		3,940,524
Simon Property Group, Inc. REIT		13,750		2,087,388
SP Acquisition Holdings, Inc. (3)†(a)		27,000		—
Summit Hotel Properties, Inc. REIT		48,600		415,044
Sun Communities, Inc. REIT		26,087		1,150,958
Trian Acquisition I Corp. (3)†(a)		15,200		—
Trio Merger Corp. †		456,000		4,491,600
Universal Business Payment Solutions Acquisition Corp. †		649,525		3,910,140
West Coast Bancorp †		149,024		3,356,020
Western Asset Mortgage Capital Corp. REIT		81,000		1,798,200
Western Liberty Bancorp. †		458,291		1,865,244
				189,149,557
Health Care - 2.4%
Access Pharmaceuticals, Inc. †(b)		228,024		102,611
American Surgical Holdings, Inc. (3)†(a)		15,747		—

	SHARES		VALUE (Note 3)
Health Care - 2.4% (continued)
AMERIGROUP Corp. †		99,288	$	9,077,902
Amgen, Inc.		593		50,002
China Medical Technologies, Inc. ADR (China) †		4,931		10,848
Complete Genomics, Inc. †		829,258		2,578,992
Cormedix, Inc. †		123,373		33,311
Coventry Health Care, Inc.		460,113		19,182,111
CryoPort, Inc. (3)†(a)		174,081		34,816
Forest Laboratories, Inc. (3)†(a)		335,833		319,041
Indevus Pharmaceuticals, Inc. (3)†(a)		6,006		—
InspireMD, Inc. (United Kingdom) (3)†(a)(b)		135,823		308,318
Kips Bay Medical, Inc. †		45,231		79,154
MannKind Corp. †		7		20
Medicis Pharmaceutical Corp., Class A		9,370		405,440
Mediq NV (Netherlands) (2)†		50,628		839,119
Neostem, Inc. †		324,000		222,134
Par Pharmaceutical Cos., Inc. †		281,372		14,062,973
Pluristem Therapeutics, Inc. (Israel) †		28,086		110,659
Provectus Pharmaceuticals, Inc. †		694,393		465,243
Repros Therapeutics, Inc. †		73,696		1,122,390
RXi Pharmaceuticals Corp. †		94,852		10,054
Sarepta Therapeutics, Inc. †		62,708		973,855
Sun Healthcare Group, Inc. †		783,810		6,634,952
Sunrise Senior Living, Inc. †		144,075		2,055,950
Team Health Holdings, Inc. †		54,673		1,483,279
Vocera Communications, Inc. †		18,093		559,255
				60,722,429
Industrials - 9.6%
Allied Defense Group, Inc./The (3)†(a)		190,011		598,535
Casella Waste Systems, Inc., Class A †		48,600		208,008
China Electric Motor, Inc. (China) †		2,400		73
Cooper Industries PLC		489,693		36,756,356
Dollar Thrifty Automotive Group, Inc. †		164,170		14,271,298
GeoEye, Inc. †		659,422		17,428,523
KEYW Holding Corp./The †		40,500		506,250
Kratos Defense & Security Solutions, Inc. †		67,232		392,635

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Industrials - 9.6% (continued)
On Assignment, Inc. †		34,326	$	683,774
Premier Alliance Group, Inc. †(b)		305,228		225,106
RailAmerica, Inc. †		101,142		2,778,371
Robbins & Myers, Inc.		106,867		6,369,273
Sapphire Industry Corp. (3)†(a)		25,025		—
Shaw Group, Inc./The †		469,435		20,476,755
Textainer Group Holdings Ltd.		20,134		615,094
Thermon Group Holdings, Inc. †		33,000		824,670
TNT Express NV (Netherlands) (2)		1,010,164		10,541,390
Trex Co., Inc. †		81,055		2,765,596
Tyco International Ltd. (Switzerland)		2,219,203		124,852,361
				240,294,068
Information Technology - 2.4%
Ariba, Inc. †		106,098		4,753,190
Brightpoint, Inc. †		1,075,164		9,654,973
Comverse Technology, Inc. †		1,878,132		11,550,512
Deltek, Inc. †		271		3,528
Ditech Networks, Inc. †		997,559		1,416,534
Equinix, Inc. †		7,162		1,475,730
ExactTarget, Inc. †		57,762		1,398,996
FSI International, Inc. †		678,586		4,207,233
LML Payment Systems, Inc. (Canada) †		220,778		750,645
Magic Software Enterprises Ltd. (Israel)		48,086		211,578
Mentor Graphics Corp. †		92,096		1,425,646
Micron Technology, Inc. †		31,163		186,511
Molex, Inc., Class A		60,195		1,307,435
Orckit Communications Ltd. (Israel) †		15,174		3,033
Pervasive Software, Inc. †		43,698		375,803
PLX Technology, Inc. †		1,898,961		10,957,005
Quest Software, Inc. (3)†(a)		325,222		9,106,216
Ramtron International Corp. †		116,212		357,933
SinoHub, Inc. (China) (3)†(a)		190,038		28,506
SouthPeak Interactive Corp. (3)†(a)		1,500,000		7,500
Telestone Technologies Corp. (China) †(c)		115,818		223,529
Trunkbow International Holdings Ltd. (China) †		74,574		66,371
Uni-Pixel, Inc. †		38,764		239,949
Visa, Inc., Class A		6,452		866,375
				60,574,731

	SHARES		VALUE (Note 3)
Materials - 0.4%
Aurcana Corp. (Canada) (3)†(a)		1,246,774	$	1,521,848
Calvista Gold Corp. (Canada) †		200,000		134,269
Cereplast, Inc. †		258,156		67,121
CGA Mining Ltd. (Australia) †		885,927		2,523,238
China GengSheng Minerals, Inc. (China) †		33,531		13,409
Eagle Materials, Inc.		55,000		2,544,300
Edgewater Exploration Ltd. (Canada) †		417,850		163,638
Energy Fuels, Inc. (Canada) †		720,000		146,476
Lion One Metals Ltd. (Canada) (3)†(a)		775,282		520,482
Mines Management, Inc. †		16,120		24,825
Monsanto Co.		3,820		347,696
Solitario Exploration & Royalty Corp. †		7,399		13,688
Southern Arc Minerals, Inc. (Canada) (3)†(a)		248,481		87,200
Talison Lithium Ltd. (Australia) †		150,411		989,888
				9,098,078
Telecommunication Services - 0.5%
Cleveland Unlimited (3)†(a)		1		1,185,204
inContact, Inc. †		31,509		205,439
TELUS Corp., Class A (Canada)		151,829		9,498,000
XO holdings, Inc. O Shares (3)†(a)		1,366,340		—
				10,888,643
Utilities - 0.5%
CH Energy Group, Inc.		54,085		3,526,883
Genie Energy Ltd., Class B		219,987		1,577,307
GenOn Energy, Inc. †		2,862,669		7,242,552
				12,346,742
TOTAL COMMON STOCKS (cost $899,221,891)				911,339,311

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*								SHARES		VALUE (Note 3)
CONVERTIBLE PREFERRED STOCKS - 3.1%
Energy - 0.4%
Chesapeake Energy Corp., Perpetual 144A, $1,000.00 par, 5.750% (2)(b)(d)		B-	**							10,000	$	9,237,500
Superior Well Services, Inc., Perpetual, Series A, $1,000.00 par, 4.000% (2)		NR								1,169		1,075,480
												10,312,980
Financials - 2.1%
Alpine Banks of Colorado (3)(a)		NR								326,700		2,665,491
Dole Food Automatic Common Exchange 144A, $12.50 par, 7.000% (2)†(d)		NR								62,250		780,067
Jack Cooper Holdings Corp. 144A, $99.08 par, 13.750% (2)(b)(d)		NR								6,950,000		7,193,250
Jack Cooper Holdings Corp., Perpetual 144A, $100.00 par, 0.000% (2)†(d)(e)		NR								2,000		210,000
MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (2)†		NR								19,550		177,172
SLM Corp., Perpetual, Series A, $50.00 par, 6.970%		Ba3								12,500		598,375
Sovereign Capital Trust IV, $50.00 par, 4.375% (2)		Ba1								602,005		39,431,328
												51,055,683
Industrials - 0.3%
China Dredging Group Co., Ltd. ADR (China) (3)†(a)		NR								1,000,000		5,000,000
Genesee & Wyoming, Inc., $100.00 par, 5.000% †		NR								13,325		1,384,067
Timberjack Corp., $188,000.00 par, 0.000% (3)†(a)		NR								188,000		595,885
												6,979,952
Information Technology - 0.0%(f)
Authentidate Holding Corp., Series C ADR, $1.6 par, 15.000% (3)†(a)		NR								218,000		418,560
Materials - 0.3%
North Atlantic Trading Co. 144A, $97.00 par, 19.000% (2)(d)(g)		Caa2								2,080,000		1,965,600
North Atlantic Trading Co. 144A, $98.00 par, 11.500% (2)(d)		B2								5,625,000		5,596,875
												7,562,475
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $68,880,551)												76,329,650
				INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)
CORPORATE BONDS - 11.1%
Communications - 0.8%
Baker & Taylor Acquisitions Corp. 144A (3)(a)(d)		B3			15.000	%		04/01/17	$	3,250		2,019,063
Clear Channel Communications, Inc. (2)		Ca			5.750	%		01/15/13		2,700		2,703,375
Intelsat Investments SA (Luxembourg) (2)(b)		Caa3			6.500	%		11/01/13		7,200		7,496,640
Interactive Network, Inc. /FriendFinder Networks, Inc. (2)		CCC	**		14.000	%		09/30/13		775		639,488

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Communications - 0.8% (continued)
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(d)(g)		CC	**		11.500	%		04/30/14	$	2,690	$	349,757
Primus Telecommunications Holding, Inc./Primus Telecommunications Canada, Inc. 144A (3)(a)(d)		WR			13.000	%		12/15/16		1,150		1,129,012
WCP Wireless Site Funding / WCP Wireless Site RE Funding / WCP Wireless Site Non 144A (2)(d)		NR			9.247	%		11/15/15		3,000		3,079,794
WCP Wireless Site Funding / WCP Wireless Site RE Funding / WCP Wireless Site Non 144A (2)(d)		NR			6.829	%		11/15/15		3,325		3,489,514
												20,906,643
Consumer Discretionary - 2.4%
Baker & Taylor, Inc. (2)(d)		WR			11.500	%		07/01/13		3,250		3,250,000
Broder Bros Co. 144A (2)(d)(g)		NR			12.000	%		10/15/13		6,475		6,248,375
Brookstone Co., Inc. 144A (2)(d)		NR	**		13.000	%		10/15/14		516		469,560
Cenveo Corp. (2)(b)		Caa2			7.875	%		12/01/13		8,025		7,994,906
Empire Today LLC/Empire Today Finance Corp. 144A (2)(b)(d)		B3			11.375	%		02/01/17		3,250		3,436,875
HOA Restaurant Group LLC/HOA Finance Corp. 144A (2)(d)		B3			11.250	%		04/01/17		8,975		8,189,688
IDQ Holdings, Inc. 144A (2)(b)(d)		B3			11.500	%		04/01/17		4,325		4,595,312
Mandalay Resort Group (2)(b)		Caa1			7.625	%		07/15/13		8,450		8,661,250
Mastro’s Restaurants LLC/RRG Finance Corp. 144A (2)(d)		Caa1			12.000	%		06/01/17		6,625		6,823,750
MGM Resorts International (2)(b)		B3			6.750	%		04/01/13		5,900		6,025,375
Pegasus Solutions, Inc. 144A (2)(d)(g)		NR			13.000	%		04/15/14		3,553		3,019,794
												58,714,885
Consumer Staples - 0.1%
Vector Group Ltd. (2)		B1			11.000	%		08/15/15		1,700		1,770,125
Energy - 1.9%
Black Elk Energy Offshore Operations LLC / Black Elk Finance Corp. (2)		Caa2			13.750	%		12/01/15		5,800		5,872,500
CCS, Inc. 144A (Canada) (2)(d)		Caa2			11.000	%		11/15/15		4,800		4,956,000
Chesapeake Energy Corp. (2)		Ba3			7.625	%		07/15/13		7,250		7,521,875
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(a)		NR			20.000	%		06/22/13		350		262,500
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(a)		NR			20.000	%		06/22/13		230		172,631
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(a)		NR			15.000	%		07/15/15		4,100		205,000
Global Rig Co. ASA (Norway) (3)(a)		NR			13.000	%		06/15/15		3,452		3,555,216
Golden Close Maritime Corp. Ltd. MTN (Bermuda) (2)		NR			11.000	%		12/09/15		2,500		2,681,250

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Energy - 1.9% (continued)
Green Field Energy Services, Inc. 144A (3)(a)(d)		Caa2			13.000	%		11/15/16	$	2,025	$	1,984,500
Harvest Operations Corp. (Canada) (2)		NR			7.500	%		05/31/15	CAD	275		290,945
InterOil Exploration and Production ASA (Norway) (3)(a)		NR			15.000	%		03/14/14	NOK	6,500		1,134,598
Offshore Group Investment Ltd. (Cayman Islands) (2)(b)		B3			11.500	%		08/01/15	$	4,800		5,304,000
Panoro Energy ASA 144A (Norway) (3)(a)(d)		NR			12.000	%		11/15/18		2,300		2,369,000
Petrominerales Ltd. (Canada) (2)		NR			3.250	%		06/12/17		3,200		2,692,000
Polarcus Alima AS (Norway) (3)(a)		NR			12.500	%		10/29/15		3,800		3,971,000
RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(d)		B3			11.875	%		03/15/17		845		942,175
Regency Energy Partners LP/Regency Energy Finance Corp. (2)		B1			9.375	%		06/01/16		3,760		4,103,100
												48,018,290
Financials - 2.8%
AV Homes, Inc. (2)		NR			7.500	%		02/15/16		5,900		6,191,312
BPA Laboratories, Inc. 144A (2)(d)		NR			12.250	%		04/01/17		5,875		5,581,250
CNO Financial Group, Inc. (2)(b)		B1			7.000	%		12/30/16		3,635		6,620,244
CNO Financial Group, Inc., Series UNRE (2)		NR			7.000	%		12/30/16		2,367		4,310,899
Global Investments Ltd. (Bermuda) (3)(a)		NR			11.000	%		09/24/17		2,200		2,167,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2)		Ba3			8.000	%		01/15/18		4,530		4,858,425
ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(e)		B1			3.962	%		12/29/49		3,875		3,563,911
Jasper Explorer Ltd. (Cyprus) (2)		NR			13.500	%		05/27/16		6,000		5,280,000
KCAP Financial, Inc. (2)		NR			8.750	%		03/15/16		4,000		4,532,500
MF Global Holdings Ltd. (2)(h)		WR			3.375	%		08/01/18		2,750		1,354,375
Rouse Co./The (2)(b)		BB+	**		6.750	%		11/09/15		4,045		4,267,475
Speedy Cash Intermediate Holdings Corp. 144A (2)(d)		B3			10.750	%		05/15/18		10,950		11,552,250
Synovus Financial Corp. (2)(b)		B3			5.125	%		06/15/17		1,375		1,340,625
TMX Finance LLC / TitleMax Finance Corp. (2)		B2			13.250	%		07/15/15		3,875		4,301,250
TMX Finance LLC/ TitleMax Finance Corp. (2)		B2			13.250	%		07/15/15		3,280		3,640,800
												69,562,316
Health Care - 0.3%
KV Pharmaceutical Co. (2)		NR			12.000	%		03/15/15		8,175		2,779,500
MannKind Corp. (2)		NR			5.750	%		08/15/15		1,540		881,650
Merge Healthcare, Inc. (3)(a)		B2			11.750	%		05/01/15		1,930		2,089,225
Select Medical Corp. (2)		B3			7.625	%		02/01/15		1,638		1,660,522
US Oncology, Inc. (3)(a)		NR			9.125	%		08/15/17		5,786		—
												7,410,897
Industrials - 1.2%
AAR Corp. (2)(b)		B+	**		1.750	%		02/01/26		2,200		2,194,500

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*		INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Industrials - 1.2% (continued)
Boa Deep C AS (Norway) (3)(a)(e)		NR		7.710	%		04/27/16	NOK	17,516	$	3,118,563
Chloe Marine Corp. Ltd. (Bermuda) (3)(a)		NR		12.000	%		12/28/16	$	1,400		1,512,000
Floatel Superior Ltd. (Bahamas) (2)		NR		13.000	%		09/02/15		1,100		1,193,500
MasTec, Inc. (2)		NR		4.250	%		12/15/14		2,400		3,420,000
Ship Finance International Ltd. (Bermuda) (2)		B3		8.500	%		12/15/13		3,250		3,250,000
Songa Offshore SE (Cyprus) (2)(e)		NR		10.420	%		06/11/15	NOK	25,500		4,451,116
Songa Offshore SE (Cyprus) (3)(a)(e)		NR		12.690	%		11/17/16		15,000		2,762,310
Tempel Steel Co. 144A (2)(d)		B3		12.000	%		08/15/16	$	5,625		5,498,438
United Continental Holdings, Inc. (3)(a)		NR		6.860	%		04/22/14		1,907		1,925,638
Western Express, Inc. 144A (2)(d)		Caa2		12.500	%		04/15/15		2,300		1,541,000
											30,867,065
Information Technology - 0.5%
Bankrate, Inc. (2)		B1		11.750	%		07/15/15		1,077		1,206,240
Computer Sciences Corp. (2)		Baa2		5.000	%		02/15/13		4,225		4,294,138
Freescale Semiconductor, Inc. (2)		Caa1		8.875	%		12/15/14		4,100		4,161,500
GT Advanced Technologies, Inc. (2)		NR		3.000	%		10/01/17		3,325		3,302,141
SouthPeak Interactive Corp. (3)(a)(h)		NR		29.000	%		12/31/12		1,091		330,725
											13,294,744
Materials - 0.3%
Appleton Papers, Inc. 144A (2)(d)		B1		10.500	%		06/15/15		600		637,500
Jaguar Mining, Inc. (2)		NR		5.500	%		03/31/16		500		279,375
Standard Steel LLC / Standard Steel Finance Corp. 144A (2)(d)		B3		12.000	%		05/01/15		5,631		6,180,022
											7,096,897
Telecommunication Services - 0.7%
Crown Castle International Corp. (2)(b)		B1		9.000	%		01/15/15		13,225		14,183,813
FiberTower Corp. (3)(a)(h)		NR		9.000	%		01/01/16		4,444		1,111,020
MediMedia USA, Inc. 144A (3)(a)(b)(d)		Caa2		11.375	%		11/15/14		2,350		2,185,500
											17,480,333
Utilities - 0.1%
Atlantic Offshore (Norway) (3)(a)		NR		11.920	%		06/27/15	NOK	12,000		2,094,643
TOTAL CORPORATE BONDS (cost $289,841,719)											277,216,838

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
CONVERTIBLE BONDS - 4.6%
Consumer Discretionary - 0.3%
M/I Homes, Inc. (2)		Caa2			3.250	%		09/15/17	$	2,300	$	2,439,437
Meritage Homes Corp. (2)		B1			1.875	%		09/15/32		2,475		2,454,891
Palm Harbor Homes, Inc. (3)(a)(h)		NR			3.250	%		05/15/24		70		1,400
Standard Pacific Corp. (2)		B3			1.250	%		08/01/32		975		1,072,500
Toll Brothers Finance Corp. 144A (2)(d)		Ba1			0.500	%		09/15/32		875		881,016
												6,849,244
Consumer Staples - 0.5%
Central European Distribution Corp. (2)		CCC-	**		3.000	%		03/15/13		3,875		3,594,063
Vector Group Ltd. (2)(e)		NR			3.750	%		11/15/14		6,504		8,288,535
Vector Group Ltd. (2)(e)		NR			3.875	%		06/15/26		58		63,546
												11,946,144
Energy - 0.7%
Cal Dive International, Inc. (2)		NR			5.000	%		07/15/17		2,275		2,172,625
Heckmann Corp. (2)		Caa1			9.875	%		04/15/18		3,950		4,068,500
PetroBakken Energy Ltd., Reg S (Canada) (2)		NR			3.125	%		02/08/16		2,900		2,868,100
Petrominerales Ltd., Series PMG (Canada) (3)(a)		NR			2.625	%		08/25/16		1,900		1,828,750
Polarcus Ltd. MTN (Norway) (2)		NR			2.875	%		04/27/16		400		386,880
Vantage Drilling Co. (Cayman Islands) (2)		NR			7.875	%		09/01/42		4,425		5,061,094
												16,385,949
Financials - 0.4%
CNO Financial Group, Inc.,
Series 1 (2)(b)		NR			7.000	%		12/30/16		3,963		7,217,614
Janus Capital Group, Inc. (2)		Baa3			3.250	%		07/15/14		250		264,531
TICC Capital Corp. 144A (2)(d)		NR			7.500	%		11/01/17		3,550		3,623,059
												11,105,204
Health Care - 0.9%
Adcare Health Systems, Inc. (3)(a)		NR			10.000	%		10/26/13		1,850		1,976,327
Enzon Pharmaceuticals, Inc. (2)		NR			4.000	%		06/01/13		1,850		1,883,531
Exelixis, Inc. (2)		NR			4.250	%		08/15/19		3,350		3,492,375
MannKind Corp. (2)(b)		NR			3.750	%		12/15/13		500		300,000
Medicis Pharmaceutical Corp. (2)		NR			1.375	%		06/01/17		10,100		12,611,703
Sequenom, Inc. 144A (2)(d)		NR			5.000	%		10/01/17		2,825		2,915,047
												23,178,983
Industrials - 0.3%
China Linen Textile Industry Ltd. (Cayman Islands) (3)(a)		NR			7.500	%		11/12/12		1,850		1,288,347
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(d)		Ba1			0.750	%		04/05/17	EUR	2,800		3,715,080
MasTec, Inc. (2)		NR			4.000	%		06/15/14	$	2,125		2,952,422

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Industrials - 0.3% (continued)
Ultrapetrol Bahamas Ltd. 144A
(Bahamas) (2)(d)		NR			7.250	%		01/15/17	$	900	$	550,125
												8,505,974
Information Technology - 0.0%(f)
Hutchinson Technology, Inc. (2)		NR			8.500	%		01/15/26		95		54,981
SouthPeak Interactive Corp. (3)(a)(h)		NR			10.000	%		07/19/13		2,500		706,600
												761,581
Materials - 0.1%
Cereplast, Inc. (3)(a)		NR			7.000	%		06/01/16		4,450		1,860,892
ShengdaTech, Inc. 144A (2)(d)(h)		NR			6.500	%		12/15/15		1,200		59,250
ShengdaTech, Inc. 144A (3)(a)(d)(h)		NR			6.000	%		06/01/18		300		14,812
												1,934,954
Telecommunication Services - 1.3%
Level 3 Communications, Inc. (2)		NR			6.500	%		10/01/16		13,525		19,442,188
Level 3 Communications, Inc. (2)(b)		CCC	**		15.000	%		01/15/13		10,975		12,031,344
Level 3 Communications, Inc., Series B (2)		NR			7.000	%		03/15/15		1,280		1,548,000
												33,021,532
TOTAL CONVERTIBLE BONDS (cost $119,501,623)												113,689,565
BANK LOANS - 0.5%
Consumer Discretionary - 0.1%
Eastman Kodak Co. (2)		WR			7.955	%		07/20/13		2,475		2,431,688
Energy - 0.4%
Chesapeake Energy Corp. (2)		NR			8.500	%		12/02/17		3,575		3,584,116
Patriot Coal Corp. (2)		NR			0.000	%		12/31/49		7,400		7,375,358
												10,959,474
TOTAL BANK LOANS (cost $13,362,209)												13,391,162

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 2.8%	SHARES		VALUE (Note 3)
Advent Claymore Convertible
Securities and Income Fund (b)		3,570	$	58,798
Advent Claymore Convertible Securities and Income Fund II		78,409		527,693
Advent Claymore Enhanced Growth & Income Fund (b)		15,163		146,171
ASA Gold and Precious Metals Ltd. (Bermuda) (b)		21,329		537,491
BlackRock Core Bond Trust (b)		139,542		2,165,692
BlackRock Credit Allocation Income Trust II, Inc.		217,570		2,510,758
BlackRock Credit Allocation Income Trust III, Inc.		134,904		1,633,687
BlackRock Credit Allocation Income Trust IV		160,783		2,279,903
BlackRock Diversified Income Strategies Fund, Inc.		1,843		19,886
BlackRock Enhanced Capital and Income Fund, Inc.		28,381		370,940
BlackRock Enhanced Equity Dividend Trust (b)		407,392		3,079,884
BlackRock Global Opportunities Equity Trust (b)		47,000		640,610
BlackRock Income Opportunity Trust, Inc.		183,650		2,121,157
BlackRock International Growth and Income Trust		141,588		1,032,177
BlackRock Resources & Commodities Strategy Trust		55,954		813,571
CBRE Clarion Global Real Estate Income Fund		99,161		879,558
Central Securities Corp.		2,732		55,159
Clough Global Equity Fund		36,411		470,430
Cohen & Steers Global Income Builder, Inc.		20,250		220,117
Eaton Vance Enhanced Equity Income Fund		174,629		1,934,889
Eaton Vance Enhanced Equity Income Fund II		197,633		2,189,774
Eaton Vance Risk-Managed Diversified Equity Income Fund		554,184		5,835,558
Eaton Vance Tax Managed Global Buy Write Opportunities Fund		486,381		5,398,829
Eaton Vance Tax-Advantaged Dividend Income Fund		83,845		1,434,588
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund		51,276		1,014,239
Eaton Vance Tax-Managed Buy-Write Income Fund		79,251		1,189,558
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		169,680		2,207,537
Eaton Vance Tax-Managed Diversified Equity Income Fund		641,571		6,101,340
Eaton Vance Tax-Managed Global Diversified Equity Income Fund		1,109,922		9,778,413
First Opportunity Fund, Inc. †		26,788		204,928

	SHARES		VALUE (Note 3)
CLOSED END FUNDS - 2.8% (continued)
First Trust Aberdeen Emerging Opportunity Fund		4,669	$	103,418
First Trust Enhanced Equity Income Fund		27,498		335,751
ING Global Advantage and Premium Opportunity Fund		2,156		25,527
ING Global Equity Dividend & Premium Opportunity Fund		9,834		90,964
ING Risk Managed Natural Resources Fund		3,592		43,643
Invesco Van Kampen Bond Fund		49,021		1,084,345
Invesco Van Kampen Dynamic Credit Opportunities Fund		116,399		1,475,939
John Hancock Hedged Equity & Income Fund		23,948		392,747
Kayne Anderson Midsteam/Energy Fund, Inc.		1,480		43,408
Lazard Global Total Return and Income Fund, Inc.		10,727		161,012
LMP Real Estate Income Fund, Inc.		6,517		75,206
Madison/Claymore Covered Call & Equity Strategy Fund		56,529		447,710
Montgomery Street Income Securities, Inc.		9,593		162,793
Morgan Stanley Emerging Markets Fund, Inc. †		10,213		149,825
Morgan Stanley Income Securities, Inc.		24,697		472,701
Nuveen Core Equity Alpha Fund		1,571		22,120
Nuveen Equity Premium Advantage Fund		68,887		872,109
Nuveen Equity Premium and Growth Fund		32,561		442,830
Nuveen Equity Premium Income Fund		78,322		985,291
Nuveen Equity Premium Opportunity Fund		84,537		1,066,857
Nuveen Quality Preferred Income Fund		16,270		145,616
Nuveen Quality Preferred Income Fund II		145,090		1,379,806
Nuveen Quality Preferred Income Fund III		6,322		58,984
Nuveen Tax-Advantaged Total Return Strategy Fund		15,161		167,074
Petroleum & Resources Corp.		44,451		1,166,394
Royce Focus Trust, Inc.		80,955		544,018
Source Capital, Inc.		2,131		110,982
Templeton Emerging Markets Fund		228		4,200
Western Asset Global Corporate Defined Opportunity Fund, Inc.		72,361		1,480,506
Western Asset Income Fund		10,746		171,184

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
CLOSED END FUNDS - 2.8% (continued)
Zweig Fund, Inc.		1,912	$	24,206
TOTAL CLOSED END FUNDS (cost $65,546,293)				70,560,501
EXCHANGE TRADED FUNDS - 0.1%
SPDR Barclays Capital High Yield Bond ETF (cost $2,229,024)		56,184		2,259,720
PREFERRED STOCKS - 0.1%
Financials - 0.1%
Ally Financial, Inc., Perpetual Bond 144A (2)(b)(d) (cost $2,006,438)		2,175		2,034,645
RIGHTS - 0.0%(f)
Health Care - 0.0%(f)
American Medical Alert Corp. (3)†(a) (cost $—)		283,523		2,835
Information Technology - 0.0%(f)
Gerber Scientific, Inc. (3)†(a) (cost $—)		879,944		—
TOTAL RIGHTS (cost $—)				2,835
WARRANTS - 0.9%
Consumer Discretionary - 0.1%
Kandi Technologies Corp. (3)†(a)		169,478		39,014
Tile Shop Holdings, Inc. †		801,064		2,555,394
				2,594,408
Consumer Staples - 0.0%(f)
Celsius Holdings, Inc. (3)†(a)		52,500		525
HQ Sustainable Maritime Industries, Inc. (3)†(a)		62,284		6
				531
Energy - 0.0%(f)
Camac Energy, Inc. (3)†(a)		88,191		2,796
Green Field Energy Services, Inc. (3)†(a)		2,025		60,750
Pacific Ethanol, Inc. (3)†(a)		318,750		41,788
Plug Power, Inc. (3)†(a)		88,875		10,878
Syntroleum Corp. (3)†(a)		253,165		22,633
				138,845
Financials - 0.7%
Andina Acquisition Corp. †(b)		415,800		87,318

	SHARES		VALUE (Note 3)
Financials - 0.7% (continued)
Associated Banc-Corp †(b)		20,065	$	29,094
Australia Acquisition Corp. (Australia) †		612,000		159,120
Azteca Acquisition Corp. (3)†(a)		800,000		144,000
Boston Private Financial Holdings, Inc. †		97,674		358,464
Cazador Acquisition Corp. Ltd. (Cayman Islands) †		319,668		156,637
Comerica, Inc. †		35,800		259,908
Comerica, Inc. (3)†(a)		9,708		16,601
European CleanTech SE (Germany) †		621,000		39,901
exceet Group SE (Germany) (2)†		72,000		23,131
Gerova Financial Group Ltd. (Bermuda) (3)†(a)		138,792		1,388
IVS Group (Luxembourg) (2)†		590,301		370,180
Jack Cooper Holdings Corp. (3)†(a)		2,223		155,610
Lincoln National Corp. †		49,759		797,637
Lone Oak Acquisition Corp. (Hong Kong) †		328,820		103,578
Neostem (3)†(a)		243,000		31,444
Nautilus Marine Acquisition Corp. (Greece) †		777,600		108,864
Prime Acquisition Corp. (China) †		423,935		127,181
RLJ Acquisition, Inc. †		974,044		438,320
ROI Acquisition Corp. (3)†(a)		756,000		226,800
Selway Capital Acquisition Corp. †		414,792		219,840
Signature Bank †		107,610		4,193,562
Texas Capital Bancshares, Inc. †		16,077		560,283
Trio Merger Corp. †		456,000		296,400
Universal Business Payment Solutions Acquisition Corp. (2)†		947,052		189,410
Valley National Bancorp †		49,509		40,102
Wintrust Financial Corp. †		415,782		7,338,552
				16,473,325
Health Care - 0.1%
Access Pharmaceuticals, Inc. (3)†(a)		68,407		226
ADVENTRX Pharmaceuticals, Inc. (3)†(a)		103,750		27,598
Bionovo, Inc. (3)†(a)		39,373		4
Cormedix, Inc. †		75,400		4,524
CryoPort, Inc. (3)†(a)		1,704,825		31,412
CytRx Corp. (3)†(a)		2,268,000		186,656
InspireMD, Inc. (United Kingdom) (3)†(a)		67,911		46,152
IntelliPharmaCeutics International, Inc., Series A (3)†(a)		220,000		167,486

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Health Care - 0.1% (continued)
IntelliPharmaCeutics
International, Inc., Series B (3)†(a)		220,000	$	101,684
Opexa Therapeutics, Inc. (3)†(a)		47,362		3,240
Pluristem Therapeutics, Inc. (Israel) (3)†(a)		173,242		164,026
Pluristem Therapeutics, Inc. (Israel) †		63,750		24,225
Provectus Pharmaceuticals, Inc., Series A (3)†(a)		881,558		38,965
Provectus Pharmaceuticals, Inc., Series C (3)†(a)		617,090		27,275
ReGeneRx Biopharmaceuticals, Inc. (3)†(a)		240,000		3,600
Rosetta Genomics Ltd. (Israel) (3)†(a)		688,211		17,916
RXi Pharmaceuticals Corp. (3)†(a)		144,175		156,877
Synergy Pharmaceuticals, Inc. (3)†(a)		82,000		100,048
Zogenix, Inc. (3)†(a)		38,250		30,428
				1,132,342
Industrials - 0.0%(f)
China Wood, Inc. (3)†(a)		94,000		103,466
Plastec Technologies Ltd. (Hong Kong) †		56,004		3,920
Spherix, Inc. (3)†(a)		196,441		2,259
				109,645
Information Technology - 0.0%(f)
Authentidate Holding Corp. (3)†(a)		1,377,760		198,043
Magic Software Enterprises Ltd. (Israel) (3)†(a)		132,782		22,746
Microvision, Inc. (3)†(a)		42,000		34,717
Orckit Communications Ltd. (Israel) (3)†(a)		84,282		17
SinoHub, Inc. (China) (3)†(a)		267,392		27
				255,550
Materials - 0.0%(f)
Aurcana Corp. (Canada) (3)†(a)		623,387		455,509
Calvista Gold Corp. (Canada) (2)†		100,000		1,017
Cereplast, Inc. (3)†(a)		64,539		19
China Shen Zhou Mining & Resources, Inc. (China) (3)†(a)		66,762		821
Edgewater Exploration Ltd. (Canada) (3)†(a)		250,000		1,043
Energy Fuels, Inc. (Canada) (3)†(a)		360,000		6,079
AUMN (3)†(a)		73,912		129,405

	SHARES		VALUE (Note 3)
Materials - 0.0%(f) (continued)
Kangaroo Resources Ltd. (Australia) (3)†(a)		24,137,931	$	152,069
				745,962
Utilities - 0.0%(f)
China Hydroelectric Corp. (China) †		24,500		365
TOTAL WARRANTS (cost $12,914,924)				21,450,973
MONEY MARKET FUNDS - 44.6%
Dreyfus Treasury Cash Management, Class I, 0.010% (2)(i)		394,010,389		394,010,389
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(i)(j)		283,640,729		283,640,730
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(i)		42,593,224		42,593,224
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.020% (2)(i)		394,010,389		394,010,389
TOTAL MONEY MARKET FUNDS (cost $1,114,254,732)				1,114,254,732
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.0%(f)
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(i)(k) (cost $231,458)		231,458		231,458
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $2,587,990,861)				2,602,761,390
SECURITIES SOLD SHORT - (21.7)%
COMMON STOCKS - (20.0)%
Consumer Discretionary - (2.1)%
Carnival Corp.		(199,861)		(7,282,935)
Lennar Corp., Class A		(40,782)		(1,417,990)
Liberty Global, Inc., Class A †		(740,523)		(44,986,772)
				(53,687,697)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 3)
Consumer Staples - (4.9)%
American Oriental
Bioengineering, Inc. (China) †		(4,761	)	$	(3,047)
Central Garden and Pet Co., Class A †		(601,898	)		(7,270,928)
Dole Food Co., Inc. †		(40,462	)		(567,682)
Green Mountain Coffee
Roasters, Inc. †		(31,981	)		(759,549)
Kraft Foods Group, Inc. †		(883,452	)		(39,446,132)
Kraft Foods, Inc.		(2,646,892	)		(70,274,982)
Vector Group Ltd.		(253,820	)		(4,210,874)
					(122,533,194)
Energy - (1.7)%
Cal Dive International, Inc. †		(124,462	)		(190,427)
Chesapeake Energy Corp.		(283,147	)		(5,342,984)
CVR Energy, Inc. (3)†(a)		(4,666	)		—
PetroBakken Energy Ltd., Class A (Canada)		(14,068	)		(199,622)
Petrominerales Ltd. (Canada)		(11,815	)		(95,664)
Petrominerales Ltd. (Colombia)		(113,857	)		(924,519)
Polarcus Ltd. (Norway) (2)†		(116,826	)		(127,030)
Royal Dutch Shell PLC, Class B ADR (Netherlands)		(475,962	)		(33,936,091)
Vantage Drilling Co. †		(814,605	)		(1,498,873)
					(42,315,210)
Financials - (2.1)%
Associated Banc-Corp		(7,791	)		(102,607)
AV Homes, Inc. †		(52,200	)		(774,648)
Berkshire Hills Bancorp, Inc.		(41,648	)		(952,906)
Boston Private Financial Holdings, Inc.		(74,066	)		(710,293)
CNO Financial Group, Inc.		(1,537,118	)		(14,833,189)
Columbia Banking System, Inc.		(80,515	)		(1,492,748)
Comerica, Inc.		(24,465	)		(759,638)
Lincoln National Corp.		(46,873	)		(1,133,858)
M&T Bank Corp.		(52,863	)		(5,030,443)
Park Sterling Corp. †		(245,597	)		(1,213,249)
PMI Group, Inc./The †		(263	)		(4)
SCBT Financial Corp.		(11,609	)		(467,611)
Signature Bank †		(99,851	)		(6,698,005)
Texas Capital Bancshares, Inc. †		(15,469	)		(768,964)
Trustmark Corp.		(81,086	)		(1,973,633)
United Financial Bancorp, Inc.		(1,200	)		(17,364)
Valley National Bancorp		(13,694	)		(137,214)
Western Alliance Bancorp †		(94,653	)		(965,461)

	SHARES			VALUE (Note 3)
Financials - (2.1)% (continued)
Wintrust Financial Corp.		(355,452	)	$	(13,354,332)
					(51,386,167)
Health Care - (0.4)%
Adcare Health Systems, Inc. †		(3,409	)		(16,534)
Aetna, Inc.		(179,493	)		(7,107,923)
Affymetrix, Inc. †		(89,948	)		(389,475)
Enzon Pharmaceuticals, Inc. †		(37,092	)		(258,160)
Exelixis, Inc. †		(420,980	)		(2,029,123)
					(9,801,215)
Industrials - (6.8)%
ADT Corp./The †		(1,109,604	)		(39,945,744)
Chicago Bridge & Iron Co. NV (Netherlands)		(59,965	)		(2,284,067)
DigitalGlobe, Inc. †		(787,803	)		(16,063,303)
Eaton Corp.		(379,223	)		(17,922,079)
JetBlue Airways Corp. †		(379,283	)		(1,816,766)
MasTec, Inc. †		(224,970	)		(4,431,909)
Pentair, Inc.		(532,614	)		(23,706,649)
Trex Co., Inc. †		(80,961	)		(2,762,389)
Tyco International Ltd. (Switzerland) †		(2,219,203	)		(60,806,162)
Ultrapetrol Bahamas Ltd. (Bahamas) †		(58,046	)		(82,425)
					(169,821,493)
Information Technology - (0.7)%
Digital River, Inc. †		(1,323	)		(22,041)
Equinix, Inc. †		(7,162	)		(1,475,730)
Integrated Device Technology, Inc. †		(994,713	)		(5,848,912)
Micron Technology, Inc. †		(31,163	)		(186,511)
Molex, Inc.		(60,195	)		(1,581,925)
Verint Systems, Inc. †		(228,571	)		(6,271,988)
Visa, Inc., Class A		(6,452	)		(866,375)
					(16,253,482)
Materials - (0.1)%
B2Gold Corp. (Canada) †		(654,368	)		(2,622,531)
Kaiser Aluminum Corp.		(70	)		(4,087)
Monsanto Co.		(3,820	)		(347,697)
Sino-Forest Corp. (Canada) (3)†(a)		(46,847	)		(32,207)
					(3,006,522)
Telecommunication Services - (0.9)%
Level 3 Communications, Inc. †		(610,879	)		(14,031,891)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 3)
Telecommunication Services - (0.9)% (continued)
TELUS Corp. (Canada)		(151,829	)	$	(9,576,763)
					(23,608,654)
Utilities - (0.3)%
NRG Energy, Inc. (proceeds $7,232,482)		(337,220	)		(7,213,136)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $489,648,857)					(499,626,770)
EXCHANGE TRADED FUNDS - (1.7)%
SPDR Barclays Capital High Yield Bond ETF		(622,884	)		(25,052,395)
SPDR Gold Shares †		(3,205	)		(551,324)
SPDR S&P 500 ETF Trust		(112,042	)		(16,126,205)
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT (proceeds $41,625,452)					(41,729,924)
TOTAL SECURITIES SOLD SHORT (proceeds $531,274,309)					(541,356,694)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 82.6% (cost $2,056,716,552)					2,061,404,696
OTHER ASSETS IN EXCESS OF LIABILITIES - 17.4% (l)					434,440,763
NET ASSETS - 100.0%				$	2,495,845,459

† Non income-producing security.

(a) Security fair valued at as of September 30, 2012 using procedures approved by the Board of Trustees. The total value of positions fair valued was $83,581,651 or 3.3% of total net assets.

(b) 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 September 30, 2012, the value of these securities was $150,991,906. In addition, $471,017,470 of cash collateral was pledged.

(c) All or a portion of the security on loan. The aggregate market value of such securities is $223,529; cash collateral of $231,458 was received with which the Fund purchased a money market fund.

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

(e) Indicates a variable rate security. The interest rate shown represents the discount rate at September 30, 2012.

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

(g) Represents a Pay-in-Kind Bond.

(h) Defaulted security.

(i) Represents annualized seven-day yield as of September 30, 2012.

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

(k) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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

* The rating reflected is as September 30, 2012. Rating of certain bonds may have changed subsequent to the date.

** S & P Rating provided.

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.

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

CAD - Canadian Dollar

EUR - Euro

MTN - Medium Term Note

NOK - Norwegian Krone

NR - Not Rated by Moody’s

REIT - Real Estate Investment Trust

WR - Withheld Ratings

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Credit default swap contracts buy protection as of September 30, 2012:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND		CURRENCY		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECIEVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Host Hotels & Resorts LP		1.000%		USD		3,450,000	$	126,326		12/20/2015	$	(97,535	)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 18		5.000%		USD		178,000,000		4,577,365		06/20/2017		(5,899,257	)
								$	4,703,691			$	(5,996,792	)

Credit default swap contracts sell protection as of September 30, 2012:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND		CURRENCY		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECIEVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 18		5.000%		USD		750,000	$	(40,326	)		06/20/2017	$	45,896
								$	(40,326	)			$	45,896

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $622. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts. Additional cash held as collateral with broker for credit default swap contracts was $100,000 at September 30, 2012.

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
1,505	S&P 500 E-Mini Futures	December 21, 2012	$	(109,457,745	)	$	(107,923,550	)	$	1,534,195
1,423	U.S. Treasury 2-Year Note Futures	December 31, 2012		(313,621,212	)		(313,815,969	)		(194,757	)
480	U.S. Treasury 5-Year Note Futures	December 31, 2012		(59,599,121	)		(59,823,750	)		(224,629	)
			$	(482,678,078	)	$	(481,563,269	)	$	1,114,809

Cash held as collateral with broker for futures contracts was $4,849,551 at September 30, 2012.

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 10/05/12	The Royal Bank of Scotland	CAD		751,942	$	770,481	$	764,813	$	(5,668	)
Canadian Dollar, Expiring 02/07/13	The Royal Bank of Scotland	CAD		132,952		134,926		134,831		(95	)
Euro, Expiring 01/28/13	The Royal Bank of Scotland	EUR		5,590,151		7,131,356		7,193,127		61,771
Norwegian Krone, Expiring 12/21/12	The Royal Bank of Scotland	NOK		12,840,000		2,242,755		2,234,483		(8,272	)
					$	10,279,518	$	10,327,254	$	47,736

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 10/31/12	The Royal Bank of Scotland	AUD		(275,541	)	$	(283,984	)	$	(285,014	)	$	(1,030	)
Canadian Dollar, Expiring 10/05/12	The Royal Bank of Scotland	CAD		(14,098,770	)		(14,036,810	)		(14,340,104	)		(303,294	)
Canadian Dollar, Expiring 10/15/12	The Royal Bank of Scotland	CAD		(14,705,553	)		(15,169,374	)		(14,953,955	)		215,419
Canadian Dollar, Expiring 10/31/12	The Royal Bank of Scotland	CAD		(1,615,200	)		(1,625,604	)		(1,641,932	)		(16,328	)
Canadian Dollar, Expiring 11/30/12	The Royal Bank of Scotland	CAD		(8,004,735	)		(8,010,308	)		(8,131,330	)		(121,022	)
Canadian Dollar, Expiring 12/07/12	The Royal Bank of Scotland	CAD		(977,672	)		(984,729	)		(992,967	)		(8,238	)
Canadian Dollar, Expiring 02/07/13	The Royal Bank of Scotland	CAD		(7,843,188	)		(7,864,621	)		(7,954,008	)		(89,387	)
Euro, Expiring 10/22/12	The Royal Bank of Scotland	EUR		(6,210,000	)		(8,471,371	)		(7,981,776	)		489,595
Euro, Expiring 10/31/12	The Royal Bank of Scotland	EUR		(18,000	)		(22,519	)		(23,138	)		(619	)
Euro, Expiring 11/30/12	The Royal Bank of Scotland	EUR		(9,596,555	)		(12,080,016	)		(12,339,693	)		(259,677	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		(1,145,828	)		(1,458,100	)		(1,473,715	)		(15,615	)
Euro, Expiring 01/28/13	The Royal Bank of Scotland	EUR		(5,855,786	)		(7,902,383	)		(7,534,933	)		367,450
Euro, Expiring 02/22/13	The Royal Bank of Scotland	EUR		(670,821	)		(868,827	)		(863,416	)		5,411
Euro, Expiring 04/05/13	The Royal Bank of Scotland	EUR		(21,000	)		(27,672	)		(27,042	)		630
Euro, Expiring 04/07/14	The Royal Bank of Scotland	EUR		(21,000	)		(27,733	)		(27,151	)		582
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(21,000	)		(27,804	)		(27,200	)		604
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(21,000	)		(27,886	)		(27,200	)		686
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(21,000	)		(28,010	)		(27,200	)		810
Norwegian Krone, Expiring 11/19/12	The Royal Bank of Scotland	NOK		(978,750	)		(169,318	)		(170,529	)		(1,211	)
Norwegian Krone, Expiring 12/11/12	The Royal Bank of Scotland	NOK		(1,349,396	)		(220,753	)		(234,913	)		(14,160	)
Norwegian Krone, Expiring 12/21/12	The Royal Bank of Scotland	NOK		(12,840,000	)		(2,095,711	)		(2,234,482	)		(138,771	)
Norwegian Krone, Expiring 12/27/12	The Royal Bank of Scotland	NOK		(364,000	)		(59,592	)		(63,332	)		(3,740	)
Norwegian Krone, Expiring 03/27/13	The Royal Bank of Scotland	NOK		(360,000	)		(58,752	)		(62,426	)		(3,674	)
Norwegian Krone, Expiring 05/21/13	The Royal Bank of Scotland	NOK		(978,750	)		(168,040	)		(169,368	)		(1,328	)
Norwegian Krone, Expiring 06/11/13	The Royal Bank of Scotland	NOK		(1,365,872	)		(222,061	)		(236,169	)		(14,108	)
Norwegian Krone, Expiring 06/27/13	The Royal Bank of Scotland	NOK		(368,000	)		(59,876	)		(63,591	)		(3,715	)
Norwegian Krone, Expiring 09/16/13	The Royal Bank of Scotland	NOK		(6,745,753	)		(1,166,288	)		(1,162,245	)		4,043
Norwegian Krone, Expiring 09/27/13	The Royal Bank of Scotland	NOK		(368,000	)		(59,686	)		(63,378	)		(3,692	)
Norwegian Krone, Expiring 11/18/13	The Royal Bank of Scotland	NOK		(978,750	)		(166,612	)		(168,255	)		(1,643	)
Norwegian Krone, Expiring 12/11/13	The Royal Bank of Scotland	NOK		(1,397,358	)		(225,770	)		(240,021	)		(14,251	)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone,
Expiring 12/27/13	The Royal Bank of Scotland	NOK		(364,000	)	$	(58,852	)	$	(62,488	)	$	(3,636	)
Norwegian Krone,
Expiring 03/27/14	The Royal Bank of Scotland	NOK		(360,000	)		(58,013	)		(61,604	)		(3,591	)
Norwegian Krone,
Expiring 05/19/14	The Royal Bank of Scotland	NOK		(978,750	)		(164,808	)		(167,172	)		(2,364	)
Norwegian Krone,
Expiring 06/11/14	The Royal Bank of Scotland	NOK		(1,389,722	)		(222,926	)		(237,172	)		(14,246	)
Norwegian Krone,
Expiring 06/27/14	The Royal Bank of Scotland	NOK		(368,000	)		(59,102	)		(62,767	)		(3,665	)
Norwegian Krone,
Expiring 09/29/14	The Royal Bank of Scotland	NOK		(368,000	)		(58,875	)		(62,555	)		(3,680	)
Norwegian Krone,
Expiring 11/18/14	The Royal Bank of Scotland	NOK		(17,178,750	)		(2,863,290	)		(2,914,228	)		(50,938	)
Norwegian Krone,
Expiring 12/11/14	The Royal Bank of Scotland	NOK		(1,397,358	)		(222,594	)		(236,828	)		(14,234	)
Norwegian Krone,
Expiring 12/29/14	The Royal Bank of Scotland	NOK		(364,000	)		(58,017	)		(61,646	)		(3,629	)
Norwegian Krone,
Expiring 03/27/15	The Royal Bank of Scotland	NOK		(360,000	)		(57,174	)		(60,750	)		(3,576	)
Norwegian Krone,
Expiring 06/11/15	The Royal Bank of Scotland	NOK		(26,889,722	)		(4,251,474	)		(4,523,545	)		(272,071	)
Norwegian Krone,
Expiring 06/29/15	The Royal Bank of Scotland	NOK		(12,368,000	)		(1,956,652	)		(2,079,079	)		(122,427	)
Norwegian Krone,
Expiring 04/27/16	The Royal Bank of Scotland	NOK		(19,387,600	)		(3,266,931	)		(3,218,518	)		48,413
							(96,888,918	)		(97,268,835	)		(379,917	)
						$	(86,609,400	)	$	(86,941,581	)	$	(332,181	)

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $12,101,350.

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

NOK - Norwegian Krone

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at September 30, 2012

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	06/16/2013	$	(4,027	)

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

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 September 30, 2012.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Aegis Group PLC		972,829		GBP	3,734,210			(32,192	)
Xstrata PLC		25,994			400,769			2,476
								(29,716	)
Total Long Positions								(29,716	)
Short Positions
United Kingdom
Glencore International PLC		(74,093	)	GBP	(427,430	)		15,879
Total Short Positions								15,879
Total of Long and Short Positions of Portfolio Swap								(13,837	)
Net Cash and Other Receivables (b)								9,810
Swaps, at Value							$	(4,027	)

(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 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 held as collateral was $1,600,108 at September 30, 2012.

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at September 30, 2012

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
JPMorgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	08/30/2013 - 11/12/2013	$	(1,526,683	)

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

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 September 30, 2012.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
Beazer Homes USA, Inc.		40,300		$	952,289			261,144
Boston Private Capital		2,425			83,662			13,792
Chesapeake Energy Corp.		7,168			134,746			514
Citigroup, Inc.		40,000			3,636,400			242,800
Dole Food Co., Inc.		12,450			167,363			7,311
Energy XXI, Inc.		9,535			3,414,722			119,187
Enzon Pharmaceuticals, Inc.		2,223			15,512			(40	)
General Motors Co.		133,965			2,767,085			280,619
Interpublic Group of Cos., Inc./The		3,000			3,094,500			64,500
JetBlue Airways Corp.		22,311			110,449			(3,579	)
MetLife, Inc.		172,375			11,925,764			(24,994	)
NextEra Energy, Inc.		61,525			3,168,537			(24,610	)
Nielsen Holdings NV		6,800			376,550			4,888
PPL Corp.		166,325			9,264,302			(357,599	)
PPL Corp.		64,425			3,582,030			(57,983	)
Thompson Creek Metals Co., Inc.		226,250			3,738,781			134,619
Universal Corp.		8,350			9,103,587			608,506
Wells Fargo & Co.		500			591,375			27,625
Whiting Petroleum Corp.		1,144			241,241			21,450
Wintrust Financial Corp.		24,300			1,343,790			13,973
Total of Long Equity Positions								1,332,123
Short Positions
United States
3D Systems Corp.		(486,305	)		(19,470,156	)		3,495,037
A.M. Castle & Co.		(82,850	)		(755,462	)		(279,334	)
Accuray, Inc.		(51,625	)		(341,527	)		(23,978	)
Affymetrix, Inc.		(240,637	)		(973,910	)		(68,048	)
Alcoa, Inc.		(1,118,370	)		(10,059,250	)		161,676

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allegheny Technologies, Inc.		(70,689	)	$	(2,335,397	)	$	80,418
Alliance Data Systems Corp.		(220,747	)		(28,979,666	)		(2,355,370	)
Alliance One International, Inc.		(397,899	)		(1,168,087	)		(117,127	)
American Equity Investment Life Holding Co.		(1,345,253	)		(15,125,467	)		(519,825	)
Amkor Technology, Inc.		(1,723,759	)		(9,482,073	)		1,897,533
Annaly Capital Management, Inc.		(24,473	)		(422,415	)		10,289
ArcelorMittal		(52,308	)		(839,873	)		84,545
Archer-Daniels-Midland Co.		(2,272	)		(59,128	)		(2,625	)
ARES Captial Corp.		(91,469	)		(1,575,054	)		7,275
Arris Group, Inc.		(14,543	)		(200,179	)		14,174
AuRico Gold, Inc.		(152,062	)		(1,042,798	)		(18,594	)
AV Homes, Inc.		(75,717	)		(944,191	)		(179,449	)
Avis Budget Group, Inc.		(300,554	)		(4,670,675	)		48,155
Beazer Homes USA, Inc.		(284,880	)		(778,378	)		(232,946	)
BioMed Realty Trust, Inc.		(308,023	)		(5,729,803	)		(36,388	)
Boston Private Financial Holdings, Inc.		(1,864	)		(18,472	)		596
Boston Properties, Inc.		(55,686	)		(6,200,260	)		40,831
Bristow Group, Inc.		(7,379	)		(342,833	)		(30,175	)
Cadence Design Systems, Inc.		(844,288	)		(10,615,414	)		(246,351	)
CBIZ, Inc.		(115,287	)		(651,728	)		(42,300	)
Cemex SAB de CV		(257,323	)		(1,946,198	)		(197,302	)
Cenveo, Inc.		(330,395	)		(635,583	)		(121,022	)
Chart Industries, Inc.		(106,010	)		(7,416,823	)		(412,015	)
China Medical Technologies, Inc.		(58,665	)		(167,195	)		38,132
Chiquita Brands International, Inc.		(80,194	)		(486,667	)		(126,016	)
Ciena Corp.		(386,242	)		(6,800,377	)		1,547,486
Citigroup, Inc.		(69,859	)		(2,023,923	)		(261,864	)
Clearwire Corp.		(60,511	)		(98,266	)		16,576
CNO Financial Group, Inc.		(63,343	)		(612,663	)		1,403
Coinstar, Inc.		(38,519	)		(1,901,642	)		169,058
Concur Technologies, Inc.		(3,286	)		(223,767	)		(18,509	)
Convergys Corp.		(596,235	)		(9,187,981	)		(155,021	)
DDR Corp.		(679,081	)		(10,154,613	)		(276,071	)
DFC Global Corp.		(27,903	)		(565,930	)		87,393
Digital Realty Trust, Inc.		(196,313	)		(14,968,866	)		1,256,403
DR Horton, Inc.		(1,738,834	)		(32,081,399	)		(3,808,135	)
DST Systems, Inc.		(14,095	)		(728,979	)		(68,235	)
Energy XXI, Inc.		(81,942	)		(2,762,161	)		(101,712	)
EnPro Industries, Inc.		(79,357	)		(2,726,716	)		(130,929	)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Equinix, Inc.		(148,865)	$	(27,181,969)	$	(3,491,665)
Espeed, Inc.		(17,785)		(86,907)		(240)
Exelixis, Inc.		(69,585)		(323,595)		(11,804)
Exide Technologies		(198)		(578)		(36)
Exterran Holdings, Inc.		(95,245)		(1,767,228)		(164,341)
Fifth & Pacific Cos., Inc.		(1,712,808)		(20,540,835)		(1,348,851)
Finisar Corp.		(30,539)		(449,511)		12,804
Gaylord Entertainment Co.		(473,944)		(19,143,028)		408,022
GenCorp, Inc.		(221,022)		(1,819,840)		(277,659)
General Cable Corp.		(260,115)		(7,384,627)		(257,552)
General Motors Co.		(101,625)		(3,563,227)		(225,353)
Goodrich Petroleum Corp.		(8,079)		(103,935)		1,816
Green Plains Renewable Energy, Inc.		(111,407)		(518,639)		(134,206)
Group 1 Automotive, Inc.		(53,518)		(2,925,845)		(297,544)
Hawaiian Holdings, Inc.		(25,501)		(156,065)		13,514
Health Care REIT, Inc.		(15,509)		(924,135)		28,490
Hertz Global Holdings, Inc.		(2,201,811)		(26,998,298)		(3,232,567)
Hilltop Holdings, Inc.		(16,951)		(179,360)		(36,087)
Host Hotels & Resorts, Inc.		(1,433,471)		(22,205,352)		(801,858)
Intel Corp.		(98,339)		(2,610,953)		380,624
Interpublic Group of Cos., Inc./The		(96,037)		(1,037,018)		(30,914)
JAKKS Pacific, Inc.		(178,132)		(2,857,237)		261,854
Kaman Corp.		(79,137)		(2,580,227)		(257,626)
Kilroy Realty Corp.		(157,337)		(7,394,946)		349,395
L-3 Communications Holdings, Inc.		(20,137)		(1,414,664)		(29,360)
Lennar Corp.		(875,205)		(27,455,867)		(2,975,010)
Leucadia National Corp.		(7,206)		(160,999)		(2,937)
Level 3 Communications, Inc.		(74,730)		(1,818,674)		102,125
Lexington Realty Trust		(840,311)		(7,555,580)		(561,824)
MasTec, Inc.		(9,843)		(197,521)		3,614
Medicines Co./The		(20,677)		(523,356)		(10,318)
Meritor, Inc.		(20,973)		(102,442)		13,517
MetLife, Inc.		(281,040)		(9,808,038)		123,400
MGIC Investment Corp.		(322,977)		(431,699)		(62,456)
MGM Resorts International		(144,132)		(1,424,237)		(125,182)
Microchip Technology		(362,858)		(12,720,680)		840,709
Micron Technology, Inc.		(237,695)		(1,604,163)		181,558

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Molina Healthcare, Inc.		(63,483	)	$	(1,604,031	)	$	7,434
National Financial Partners Corp.		(278,238	)		(4,299,213	)		(403,009	)
Navistar International Corp.		(33,131	)		(838,610	)		139,877
NextEra Energy, Inc.		(30,117	)		(2,101,165	)		(16,964	)
Nielsen Holdings NV		(9,461	)		(274,563	)		(9,078	)
NorthStar Realty Finance Corp.		(347,706	)		(1,968,622	)		(242,788	)
Nuance Communications, Inc.		(12,075	)		(284,852	)		(15,694	)
Omnicare, Inc.		(74,339	)		(2,380,739	)		(144,557	)
ON Semiconductor Corp.		(12,026	)		(80,394	)		6,194
Pdl Biopharma, Inc.		(207,165	)		(1,469,580	)		(123,518	)
Penson Worldwide, Inc.		(217,523	)		(25,668	)		15,879
PHH Corp.		(139,003	)		(2,403,301	)		(425,410	)
Photronics, Inc.		(320,236	)		(1,959,146	)		239,478
Pioneer Natural Resources Co.		(4,271	)		(422,919	)		(22,973	)
PPL Corp.		(225,600	)		(6,747,244	)		193,564
priceline.com, Inc.		(38,257	)		(21,618,033	)		(2,052,720	)
Prologis, Inc.		(138,348	)		(4,660,852	)		(185,478	)
Radian Group, Inc.		(309,973	)		(975,922	)		(369,361	)
Rambus, Inc.		(33,411	)		(165,930	)		(19,167	)
Regeneron Pharmaceuticals, Inc.		(129,159	)		(17,702,889	)		(2,014,524	)
Regis Corp.		(510,811	)		(8,837,492	)		(551,214	)
Rite Aid Corp.		(44,045	)		(52,042	)		509
RTI International Metals, Inc.		(78,947	)		(1,925,616	)		35,625
Saks, Inc.		(137,246	)		(1,510,861	)		95,855
Salesforce.com, Inc.		(250,468	)		(35,152,451	)		(3,091,508	)
SanDisk Corp.		(36,349	)		(1,518,382	)		(60,255	)
Sirius XM Radio		(8,585,829	)		(21,328,999	)		(994,157	)
SL Green Realty Corp.		(122,379	)		(9,888,331	)		89,444
Smithfield Foods, Inc.		(224,785	)		(4,328,353	)		(88,673	)
Sotheby’s		(72,420	)		(2,359,115	)		77,885
Sterlite Industries India Ltd.		(17,201	)		(136,227	)		5,671
Stewart Enterprises, Inc.		(892	)		(6,594	)		(894	)
Stewart Information Services Corp.		(420,856	)		(7,671,405	)		(804,634	)
Stillwater Mining Co.		(3,541	)		(46,780	)		5,032
SYNNEX Corp.		(71,418	)		(2,441,372	)		114,574
Take-Two Interactive Software, Inc.		(260,651	)		(2,506,178	)		(212,412	)
Terex Corp.		(522,093	)		(11,516,353	)		(272,507	)
Textron, Inc.		(331,886	)		(8,905,551	)		220,095

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Thompson Creek M		(1,050,151	)	$	(2,693,254	)	$	(299,676	)
Time Warner, Inc.		(55,363	)		(1,334,364	)		(108,950	)
Titan International, Inc.		(691,343	)		(15,118,417	)		2,909,300
Titan Machinery, Inc.		(94,639	)		(2,647,143	)		727,864
TRW Automotive Holdings Corp.		(186,775	)		(7,900,138	)		(263,798	)
TTM Technologies, Inc.		(153,754	)		(1,469,908	)		20,008
Tyson Foods, Inc.		(199,999	)		(3,209,419	)		5,435
Ultrapetrol Bahamas Ltd.		(26,073	)		(34,303	)		(2,721	)
United Rentals, Inc.		(742,082	)		(24,270,197	)		(3,305	)
United States Steel Corp.		(162,474	)		(3,690,363	)		591,983
Universal Corp.		(113,437	)		(5,327,861	)		(448,351	)
Vector Group Ltd.		(19,401	)		(336,777	)		14,915
VeriSign, Inc.		(545,526	)		(25,513,897	)		(1,047,764	)
Virgin Media, Inc.		(383,006	)		(10,365,456	)		(910,241	)
ViroPharma, Inc.		(492,136	)		(11,971,385	)		(2,900,965	)
Vishay Intertechnology, Inc.		(428,958	)		(4,391,358	)		174,701
Wells Fargo & Co.		(1,372	)		(46,512	)		(864	)
Western Refining, Inc.		(1,908,296	)		(49,768,360	)		(190,830	)
Whiting Petroleum Corp.		(5,165	)		(235,295	)		(9,422	)
Wintrust Financial Corp.		(25,514	)		(933,812	)		(24,749	)
Xilinx, Inc.		(358,888	)		(12,101,120	)		110,672
Total of Short Equity Positions								(25,017,446	)
Total of Long and Short Equity Positions								(23,685,323	)
REFERENCE ENTITY	PRINCIPAL			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
3D Systems Corp., 5.50%, 12/15/16		11,725,000		$	21,958,158			(3,795,519	)
A.M. Castle & Co., 7.00%, 12/15/17		925,000			1,023,487			294,942
Accuray, Inc., 3.75%, 08/01/16		700,000			699,898			37,576
Afford Resid Com, 7.50%, 08/15/25		998,000			1,149,987			60,508
Affymetrix, Inc., 4.00%, 07/01/19		2,525,000			2,305,184			173,599
Alcoa, Inc., 5.25%, 03/15/14		8,825,000			13,716,071			(587,512	)
Allegheny Technologies, Inc., 4.25%, 06/01/14		6,900,000			8,141,089			(114,154	)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Alliance Data Systems Corp., 4.75%, 05/15/14		10,500,000	$	29,510,177	$	2,326,422
Alliance One International, Inc., 5.50%, 07/15/14		4,500,000		4,188,065		199,757
American Equity Investment Life Holding Co., 5.25%, 12/06/29		10,275,000		13,562,147		253,950
American Equity Investment Life Holding Co., 3.50%, 09/15/15		8,925,000		10,225,694		(5,644	)
Amkor Technology, Inc., 6.00%, 04/15/14		5,950,000		11,393,256		(1,907,461	)
Annaly Capital Management, Inc., 5.00%, 05/15/15		3,150,000		3,228,750		49,223
ArcelorMittal, 5.00%, 05/15/14		6,875,000		7,114,669		25,792
Archer-Daniels-Midland Co., 0.88%, 02/15/14		1,500,000		1,512,152		(9,609	)
Ares Capital Corp., 5.13%, 06/01/16		3,025,000		3,147,186		64,822
Ares Capital Corp., 5.75%, 02/01/16		4,425,000		4,699,686		42,815
Arris Group, Inc., 2.00%, 11/15/26		650,000		698,307		(15,843	)
AV Homes, Inc., 7.50%, 02/15/16		3,920,000		4,080,885		(83,242	)
AV Homes, Inc., 7.50%, 02/15/16		980,000		991,025		50,392
Avis Budget Group, Inc., 3.50%, 10/01/14		7,400,000		9,280,939		(120,223	)
BGC Partners, Inc., 4.50%, 07/15/16		1,400,000		1,270,325		39,419
BioMed Realty LP, 3.75%, 01/15/30		8,975,000		10,494,207		75,822
Boston Properties LP, 3.63%, 02/15/14		3,750,000		4,178,527		(83,780	)
Boston Properties LP, 3.75%, 05/15/36		5,750,000		6,773,621		(109,604	)
Bristow Group, Inc., 3.00%, 06/15/38		1,000,000		1,016,167		23,771
Cadence Design Systems, Inc., 2.63%, 06/01/15		6,925,000		12,112,331		239,207
CBIZ, Inc., 0.88%, 10/01/15		1,400,000		1,423,464		40,915
Cemex SAB de CV, 3.25%, 03/15/16		900,000		838,981		50,338
Cemex SAB de CV, 7.00%, 05/15/17		1,800,000		1,498,849		67,151

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cemex SAB de CV, 4.88%, 03/15/15		3,200,000	$	3,040,566	$	135,467
Cemex SAB de CV, 3.75%, 03/15/18		500,000		467,761		26,402
Chart Industries, Inc., 2.00%, 08/01/18		8,825,000		11,114,840		441,215
China Medical Technologies, Inc., 4.00%, 08/15/13		250,000		43,750		(15,027	)
China Medical Technologies, Inc., 6.25%, 12/15/16		2,625,000		459,375		(170,625	)
Chiquita Brands International, Inc., 4.25%, 08/15/16		5,000,000		3,911,910		507,825
Ciena Corp., 4.00%, 03/15/15		16,075,000		19,154,263		(1,828,677	)
Clearwire Communications LLC / Clearwire Finance, Inc., 8.25%, 12/01/40		700,000		515,710		7,681
Coinstar, Inc., 4.00%, 09/01/14		2,150,000		3,035,501		(220,412	)
Concur Technologies, Inc., 2.50%, 04/15/15		200,000		289,653		16,004
Convergys Corp., 5.75%, 09/15/29		7,825,000		12,481,258		(12,326	)
DDR Corp., 1.75%, 11/15/40		17,800,000		19,768,253		127,954
DFC Global Corp., 2.88%, 06/30/27		150,000		159,152		(4,898	)
DFC Global Corp., 3.25%, 04/15/17		800,000		939,522		(77,232	)
Digital Realty Trust LP, 5.50%, 04/15/29		8,450,000		15,949,848		(1,124,577	)
DR Horton, Inc., 2.00%, 05/15/14		26,406,000		39,145,416		4,291,002
DST Systems, Inc., 4.13%, 08/15/23		975,000		1,156,594		43,875
EnPro Industries, Inc., 3.94%, 10/15/15		3,575,000		4,332,063		158,461
Equinix, Inc., 4.75%, 06/15/16		13,075,000		29,961,820		3,420,361
Exide Technologies, 0.00%, 09/18/13		650,000		554,125		43,875
Exide Technologies, 4.25%, 06/15/14		3,675,000		4,054,315		132,181
Fifth & Pacific Cos., Inc., 6.00%, 06/15/14		6,250,000		21,389,581		1,398,702
Finisar Corp., 5.00%, 10/15/29		400,000		687,111		(1,736	)

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Gaylord Entertainment Co., 3.75%, 10/01/14		14,350,000	$	22,548,930	$	(416,982	)
Genco Shipping & Trading Ltd., 5.00%, 08/15/15		500,000		239,931		(12,186	)
GenCorp, Inc., 4.06%, 12/31/39		3,575,000		4,146,875		377,893
General Cable Corp., 4.50%, 11/15/29		9,620,000		10,171,948		282,614
General Cable Corp., 0.88%, 11/15/13		6,075,000		5,974,234		101,569
GMX Resources, Inc., 4.50%, 05/01/15		1,875,000		830,391		(49,257	)
Goodrich Petroleum Corp., 5.00%, 10/01/29		1,000,000		958,472		3,131
Green Plains Renewable Energy, Inc., 5.75%, 11/01/15		4,100,000		2,988,699		318,925
Group 1 Automotive, Inc., 3.00%, 03/15/20		2,350,000		3,783,305		299,609
Hawaiian Holdings, Inc.,5.00%,03/15/16		300,000		327,583		(17,066	)
Health Care REIT, Inc., 3.00%, 12/01/29		1,275,000		1,563,256		(38,233	)
Hertz Global Holdings, Inc., 5.25%, 06/01/14		20,275,000		32,909,285		3,428,200
Host Hotels & Resorts LP, 2.50%, 10/15/29		27,225,000		35,072,987		1,310,688
Host Hotels & Resorts, Inc., 3.00%, 08/01/35		5,800,000		5,770,031		72,465
Intel Corp., 2.95%, 12/15/35		6,475,000		7,493,744		(396,867	)
JAKKS Pacific, Inc., 4.50%, 11/01/14		3,925,000		4,799,784		(252,753	)
James River Coal Co., 4.50%, 12/01/15		500,000		180,813		16,572
Kaman Corp., 3.25%, 11/15/17		3,800,000		4,500,283		269,565
Kilroy Realty LP, 4.25%, 11/15/14		7,390,000		10,091,097		(367,182	)
LDK Solar Co. Ltd., 4.75%, 04/15/13		625,000		387,938		607
Lennar Corp., 3.25%, 11/15/21		8,000,000		12,304,280		982,506
Lennar Corp., 2.75%, 12/15/20		15,175,000		23,741,394		2,015,721
Lennar Corp., 2.00%, 12/01/20		350,000		445,045		29,315

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Leucadia National Corp., 3.75%, 04/15/14		250,000	$	285,287	$	1,960
Lexington Realty Trust, 6.00%, 01/15/30		7,550,000		10,379,989		679,633
Medicines Co./The, 1.38%, 06/01/17		825,000		923,922		6,579
Meritor, Inc., 4.63%, 03/01/26		2,000,000		1,801,882		(5,977	)
MGIC Investment Corp., 5.00%, 05/01/17		10,850,000		6,610,970		989,810
MGM Resorts International, 4.25%, 04/15/15		6,375,000		6,544,250		205,387
Microchip Technology, Inc., 2.13%, 12/15/37		10,650,000		14,135,031		(690,431	)
Micron Technology, Inc., 2.38%, 05/01/32		3,050,000		3,077,154		(193,042	)
Micron Technology, Inc., 1.50%, 08/01/31		400,000		379,217		(18,501	)
Molina Healthcare, Inc., 3.75%, 10/01/14		3,375,000		3,843,632		(17,914	)
Nash Finch Co., 1.63%, 03/15/35		4,275,000		2,048,802		(63,574	)
National Financial Partners Corp., 4.00%, 06/15/17		4,025,000		5,535,607		410,158
Navistar International Corp., 3.00%, 10/15/14		5,125,000		4,682,543		(67,157	)
Northgate Minerals Corp., 3.50%, 10/01/16		2,825,000		2,918,030		37,088
NorthStar Realty Finance Corp., 7.50%, 03/15/31		3,400,000		3,671,293		155,069
Nuance Communications, Inc., 2.75%, 11/01/31		600,000		677,471		22,680
Omnicare, Inc., 3.75%, 12/15/25		2,400,000		3,263,750		152,313
ON Semiconductor Corp., 1.88%, 12/15/25		250,000		273,268		(16,598	)
Penson Worldwide, Inc., 8.00%, 06/01/14		8,515,000		755,468		(233,866	)
PHH Corp., 6.00%, 06/15/17		1,975,000		3,160,846		460,592
Photronics, Inc., 5.50%, 10/01/14		2,200,000		3,231,952		(233,735	)
Pioneer Natural Resources Co., 2.88%, 01/15/38		200,000		330,463		17,845

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Powerwave Technologies, Inc., 2.75%, 07/15/41		3,900,000	$	1,173,764	$	(45,062	)
priceline.com, Inc., 1.25%, 03/15/15		12,400,000		23,810,158		2,065,337
Prologis, Inc., 3.25%, 03/15/15		11,905,000		13,419,328		(48,443	)
Protein Design Labs, Inc., 2.88%, 02/15/15		1,400,000		1,736,763		130,159
Radian Group, Inc., 3.00%, 11/15/17		5,175,000		3,292,164		540,144
Rambus, Inc., 5.00%, 06/15/14		6,450,000		6,502,851		56,666
Regeneron Pharmaceuticals, Inc., 1.88%, 10/01/16		11,925,000		20,981,167		1,861,445
Regis Corp., 5.00%, 07/15/14		10,000,000		12,727,780		414,023
Rite Aid Corp., 8.50%, 05/15/15		300,000		322,054		(187	)
RTI International Metals, Inc., 3.00%, 12/01/15		5,250,000		5,537,873		(3,211	)
Saks, Inc., 7.50%, 12/01/13		800,000		1,651,166		(136,474	)
Salesforce.com, Inc., 0.75%, 01/15/15		23,625,000		41,328,488		2,620,954
Sandisk Corp., 1.50%, 08/15/17		2,500,000		2,806,145		28,128
SanDisk Corp., 1.00%, 05/15/13		10,300,000		10,376,962		(160,932	)
SL Green Operating Partnership LP, 3.00%, 10/15/17		15,150,000		17,762,118		(122,773	)
Smithfield Foods, Inc., 4.00%, 06/30/13		13,075,000		14,054,174		8,655
Sotheby’s, 3.13%, 06/15/13		5,025,000		5,716,551		(87,045	)
Sterlite Industries India Ltd., 4.00%, 10/30/14		5,350,000		5,077,450		107,237
Stewart Enterprises, Inc., 3.13%, 07/15/14		25,000		25,219		817
Stewart Information Services Corp., 6.00%, 10/15/14		6,125,000		9,446,790		850,109
Stillwater Mining Co., 1.88%, 03/15/28		1,000,000		1,002,760		(9,535	)
SYNNEX Corp., 4.00%, 05/15/18		2,750,000		3,409,695		(149,528	)
Take-Two Interactive Software, Inc., 1.75%, 12/01/16		2,200,000		1,949,307		117,579

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Take-Two Interactive Software, Inc., 4.38%, 06/01/14		3,825,000	$	4,490,060	$	209,848
Terex Corp., 4.00%, 06/01/15		10,100,000		15,812,671		309,489
Textron, Inc., 4.50%, 05/01/13		4,400,000		9,115,150		(214,591	)
Time Warner, Inc., 2.38%, 04/01/26		1,075,000		1,435,151		98,601
Titan International, Inc., 5.63%, 01/15/17		7,575,000		18,214,322		(2,957,676	)
Titan Machinery, Inc., 3.75%, 05/01/19		6,650,000		6,609,821		(671,346	)
TRW Automotive, Inc., 3.50%, 12/01/15		6,650,000		10,712,133		320,134
TTM Technologies, Inc., 3.25%, 05/15/15		5,775,000		5,857,496		59,559
Tyson Foods, Inc., 3.25%, 10/15/13		6,600,000		7,462,904		(80,283	)
United Rentals, Inc., 4.00%, 11/15/15		8,500,000		25,552,182		111,572
United States Steel Corp., 4.00%, 05/15/14		16,184,000		17,355,544		(758,607	)
VeriSign, Inc., 3.25%, 08/15/37		20,935,000		31,557,628		438,362
Virgin Media, Inc., 6.50%, 11/15/16		8,225,000		13,456,668		915,051
ViroPharma, Inc., 2.00%, 03/15/17		10,375,000		15,298,228		2,937,375
Vishay Intertechnology, Inc., 2.25%, 11/15/40		6,500,000		5,869,903		(140,149	)
Western Refining, Inc., 5.75%, 06/15/14		21,247,000		53,370,849		233,236
Xilinx, Inc., 3.13%, 03/15/37		13,400,000		16,487,816		(458,621	)
XM Satellite Radio, Inc., 7.00%, 12/01/14		19,594,000		30,501,862		674,147
Total of Long Fixed Income Positions						23,200,662
Net Cash and Other Receivables (b)						(1,042,022	)
Swaps, at Value					$	(1,526,683	)

(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 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 the broker in the amount of $269,938,649.

See notes to Schedule of Investments.

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 87.1%
BlackRock Liquidity Funds TempFund Portfolio, Class I, 0.140% (a)		146,832,499	$	146,832,499
Dreyfus Treasury Cash Management, Class I, 0.010% (a)		587,329,994		587,329,994
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (a)(b)		37,431,252		37,431,252
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)		239,793,561		239,793,561
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.020% (a)		729,040,492		729,040,492
TOTAL INVESTMENTS - 87.1% (cost $1,740,427,798)				1,740,427,798
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.9% (c)				257,886,420
NET ASSETS - 100.0%			$	1,998,314,218

(a) Represents annualized seven-day yield as of September 30, 2012.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign exchange, futures 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 contracts outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	Cocoa Futures	12/13/2012	USD		(14,160,840	)	$	(759,040	)
Barclays Capital	Coffee ‘C’ Futures	12/18/2012	USD		(996,469	)		20,531
Barclays Capital	Corn Futures	12/14/2012	USD		9,858,250			(972,312	)
Bank of America	Euro - Bobl Futures	12/6/2012	EUR		19,874,836			(18,236	)
Bank of America	Euro - SCHATZ Futures	12/6/2012	EUR		236,185,762			(303,061	)
Barclays Capital	Lean Hogs Futures	12/14/2012	USD		(11,312,582	)		(369,418	)
Barclays Capital	LME Aluminum Futures	12/17/2012	USD		(5,195,902	)		(723,297	)
Barclays Capital	LME Copper Futures	12/17/2012	USD		255,796			(255,796	)
Barclays Capital	LME Nickel Futures	12/17/2012	USD		(1,279,824	)		(161,304	)
Barclays Capital	Soybean Futures	11/14/2012	USD		32,824,285			76,265
The Royal Bank of Scotland	Swiss Market Index Futures	12/21/2012	CHF		56,442,967			(290,234	)
Bank of America	U.S. Treasury 5-Year Note Futures	12/31/2012	USD		35,511,533			133,451
Barclays Capital	Wheat Futures	12/14/2012	USD		9,125,325			(190,575	)
							$	(3,813,026	)

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $18,796,564. Additional collateral for positions held at Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
222	Brent Crude Oil Penultimate Financial Futures	October 15, 2012	$	25,212,540	$	24,950,580	$	(261,960	)
472	Corn Futures	December 14, 2012		18,348,472		17,847,500		(500,972	)
178	Crude Oil Financial Futures	October 19, 2012		17,682,520		16,409,820		(1,272,700	)
214	Globex Heat Oil Futures	October 30, 2012		29,139,096		28,394,890		(744,206	)
343	Globex RBOB Gas Futures	October 30, 2012		42,244,154		42,066,960		(177,194	)
145	Gold 100 OZ Futures	December 27, 2012		25,662,420		25,721,550		59,130
390	ICE Euro Gasoil Futures	October 10, 2012		38,454,000		38,249,250		(204,750	)
14	LME Aluminum Futures	October 12, 2012		663,968		730,713		66,745
9	LME Aluminum Futures	October 16, 2012		425,936		470,013		44,077
7	LME Aluminum Futures	October 18, 2012		333,909		365,694		31,785
17	LME Aluminum Futures	October 19, 2012		822,397		888,297		65,900
120	LME Aluminum Futures	November 1, 2012		5,648,440		6,287,040		638,600
6	LME Aluminum Futures	November 16, 2012		276,010		315,317		39,307
8	LME Aluminum Futures	November 23, 2012		373,525		420,990		47,465
130	LME Aluminum Futures	December 5, 2012		6,286,914		6,854,672		567,758
133	LME Aluminum Futures	December 6, 2012		6,593,693		7,013,988		420,295
101	LME Aluminum Futures	December 7, 2012		5,019,545		5,327,296		307,751
176	LME Aluminum Futures	December 10, 2012		8,996,412		9,287,828		291,416
182	LME Aluminum Futures	December 11, 2012		9,363,655		9,606,006		242,351
128	LME Aluminum Futures	December 12, 2012		6,683,489		6,756,992		73,503
51	LME Aluminum Futures	December 13, 2012		2,649,005		2,692,685		43,680
901	LME Aluminum Futures	December 17, 2012		45,764,029		47,617,850		1,853,821
14	LME Copper Futures	October 24, 2012		2,593,522		2,872,275		278,753
6	LME Copper Futures	October 25, 2012		1,119,010		1,230,995		111,985
2	LME Copper Futures	October 26, 2012		376,753		410,337		33,584
15	LME Copper Futures	October 30, 2012		2,819,274		3,077,719		258,445
21	LME Copper Futures	October 31, 2012		3,971,658		4,308,874		337,216
14	LME Copper Futures	November 1, 2012		2,633,772		2,872,625		238,853
37	LME Copper Futures	November 2, 2012		6,796,783		7,592,057		795,274
7	LME Copper Futures	November 6, 2012		1,299,911		1,436,423		136,512
2	LME Copper Futures	November 7, 2012		378,778		410,412		31,634
12	LME Copper Futures	November 14, 2012		2,226,994		2,462,739		235,745
4	LME Copper Futures	November 15, 2012		739,306		820,925		81,619
6	LME Copper Futures	November 16, 2012		1,110,460		1,231,407		120,947
124	LME Copper Futures	November 23, 2012		23,670,842		25,446,350		1,775,508
26	LME Copper Futures	November 28, 2012		4,936,435		5,335,902		399,467
3	LME Copper Futures	November 29, 2012		567,873		615,689		47,816
5	LME Copper Futures	November 30, 2012		947,154		1,026,163		79,009
16	LME Copper Futures	December 4, 2012		3,062,948		3,283,908		220,960
43	LME Copper Futures	December 5, 2012		8,182,987		8,825,621		642,634
10	LME Copper Futures	December 6, 2012		1,932,383		2,052,500		120,117
10	LME Copper Futures	December 7, 2012		1,944,207		2,052,530		108,323
29	LME Copper Futures	December 13, 2012		5,848,801		5,952,838		104,037
7	LME Copper Futures	December 14, 2012		1,461,943		1,436,911		(25,032	)
187	LME Copper Futures	December 17, 2012		37,378,277		38,388,728		1,010,451
4	LME Copper Futures	December 18, 2012		826,613		821,138		(5,475	)
10	LME Copper Futures	December 20, 2012		2,058,333		2,051,875		(6,458	)
9	LME Copper Futures	December 21, 2012		1,873,852		1,846,238		(27,614	)
13	LME Copper Futures	December 24, 2012		2,676,095		2,666,733		(9,362	)
8	LME Copper Futures	December 27, 2012		1,641,520		1,641,034		(486	)
3	LME Copper Futures	December 28, 2012		620,042		615,375		(4,667	)
27	LME Nickel Futures	October 19, 2012		2,598,954		2,987,442		388,488
9	LME Nickel Futures	October 23, 2012		843,491		995,931		152,440
1	LME Nickel Futures	October 30, 2012		95,366		110,682		15,316
3	LME Nickel Futures	October 31, 2012		288,473		332,056		43,583
23	LME Nickel Futures	November 1, 2012		2,184,369		2,545,836		361,467
33	LME Nickel Futures	November 2, 2012		3,062,230		3,652,831		590,601
13	LME Nickel Futures	November 6, 2012		1,219,317		1,439,164		219,847

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
13	LME Nickel Futures	November 7, 2012	$	1,227,975	$	1,439,206	$	211,231
7	LME Nickel Futures	November 8, 2012		656,030		774,980		118,950
23	LME Nickel Futures	November 9, 2012		2,134,716		2,546,438		411,722
30	LME Nickel Futures	November 13, 2012		2,761,787		3,321,835		560,048
28	LME Nickel Futures	November 14, 2012		2,608,580		3,100,470		491,890
10	LME Nickel Futures	November 15, 2012		918,616		1,107,344		188,728
27	LME Nickel Futures	November 16, 2012		2,501,941		2,989,916		487,975
32	LME Nickel Futures	November 23, 2012		3,137,758		3,544,357		406,599
30	LME Nickel Futures	November 28, 2012		2,954,332		3,323,368		369,036
32	LME Nickel Futures	November 29, 2012		3,106,379		3,545,040		438,661
30	LME Nickel Futures	November 30, 2012		2,950,353		3,323,581		373,228
1	LME Nickel Futures	December 5, 2012		95,735		110,804		15,069
25	LME Nickel Futures	December 10, 2012		2,507,572		2,770,557		262,985
32	LME Nickel Futures	December 11, 2012		3,204,138		3,546,432		342,294
29	LME Nickel Futures	December 12, 2012		2,932,398		3,214,063		281,665
31	LME Nickel Futures	December 13, 2012		3,096,813		3,435,839		339,026
6	LME Nickel Futures	December 14, 2012		622,828		665,023		42,195
393	LME Nickel Futures	December 17, 2012		41,590,100		43,566,183		1,976,083
30	LME Nickel Futures	December 18, 2012		3,230,183		3,325,568		95,385
30	LME Nickel Futures	December 20, 2012		3,168,919		3,325,320		156,401
30	LME Nickel Futures	December 21, 2012		3,269,410		3,325,343		55,933
29	LME Nickel Futures	December 24, 2012		3,169,218		3,214,563		45,345
45	LME Nickel Futures	December 27, 2012		4,932,226		4,988,218		55,992
15	LME Nickel Futures	December 28, 2012		1,675,406		1,662,750		(12,656	)
1	LME Zinc Futures	October 12, 2012		46,801		51,727		4,926
3	LME Zinc Futures	October 19, 2012		140,554		155,381		14,827
34	LME Zinc Futures	October 23, 2012		1,541,093		1,762,611		221,518
39	LME Zinc Futures	October 24, 2012		1,764,812		2,022,287		257,475
4	LME Zinc Futures	October 31, 2012		185,706		207,748		22,042
84	LME Zinc Futures	November 1, 2012		3,843,133		4,363,695		520,562
153	LME Zinc Futures	November 2, 2012		6,955,836		7,949,995		994,159
14	LME Zinc Futures	November 6, 2012		642,622		728,119		85,497
2	LME Zinc Futures	November 7, 2012		92,803		104,041		11,238
2	LME Zinc Futures	November 13, 2012		92,028		104,184		12,156
72	LME Zinc Futures	November 14, 2012		3,292,314		3,751,488		459,174
1	LME Zinc Futures	November 16, 2012		44,827		52,128		7,301
3	LME Zinc Futures	November 23, 2012		136,992		156,612		19,620
82	LME Zinc Futures	November 28, 2012		3,817,624		4,284,110		466,486
80	LME Zinc Futures	November 29, 2012		3,716,338		4,180,280		463,942
77	LME Zinc Futures	December 5, 2012		3,599,851		4,027,350		427,499
47	LME Zinc Futures	December 6, 2012		2,226,199		2,458,640		232,441
86	LME Zinc Futures	December 7, 2012		4,138,634		4,499,499		360,865
89	LME Zinc Futures	December 10, 2012		4,433,116		4,658,661		225,545
89	LME Zinc Futures	December 11, 2012		4,440,298		4,659,395		219,097
89	LME Zinc Futures	December 12, 2012		4,491,430		4,660,129		168,699
56	LME Zinc Futures	December 13, 2012		2,809,114		2,932,678		123,564
88	LME Zinc Futures	December 14, 2012		4,600,637		4,609,220		8,583
1,280	LME Zinc Futures	December 17, 2012		65,748,471		67,094,565		1,346,094
88	LME Zinc Futures	December 18, 2012		4,561,235		4,612,124		50,889
18	LME Zinc Futures	December 20, 2012		941,368		943,313		1,945
91	LME Zinc Futures	December 21, 2012		4,847,610		4,767,831		(79,779	)
87	LME Zinc Futures	December 24, 2012		4,610,738		4,558,495		(52,243	)
72	LME Zinc Futures	December 27, 2012		3,769,851		3,772,728		2,877
42	LME Zinc Futures	December 28, 2012		2,227,594		2,200,800		(26,794	)
23	Silver Futures	December 27, 2012		3,942,122		3,976,355		34,233
363	Soybean Meal Futures	December 14, 2012		16,557,148		17,674,470		1,117,322
418	Wheat Futures	December 14, 2012		18,737,872		18,862,250		124,378
484	Amsterdam Index Futures	October 19, 2012		41,812,239		40,328,159		(1,484,080	)
769	CAC40 10 Euro Futures	October 19, 2012		34,644,612		33,134,462		(1,510,150	)
163	DAX Index Futures	December 21, 2012		38,590,645		37,904,975		(685,670	)
847	DJIA Mini E-CBOT Futures	December 21, 2012		57,115,315		56,558,425		(556,890	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
491	E-Mini Russell 2000 Futures	December 21, 2012	$	42,120,507		$	40,969,040		$	(1,151,467	)
483	FTSE 100 Index Futures	December 21, 2012		45,530,715			44,558,452			(972,263	)
1,616	FTSE/JSE Top 40 Index Futures	December 20, 2012		63,048,286			61,715,939			(1,332,347	)
278	FTSE/MIB Index Futures	December 21, 2012		28,483,666			26,871,886			(1,611,780	)
284	Hang Seng Index Futures	October 30, 2012		37,785,461			38,228,410			442,949
144	IBEX 35 Index Futures	October 19, 2012		14,806,063			14,216,806			(589,257	)
314	KOSPI Index 200 Futures	December 13, 2012		36,739,793			37,320,917			581,124
984	MSCI Singapore Index Futures	October 30, 2012		56,425,816			56,448,501			22,685
1,318	MSCI Taiwan Stock Index Futures	October 30, 2012		36,333,149			36,297,720			(35,429	)
699	NASDAQ 100 E-Mini Futures	December 21, 2012		39,798,180			39,032,160			(766,020	)
715	S&P 500 E-Mini Futures	December 21, 2012		52,036,539			51,272,650			(763,889	)
463	S&P MID 400 E-Mini Futures	December 21, 2012		47,162,821			45,674,950			(1,487,871	)
315	S&P/Toronto Stock Exchange 60 Index Futures	December 20, 2012		45,522,641			44,902,960			(619,681	)
2,221	SGX S&P CNX Nifty Index Futures	October 25, 2012		25,350,219			25,421,566			71,347
492	SPI 200 Index Futures	December 20, 2012		56,249,488			55,934,533			(314,955	)
105	TOPIX Index Futures	December 13, 2012		9,994,276			9,889,159			(105,117	)
124	10-Year Japanese Government Bond Futures	December 11, 2012		228,482,839			229,107,637			624,798
1,799	3-Month Euro Euribor Futures	March 18, 2013		576,045,150			576,853,128			807,978
1,486	3-Month Euro Euribor Futures	June 17, 2013		475,745,754			476,369,672			623,918
1,298	3-Month Euro Euribor Futures	September 16, 2013		415,419,231			415,997,927			578,696
1,170	3-Month Euro Euribor Futures	December 16, 2013		374,268,117			374,787,080			518,963
1,105	3-Month Euro Euribor Futures	March 17, 2014		353,306,560			353,752,579			446,019
1,066	3-Month Euro Euribor Futures	June 16, 2014		340,625,468			341,027,467			401,999
1,015	3-Month Euro Euribor Futures	September 15, 2014		324,450,509			324,467,333			16,824
1,558	90-Day EURODollar Futures	March 18, 2013		388,088,259			388,234,125			145,866
1,018	90-Day EURODollar Futures	June 17, 2013		253,546,394			253,634,700			88,306
900	90-Day EURODollar Futures	September 16, 2013		224,117,984			224,212,500			94,516
848	90-Day EURODollar Futures	December 16, 2013		211,088,511			211,205,000			116,489
860	90-Day EURODollar Futures	March 17, 2014		213,938,994			214,150,750			211,756
930	90-Day EURODollar Futures	June 16, 2014		231,227,536			231,488,625			261,089
1,122	90-Day EURODollar Futures	September 15, 2014		279,091,933			279,139,575			47,642
780	90-Day Sterling Futures	December 18, 2013		156,551,947			156,592,807			40,860
1,036	90-Day Sterling Futures	March 20, 2013		207,985,818			208,071,015			85,197
775	90-Day Sterling Futures	June 19, 2013		155,600,608			155,651,581			50,973
732	90-Day Sterling Futures	September 18, 2013		146,966,273			147,000,652			34,379
888	90-Day Sterling Futures	March 19, 2014		178,170,339			178,221,115			50,776
880	90-Day Sterling Futures	June 18, 2014		176,474,128			176,526,705			52,577
945	90-Day Sterling Futures	September 17, 2014		189,497,633			189,451,161			(46,472	)
293	Australia 10-Year Bond Futures	December 17, 2012		38,315,651			38,566,249			250,598
517	Australia 3-Year Bond Futures	December 17, 2012		59,101,149			59,266,594			165,445
341	Canadian 10-Year Bond Futures	December 18, 2012		47,458,055			47,617,211			159,156
459	Euro - Bobl Futures	December 6, 2012		73,981,458			74,136,732			155,274
213	Euro - Bund Futures	December 6, 2012		38,491,782			38,804,668			312,886
210	Euro - SCHATZ Futures	December 6, 2012		29,867,005			29,878,954			11,949
34	Euro-Buxl 30-Year Bond Futures	December 6, 2012		5,790,858			5,818,860			28,002
331	Long Gilt Futures	December 27, 2012		64,328,087			64,471,245			143,158
167	U.S. Long Bond Futures	December 19, 2012		24,938,988			24,945,625			6,637
779	U.S. Treasury 10-Year Note Futures	December 19, 2012		103,605,240			103,984,328			379,088
276	U.S. Treasury 2-Year Note Futures	December 31, 2012		60,852,004			60,866,625			14,621
1,447	U.S. Treasury 5-Year Note Futures	December 31, 2012		179,794,526			180,343,680			549,154
				8,350,848,258			8,371,461,876			20,613,618
Short Contracts:
28	Coffee ‘C’ Futures	December 18, 2012		(1,799,464	)		(1,821,750	)		(22,286	)
520	Cotton No. 2 Futures	December 6, 2012		(18,515,422	)		(18,369,000	)		146,422
1,398	Lean Hogs Futures	December 14, 2012		(41,580,629	)		(41,241,001	)		339,628
14	LME Aluminum Futures	October 12, 2012		(661,798	)		(730,712	)		(68,914	)
9	LME Aluminum Futures	October 16, 2012		(428,951	)		(470,014	)		(41,063	)
7	LME Aluminum Futures	October 18, 2012		(334,885	)		(365,694	)		(30,809	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
17	LME Aluminum Futures	October 19, 2012	$	(815,121	)	$	(888,297	)	$	(73,176	)
120	LME Aluminum Futures	November 1, 2012		(5,647,169	)		(6,287,040	)		(639,871	)
6	LME Aluminum Futures	November 16, 2012		(274,825	)		(315,316	)		(40,491	)
8	LME Aluminum Futures	November 23, 2012		(372,999	)		(420,990	)		(47,991	)
130	LME Aluminum Futures	December 5, 2012		(6,353,542	)		(6,854,672	)		(501,130	)
133	LME Aluminum Futures	December 6, 2012		(6,536,737	)		(7,013,988	)		(477,251	)
101	LME Aluminum Futures	December 7, 2012		(5,070,038	)		(5,327,295	)		(257,257	)
176	LME Aluminum Futures	December 10, 2012		(9,007,618	)		(9,287,828	)		(280,210	)
182	LME Aluminum Futures	December 11, 2012		(9,390,909	)		(9,606,006	)		(215,097	)
128	LME Aluminum Futures	December 12, 2012		(6,646,195	)		(6,756,992	)		(110,797	)
51	LME Aluminum Futures	December 13, 2012		(2,671,043	)		(2,692,685	)		(21,642	)
901	LME Aluminum Futures	December 17, 2012		(45,477,042	)		(47,617,850	)		(2,140,808	)
14	LME Copper Futures	October 24, 2012		(2,611,111	)		(2,872,275	)		(261,164	)
6	LME Copper Futures	October 25, 2012		(1,102,344	)		(1,230,995	)		(128,651	)
2	LME Copper Futures	October 26, 2012		(371,769	)		(410,338	)		(38,569	)
15	LME Copper Futures	October 30, 2012		(2,826,541	)		(3,077,718	)		(251,177	)
21	LME Copper Futures	October 31, 2012		(3,970,047	)		(4,308,874	)		(338,827	)
14	LME Copper Futures	November 1, 2012		(2,637,963	)		(2,872,625	)		(234,662	)
37	LME Copper Futures	November 2, 2012		(6,832,361	)		(7,592,058	)		(759,697	)
7	LME Copper Futures	November 6, 2012		(1,297,804	)		(1,436,422	)		(138,618	)
2	LME Copper Futures	November 7, 2012		(373,201	)		(410,412	)		(37,211	)
12	LME Copper Futures	November 14, 2012		(2,233,960	)		(2,462,739	)		(228,779	)
4	LME Copper Futures	November 15, 2012		(743,579	)		(820,925	)		(77,346	)
6	LME Copper Futures	November 16, 2012		(1,109,558	)		(1,231,407	)		(121,849	)
124	LME Copper Futures	November 23, 2012		(23,686,164	)		(25,446,350	)		(1,760,186	)
26	LME Copper Futures	November 28, 2012		(4,932,158	)		(5,335,902	)		(403,744	)
3	LME Copper Futures	November 29, 2012		(565,945	)		(615,689	)		(49,744	)
5	LME Copper Futures	November 30, 2012		(949,367	)		(1,026,164	)		(76,797	)
16	LME Copper Futures	December 4, 2012		(3,063,974	)		(3,283,907	)		(219,933	)
43	LME Copper Futures	December 5, 2012		(8,247,331	)		(8,825,621	)		(578,290	)
10	LME Copper Futures	December 6, 2012		(1,922,984	)		(2,052,500	)		(129,516	)
10	LME Copper Futures	December 7, 2012		(1,983,234	)		(2,052,530	)		(69,296	)
29	LME Copper Futures	December 13, 2012		(5,872,454	)		(5,952,838	)		(80,384	)
7	LME Copper Futures	December 14, 2012		(1,467,364	)		(1,436,911	)		30,453
90	LME Copper Futures	December 17, 2012		(17,211,606	)		(18,475,840	)		(1,264,234	)
4	LME Copper Futures	December 18, 2012		(824,294	)		(821,138	)		3,156
10	LME Copper Futures	December 20, 2012		(2,066,484	)		(2,051,875	)		14,609
9	LME Copper Futures	December 21, 2012		(1,863,661	)		(1,846,238	)		17,423
13	LME Copper Futures	December 24, 2012		(2,676,354	)		(2,666,732	)		9,622
8	LME Copper Futures	December 27, 2012		(1,628,612	)		(1,641,034	)		(12,422	)
3	LME Copper Futures	December 28, 2012		(618,745	)		(615,375	)		3,370
27	LME Nickel Futures	October 19, 2012		(2,604,484	)		(2,987,442	)		(382,958	)
9	LME Nickel Futures	October 23, 2012		(840,578	)		(995,932	)		(155,354	)
1	LME Nickel Futures	October 30, 2012		(95,210	)		(110,682	)		(15,472	)
3	LME Nickel Futures	October 31, 2012		(290,593	)		(332,056	)		(41,463	)
23	LME Nickel Futures	November 1, 2012		(2,183,577	)		(2,545,837	)		(362,260	)
33	LME Nickel Futures	November 2, 2012		(3,066,954	)		(3,652,831	)		(585,877	)
13	LME Nickel Futures	November 6, 2012		(1,219,090	)		(1,439,164	)		(220,074	)
13	LME Nickel Futures	November 7, 2012		(1,223,502	)		(1,439,206	)		(215,704	)
7	LME Nickel Futures	November 8, 2012		(657,123	)		(774,980	)		(117,857	)
23	LME Nickel Futures	November 9, 2012		(2,138,610	)		(2,546,439	)		(407,829	)
30	LME Nickel Futures	November 13, 2012		(2,749,054	)		(3,321,835	)		(572,781	)
28	LME Nickel Futures	November 14, 2012		(2,584,220	)		(3,100,471	)		(516,251	)
10	LME Nickel Futures	November 15, 2012		(927,902	)		(1,107,344	)		(179,442	)
27	LME Nickel Futures	November 16, 2012		(2,504,083	)		(2,989,915	)		(485,832	)
32	LME Nickel Futures	November 23, 2012		(3,157,005	)		(3,544,357	)		(387,352	)
30	LME Nickel Futures	November 28, 2012		(2,935,752	)		(3,323,369	)		(387,617	)
32	LME Nickel Futures	November 29, 2012		(3,114,189	)		(3,545,040	)		(430,851	)
30	LME Nickel Futures	November 30, 2012		(2,959,872	)		(3,323,581	)		(363,709	)
1	LME Nickel Futures	December 5, 2012		(95,866	)		(110,803	)		(14,937	)
25	LME Nickel Futures	December 10, 2012		(2,504,960	)		(2,770,557	)		(265,597	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
32	LME Nickel Futures	December 11, 2012	$	(3,207,309	)	$	(3,546,432	)	$	(339,123	)
29	LME Nickel Futures	December 12, 2012		(2,882,264	)		(3,214,064	)		(331,800	)
31	LME Nickel Futures	December 13, 2012		(3,124,006	)		(3,435,838	)		(311,832	)
6	LME Nickel Futures	December 14, 2012		(631,790	)		(665,023	)		(33,233	)
406	LME Nickel Futures	December 17, 2012		(39,955,643	)		(45,007,312	)		(5,051,669	)
30	LME Nickel Futures	December 18, 2012		(3,230,052	)		(3,325,568	)		(95,516	)
30	LME Nickel Futures	December 20, 2012		(3,194,232	)		(3,325,320	)		(131,088	)
30	LME Nickel Futures	December 21, 2012		(3,252,552	)		(3,325,343	)		(72,791	)
29	LME Nickel Futures	December 24, 2012		(3,173,714	)		(3,214,563	)		(40,849	)
45	LME Nickel Futures	December 27, 2012		(4,903,353	)		(4,988,218	)		(84,865	)
15	LME Nickel Futures	December 28, 2012		(1,671,006	)		(1,662,750	)		8,256
1	LME Zinc Futures	October 12, 2012		(46,461	)		(51,727	)		(5,266	)
3	LME Zinc Futures	October 19, 2012		(140,804	)		(155,381	)		(14,577	)
34	LME Zinc Futures	October 23, 2012		(1,543,265	)		(1,762,611	)		(219,346	)
39	LME Zinc Futures	October 24, 2012		(1,773,688	)		(2,022,286	)		(248,598	)
4	LME Zinc Futures	October 31, 2012		(185,474	)		(207,748	)		(22,274	)
84	LME Zinc Futures	November 1, 2012		(3,838,623	)		(4,363,695	)		(525,072	)
153	LME Zinc Futures	November 2, 2012		(6,969,101	)		(7,949,994	)		(980,893	)
14	LME Zinc Futures	November 6, 2012		(642,566	)		(728,119	)		(85,553	)
2	LME Zinc Futures	November 7, 2012		(92,227	)		(104,041	)		(11,814	)
2	LME Zinc Futures	November 13, 2012		(91,580	)		(104,184	)		(12,604	)
72	LME Zinc Futures	November 14, 2012		(3,299,385	)		(3,751,488	)		(452,103	)
1	LME Zinc Futures	November 16, 2012		(44,892	)		(52,128	)		(7,236	)
3	LME Zinc Futures	November 23, 2012		(135,966	)		(156,612	)		(20,646	)
82	LME Zinc Futures	November 28, 2012		(3,842,081	)		(4,284,110	)		(442,029	)
80	LME Zinc Futures	November 29, 2012		(3,717,872	)		(4,180,280	)		(462,408	)
77	LME Zinc Futures	December 5, 2012		(3,629,464	)		(4,027,350	)		(397,886	)
47	LME Zinc Futures	December 6, 2012		(2,232,425	)		(2,458,641	)		(226,216	)
86	LME Zinc Futures	December 7, 2012		(4,228,912	)		(4,499,498	)		(270,586	)
89	LME Zinc Futures	December 10, 2012		(4,460,983	)		(4,658,661	)		(197,678	)
89	LME Zinc Futures	December 11, 2012		(4,463,208	)		(4,659,395	)		(196,187	)
89	LME Zinc Futures	December 12, 2012		(4,476,558	)		(4,660,129	)		(183,571	)
56	LME Zinc Futures	December 13, 2012		(2,848,910	)		(2,932,678	)		(83,768	)
88	LME Zinc Futures	December 14, 2012		(4,619,859	)		(4,609,220	)		10,639
949	LME Zinc Futures	December 17, 2012		(46,431,894	)		(49,743,958	)		(3,312,064	)
88	LME Zinc Futures	December 18, 2012		(4,582,459	)		(4,612,124	)		(29,665	)
18	LME Zinc Futures	December 20, 2012		(951,721	)		(943,312	)		8,409
91	LME Zinc Futures	December 21, 2012		(4,845,604	)		(4,767,831	)		77,773
87	LME Zinc Futures	December 24, 2012		(4,615,211	)		(4,558,496	)		56,715
72	LME Zinc Futures	December 27, 2012		(3,751,085	)		(3,772,728	)		(21,643	)
42	LME Zinc Futures	December 28, 2012		(2,220,683	)		(2,200,800	)		19,883
575	Natural Gas Swap Futures	October 29, 2012		(4,443,313	)		(4,772,500	)		(329,187	)
221	Soybean Oil Futures	December 14, 2012		(6,939,777	)		(6,982,716	)		(42,939	)
1,486	Sugar #11 (World Markets) Futures	February 28, 2013		(33,900,981	)		(33,985,415	)		(84,434	)
152	H-SHARES Index Futures	October 30, 2012		(9,508,825	)		(9,661,170	)		(152,345	)
772	Canadian 3-Month Bank Acceptance Futures	March 18, 2013		(193,579,537	)		(193,844,186	)		(264,649	)
533	Canadian 3-Month Bank Acceptance Futures	June 17, 2013		(133,593,983	)		(133,819,271	)		(225,288	)
851	Euro CHF 3-Month LIFFE Futures	March 18, 2013		(226,295,677	)		(226,299,947	)		(4,270	)
534	Euro CHF 3-Month LIFFE Futures	June 17, 2013		(141,999,495	)		(142,030,942	)		(31,447	)
				(1,249,338,450	)		(1,282,988,206	)		(33,649,756	)
			$	7,101,509,808		$	7,088,473,670		$	(13,036,138	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cash held as collateral with broker for futures contracts was $131,802,399 at September 30, 2012.

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		265,574,000	$	269,585,243	$	273,608,399	$	4,023,156
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		12,300,000		5,984,322		6,005,744		21,422
Canadian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	CAD		238,458,000		241,023,453		242,118,621		1,095,168
Chilean Peso, Expiring 12/19/12	The Royal Bank of Scotland	CLP		5,552,000,000		11,381,714		11,566,954		185,240
Columbian Peso, Expiring 12/19/12	The Royal Bank of Scotland	COP		9,970,000,000		5,392,104		5,482,274		90,170
Czech Republic Koruna, Expiring 12/19/12	The Royal Bank of Scotland	CZK		295,168,000		15,088,464		15,092,511		4,047
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		290,396,000		375,425,497		373,494,843		(1,930,654	)
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		226,181,999		364,330,822		365,157,264		826,442
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		8,426,000,000		36,856,858		37,597,764		740,906
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		72,000,000		18,319,480		18,315,021		(4,459	)
Indian Rupee, Expiring 12/19/12	The Royal Bank of Scotland	INR		2,520,000,000		45,849,786		47,063,543		1,213,757
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		17,990,012,000		231,589,636		230,705,875		(883,761	)
Korean Won, Expiring 12/20/12	The Royal Bank of Scotland	KRW		80,333,720,000		70,619,325		71,992,027		1,372,702
Mexican Peso, Expiring 12/19/12	The Royal Bank of Scotland	MXN		513,000,000		39,099,536		39,542,679		443,143
Malaysian Ringgit, Expiring 12/19/12	The Royal Bank of Scotland	MYR		58,690,000		18,865,291		19,092,654		227,363
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		1,348,944,000		232,039,229		234,766,910		2,727,681
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		265,637,000		213,732,365		218,997,236		5,264,871
Philippine Peso, Expiring 12/19/12	The Royal Bank of Scotland	PHP		1,674,500,000		39,884,242		40,070,358		186,116
Poland Zloty, Expiring 12/19/12	The Royal Bank of Scotland	PLN		168,510,000		51,287,415		52,120,334		832,919
Russian Ruble, Expiring 12/19/12	The Royal Bank of Scotland	RUB		1,288,200,000		39,945,981		40,730,836		784,855
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		1,146,992,000		171,926,421		174,200,293		2,273,872
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		93,490,000		75,328,346		76,178,137		849,791
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		128,210,000		69,874,004		70,564,930		690,926
Taiwanese Dollar, Expiring 12/19/12	The Royal Bank of Scotland	TWD		2,990,000,000		101,584,153		102,026,541		442,388
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		77,000,000		9,257,770		9,148,653		(109,117	)
						2,754,271,457		2,775,640,401		21,368,944

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		(159,292,000	)	$	(164,879,515	)	$	(164,111,054	)	$	768,461
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		(39,760,000	)		(19,228,833	)		(19,413,689	)		(184,856	)
Canadian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	CAD		(30,126,000	)		(30,874,092	)		(30,588,471	)		285,621
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		(643,028,026	)		(818,913,684	)		(827,034,985	)		(8,121,301	)
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		(79,505,000	)		(128,179,350	)		(128,356,051	)		(176,701	)
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		(1,590,000,000	)		(7,173,116	)		(7,094,760	)		78,356
Indonesian Rupiah, Expiring 12/19/12	The Royal Bank of Scotland	IDR		(207,100,000,000	)		(21,275,940	)		(21,407,927	)		(131,987	)
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		(122,390,000	)		(30,329,828	)		(31,132,992	)		(803,164	)
Indian Rupee, Expiring 12/19/12	The Royal Bank of Scotland	INR		(2,907,600,000	)		(51,271,387	)		(54,302,364	)		(3,030,977	)
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		(47,891,899,000	)		(610,388,136	)		(614,170,933	)		(3,782,797	)
Korean Won, Expiring 12/20/12	The Royal Bank of Scotland	KRW		(20,100,000,000	)		(17,771,955	)		(18,012,856	)		(240,901	)
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		(333,970,000	)		(58,009,239	)		(58,123,321	)		(114,082	)
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		(54,026,000	)		(42,866,052	)		(44,540,274	)		(1,674,222	)
Philippine Peso, Expiring 12/19/12	The Royal Bank of Scotland	PHP		(360,000,000	)		(8,623,399	)		(8,614,708	)		8,691
Poland Zloty, Expiring 12/19/12	The Royal Bank of Scotland	PLN		(42,000,000	)		(12,896,041	)		(12,990,648	)		(94,607	)
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		(89,304,000	)		(13,215,984	)		(13,563,114	)		(347,130	)
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		(7,400,000	)		(5,993,209	)		(6,029,717	)		(36,508	)
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		(61,900,000	)		(33,844,966	)		(34,068,865	)		(223,899	)
Taiwanese Dollar, Expiring 12/19/12	The Royal Bank of Scotland	TWD		(2,033,700,000	)		(68,359,661	)		(69,395,109	)		(1,035,448	)
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		(131,600,000	)		(15,525,101	)		(15,635,879	)		(110,778	)
							(2,159,619,488	)		(2,178,587,717	)		(18,968,229	)
						$	594,651,969		$	597,052,684		$	2,400,715

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $18,633,384.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CLP - Chilean Peso

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 - Taiwan Dollar

ZAR - South African Rand

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 94.1%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (a)(b)		2,100,010	$	2,100,010
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)		21,885,575		21,885,575
TOTAL INVESTMENTS - 94.1% (Cost $23,985,585)				23,985,585
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9%				1,512,643
NET ASSETS - 100.0%			$	25,498,228

(a) Represents annualized seven-day yield as of September 30, 2012.

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

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

Total return swap contracts outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED DEPRECIATION
Barclays Capital	Cocoa Futures	12/13/2012		USD		102,800		$	(2,160	)
Barclays Capital	Coffee ‘C’ Futures	12/18/2012		USD		1,305,094			(3,844	)
Barclays Capital	Corn Futures	12/14/2012		USD		411,475			4,463
Barclays Capital	Corn Futures	3/14/2013		USD		1,708,962			(76,038	)
Barclays Capital	Cotton No. 2 Futures	3/6/2013		USD		332,070			(9,510	)
Barclays Capital	Gold 100 OZ Futures	12/27/2012		USD		4,452,260			337,270
Barclays Capital	Lean Hogs Futures	12/14/2012		USD		655,488			(6,488	)
Barclays Capital	Live Cattle Futures	12/31/2012		USD		461,540			(12,620	)
Barclays Capital	LME Aluminum Futures	12/17/2012		USD		(59,800	)		(45,900	)
Barclays Capital	LME Aluminum Futures	3/18/2013		USD		(566,925	)		(19,513	)
Barclays Capital	LME Copper Futures	12/17/2012		USD		1,516,125			126,175
Barclays Capital	LME Copper Futures	3/18/2013		USD		2,178,813			78,800
Barclays Capital	LME Lead Futures	12/17/2012		USD		151,100			19,975
Barclays Capital	LME Lead Futures	3/18/2013		USD		311,425			32,375
Barclays Capital	LME Nickel Futures	12/17/2012		USD		202,020			19,692
Barclays Capital	LME Nickel Futures	3/18/2013		USD		395,160			49,680
Barclays Capital	LME Zinc Futures	12/17/2012		USD		501,225			22,962
Barclays Capital	LME Zinc Futures	3/18/2013		USD		245,150			19,694
Barclays Capital	Silver Futures	12/27/2012		USD		2,085,800			161,705
Barclays Capital	Soybean Futures	1/14/2013		USD		2,509,200			(24,937	)
Barclays Capital	Soybean Meal Futures	12/14/2012		USD		1,549,190			8,890
Barclays Capital	Soybean Oil Futures	12/14/2012		USD		1,320,216			(56,376	)
Barclays Capital	Sugar #11 (World Markets) Futures	2/28/2013		USD		1,150,856			(53,077	)
Barclays Capital	Wheat Futures	12/14/2012		USD		271,812			(1,062	)
								$	570,156

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $2,100,010.

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Brent Crude Futures	October 16, 2012	$	104,185		$	112,390		$	8,205
17	Brent Crude Oil Penultimate Financial Futures	October 15, 2012		1,860,120			1,910,630			50,510
15	Crude Oil Financial Futures	October 19, 2012		1,392,150			1,382,850			(9,300	)
23	Crude Oil Futures	October 22, 2012		2,184,703			2,120,370			(64,333	)
3	Globex Brent FCL Futures	November 14, 2012		339,930			334,740			(5,190	)
2	Globex Heat Oil Futures	October 30, 2012		260,866			265,373			4,507
9	ICE Euro Gasoil Futures	October 10, 2012		848,850			882,675			33,825
4	Lean Hogs Futures	December 14, 2012		115,442			118,000			2,558
2	LME Copper Futures	October 10, 2012		376,453			410,615			34,162
1	LME Copper Futures	October 26, 2012		187,182			205,169			17,987
1	LME Copper Futures	October 30, 2012		188,614			205,181			16,567
1	LME Copper Futures	November 2, 2012		185,504			205,191			19,687
2	LME Copper Futures	November 23, 2012		381,247			410,425			29,178
4	LME Copper Futures	December 10, 2012		803,419			821,046			17,627
15	LME Copper Futures	December 17, 2012		2,963,570			3,079,301			115,731
7	LME Copper Futures	March 18, 2013		1,349,887			1,436,663			86,776
1	LME Nickel Futures	October 10, 2012		97,697			110,597			12,900
1	LME Nickel Futures	October 16, 2012		96,643			110,628			13,985
1	LME Nickel Futures	December 17, 2012		98,089			110,856			12,767
47	Natural Gas Swap Futures	October 29, 2012		336,690			390,100			53,410
1	Soybean Futures	January 14, 2013		80,815			80,138			(677	)
5	Soybean Oil Futures	December 14, 2012		162,968			157,980			(4,988	)
				14,415,024			14,860,918			445,894
Short Contracts:
1	Brent Crude Futures	November 15, 2012		(110,239	)		(111,580	)		(1,341	)
14	Globex RBOB Gas Futures	October 30, 2012		(1,678,194	)		(1,717,019	)		(38,825	)
2	ICE Euro Gasoil Futures	November 9, 2012		(194,350	)		(194,900	)		(550	)
2	LME Copper Futures	October 10, 2012		(376,535	)		(410,615	)		(34,080	)
1	LME Copper Futures	October 26, 2012		(188,998	)		(205,168	)		(16,170	)
1	LME Copper Futures	October 30, 2012		(187,998	)		(205,181	)		(17,183	)
1	LME Copper Futures	November 2, 2012		(185,498	)		(205,190	)		(19,692	)
2	LME Copper Futures	November 23, 2012		(381,747	)		(410,425	)		(28,678	)
4	LME Copper Futures	December 10, 2012		(808,544	)		(821,047	)		(12,503	)
9	LME Copper Futures	December 17, 2012		(1,766,285	)		(1,847,576	)		(81,291	)
1	LME Nickel Futures	October 10, 2012		(97,799	)		(110,598	)		(12,799	)
1	LME Nickel Futures	October 16, 2012		(96,929	)		(110,629	)		(13,700	)
1	LME Nickel Futures	December 17, 2012		(96,893	)		(110,856	)		(13,963	)
				(6,170,009	)		(6,460,784	)		(290,775	)
			$	8,245,015		$	8,400,134		$	155,119

Cash held as collateral with broker for futures contracts was $679,424 at September 30, 2012.

See notes to Schedule of Investments.

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

GOVERNMENT RELATED OBLIGATIONS - 23.2%	MOODY’S RATING*		INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000'S)		VALUE (Note 3)
Sovereign Debt - 23.2%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		Aaa		1.500	%		04/15/16		EUR		27,509	$	38,777,805
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		Aaa		1.750	%		04/15/20		EUR		24,966		38,072,651
France Government Bond OAT (France)		Aaa		1.600	%		07/25/15		EUR		34,618		48,315,803
France Government Bond OAT (France)		Aaa		1.100	%		07/25/22		EUR		21,114		29,533,358
United Kingdom Treasury Gilt (United Kingdom)		Aaa		1.875	%		11/22/22		GBP		27,782		57,026,193
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $203,344,944)													211,725,810
U.S. TREASURY OBLIGATIONS - 23.0%
U.S. Treasury Inflation Protected Securities Bonds - 23.0%
U.S. Treasury Bond		Aaa		0.125	%		01/15/22		USD		79,400		87,730,864
U.S. Treasury Bond		Aaa		0.125	%		04/15/17		USD		15,600		16,951,388
U.S. Treasury Bond		Aaa		1.625	%		01/15/18		USD		7,700		9,852,809
U.S. Treasury Bond		Aaa		2.375	%		01/15/17		USD		56,000		74,618,575
U.S. Treasury Bond		Aaa		2.625	%		07/15/17		USD		15,900		21,238,141
TOTAL U.S. TREASURY OBLIGATIONS (cost $204,706,868)													210,391,777
										SHARES
MONEY MARKET FUNDS - 44.5%
BlackRock Liquidity Funds TempFund Portfolio, Series I, Class I, 0.140% (a)											30,008,583		30,008,583
Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a)											120,034,330		120,034,330
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (a)(b)											20,169,890		20,169,890
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)											86,716,578		86,716,578
UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.020% (a)											150,042,913		150,042,913
TOTAL MONEY MARKET FUNDS (cost $406,972,294)													406,972,294
TOTAL INVESTMENTS - 90.7% (cost $815,024,106)													829,089,881
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.3% (c)													84,959,102
NET ASSETS - 100.0%												$	914,048,983

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

(a) Represents annualized seven-day yield as of September 30, 2012.

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

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

* The rating reflected is as September 30, 2012. Rating of certain bonds may have changed subsequent to the date.

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

GBP - British Pound

USD - United States Dollar

Credit default swap contracts sell protection as of September 30, 2012:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Markit CMBX North America AJ 3	1.470%		USD		425,000	$	(136,167	)		12/13/2049	$	(9,467	)
Deutsche Bank	Markit CMBX North America AJ 3	1.470%		USD		1,200,000		(461,535	)		12/13/2049		50,335
Deutsche Bank	Markit CMBX North America AJ 4	0.960%		USD		1,225,000		(470,588	)		02/17/2051		19,788
Morgan Stanley Capital Services, Inc.	Markit CMBX North America AJ 3	1.470%		USD		650,000		(230,974	)		12/13/2049		8,240
Morgan Stanley Capital Services, Inc.	Markit CMBX North America AJ 4	0.960%		USD		850,000		(363,545	)		02/17/2051		50,745
The Royal Bank of Scotland	iTraxx Europe Crossover Series 17.V1	5.000%		EUR		10,725,000		(816,478	)		06/20/2017		816,507
The Royal Bank of Scotland	iTraxx Europe Crossover Series 18.V1	5.000%		EUR		34,000,000		(692,807	)		12/20/2017		(505,052	)
The Royal Bank of Scotland	iTraxx Europe Crossover Series 18.V1	1.000%		EUR		68,000,000		(1,392,442	)		12/20/2017		(168,151	)
The Royal Bank of Scotland	Markit CDX Emerging Market Index Series 18	5.000%		USD		31,125,000		4,120,203			12/20/2017		35,712
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 18	5.000%		USD		141,050,000		(3,677,691	)		06/20/2017		4,550,630
The Royal Bank of Scotland	Markit CDX North America Investment Grade Index Series 19	1.000%		USD		198,625,000		(238,862	)		12/20/2017		347,323
The Royal Bank of Scotland	Markit CMBX North America AJ 3	1.470%		USD		425,000		(111,230	)		12/13/2049		(34,403	)
The Royal Bank of Scotland	Markit CMBX North America AJ 4	0.960%		USD		1,125,000		(412,757	)		02/17/2051		(1,243	)
The Royal Bank of Scotland	Markit CMBX North America AJ 5	0.980%		USD		375,000		(118,632	)		02/15/2051		(16,368	)
							$	(5,003,505	)			$	5,144,596

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $6,250,715. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts. Additional collateral for positions held at Bank of America included in the collateral for total return swap contracts. Additional cash held as collateral at Bank of America for credit default swap contracts was $810,000 at September 30, 2012.

Interest rate swap contracts outstanding as of September 30, 2012:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	1.005%	(1)		CZK		430,000,000		09/20/2017	$	2,520
The Royal Bank of Scotland	1.683%	(1)		CZK		250,000,000		03/15/2017		(416,141	)
The Royal Bank of Scotland	1.923%	(1)		CZK		68,000,000		09/21/2016		(140,637	)
The Royal Bank of Scotland	2.010%	(1)		CZK		38,000,000		09/21/2016		(85,365	)
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.050%		CZK		440,000,000		03/21/2018		(16,366	)
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.110%		CZK		20,000,000		03/21/2018		2,296
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.240%		CZK		50,000,000		09/20/2017		29,481
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.505%		CZK		130,000,000		09/20/2017		163,945
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.680%		CZK		20,000,000		03/15/2017		33,155

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.705%		CZK		50,000,000		03/15/2017	$	85,732
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.724%		CZK		18,000,000		03/15/2017		31,642
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.750%		CZK		4,000,000		03/15/2017		7,268
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.760%		CZK		250,000,000		09/20/2017		476,818
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.810%		CZK		11,000,000		03/15/2017		21,490
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.890%		CZK		12,000,000		03/15/2017		25,629
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.920%		CZK		13,000,000		03/15/2017		28,653
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	1.960%		CZK		40,000,000		03/15/2017		91,805
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	2.043%		CZK		69,000,000		03/15/2017		171,323
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	2.050%		CZK		7,000,000		03/15/2017		17,500
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	2.690%		CZK		51,000,000		09/21/2016		185,219
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	3.110%		CZK		9,000,000		09/21/2016		40,386
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	3.225%		CZK		6,000,000		09/21/2016		28,330
The Royal Bank of Scotland	6 Month Prague Interbank Offered Rate	3.268%		CZK		37,000,000		09/21/2016		177,904
The Royal Bank of Scotland	0.778%	(2)		HKD		171,000,000		09/20/2017		(86,676	)
The Royal Bank of Scotland	1.020%	(2)		HKD		99,000,000		03/15/2017		(230,854	)
The Royal Bank of Scotland	1.180%	(2)		HKD		35,100,000		09/21/2016		(114,957	)
The Royal Bank of Scotland	2.495%	(2)		HKD		15,800,000		03/16/2016		(141,196	)
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	0.760%		HKD		28,000,000		09/20/2017		11,077
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	0.840%		HKD		19,000,000		03/21/2018		6,661
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	0.902%		HKD		172,000,000		03/21/2018		128,215
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.208%		HKD		99,000,000		09/20/2017		320,872
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.300%		HKD		13,000,000		03/15/2017		51,096
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.315%		HKD		43,000,000		09/20/2017		168,762
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.370%		HKD		10,500,000		03/15/2017		45,466
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.390%		HKD		35,400,000		03/15/2017		157,328
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.410%		HKD		12,000,000		03/15/2017		54,702
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.415%		HKD		3,700,000		03/15/2017		16,972
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.470%		HKD		5,000,000		03/15/2017		24,505
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.490%		HKD		2,800,000		03/15/2017		14,043
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.500%		HKD		7,500,000		03/15/2017		38,042
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.505%		HKD		7,900,000		03/15/2017		40,297
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.630%		HKD		1,590,000		03/16/2016		8,091
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.748%		HKD		2,760,959		03/16/2016		15,492
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	1.990%		HKD		13,700,000		09/21/2016		101,514
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.145%		HKD		1,550,000		03/16/2016		11,438
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.205%		HKD		7,400,000		03/16/2016		56,584
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.210%		HKD		1,320,000		03/16/2016		10,123
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.235%		HKD		1,300,000		03/16/2016		10,114

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.530%		HKD		1,800,000		09/21/2016	$	18,299
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.880%		HKD		2,500,000		09/21/2016		29,882
The Royal Bank of Scotland	3 Month Hong Kong Interbank Offered Rate	2.915%		HKD		15,900,000		09/21/2016		192,890
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.110%		HUF		640,000,000		03/16/2017		(5,429	)
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.130%		HUF		3,900,000,000		03/21/2018		13,069
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.150%		HUF		70,000,000		09/21/2016		159
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.160%		HUF		130,000,000		03/16/2017		83
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.160%		HUF		500,000,000		03/21/2018		4,676
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.220%		HUF		80,000,000		03/16/2017		927
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.330%		HUF		1,500,000,000		09/20/2017		47,633
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.580%		HUF		100,000,000		09/21/2016		7,286
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.730%		HUF		70,000,000		09/21/2016		6,824
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.785%		HUF		2,400,000,000		09/20/2017		296,993
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.880%		HUF		90,000,000		03/16/2017		11,881
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.880%		HUF		120,000,000		03/16/2017		15,842
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	6.930%		HUF		50,000,000		09/21/2016		6,516
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.030%		HUF		210,000,000		03/16/2017		33,471
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.110%		HUF		320,000,000		09/21/2016		51,158
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.130%		HUF		70,000,000		03/16/2017		12,434
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.270%		HUF		200,000,000		03/15/2017		40,635
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.565%		HUF		400,000,000		03/16/2017		102,802
The Royal Bank of Scotland	6 Month Budapest Interbank Offered Rate	7.830%		HUF		500,000,000		03/16/2017		152,679
The Royal Bank of Scotland	6.050%	(3)		HUF		630,000,000		09/21/2016		8,914
The Royal Bank of Scotland	6.210%	(3)		HUF		3,900,000,000		09/20/2017		(29,227	)
The Royal Bank of Scotland	6.860%	(3)		HUF		2,400,000,000		03/16/2017		(308,078	)
The Royal Bank of Scotland	2.810%	(4)		KRW		42,000,000,000		09/20/2017		(38,991	)
The Royal Bank of Scotland	2.813%	(4)		KRW		42,000,000,000		09/20/2017		(44,244	)
The Royal Bank of Scotland	2.815%	(4)		KRW		41,000,000,000		09/20/2017		(46,609	)
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	2.733%		KRW		15,000,000,000		03/21/2018		(29,561	)
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	2.740%		KRW		11,000,000,000		09/20/2017		(21,890	)
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	2.798%		KRW		42,000,000,000		03/21/2018		30,098
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	2.800%		KRW		41,000,000,000		03/21/2018		33,619
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	2.806%		KRW		42,000,000,000		03/21/2018		45,378
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.290%		KRW		11,000,000,000		09/20/2017		230,337
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.340%		KRW		7,000,000,000		03/15/2017		148,256
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.370%		KRW		5,000,000,000		03/15/2017		111,540
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.370%		KRW		3,700,000,000		03/15/2017		82,539
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.380%		KRW		7,000,000,000		03/15/2017		158,789
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.388%		KRW		22,500,000,000		03/15/2017		516,741
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.400%		KRW		7,000,000,000		03/15/2017		164,055
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.440%		KRW		3,000,000,000		03/15/2017		74,824
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.440%		KRW		3,500,000,000		03/15/2017		87,294
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.450%		KRW		5,400,000,000		03/15/2017		136,714
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.490%		KRW		5,200,000,000		09/21/2016		126,644
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.515%		KRW		4,600,000,000		03/15/2017		127,707
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.550%		KRW		4,000,000,000		03/15/2017		116,316
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.550%		KRW		36,000,000,000		09/20/2017		1,144,053
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.575%		KRW		36,000,000,000		09/20/2017		1,181,574
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.655%		KRW		14,000,000,000		09/20/2017		506,194
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.670%		KRW		16,000,000,000		09/20/2017		588,514
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.680%		KRW		200,000,000		03/16/2016		5,437
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.690%		KRW		380,000,000		03/16/2016		10,443
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.690%		KRW		330,000,000		03/16/2016		9,069
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.700%		KRW		200,000,000		03/16/2016		5,556
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.750%		KRW		1,455,153,531		03/16/2016		42,577
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	3.930%		KRW		860,000,000		03/16/2016		29,748
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.035%		KRW		3,500,000,000		09/21/2016		149,709
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.115%		KRW		490,000,000		03/16/2016		19,634

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.240%		KRW		5,100,000,000		03/16/2016	$	223,240
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.255%		KRW		630,000,000		03/16/2016		27,857
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.265%		KRW		1,800,000,000		09/21/2016		90,985
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.285%		KRW		700,000,000		03/16/2016		31,574
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.395%		KRW		5,100,000,000		09/21/2016		280,198
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.400%		KRW		1,400,000,000		09/21/2016		77,154
The Royal Bank of Scotland	3 Month Korean Certificate of Deposit	4.405%		KRW		5,000,000,000		09/21/2016		276,394
The Royal Bank of Scotland	3.405%	(4)		KRW		22,400,000,000		09/21/2016		(481,192	)
The Royal Bank of Scotland	3.555%	(4)		KRW		36,000,000,000		03/15/2017		(1,053,618	)
The Royal Bank of Scotland	3.565%	(4)		KRW		36,000,000,000		03/15/2017		(1,067,161	)
The Royal Bank of Scotland	3.950%	(4)		KRW		220,000,000		03/16/2016		(7,740	)
The Royal Bank of Scotland	4.270%	(4)		KRW		5,100,000,000		03/16/2016		(227,772	)
The Royal Bank of Scotland	4.270%	(4)		KRW		5,100,000,000		03/16/2016		(227,772	)
The Royal Bank of Scotland	4.290%	(5)		PLN		194,000,000		09/20/2017		(210,262	)
The Royal Bank of Scotland	4.560%	(5)		PLN		16,500,000		09/21/2016		(68,022	)
The Royal Bank of Scotland	4.600%	(5)		PLN		16,500,000		09/21/2016		(75,565	)
The Royal Bank of Scotland	4.775%	(5)		PLN		113,000,000		03/15/2017		(810,210	)
The Royal Bank of Scotland	5.600%	(5)		PLN		14,400,000		03/16/2016		(201,575	)
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.120%		PLN		23,000,000		03/21/2018		(8,188	)
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.199%		PLN		194,000,000		03/21/2018		142,823
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.295%		PLN		20,000,000		09/20/2017		23,083
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.554%		PLN		16,600,000		03/15/2017		72,468
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.560%		PLN		35,000,000		09/20/2017		170,844
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.600%		PLN		7,300,000		03/15/2017		36,130
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.615%		PLN		16,600,000		03/15/2017		85,317
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.670%		PLN		4,600,000		03/15/2017		26,853
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.700%		PLN		11,600,000		09/21/2016		66,381
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.740%		PLN		3,600,000		03/15/2017		24,213
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.750%		PLN		113,000,000		09/20/2017		853,546
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.780%		PLN		7,000,000		03/15/2017		50,634
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.840%		PLN		8,800,000		03/15/2017		70,355
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.848%		PLN		21,000,000		09/20/2017		187,568
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.850%		PLN		5,000,000		03/15/2017		40,609
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.865%		PLN		20,000,000		03/15/2017		166,242
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.875%		PLN		4,000,000		09/20/2017		37,246
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.880%		PLN		1,900,000		03/15/2017		16,155
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.900%		PLN		15,000,000		03/15/2017		131,344
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.940%		PLN		2,060,979		03/16/2016		15,233
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	4.980%		PLN		990,000		03/16/2016		7,714
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.023%		PLN		7,000,000		03/15/2017		72,220
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.270%		PLN		590,000		03/16/2016		6,310
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.550%		PLN		3,500,000		09/21/2016		54,028
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.560%		PLN		1,780,000		03/16/2016		24,204
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.600%		PLN		500,000		03/16/2016		6,999
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.640%		PLN		1,280,000		03/16/2016		18,430
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.690%		PLN		2,400,000		09/21/2016		40,887
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.690%		PLN		7,200,000		03/16/2016		107,274
The Royal Bank of Scotland	6 Month Warsaw Interbank Offered Rate	5.740%		PLN		14,500,000		09/21/2016		255,314
The Royal Bank of Scotland	0.915%	(6)		SGD		30,000,000		09/20/2017		44,790
The Royal Bank of Scotland	0.940%	(6)		SGD		400,000		09/21/2016		(2,137	)
The Royal Bank of Scotland	1.040%	(6)		SGD		4,800,000		09/21/2016		(41,116	)
The Royal Bank of Scotland	1.135%	(6)		SGD		16,000,000		03/15/2017		(160,005	)
The Royal Bank of Scotland	2.185%	(6)		SGD		2,300,000		03/16/2016		(94,582	)
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	0.890%		SGD		3,000,000		09/20/2017		(7,492	)
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.050%		SGD		30,000,000		03/21/2018		(69,605	)
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.050%		SGD		4,000,000		03/21/2018		(9,281	)
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.060%		SGD		7,000,000		09/20/2017		30,318
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.290%		SGD		600,000		03/15/2017		9,353
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.295%		SGD		1,500,000		03/15/2017		23,652
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.298%		SGD		1,400,000		03/15/2017		22,202
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.300%		SGD		4,900,000		03/15/2017		78,148

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.315%		SGD		16,000,000		09/20/2017	$	233,179
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.320%		SGD		900,000		03/15/2017		15,003
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.340%		SGD		900,000		03/15/2017		15,651
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.400%		SGD		2,000,000		03/15/2017		39,107
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.410%		SGD		900,000		03/15/2017		17,923
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.460%		SGD		3,000,000		03/15/2017		65,150
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.460%		SGD		4,000,000		09/20/2017		81,592
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.750%		SGD		220,000		03/16/2016		6,360
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.815%		SGD		365,898		03/16/2016		11,246
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	1.945%		SGD		2,200,000		09/21/2016		82,999
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.055%		SGD		1,200,000		03/16/2016		44,967
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.145%		SGD		260,000		03/16/2016		10,400
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.190%		SGD		220,000		03/16/2016		9,078
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.250%		SGD		200,000		09/21/2016		9,511
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.540%		SGD		2,300,000		09/21/2016		130,868
The Royal Bank of Scotland	6 Month Singapore Interbank Offered Rate	2.550%		SGD		300,000		09/21/2016		17,166
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	5.800%		ZAR		62,000,000		09/20/2017		11,198
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	5.960%		ZAR		65,000,000		03/22/2018		(2,022	)
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.131%		ZAR		386,000,000		03/22/2018		330,911
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.620%		ZAR		11,700,000		03/15/2017		55,452
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.720%		ZAR		29,700,000		03/15/2017		155,017
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.750%		ZAR		29,700,000		03/15/2017		159,293
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.790%		ZAR		10,800,000		09/21/2016		60,049
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.830%		ZAR		16,300,000		03/15/2017		93,682
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.960%		ZAR		6,700,000		03/15/2017		42,688
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.990%		ZAR		18,000,000		03/15/2017		117,275
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	6.990%		ZAR		14,500,000		03/15/2017		94,471
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.000%		ZAR		9,600,000		03/15/2017		63,007
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.010%		ZAR		23,000,000		03/15/2017		152,059
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.040%		ZAR		1,320,000		03/16/2016		8,402
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.080%		ZAR		1,320,000		03/16/2016		8,603
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.155%		ZAR		3,282,843		03/16/2016		22,335
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.156%		ZAR		215,000,000		09/20/2017		1,581,340
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.160%		ZAR		49,000,000		09/20/2017		361,435
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.160%		ZAR		47,000,000		09/20/2017		346,683
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.190%		ZAR		21,000,000		03/15/2017		156,978
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.190%		ZAR		19,000,000		03/15/2017		142,028
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.300%		ZAR		17,500,000		03/15/2017		140,054

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.350%		ZAR		1,370,000		03/16/2016	$	10,340
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.390%		ZAR		2,390,000		03/16/2016		18,404
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.610%		ZAR		2,810,000		03/16/2016		23,997
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.750%		ZAR		5,300,000		09/21/2016		51,512
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.785%		ZAR		1,800,000		03/16/2016		16,574
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.840%		ZAR		8,000,000		09/21/2016		80,873
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	7.990%		ZAR		13,100,000		03/16/2016		130,867
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	8.275%		ZAR		5,100,000		09/21/2016		61,168
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	8.310%		ZAR		1,700,000		09/21/2016		20,647
The Royal Bank of Scotland	3 Month Johannesburg Interbank Agreed Rate	8.332%		ZAR		25,900,000		09/21/2016		317,032
The Royal Bank of Scotland	5.883%	(7)		ZAR		384,000,000		09/20/2017		(236,973	)
The Royal Bank of Scotland	6.470%	(7)		ZAR		29,400,000		09/21/2016		(122,706	)
The Royal Bank of Scotland	6.495%	(7)		ZAR		29,400,000		09/21/2016		(125,891	)
The Royal Bank of Scotland	6.905%	(7)		ZAR		215,000,000		03/15/2017		(1,313,074	)
The Royal Bank of Scotland	6.955%	(7)		ZAR		1,560,000		03/16/2016		(9,423	)
The Royal Bank of Scotland	7.930%	(7)		ZAR		25,700,000		03/16/2016		(250,856	)
									$	10,861,304

(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

Money Market Fund pledged as collateral to broker is included in the forward foreign currency exchange contracts.

Total return swap contracts outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Australia 10-Year Bond Futures	12/17/2012		AUD		2,255,236	$	29,486
Morgan Stanley and Co., International PLC	Bovespa Index	10/17/2012		BRL		15,196,694		(29,615	)
Barclays Capital	Corn Futures	12/14/2012		USD		669,375		(26,562	)
Bank of America	Euro - Bund Futures	12/6/2012		EUR		43,538,418		168,376
Bank of America	Mini Japanese 10-Year Treasury Bond	12/11/2012		JPY		10,652,270,400		228,150
Morgan Stanley and Co., International PLC	Russian Depository Index	6/15/2050		USD		582,447		(16,761	)
Morgan Stanley and Co., International PLC	Russian Trading System Index Futures	12/17/2012		USD		4,776,524		(32,978	)
Barclays Capital	Soybean Futures	1/14/2013		USD		1,325,150		37,188
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	12/21/2012		CHF		14,765,272		(58,906	)
Bank of America	U.S. Treasury 10-Year Note Futures	12/19/2012		USD		126,360,036		583,605
Barclays Capital	Wheat Futures	12/14/2012		USD		408,262		(2,138	)
							$	879,845

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $773,815.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
204	Brent Crude Oil Penultimate Financial Futures	October 15, 2012	$	22,164,950	$	22,927,560	$	762,610
2	Cattle Feeder Futures	October 25, 2012		141,189		143,800		2,611
6	Cocoa Futures	December 13, 2012		157,362		150,960		(6,402	)
64	Coffee ‘C’ Futures	December 18, 2012		4,298,754		4,164,000		(134,754	)
105	Corn Futures	December 14, 2012		3,177,533		3,970,313		792,780
139	Corn Futures	March 14, 2013		5,559,801		5,278,525		(281,276	)
21	Cotton No. 2 Futures	December 6, 2012		734,538		741,824		7,286
10	Cotton No. 2 Futures	March 6, 2013		381,274		358,400		(22,874	)
367	Crude Oil Financial Futures	October 19, 2012		34,751,130		33,833,730		(917,400	)
32	Globex Heat Oil Futures	October 30, 2012		4,184,284		4,245,965		61,681
38	Globex RBOB Gas Futures	October 30, 2012		4,292,568		4,660,480		367,912
94	Gold 100 OZ Futures	December 27, 2012		15,296,433		16,674,660		1,378,227
96	ICE Euro Gasoil Futures	October 10, 2012		8,981,875		9,415,200		433,325
89	Lean Hogs Futures	December 14, 2012		2,704,378		2,625,500		(78,878	)
33	Live Cattle Futures	December 31, 2012		1,700,290		1,646,040		(54,250	)
1	LME Aluminum Futures	November 30, 2012		47,292		52,684		5,392
1	LME Aluminum Futures	December 4, 2012		48,288		52,720		4,432
4	LME Aluminum Futures	December 5, 2012		193,443		210,912		17,469
7	LME Aluminum Futures	December 11, 2012		360,140		369,461		9,321
3	LME Aluminum Futures	December 13, 2012		155,824		158,393		2,569
29	LME Aluminum Futures	December 17, 2012		1,482,551		1,532,633		50,082
1	LME Aluminum Futures	December 27, 2012		52,241		52,797		556
13	LME Aluminum Futures	March 18, 2013		650,458		693,062		42,604
1	LME Copper Futures	October 2, 2012		190,826		205,287		14,461
4	LME Copper Futures	October 5, 2012		772,300		821,180		48,880
1	LME Copper Futures	October 12, 2012		187,914		205,313		17,399
5	LME Copper Futures	October 19, 2012		964,377		1,026,250		61,873
2	LME Copper Futures	October 26, 2012		371,991		410,338		38,347
8	LME Copper Futures	November 1, 2012		1,507,203		1,641,500		134,297
1	LME Copper Futures	November 7, 2012		188,452		205,207		16,755
4	LME Copper Futures	November 8, 2012		752,231		820,838		68,607
5	LME Copper Futures	November 9, 2012		945,967		1,026,063		80,096
1	LME Copper Futures	November 16, 2012		184,930		205,235		20,305
6	LME Copper Futures	November 21, 2012		1,125,072		1,231,500		106,428
8	LME Copper Futures	November 23, 2012		1,538,415		1,641,700		103,285
1	LME Copper Futures	November 30, 2012		190,476		205,233		14,757
1	LME Copper Futures	December 4, 2012		191,434		205,244		13,810
7	LME Copper Futures	December 5, 2012		1,332,114		1,436,729		104,615
3	LME Copper Futures	December 6, 2012		579,715		615,750		36,035
9	LME Copper Futures	December 11, 2012		1,812,525		1,847,380		34,855
6	LME Copper Futures	December 13, 2012		1,210,097		1,231,622		21,525
136	LME Copper Futures	December 17, 2012		26,180,445		27,919,072		1,738,627
3	LME Copper Futures	December 20, 2012		617,500		615,563		(1,937	)
6	LME Copper Futures	December 27, 2012		1,229,565		1,230,776		1,211
79	LME Copper Futures	March 18, 2013		15,233,539		16,213,763		980,224
2	LME Lead Futures	October 19, 2012		95,495		113,797		18,302
1	LME Lead Futures	November 9, 2012		47,942		56,977		9,035
1	LME Lead Futures	November 21, 2012		47,677		57,057		9,380
1	LME Lead Futures	November 30, 2012		49,176		57,047		7,871
1	LME Lead Futures	December 6, 2012		50,891		57,040		6,149
4	LME Lead Futures	December 11, 2012		210,645		228,139		17,494
1	LME Lead Futures	December 13, 2012		52,920		57,031		4,111
24	LME Lead Futures	December 17, 2012		1,275,088		1,368,609		93,521
1	LME Lead Futures	December 20, 2012		55,741		57,020		1,279
4	LME Lead Futures	December 27, 2012		230,813		228,020		(2,793	)
6	LME Lead Futures	March 18, 2013		309,460		343,800		34,340
3	LME Nickel Futures	October 5, 2012		306,162		331,715		25,553
6	LME Nickel Futures	October 12, 2012		576,368		663,648		87,280

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
4	LME Nickel Futures	October 19, 2012	$	388,805		$	442,584		$	53,779
2	LME Nickel Futures	October 26, 2012		192,603			221,338			28,735
1	LME Nickel Futures	November 8, 2012		93,719			110,712			16,993
1	LME Nickel Futures	November 23, 2012		97,829			110,761			12,932
1	LME Nickel Futures	December 5, 2012		96,002			110,804			14,802
33	LME Nickel Futures	December 17, 2012		3,392,152			3,658,233			266,081
2	LME Nickel Futures	December 20, 2012		211,261			221,688			10,427
5	LME Nickel Futures	December 27, 2012		549,476			554,246			4,770
8	LME Nickel Futures	March 18, 2013		782,845			889,680			106,835
20	LME Zinc Futures	December 11, 2012		997,820			1,047,055			49,235
10	LME Zinc Futures	December 13, 2012		501,627			523,692			22,065
58	LME Zinc Futures	December 17, 2012		2,972,567			3,040,073			67,506
1	LME Zinc Futures	December 20, 2012		52,298			52,406			108
6	LME Zinc Futures	December 27, 2012		312,010			314,394			2,384
1	LME Zinc Futures	March 18, 2013		48,102			52,969			4,867
1,090	Natural Gas Swap Futures	October 29, 2012		8,698,142			9,046,999			348,857
44	Silver Futures	December 27, 2012		7,010,586			7,606,940			596,354
135	Soybean Futures	January 14, 2013		10,803,336			10,818,563			15,227
94	Soybean Meal Futures	December 14, 2012		4,272,078			4,576,860			304,782
127	Soybean Oil Futures	December 14, 2012		4,200,206			4,012,692			(187,514	)
135	Sugar #11 (World Markets) Futures	February 28, 2013		3,359,084			3,087,504			(271,580	)
71	Wheat Futures	December 14, 2012		3,101,231			3,203,874			102,643
44	Amsterdam Index Futures	October 19, 2012		3,801,214			3,666,197			(135,017	)
146	CAC40 10 Euro Futures	October 19, 2012		6,578,337			6,290,808			(287,529	)
21	DAX Index Futures	December 21, 2012		4,972,374			4,883,463			(88,911	)
109	E-Mini Russell 2000 Futures	December 21, 2012		9,345,998			9,094,960			(251,038	)
672	Euro Stoxx 50 Index	December 21, 2012		21,944,464			21,200,241			(744,223	)
245	FTSE 100 Index Futures	December 21, 2012		23,094,716			22,602,113			(492,603	)
181	FTSE/JSE Top 40 Index Futures	December 20, 2012		7,060,067			6,912,491			(147,576	)
19	FTSE/MIB Index Futures	December 21, 2012		1,952,252			1,836,567			(115,685	)
41	Hang Seng Index Futures	October 30, 2012		5,457,884			5,518,890			61,006
145	H-SHARES Index Futures	October 30, 2012		9,071,852			9,216,249			144,397
27	IBEX 35 Index Futures	October 19, 2012		2,779,596			2,665,651			(113,945	)
92	KOSPI Index 200 Futures	December 13, 2012		10,630,656			10,934,791			304,135
247	MSCI Taiwan Stock Index Futures	October 30, 2012		6,812,878			6,802,380			(10,498	)
1,486	S&P 500 E-Mini Futures	December 21, 2012		108,177,964			106,561,060			(1,616,904	)
99	S&P MID 400 E-Mini Futures	December 21, 2012		10,075,107			9,766,350			(308,757	)
21	S&P/Toronto Stock Exchange 60 Index Futures	December 20, 2012		3,038,494			2,993,531			(44,963	)
184	SGX S&P CNX Nifty Index Futures	October 25, 2012		2,100,218			2,106,064			5,846
35	SPI 200 Index Futures	December 20, 2012		4,001,134			3,979,082			(22,052	)
149	TOPIX Index Futures	December 13, 2012		13,860,131			14,033,188			173,057
111	10-Year Japanese Government Bond Futures	December 11, 2012		204,705,886			205,088,288			382,402
26	Australia 10-Year Bond Futures	December 17, 2012		3,370,679			3,422,261			51,582
640	Euro - Bund Futures	December 6, 2012		115,855,866			116,596,184			740,318
333	Long Gilt Futures	December 27, 2012		64,363,109			64,860,799			497,690
1,070	U.S. Treasury 10-Year Note Futures	December 19, 2012		142,249,284			142,828,281			578,997
				1,009,566,001			1,016,105,018			6,539,017
Short Contracts:
5	Globex Brent FCL Futures	November 14, 2012		(541,490	)		(557,900	)		(16,410	)
11	ICE Euro Gasoil Futures	November 9, 2012		(1,053,460	)		(1,071,950	)		(18,490	)
1	LME Aluminum Futures	November 30, 2012		(47,373	)		(52,684	)		(5,311	)
1	LME Aluminum Futures	December 4, 2012		(48,548	)		(52,719	)		(4,171	)
4	LME Aluminum Futures	December 5, 2012		(195,494	)		(210,913	)		(15,419	)
7	LME Aluminum Futures	December 11, 2012		(361,189	)		(369,462	)		(8,273	)
3	LME Aluminum Futures	December 13, 2012		(157,120	)		(158,393	)		(1,273	)
13	LME Aluminum Futures	December 17, 2012		(648,029	)		(687,032	)		(39,003	)
1	LME Aluminum Futures	December 27, 2012		(52,298	)		(52,796	)		(498	)
1	LME Copper Futures	October 2, 2012		(190,679	)		(205,287	)		(14,608	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	LME Copper Futures	October 5, 2012	$	(774,395	)	$	(821,180	)	$	(46,785	)
1	LME Copper Futures	October 12, 2012		(188,243	)		(205,313	)		(17,070	)
5	LME Copper Futures	October 19, 2012		(968,494	)		(1,026,250	)		(57,756	)
2	LME Copper Futures	October 26, 2012		(377,997	)		(410,338	)		(32,341	)
8	LME Copper Futures	November 1, 2012		(1,503,887	)		(1,641,500	)		(137,613	)
1	LME Copper Futures	November 7, 2012		(186,601	)		(205,207	)		(18,606	)
4	LME Copper Futures	November 8, 2012		(753,194	)		(820,838	)		(67,644	)
5	LME Copper Futures	November 9, 2012		(943,117	)		(1,026,062	)		(82,945	)
1	LME Copper Futures	November 16, 2012		(184,880	)		(205,235	)		(20,355	)
6	LME Copper Futures	November 21, 2012		(1,131,140	)		(1,231,500	)		(100,360	)
8	LME Copper Futures	November 23, 2012		(1,537,387	)		(1,641,700	)		(104,313	)
1	LME Copper Futures	November 30, 2012		(190,548	)		(205,232	)		(14,684	)
1	LME Copper Futures	December 4, 2012		(191,548	)		(205,244	)		(13,696	)
7	LME Copper Futures	December 5, 2012		(1,342,589	)		(1,436,729	)		(94,140	)
3	LME Copper Futures	December 6, 2012		(576,895	)		(615,750	)		(38,855	)
9	LME Copper Futures	December 11, 2012		(1,818,436	)		(1,847,381	)		(28,945	)
6	LME Copper Futures	December 13, 2012		(1,214,990	)		(1,231,621	)		(16,631	)
101	LME Copper Futures	December 17, 2012		(19,450,967	)		(20,734,010	)		(1,283,043	)
3	LME Copper Futures	December 20, 2012		(619,945	)		(615,562	)		4,383
6	LME Copper Futures	December 27, 2012		(1,222,448	)		(1,230,776	)		(8,328	)
2	LME Lead Futures	October 19, 2012		(95,498	)		(113,798	)		(18,300	)
1	LME Lead Futures	November 9, 2012		(47,749	)		(56,978	)		(9,229	)
1	LME Lead Futures	November 21, 2012		(47,830	)		(57,057	)		(9,227	)
1	LME Lead Futures	November 30, 2012		(49,298	)		(57,046	)		(7,748	)
1	LME Lead Futures	December 6, 2012		(51,205	)		(57,040	)		(5,835	)
4	LME Lead Futures	December 11, 2012		(211,494	)		(228,139	)		(16,645	)
1	LME Lead Futures	December 13, 2012		(53,523	)		(57,031	)		(3,508	)
10	LME Lead Futures	December 17, 2012		(522,804	)		(570,260	)		(47,456	)
1	LME Lead Futures	December 20, 2012		(55,961	)		(57,020	)		(1,059	)
4	LME Lead Futures	December 27, 2012		(227,794	)		(228,020	)		(226	)
3	LME Nickel Futures	October 5, 2012		(302,396	)		(331,715	)		(29,319	)
6	LME Nickel Futures	October 12, 2012		(579,187	)		(663,648	)		(84,461	)
4	LME Nickel Futures	October 19, 2012		(388,923	)		(442,584	)		(53,661	)
2	LME Nickel Futures	October 26, 2012		(190,206	)		(221,338	)		(31,132	)
1	LME Nickel Futures	November 8, 2012		(93,875	)		(110,712	)		(16,837	)
1	LME Nickel Futures	November 23, 2012		(97,888	)		(110,761	)		(12,873	)
1	LME Nickel Futures	December 5, 2012		(95,692	)		(110,803	)		(15,111	)
25	LME Nickel Futures	December 17, 2012		(2,444,754	)		(2,771,385	)		(326,631	)
2	LME Nickel Futures	December 20, 2012		(212,949	)		(221,688	)		(8,739	)
5	LME Nickel Futures	December 27, 2012		(540,037	)		(554,246	)		(14,209	)
20	LME Zinc Futures	December 11, 2012		(1,002,968	)		(1,047,055	)		(44,087	)
10	LME Zinc Futures	December 13, 2012		(508,734	)		(523,693	)		(14,959	)
20	LME Zinc Futures	December 17, 2012		(1,037,562	)		(1,048,160	)		(10,598	)
1	LME Zinc Futures	December 20, 2012		(52,873	)		(52,406	)		467
6	LME Zinc Futures	December 27, 2012		(311,964	)		(314,394	)		(2,430	)
				(47,696,545	)		(50,783,541	)		(3,086,996	)
			$	961,869,456		$	965,321,477		$	3,452,021

Cash held as collateral with broker for futures contracts was $36,298,234 at September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		28,953,000		$	14,029,298		$	14,136,935		$	107,637
Czech Republic Koruna, Expiring 12/19/12	The Royal Bank of Scotland	CZK		1,063,000			55,890			54,353			(1,537	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		6,830,000			8,956,665			8,784,452			(172,213	)
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		186,000			23,996			23,988			(8	)
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		2,932,000			13,330			13,083			(247	)
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		97,995,000			24,486,576			24,927,507			440,931
Korean Won, Expiring 12/20/12	The Royal Bank of Scotland	KRW		37,547,081,000			33,048,423			33,648,267			599,844
Mexican Peso, Expiring 12/19/12	The Royal Bank of Scotland	MXN		664,239,000			50,371,005			51,200,370			829,365
Poland Zloty, Expiring 12/19/12	The Royal Bank of Scotland	PLN		211,000			66,221			65,263			(958	)
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		36,731,000			29,574,399			29,929,395			354,996
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		69,658,000			37,977,303			38,338,755			361,452
Taiwanese Dollar, Expiring 12/19/12	The Royal Bank of Scotland	TWD		971,877,000			32,885,846			33,162,960			277,114
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		104,325,000			12,503,796			12,395,237			(108,559	)
						$	243,992,748		$	246,680,565		$	2,687,817
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		(591,000	)	$	(286,272	)	$	(288,569	)	$	(2,297	)
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		(117,000	)		(123,178	)		(124,584	)		(1,406	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		(205,339,000	)		(261,287,383	)		(264,098,188	)		(2,810,805	)
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		(36,106,000	)		(58,498,306	)		(58,290,970	)		207,336
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		(33,000	)		(4,256	)		(4,256	)		–
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		(4,008,000	)		(17,532	)		(17,884	)		(352	)
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		(60,000,000	)		(765,125	)		(769,447	)		(4,322	)
Russian Ruble, Expiring 12/19/12	The Royal Bank of Scotland	RUB		(146,134,000	)		(4,519,527	)		(4,620,525	)		(100,998	)
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		(14,604,000	)		(7,961,123	)		(8,037,831	)		(76,708	)
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		(21,536,000	)		(2,583,214	)		(2,558,771	)		24,443
							(336,045,916	)		(338,811,025	)		(2,765,109	)
						$	(92,053,168	)	$	(92,130,460	)	$	(77,292	)

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $13,145,282.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR RISK PARITY FUND

BRL - Brazilian Real

CHF - Swiss Franc

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

RUB - Russian Ruble

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

See notes to Schedule of Investments.

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 102.0%	SHARES		VALUE (Note 3)
COMMON STOCKS - 40.7%
Belgium - 0.6%
Anheuser-Busch InBev NV		2,871	$	245,610
Belgacom SA		13,646		416,387
Mobistar SA		11,193		353,088
Solvay SA		9,573		1,109,380
UCB SA		15,520		854,043
Umicore SA		23,772		1,244,435
				4,222,943
Bermuda - 0.1%
COSCO Pacific Ltd. †		84,000		116,861
Huabao International Holdings Ltd.		628,000		357,990
				474,851
Brazil - 0.8%
Banco Bradesco SA ADR (1)(a)		9,700		155,879
Banco do Brasil SA (1)		28,200		344,980
BM&FBovespa SA (1)		29,600		178,279
BR Malls Participacoes SA (1)		10,700		147,311
Centrais Eletricas Brasileiras SA ADR (1)(a)(b)		26,300		155,959
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (1)(a)(b)		8,400		378,924
Cia de Bebidas das Americas ADR (1)(b)		9,900		378,873
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1)(a)		2,700		219,267
Cia Energetica de Minas Gerais ADR (1)(a)		15,575		188,769
Cia Paranaense de Energia ADR (1)(a)		8,400		137,928
Cielo SA (1)		80		1,994
Cosan SA Industria e Comercio (1)		11,800		215,133
EDP - Energias do Brasil SA (1)		3,000		18,824
Hypermarcas SA (1)†		17,300		125,787
Itau Unibanco Holding SA ADR (1)(a)		18,900		288,792
JBS SA (1)†		214,793		704,587
Multiplan Empreendimentos Imobiliarios SA (1)		1,400		41,159
OGX Petroleo e Gas Participacoes SA (1)†		2,800		8,549
Petroleo Brasileiro SA ADR (1)(a)(b)		31,600		697,412
Porto Seguro SA (1)†		16,100		162,013
Tim Participacoes SA ADR (1)(a)		19,700		378,634
Vale SA ADR (1)(a)(b)		63,300		1,098,888
				6,027,941

	SHARES		VALUE (Note 3)
Cayman Islands - 0.1%
Tencent Holdings Ltd.		11,600	$	392,726
Chile - 0.2%
Banco Santander Chile ADR (1)(a)(b)		1,400		102,536
CAP SA (1)		8,509		296,519
Empresa Nacional de Electricidad SA ADR (1)(a)		300		14,388
Enersis SA ADR (1)(a)		40,000		655,600
ENTEL Chile SA (1)		18,283		381,004
SACI Falabella (1)		14,803		149,472
				1,599,519
China - 0.9%
Agricultural Bank of China Ltd., H Shares		225,000		87,053
Bank of China Ltd., H Shares		1,938,000		733,589
Bank of Communications Co., Ltd., H Shares		23,000		15,514
China BlueChemical Ltd., H Shares		476,000		280,700
China Citic Bank Corp. Ltd., H Shares		353,000		166,443
China Construction Bank Corp., H Shares		1,679,000		1,157,990
China Minsheng Banking Corp. Ltd., H Shares		110,000		86,338
China Petroleum & Chemical Corp. ADR (1)		4,400		406,648
China Railway Construction Corp. Ltd., H Shares		922,000		820,772
China Railway Group Ltd., H Shares †		911,000		396,027
China Shanshui Cement Group Ltd.		12,000		7,748
China Telecom Corp. Ltd., H Shares		678,000		391,798
China Zhongwang Holdings Ltd.		186		71
Chongqing Rural Commercial Bank Co., Ltd., H Shares †		598,000		234,658
CNOOC Ltd. ADR (1)(a)		3,300		669,009
Country Garden Holdings Co., Ltd. †		83,000		32,181
Dongfeng Motor Group Co., Ltd., H Shares		208,000		241,704
Evergrande Real Estate Group Ltd.		98,000		38,389
Industrial & Commercial Bank of China Ltd., H Shares		1,051,000		616,706
Jiangsu Expressway Co., Ltd., H Shares		118,000		97,406
Longfor Properties Co., Ltd.		19,000		29,236
Parkson Retail Group Ltd.		135,000		113,079
Sino-Ocean Land Holdings Ltd.		27,000		15,194
Soho China Ltd.		39,000		24,004

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
China - 0.9% (continued)
Zhejiang Expressway Co., Ltd., H Shares		164,000	$	114,014
				6,776,271
Denmark - 0.8%
AP Moeller - Maersk A/S, Class B		152		1,086,687
Chr Hansen Holding A/S		4,797		144,154
Coloplast A/S, Class B		1,275		265,687
DSV A/S		36,864		827,587
GN Store Nord A/S		22,457		345,122
Novo Nordisk A/S, Class B		18,809		2,960,047
Vestas Wind Systems A/S †		85,826		608,857
				6,238,141
Finland - 0.6%
Cargotec Oyj, B Shares		548		12,957
Fortum OYJ		25,039		461,347
Kone OYJ, Class B		4,392		304,405
Metso OYJ		54,280		1,944,337
Neste Oil OYJ		2,806		36,866
Nokia OYJ		11,514		29,881
Outotec OYJ		37,626		1,791,745
Sampo OYJ, A Shares		699		21,781
Stora Enso OYJ, R Shares		27,275		169,931
				4,773,250
Germany - 4.2%
Adidas AG		7,487		614,393
Aurubis AG		41,222		2,406,315
Bayer AG		53,796		4,625,900
Bilfinger SE		30,760		2,723,483
Brenntag AG		5,102		653,762
Deutsche Lufthansa AG		51,690		701,489
Deutsche Post AG		131,142		2,561,952
E.ON AG		121,857		2,895,681
Freenet AG		39,852		651,153
GEA Group AG		50,246		1,523,398
Hannover Rueckversicherung AG		5,059		323,734
Hochtief AG †		6,317		296,257
Kabel Deutschland Holding AG †		5,813		414,961
Kloeckner & Co. SE †		7,524		72,088
Leoni AG		33,291		1,246,453

	SHARES		VALUE (Note 3)
Germany - 4.2% (continued)
Linde AG		408	$	70,323
Merck KGaA		28,981		3,577,501
Metro AG		33,019		989,233
Muenchener Rueckversicherungs AG		4,419		690,966
Rheinmetall AG		15,004		700,792
Rhoen Klinikum AG		13,757		270,678
RWE AG		875		39,155
Salzgitter AG		22,888		885,805
SAP AG		8,875		631,575
Software AG		5,227		188,777
Suedzucker AG		20,321		719,868
TUI AG †		49,016		422,743
				30,898,435
Hong Kong - 0.5%
China Mengniu Dairy Co., Ltd.		91,000		271,851
China Mobile Ltd. ADR (1)(a)		33,200		1,837,952
China Overseas Land & Investment Ltd.		110,000		277,223
China Resources Land Ltd.		30,000		65,586
GOME Electrical Appliances Holding Ltd. †		13,047,000		1,369,183
Shimao Property Holdings Ltd.		38,000		64,942
Shougang Fushan Resources Group Ltd.		1,130,000		304,181
				4,190,918
India - 0.3%
Dr Reddy’s Laboratories Ltd. ADR (1)(a)		3,600		111,096
HDFC Bank Ltd. ADR (1)(a)		5,000		187,900
ICICI Bank Ltd. ADR (1)(a)		1,800		72,252
Infosys Ltd. ADR (1)(b)		26,600		1,291,164
Tata Motors Ltd. ADR (1)(a)(b)		33,300		855,144
Wipro Ltd. ADR (1)(a)(b)		19,200		171,840
				2,689,396
Indonesia - 0.3%
Astra Agro Lestari Tbk PT		11,000		25,145
Bank Negara Indonesia Persero Tbk PT		380,000		155,194
Bank Rakyat Indonesia Persero Tbk PT		349,500		270,887
Bumi Resources Tbk PT †		2,141,500		162,223
Indo Tambangraya Megah Tbk PT		24,500		107,488
Indocement Tunggal Prakarsa Tbk PT		153,500		325,235

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Indonesia - 0.3% (continued)
Indofood Sukses Makmur Tbk PT		1,378,000	$	811,234
Kalbe Farma Tbk PT		147,000		71,949
Telekomunikasi Indonesia Persero Tbk PT ADR (1)(a)		6,800		264,724
Unilever Indonesia Tbk PT		150,000		407,396
				2,601,475
Italy - 2.0%
Ansaldo STS SpA		33,029		270,700
Banca Popolare dell’Emilia Romagna Scrl		104,416		564,307
Enel SpA		1,060,393		3,756,614
Eni SpA		145,872		3,198,021
Fiat Industrial SpA		20,439		200,163
Fiat SpA †		281,584		1,506,119
Impregilo SpA		248,504		1,011,755
Prysmian SpA		78,039		1,394,861
Saipem SpA		23,530		1,133,919
Salvatore Ferragamo Italia SpA		3,431		71,570
Telecom Italia SpA		2,589,032		2,600,823
				15,708,852
Japan - 18.3%
Acom Co., Ltd. †		26,810		681,982
Aeon Co., Ltd.		3,400		38,393
Air Water, Inc.		3,000		36,716
Aisin Seiki Co., Ltd.		4,200		119,613
Ajinomoto Co., Inc.		77,000		1,206,074
All Nippon Airways Co., Ltd.		173,000		363,643
Alps Electric Co., Ltd.		269,200		1,391,620
Amada Co., Ltd.		148,000		646,694
Aozora Bank Ltd.		234,000		715,571
Asahi Group Holdings Ltd.		5,000		123,306
Asahi Kasei Corp.		283,000		1,458,762
Astellas Pharma, Inc.		43,700		2,214,713
Azbil Corp.		38,300		768,055
Bank of Yokohama Ltd./The		89,000		423,218
Bridgestone Corp.		5,600		129,877
Brother Industries Ltd.		97,800		905,843
Calsonic Kansei Corp.		144,000		554,609
Canon, Inc.		7,000		224,684
Casio Computer Co., Ltd.		145,300		1,029,260

	SHARES		VALUE (Note 3)
Japan - 18.3% (continued)
Central Japan Railway Co.		13,900	$	1,220,100
Chiba Bank Ltd./The		112,000		651,081
Chiyoda Corp.		238,000		3,697,546
Chubu Electric Power Co., Inc.		176,600		2,293,127
Chugai Pharmaceutical Co., Ltd.		49,800		1,043,782
Chugoku Electric Power Co., Inc./The		25,800		342,935
Citizen Holdings Co., Ltd.		90,600		458,001
COMSYS Holdings Corp.		98,000		1,365,944
Dai Nippon Printing Co., Ltd.		43,000		299,840
Daicel Corp.		110,000		658,849
Daido Steel Co., Ltd.		8,000		37,153
Daihatsu Motor Co., Ltd.		36,000		599,818
Daiichi Sankyo Co., Ltd.		31,400		517,228
Dainippon Screen Manufacturing Co., Ltd.		71,000		347,751
Dainippon Sumitomo Pharma Co., Ltd.		16,600		182,387
Denki Kagaku Kogyo KK		11,000		34,089
Dentsu, Inc.		79,600		2,016,125
DIC Corp.		371,000		601,682
East Japan Railway Co.		12,700		840,297
Ebara Corp.		306,000		1,277,664
Exedy Corp.		9,300		184,631
FamilyMart Co., Ltd.		7,900		388,123
Fuji Electric Co., Ltd.		359,000		728,109
Fuji Heavy Industries Ltd.		216,000		1,799,602
Fuji Media Holdings, Inc.		947		1,549,255
Fujikura Ltd.		137,000		409,769
Fujitsu Ltd.		613,000		2,301,339
Fukuoka Financial Group, Inc.		400,000		1,624,136
Hino Motors Ltd.		45,000		294,585
Hitachi High-Technologies Corp.		73,800		1,781,683
Hitachi Ltd.		88,000		488,674
Hokkaido Electric Power Co., Inc.		112,800		915,630
Hokuetsu Kishu Paper Co., Ltd.		155,500		768,756
Hoya Corp.		1,800		39,489
Idemitsu Kosan Co., Ltd.		3,500		286,265
IHI Corp.		632,000		1,407,581
Isetan Mitsukoshi Holdings Ltd.		65,800		685,602
Isuzu Motors Ltd.		234,000		1,127,588
ITOCHU Corp.		65,900		665,280

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - 18.3% (continued)
Itochu Techno-Solutions Corp.		1,500	$	77,963
J Front Retailing Co., Ltd.		112,000		627,678
Japan Petroleum Exploration Co.		6,900		276,531
Japan Tobacco, Inc.		42,900		1,284,158
JGC Corp.		171,000		5,695,025
JTEKT Corp.		210,900		1,667,072
Kajima Corp.		593,000		1,617,670
Kaken Pharmaceutical Co., Ltd.		173		2,582
Kandenko Co., Ltd.		292		1,391
Kao Corp.		28,100		826,176
Kawasaki Kisen Kaisha Ltd. †		50,000		62,829
Keio Corp.		26,000		195,907
Keisei Electric Railway Co., Ltd.		90,000		811,875
Kobe Steel Ltd.		1,070,000		847,734
Konami Corp.		36,900		837,852
Konica Minolta Holdings, Inc.		333,000		2,561,667
Kuraray Co., Ltd.		20,800		236,213
Kurita Water Industries Ltd.		21,900		484,188
KYB Co., Ltd.		133,000		472,290
Kyocera Corp.		100		8,665
Kyowa Hakko Kirin Co., Ltd.		63,000		760,799
Lintec Corp.		25,000		456,158
Marubeni Corp.		28,000		178,010
Marui Group Co., Ltd.		11,400		80,616
Miraca Holdings, Inc.		18,600		835,292
Mitsubishi Chemical Holdings Corp.		112,500		429,694
Mitsubishi Corp.		5,800		105,055
Mitsubishi Electric Corp.		220,000		1,621,587
Mitsubishi Heavy Industries, Ltd.		104,000		449,765
Mitsubishi Materials Corp.		240,000		755,081
Mitsubishi Motors Corp. †		791,000		729,607
Mitsubishi UFJ Financial Group, Inc.		282,700		1,322,910
Mitsubishi UFJ Lease & Finance Co., Ltd.		18,270		769,187
Mitsui & Co., Ltd.		61,100		857,213
Mitsui Chemicals, Inc.		55,000		107,155
Mitsui Engineering & Shipbuilding Co., Ltd.		391,000		450,060
Mitsui Mining & Smelting Co., Ltd.		522,000		1,105,134
Mizuho Financial Group, Inc.		764,700		1,241,137
MS&AD Insurance Group Holdings		1,400		24,167

	SHARES		VALUE (Note 3)
Japan - 18.3% (continued)
Nachi-Fujikoshi Corp.		12,000	$	34,652
Namco Bandai Holdings, Inc.		120,500		2,041,401
NET One Systems Co., Ltd.		146,100		1,841,216
NGK Spark Plug Co., Ltd.		22,000		231,455
NHK Spring Co., Ltd.		169,600		1,457,299
Nippon Electric Glass Co., Ltd.		31,000		170,822
Nippon Express Co., Ltd.		57,000		215,902
Nippon Kayaku Co., Ltd.		82,000		878,811
Nippon Meat Packers, Inc.		40,000		512,986
Nippon Paper Group, Inc.		19,100		224,674
Nippon Sheet Glass Co., Ltd.		1,200,000		843,926
Nippon Shokubai Co., Ltd.		33,000		369,076
Nippon Television Network Corp.		54,700		803,648
Nisshin Seifun Group, Inc.		25,500		313,498
Nisshinbo Holdings, Inc.		67,000		441,165
Nitto Denko Corp.		1,500		71,400
NSK Ltd.		83,000		482,054
Obayashi Corp.		528,000		2,406,186
Odakyu Electric Railway Co., Ltd.		21,000		220,704
Okinawa Electric Power Co., Inc./The		2		67
OKUMA Corp.		134,000		790,701
Osaka Gas Co., Ltd.		499,000		2,195,509
Pacific Metals Co., Ltd.		123,000		418,509
Panasonic Corp.		56,800		375,814
Pioneer Corp. †		299,500		735,080
Rengo Co., Ltd.		53,000		243,550
Resona Holdings, Inc.		687,200		2,813,740
Ryohin Keikaku Co., Ltd.		10,300		649,225
Sankyo Co., Ltd.		4,700		218,659
Santen Pharmaceutical Co., Ltd.		15,900		729,331
Sapporo Hokuyo Holdings, Inc.		34		97
Sapporo Holdings Ltd.		185,000		515,799
Secom Co., Ltd.		23,300		1,214,457
Sega Sammy Holdings, Inc.		45,500		858,566
Sekisui Chemical Co., Ltd.		156,000		1,256,453
Seven & I Holdings Co., Ltd.		76,000		2,328,892
Shimadzu Corp.		45,000		315,840
Shimamura Co., Ltd.		5,000		582,090
Shimizu Corp.		234,000		787,095
Shinsei Bank Ltd.		1,807,000		2,334,245

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - 18.3% (continued)
Shionogi & Co., Ltd.		21,900	$	333,733
Skymark Airlines, Inc. †		32,500		161,352
Sojitz Corp.		476,300		615,794
Sony Corp.		19,300		225,678
Square Enix Holdings Co., Ltd.		34,100		519,767
Sumco Corp. †		102,700		691,374
Sumitomo Bakelite Co., Ltd.		57,000		198,109
Sumitomo Corp.		4,700		63,227
Sumitomo Electric Industries Ltd.		33,000		348,997
Sumitomo Heavy Industries Ltd.		280,000		954,498
Sumitomo Metal Mining Co., Ltd.		124,000		1,560,098
Sumitomo Mitsui Trust Holdings, Inc.		283,000		840,184
Suzuki Motor Corp.		94,400		1,833,524
T&D Holdings, Inc.		19,200		207,307
Taisei Corp.		656,000		1,879,699
Takara Holdings, Inc.		24		177
Takashimaya Co., Ltd.		206,000		1,412,344
Teijin Ltd.		50,000		122,180
THK Co., Ltd.		36,700		560,758
Tobu Railway Co., Ltd.		8,000		43,046
Toho Gas Co., Ltd.		23,000		152,620
Tokuyama Corp.		128,000		262,002
Tokyo Gas Co., Ltd.		222,000		1,220,763
Tokyo Steel Manufacturing Co., Ltd.		105,800		357,093
Tokyu Corp.		17,000		81,205
Toppan Printing Co., Ltd.		30,000		173,996
Toray Industries, Inc.		14,000		82,825
Toshiba Corp.		95,000		304,475
Tosoh Corp.		117,000		222,135
Toyo Seikan Kaisha Ltd.		24,600		262,761
Toyo Suisan Kaisha Ltd.		16,000		400,369
Toyota Boshoku Corp.		12,300		127,597
Toyota Tsusho Corp.		65,900		1,407,737
Ube Industries Ltd.		30,000		64,422
UNY Co., Ltd.		271,300		2,103,970
USS Co., Ltd.		12,010		1,268,370
West Japan Railway Co.		29,000		1,238,452
Yamaguchi Financial Group, Inc.		56		453
Yamaha Corp.		77,900		721,215
Yamazaki Baking Co., Ltd.		28,000		374,735

	SHARES		VALUE (Note 3)
Japan - 18.3% (continued)
Yokogawa Electric Corp.		8,100	$	93,488
Yokohama Rubber Co., Ltd./The		127,000		938,471
Zeon Corp.		31,000		215,547
				137,409,363
Korea, Republic of - 0.8%
BS Financial Group, Inc.		11,900		127,825
Daelim Industrial Co., Ltd.		5,679		480,814
DGB Financial Group, Inc.		1,320		17,372
Dongbu Insurance Co., Ltd.		5,516		239,278
Dongkuk Steel Mill Co., Ltd. †		23,890		347,640
Hana Financial Group, Inc.		8,430		257,105
Hanwha Corp.		4,510		139,574
Hyundai Motor Co.		239		53,908
Hyundai Wia Corp.		1,973		331,106
Industrial Bank of Korea		10,610		116,263
KB Financial Group, Inc.		2,900		102,792
KCC Corp.		777		203,041
Kia Motors Corp.		5,038		313,028
Korea Exchange Bank †		10,460		79,681
Korea Gas Corp.		3,240		207,856
Korea Investment Holdings Co., Ltd.		2,140		76,888
Korea Life Insurance Co., Ltd.		45,280		313,859
Korean Air Lines Co., Ltd. †		11,372		483,889
KP Chemical Corp.		880		10,332
KT Corp. ADR (1)(a)		7,700		120,428
LG Display Co., Ltd. ADR (1)†(a)		66,200		832,134
LG Electronics, Inc.		3,687		227,712
Lotte Shopping Co., Ltd.		216		61,943
Mirae Asset Securities Co., Ltd.		1,830		55,310
Samsung Card Co., Ltd.		8,377		300,348
Shinsegae Co., Ltd.		915		172,379
SK Holdings Co., Ltd.		5,566		771,460
SK Networks Co., Ltd.		12,660		116,068
SK Telecom Co., Ltd. ADR (1)(a)		45,200		657,208
Woori Finance Holdings Co., Ltd.		42,830		421,525
				7,638,766
Luxembourg - 0.2%
APERAM		99,265		1,600,395

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Malaysia - 0.4%
Alliance Financial Group Bhd		144,900	$	193,606
AMMB Holdings Bhd		142,400		295,835
CIMB Group Holdings Bhd		145,800		357,109
DiGi.Com Bhd		132,400		228,219
Hong Leong Bank Bhd		19,200		84,020
Kuala Lumpur Kepong Bhd		15,700		113,179
Malayan Banking Bhd		171,900		505,960
Petronas Chemicals Group Bhd		52,800		110,277
Petronas Gas BHD		17,600		109,205
RHB Capital Bhd		9,600		22,617
Sime Darby Bhd		35,000		112,145
Tenaga Nasional Bhd		308,900		686,721
UMW Holdings Bhd		215,000		702,177
				3,521,070
Mexico - 0.7%
Alfa SAB de CV, Class A (1)		247,000		459,776
America Movil SAB de CV, Series L
ADR (1)(a)		29,400		747,936
Fomento Economico Mexicano SAB de CV ADR (1)(a)		2,300		211,554
Grupo Bimbo SAB de CV, Series A (1)		139,700		348,714
Grupo Mexico SAB de CV, Series B (1)		71,200		235,310
Grupo Modelo SAB de CV, Series C (1)		304,998		2,746,030
Grupo Televisa SAB ADR (1)(a)		6,000		141,060
Kimberly-Clark de Mexico SAB de CV, Class A (1)		166,400		397,392
				5,287,772
Netherlands - 1.5%
Aegon NV		464,262		2,413,600
ASML Holding NV		8,744		467,703
Koninklijke Ahold NV		109,684		1,373,745
Koninklijke Boskalis Westminster NV		16,929		611,556
Koninklijke DSM NV		28,931		1,443,202
Koninklijke Vopak NV		6,071		425,986
Nutreco NV		28,088		2,080,930
SBM Offshore NV †		95,647		1,362,766
				10,179,488
Norway - 0.9%
Aker Solutions ASA		30,475		580,538
DNB ASA		32,504		398,173
Orkla ASA		41,741		318,031

	SHARES		VALUE (Note 3)
Norway - 0.9% (continued)
Petroleum Geo-Services ASA		12,039	$	200,266
Seadrill Ltd.		30		1,179
Statoil ASA		72,295		1,865,687
Telenor ASA		35,112		685,305
Yara International ASA		46,093		2,314,497
				6,363,676
Peru - 0.1%
Cia de Minas Buenaventura SA
ADR (1)(a)		6,900		268,824
Credicorp Ltd. (1)(a)		2,500		313,200
				582,024
Poland - 0.3%
KGHM Polska Miedz SA		2,282		108,870
PGE SA		109,777		633,930
Powszechny Zaklad Ubezpieczen SA		3,322		373,682
Tauron Polska Energia SA		306,329		468,230
				1,584,712
South Africa - 0.3%
ABSA Group Ltd.		6,007		100,221
African Bank Investments Ltd.		36,591		145,588
AngloGold Ashanti Ltd. ADR (1)(a)		4,700		164,735
Barloworld Ltd.		14,425		124,575
Bidvest Group Ltd.		7,298		180,541
FirstRand Ltd.		59,291		198,726
Gold Fields Ltd. ADR (1)(a)		19,500		250,575
Growthpoint Properties Ltd.		44,987		134,732
Imperial Holdings Ltd.		16,044		360,956
Investec Ltd.		54,433		335,007
Liberty Holdings Ltd.		31,548		376,669
MTN Group Ltd.		9,212		177,839
Naspers Ltd., N Shares		4,439		275,316
Nedbank Group Ltd.		4,640		102,358
Redefine Properties Ltd.		48,731		54,684
Sanlam Ltd.		49,748		224,794
Sasol Ltd. ADR (1)(a)		700		31,206
Woolworths Holdings Ltd.		61,502		449,092
				3,687,614
Sweden - 2.2%
Boliden AB		210,063		3,513,030

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Sweden - 2.2% (continued)
Electrolux AB, Series B		46,725	$	1,154,556
Getinge AB, B Shares		18,973		572,768
Hennes & Mauritz AB, B Shares		614		21,369
Lundin Petroleum AB †		70,506		1,721,874
Meda AB, A Shares		16,429		166,424
NCC AB, B Shares		29,612		564,997
Nordea Bank AB		46,278		458,059
Securitas AB, B Shares		50,812		381,814
Skandinaviska Enskilda Banken AB, Class A		142,314		1,192,506
Skanska AB, B Shares		47,921		777,273
SKF AB, B Shares		17,017		367,732
Svenska Cellulosa AB, B Shares		6,912		128,507
Swedbank AB, A Shares		45,026		846,893
Swedish Match AB		26,969		1,091,749
Tele2 AB, B Shares		45,107		819,231
Telefonaktiebolaget LM Ericsson, B Shares		94,860		865,226
Trelleborg AB, B Shares		88,764		999,767
				15,643,775
Switzerland - 2.4%
ABB Ltd. †		19,560		367,008
Aryzta AG †		5,503		264,146
Dufry AG †		3,463		415,427
Galenica AG		689		408,359
Georg Fischer AG †		834		295,501
Logitech International SA †		15,100		138,743
Novartis AG		24,026		1,470,476
OC Oerlikon Corp. AG †		297,600		2,865,315
Roche Holding AG		23,543		4,403,640
Schindler Holding AG		1,153		141,960
SGS SA		179		368,101
Sika AG		68		138,707
Sulzer AG		21,531		3,142,886
Swiss Life Holding AG †		8,076		964,554
Swiss Re AG †		669		43,046
Syngenta AG		5,901		2,207,460
UBS AG †		9		110
				17,635,439

	SHARES		VALUE (Note 3)
Taiwan - 0.9%
Acer, Inc. †		189,000	$	185,090
Asustek Computer, Inc.		44,220		478,699
AU Optronics Corp. †		438,000		156,625
China Motor Corp.		211,000		202,648
China Petrochemical Development Corp.		845,900		713,473
Chunghwa Telecom Co., Ltd. ADR (1)(a)(b)		1,000		31,750
Compal Electronics, Inc.		63,000		56,456
E.Sun Financial Holding Co., Ltd.		36,750		20,729
Eva Airways Corp. †		979,500		573,225
Foxconn Technology Co., Ltd.		74,550		288,603
Fubon Financial Holding Co., Ltd.		48,297		52,165
Hon Hai Precision Industry Co., Ltd.		20,900		65,439
HTC Corp.		28,000		270,387
Lite-On Technology Corp.		102,510		132,034
MStar Semiconductor, Inc.		4,000		32,038
Nan Ya Printed Circuit Board Corp.		114,000		185,470
President Chain Store Corp.		28,000		149,463
Quanta Computer, Inc.		196,000		519,685
Realtek Semiconductor Corp.		220,281		433,969
Shin Kong Financial Holding Co., Ltd. †		1,069,000		296,398
Siliconware Precision Industries Co.		389,000		430,782
SinoPac Financial Holdings Co., Ltd.		150,613		63,179
Taiwan Business Bank †		168,480		50,545
Taiwan Cooperative Financial Holding		305,250		168,678
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)(a)		36,500		577,430
Teco Electric and Machinery Co., Ltd.		149,000		102,790
Tripod Technology Corp.		3,330		8,144
Uni-President Enterprises Corp.		939,237		1,659,484
United Microelectronics Corp. ADR (1)(a)		6,100		12,505
Walsin Lihwa Corp. †		486,000		169,258
Wistron Corp.		213,000		255,043
Yang Ming Marine Transport Corp. †		100		41
				8,342,225
Thailand - 0.0% (c)
Advanced Info Service PCL NVDR		11,000		76,391
Bangkok Bank PCL NVDR		1,000		6,287
Krung Thai Bank PCL NVDR		14,800		8,777
PTT PCL NVDR		12,700		135,460

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Thailand - 0.0% (c) (continued)
Thai Oil PCL NVDR		95,900	$	202,913
				429,828
Turkey - 0.3%
Arcelik AS		46,512		247,681
Asya Katilim Bankasi AS †		305,251		336,483
BIM Birlesik Magazalar AS		5,425		226,333
Tupras Turkiye Petrol Rafinerileri AS		7,607		173,695
Turk Hava Yollari †		363,212		760,774
Turkiye Halk Bankasi AS		9,499		74,057
Turkiye Vakiflar Bankasi Tao, Class D		160,209		346,350
				2,165,373
United States - 0.0% (c)
Amgen, Inc. (1)(a)		246		20,743
Southern Copper Corp. (1)(a)(b)		6,301		216,502
				237,245
TOTAL COMMON STOCKS (Cost $299,639,015)				308,903,483
PREFERRED STOCKS - 0.3%
Brazil - 0.2%
Banco do Estado do Rio Grande do Sul SA, Series B (1)		4,900		42,758
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA (1)		10,100		97,948
Lojas Americanas SA (1)†		60,749		472,267
Usinas Siderurgicas de Minas Gerais SA, Series A (1)		70,329		353,510
				966,483
Germany - 0.1%
Henkel AG & Co. KGaA		184		14,657
ProSiebenSat.1 Media AG		47,984		1,209,709
				1,224,366
TOTAL PREFERRED STOCKS (Cost $2,083,566)				2,190,849

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	MOODY’S RATING*								SHARES		VALUE (Note 3)
CONVERTIBLE PREFERRED STOCKS - 0.6%
United States - 0.6%
Citigroup, Inc., $100.00 par, 7.500% (1)(a)		NR								10,000	$	969,800
MetLife, Inc., $82.88 par, 5.000% (1)		BBB-	**							28,160		1,944,166
NextEra Energy, Inc., $— par, 5.599% (1)†(a)		NR								842,500		430,518
PPL Corp., $50.00 par, 9.500% (1)(a)		NR								22,975		1,230,311
PPL Corp., $50.00 par, 8.750% (1)(a)		NR								4,600		251,620
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $4,535,001)												4,826,415
				INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)
CORPORATE BONDS - 12.4%
Canada - 0.0% (c)
Petrominerales Ltd.		NR			3.250	%		06/12/17	$	400		336,500
Mexico - 0.1%
Cemex SAB de CV (a)		NR			3.250	%		03/15/16		500		493,438
United States - 12.3%
Annaly Capital Management, Inc. (a)		NR			5.000	%		05/15/15		425		434,297
Archer-Daniels-Midland Co.		A	**		0.875	%		02/15/14		600		600,375
Chart Industries, Inc. (a)		B+	**		2.000	%		08/01/18		2,900		3,788,125
General Cable Corp. (a)(e)		B2			4.500	%		11/15/29		2,825		3,022,750
Gilead Sciences, Inc., Series D (a)		A-	**		1.625	%		05/01/16		6,075		9,503,578
Health Care REIT, Inc. (a)		Baa2			3.000	%		12/01/29		3,325		3,944,281
L-3 Communications Holdings, Inc. (a)		Ba1			3.000	%		08/01/35		2,850		2,857,125
Medtronic, Inc., Series B (a)		A1			1.625	%		04/15/13		1,250		1,253,906
Microchip Technology, Inc. (a)		NR			2.125	%		12/15/37		4,325		5,433,281
Micron Technology, Inc., Series C 144A (a)(f)		BB-	**		2.375	%		05/01/32		3,475		3,249,125
NetApp, Inc. (a)		NR			1.750	%		06/01/13		5,350		6,092,312
Omnicare, Inc. (a)		Ba3			3.750	%		12/15/25		725		1,024,063
PHH Corp.		Ba2			6.000	%		06/15/17		6,352		11,536,820
Regeneron Pharmaceuticals, Inc. 144A (a)(f)		NR			1.875	%		10/01/16		6,550		12,485,937
Salesforce.com, Inc.		NR			0.750	%		01/15/15		5,600		10,409,000
SanDisk Corp. (a)		BB	**		1.000	%		05/15/13		1,150		1,136,344
Smithfield Foods, Inc. (a)		BB	**		4.000	%		06/30/13		3,675		3,916,172
Vishay Intertechnology, Inc. 144A (a)(f)		BB+	**		2.250	%		11/15/40		2,125		1,855,391
Xilinx, Inc. (a)		BBB-	**		3.125	%		03/15/37		8,825		10,545,875
												93,088,757
TOTAL CORPORATE BONDS (Cost $87,826,117)												93,918,695

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	MOODY’S RATING*			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
CONVERTIBLE BONDS - 19.7%
India - 0.0% (c)
Sterlite Industries India Ltd. (a)		NR			4.000	%		10/30/14	$	225	$	214,312
Malta - 0.1%
Lufthansa Malta Blues LP, Series JBLU 144A (f)		Ba1			0.750	%		04/05/17	EUR	475		630,237
United States - 19.6%
Alcoa, Inc.		Baa3			5.250	%		03/15/14	$	4,125		6,128,203
Allegheny Technologies, Inc.		BBB-	**		4.250	%		06/01/14		1,175		1,350,516
Amkor Technology, Inc. (a)		NR			6.000	%		04/15/14		3,475		5,444,890
Ares Capital Corp. 144A (a)(f)		BBB	**		5.750	%		02/01/16		1,625		1,726,563
Avis Budget Group, Inc. (a)		NR			3.500	%		10/01/14		2,150		2,624,344
Boston Properties LP (a)		A-	**		3.750	%		05/15/36		750		858,750
Boston Properties LP 144A (f)		A-	**		3.625	%		02/15/14		1,500		1,631,250
Cadence Design Systems, Inc. (a)		NR			2.625	%		06/01/15		2,900		5,147,500
Ciena Corp. 144A (f)		NR			4.000	%		03/15/15		2,800		3,013,500
DDR Corp. (a)		NR			1.750	%		11/15/40		6,920		7,689,850
Digital Realty Trust LP 144A (f)		NR			5.500	%		04/15/29		1,650		2,853,469
DR Horton, Inc., Series DHI		Ba2			2.000	%		05/15/14		5,875		9,620,313
Equinix, Inc.		B	**		4.750	%		06/15/16		4,450		11,300,219
Exelixis, Inc. (a)		NR			4.250	%		08/15/19		650		677,625
Gaylord Entertainment Co. 144A (f)		NR			3.750	%		10/01/14		3,350		5,104,562
General Cable Corp. (a)		B1			0.875	%		11/15/13		1,925		1,918,984
Hertz Global Holdings, Inc.		B-	**		5.250	%		06/01/14		6,625		11,759,375
Host Hotels & Resorts LP 144A (a)(f)		BB+	**		2.500	%		10/15/29		6,050		8,054,062
Intel Corp. (b)		A-	**		2.950	%		12/15/35		1,400		1,522,500
Lennar Corp. 144A (a)(f)		B2			3.250	%		11/15/21		2,325		3,833,344
Lennar Corp. 144A (a)(f)		B2			2.750	%		12/15/20		1,375		2,322,891
Lennar Corp. 144A (a)(f)		B2			2.000	%		12/01/20		2,875		3,877,656
Level 3 Communications, Inc.		CCC	**		15.000	%		01/15/13		1,550		1,699,188
Medicis Pharmaceutical Corp. (a)		NR			1.375	%		06/01/17		1,575		1,963,016
Navistar International Corp.		CCC+	**		3.000	%		10/15/14		750		665,156
PHH Corp. (a)		Ba2			4.000	%		09/01/14		600		650,250
priceline.com, Inc. 144A (a)(f)		BBB	**		1.250	%		03/15/15		275		573,719
ProLogis LP (a)		BBB-	**		3.250	%		03/15/15		3,175		3,561,953
SanDisk Corp.		BB	**		1.500	%		08/15/17		400		452,750
SL Green Operating Partnership LP 144A (a)(f)		NR			3.000	%		10/15/17		4,425		5,091,516
Take-Two Interactive Software, Inc. 144A (a)(f)		NR			1.750	%		12/01/16		200		186,750
Textron, Inc., Series TXT		Baa3			4.500	%		05/01/13		875		1,753,828
Toll Brothers Finance Corp. 144A (a)(f)		Ba1			0.500	%		09/15/32		125		125,859
Tyson Foods, Inc.		BB+	**		3.250	%		10/15/13		2,975		3,283,656
United States Steel Corp.		B1			4.000	%		05/15/14		5,150		5,204,719
VeriSign, Inc. (a)		NR			3.250	%		08/15/37		10,544		16,073,010
Virgin Media, Inc. (a)		B+	**		6.500	%		11/15/16		975		1,680,047
XM Satellite Radio, Inc. 144A (a)(f)		BB	**		7.000	%		12/01/14		4,475		7,017,359
												148,443,142
TOTAL CONVERTIBLE BONDS (Cost $133,851,530)												149,287,691

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
RIGHTS - 0.0% (c)
Krung Thai Bank PCL †
(Cost $—)		3,700	$	680
MONEY MARKET FUNDS - 27.4%
BlackRock Liquidity Funds TempFund Portfolio, Class I, 0.140% (g)		6,000,016		6,000,016
Dreyfus Treasury Cash Management, Class I, 0.010% (g)		24,000,065		24,000,065
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (g)(h)		147,988,691		147,988,691
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.020% (g)		30,000,082		30,000,082
TOTAL MONEY MARKET FUNDS (Cost $207,988,854)				207,988,854
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (g)(i)
(Cost $6,866,350)		6,866,350		6,866,350
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (Cost $742,790,433)				773,983,017

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SECURITIES SOLD SHORT- (58.1)%	SHARES		VALUE (Note 3)
COMMON STOCKS - (53.9)%
Belgium - (0.2)%
Bekaert SA		(10,056)	$	(289,774)
Colruyt SA		(15,363)		(669,339)
Delhaize Group SA		(6,319)		(244,049)
Telenet Group Holding NV		(21,087)		(942,719)
				(2,145,881)
Colombia - 0.0% (c)
Petrominerales Ltd. (1)
(cost $179,081)		(14,896)		(120,956)
Denmark - (0.6)%
Carlsberg A/S, Class B		(4,369)		(387,053)
FLSmidth & Co. A/S		(25,919)		(1,498,521)
Novozymes A/S, B Shares		(102,801)		(2,835,400)
				(4,720,974)
Finland - (0.8)%
Elisa OYJ		(32,788)		(741,974)
Konecranes OYJ		(15,263)		(443,991)
Nokian Renkaat OYJ		(68,968)		(2,815,283)
Outokumpu OYJ †		(104,387)		(111,734)
Rautaruukki OYJ		(52,688)		(332,457)
UPM-Kymmene OYJ		(51,885)		(588,361)
Wartsila OYJ		(17,102)		(593,456)
				(5,627,256)
Germany - (3.3)%
Aixtron SE †		(80,553)		(1,065,416)
Allianz SE		(16,172)		(1,928,729)
BASF SE		(25,396)		(2,145,863)
Bayerische Motoren Werke AG		(3,150)		(230,988)
Beiersdorf AG		(4,752)		(349,010)
Commerzbank AG †		(1,715,706)		(3,069,355)
Continental AG		(1,907)		(187,028)
Deutsche Telekom AG		(129,970)		(1,598,341)
Dialog Semiconductor plc †		(26,397)		(514,808)
Fraport AG Frankfurt Airport Services Worldwide		(23,326)		(1,349,846)
Fresenius Medical Care AG & Co. KGaA		(20,144)		(1,477,570)
HeidelbergCement AG		(10,248)		(538,264)
Hugo Boss AG		(3,077)		(271,012)
Infineon Technologies AG		(535,191)		(3,401,743)

	SHARES		VALUE (Note 3)
Germany - (3.3)% (continued)
K+S AG		(47,919)	$	(2,360,742)
Lanxess AG		(229)		(19,022)
MAN SE		(816)		(74,843)
MTU Aero Engines Holding AG		(310)		(24,787)
Siemens AG		(3,241)		(324,167)
Sky Deutschland AG †		(365,061)		(1,462,994)
Stada Arzneimittel AG		(49,310)		(1,436,469)
Symrise AG		(28,690)		(972,628)
ThyssenKrupp AG		(83,543)		(1,779,701)
				(26,583,326)
India - 0.0% (c)
Sterlite Industries India Ltd. ADR (1)
(cost $9,839)		(723)		(5,488)
Italy - (2.1)%
A2A SpA		(828,253)		(410,396)
Atlantia SpA		(99,459)		(1,547,067)
Autogrill SpA		(38,761)		(369,011)
Buzzi Unicem SpA		(89,905)		(997,503)
Enel Green Power SpA		(368,118)		(623,517)
Finmeccanica SpA †		(561,773)		(2,670,358)
Lottomatica Group SpA		(11,724)		(258,579)
Luxottica Group SpA		(29,170)		(1,028,953)
Mediaset SpA		(744,794)		(1,403,144)
Pirelli & C. SpA		(129,754)		(1,400,154)
Snam SpA		(4,696)		(20,830)
Tenaris SA		(103,843)		(2,125,046)
Terna Rete Elettrica Nazionale SpA		(105,610)		(393,804)
Tod’s SpA		(15,022)		(1,626,557)
				(14,874,919)
Japan - (17.6)%
ABC-Mart, Inc.		(43,360)		(1,913,556)
Advantest Corp.		(124,020)		(1,612,418)
Aeon Credit Service Co., Ltd.		(2,000)		(43,005)
Anritsu Corp.		(88,000)		(1,143,609)
Asahi Glass Co., Ltd.		(179,000)		(1,190,785)
Asics Corp.		(80,500)		(1,085,869)
Benesse Holdings, Inc.		(1,400)		(67,745)
Capcom Co., Ltd.		(37,300)		(771,674)
Credit Saison Co., Ltd.		(48,600)		(1,174,168)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - (17.6)% (continued)
CyberAgent, Inc.		(221)	$	(475,071)
Dai-ichi Life Insurance Co., Ltd./The		(434)		(490,889)
Daikin Industries Ltd.		(83,300)		(2,154,477)
Daiwa Securities Group, Inc.		(1,000)		(3,798)
Dena Co., Ltd.		(2,200)		(72,980)
Denso Corp.		(4,300)		(135,108)
Disco Corp.		(18,400)		(884,861)
Don Quijote Co., Ltd.		(44,700)		(1,721,629)
Dowa Holdings Co., Ltd.		(50,000)		(346,189)
Eisai Co., Ltd.		(15,600)		(702,748)
Electric Power Development Co., Ltd.		(27,500)		(724,106)
FANUC Corp.		(9,900)		(1,593,488)
Fast Retailing Co., Ltd.		(16,200)		(3,762,259)
FUJIFILM Holdings Corp.		(11,000)		(184,234)
Furukawa Electric Co., Ltd. †		(170,000)		(319,409)
Gree, Inc.		(69,700)		(1,272,487)
GS Yuasa Corp.		(437,000)		(1,816,800)
Hankyu Hanshin Holdings, Inc.		(186,000)		(1,004,501)
Hirose Electric Co., Ltd.		(2,600)		(291,058)
Hisamitsu Pharmaceutical Co., Inc.		(14,700)		(813,588)
Hitachi Chemical Co., Ltd.		(1,400)		(18,882)
Hitachi Construction Machinery Co., Ltd.		(77,200)		(1,246,760)
Hitachi Metals Ltd.		(228,000)		(2,031,281)
Hokuriku Electric Power Co.		(76,600)		(928,477)
Honda Motor Co., Ltd.		(32,000)		(988,971)
Ibiden Co., Ltd.		(26,900)		(393,511)
Inpex Corp.		(13)		(77,282)
JFE Holdings, Inc.		(111,000)		(1,462,273)
Joyo Bank Ltd./The		(12,000)		(58,687)
JSR Corp.		(36,400)		(595,697)
JX Holdings, Inc.		(19,800)		(108,159)
Kakaku.com, Inc.		(59,400)		(2,226,509)
Kansai Electric Power Co., Inc./The		(164,600)		(1,283,895)
Kansai Paint Co., Ltd.		(67,000)		(742,561)
Kawasaki Heavy Industries Ltd.		(128,786)		(255,437)
Keikyu Corp.		(48,000)		(452,183)
Keyence Corp.		(1,100)		(281,690)
Kikkoman Corp.		(60,000)		(819,322)
Kirin Holdings Co., Ltd.		(162,000)		(2,166,177)

	SHARES			VALUE (Note 3)
Japan - (17.6)% (continued)
Komatsu Ltd.		(123,300	)	$	(2,416,669	)
Kubota Corp.		(31,000	)		(312,862	)
Kyushu Electric Power Co., Inc.		(16,900	)		(139,374	)
Lawson, Inc.		(15,400	)		(1,182,173	)
LIXIL Group Corp.		(81,400	)		(1,939,772	)
Mabuchi Motor Co., Ltd.		(3,800	)		(173,766	)
Makita Corp.		(106,300	)		(4,114,756	)
Mazda Motor Corp. †		(408,671	)		(476,990	)
MEIJI Holdings Co., Ltd.		(5,300	)		(263,018	)
Minebea Co., Ltd.		(363,649	)		(1,224,927	)
Mitsubishi Gas Chemical Co., Inc.		(177,000	)		(887,784	)
Mitsubishi Tanabe Pharma Corp.		(21,600	)		(327,810	)
Mitsui OSK Lines Ltd.		(481,000	)		(1,119,041	)
Mori Seiki Co., Ltd.		(177,700	)		(1,130,932	)
Murata Manufacturing Co., Ltd.		(38,300	)		(2,038,960	)
Nabtesco Corp.		(108,079	)		(1,989,597	)
NGK Insulators Ltd.		(127,000	)		(1,519,498	)
Nidec Corp.		(48,900	)		(3,572,053	)
Nikon Corp.		(53,200	)		(1,462,855	)
Nintendo Co., Ltd.		(6,500	)		(825,649	)
Nippon Steel Corp.		(1,006,823	)		(2,061,710	)
Nippon Yusen KK		(118,000	)		(208,448	)
Nissan Chemical Industries Ltd.		(52,300	)		(583,324	)
Nissan Motor Co., Ltd.		(100,200	)		(852,772	)
Nissin Foods Holdings Co., Ltd.		(2,100	)		(82,263	)
Nitori Holdings Co., Ltd.		(23,650	)		(2,195,053	)
NKSJ Holdings, Inc.		(29,050	)		(566,532	)
NOK Corp.		(1,300	)		(20,840	)
Nomura Research Institute Ltd.		(28,000	)		(577,036	)
NTN Corp.		(671,402	)		(1,350,133	)
NTT Data Corp.		(548	)		(1,720,554	)
NTT DOCOMO, Inc.		(63	)		(101,788	)
OJI Paper Co., Ltd.		(5,000	)		(15,217	)
Omron Corp.		(6,700	)		(128,751	)
Oriental Land Co., Ltd.		(8,100	)		(1,066,501	)
OSAKA Titanium Technologies Co.		(7,800	)		(161,851	)
Rakuten, Inc.		(487,800	)		(4,959,975	)
Ricoh Co., Ltd.		(288,000	)		(2,432,082	)
Rinnai Corp.		(9,200	)		(686,629	)
Rohm Co., Ltd.		(7,000	)		(235,732	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - (17.6)% (continued)
Saizeriya Co., Ltd.		(5)	$	(75)
Sanrio Co., Ltd.		(10,200)		(364,820)
Sawai Pharmaceutical Co., Ltd.		(12,400)		(1,438,817)
SBI Holdings, Inc.		(159,920)		(1,030,322)
Seiko Epson Corp.		(35,400)		(216,192)
Seven Bank Ltd.		(72)		(220)
Sharp Corp.		(458,000)		(1,132,638)
Shikoku Electric Power Co., Inc.		(22,200)		(250,259)
Shimano, Inc.		(12,700)		(922,100)
Shin-Etsu Chemical Co., Ltd.		(16,700)		(938,525)
Shinko Electric Industries Co., Ltd.		(27,700)		(175,267)
Shiseido Co., Ltd.		(5,500)		(75,390)
Shizuoka Bank Ltd./The		(8,000)		(81,861)
Showa Denko KK		(1,000)		(1,587)
Showa Shell Sekiyu KK		(47,700)		(252,426)
SMC Corp.		(14,200)		(2,285,258)
Softbank Corp.		(19,100)		(772,242)
Sony Financial Holdings, Inc.		(4,000)		(68,199)
Start Today Co., Ltd.		(76,864)		(1,098,002)
Sumitomo Chemical Co., Ltd.		(1,351,362)		(3,442,637)
Sumitomo Mitsui Financial Group, Inc.		(17,500)		(545,268)
Sumitomo Osaka Cement Co., Ltd.		(14,000)		(49,758)
Sumitomo Rubber Industries Ltd.		(25,300)		(300,881)
Suruga Bank Ltd.		(51,000)		(578,049)
Sysmex Corp.		(32,800)		(1,577,170)
Taiheiyo Cement Corp.		(881,814)		(1,898,292)
Taiyo Nippon Sanso Corp.		(173,615)		(913,139)
Takeda Pharmaceutical Co., Ltd.		(37,300)		(1,716,083)
TDK Corp.		(69,100)		(2,569,567)
Terumo Corp.		(75,600)		(3,250,452)
Toho Titanium Co., Ltd.		(14,600)		(133,890)
Tokai Carbon Co., Ltd.		(91,000)		(277,312)
Tokio Marine Holdings, Inc.		(22,200)		(564,914)
Tokyo Electron Ltd.		(39,100)		(1,665,662)
TonenGeneral Sekiyu KK		(34,000)		(294,905)
TOTO Ltd.		(12,000)		(88,151)
Toyota Industries Corp.		(9,000)		(251,932)
Toyota Motor Corp.		(67,000)		(2,627,025)
Trend Micro, Inc.		(300)		(8,365)
Tsumura & Co.		(37,100)		(1,160,765)

	SHARES		VALUE (Note 3)
Japan - (17.6)% (continued)
Unicharm Corp.		(23,500)	$	(1,347,380)
Ushio, Inc.		(33,200)		(398,245)
Yahoo Japan Corp.		(9,391)		(3,572,819)
Yakult Honsha Co., Ltd.		(21,200)		(1,005,239)
Yamada Denki Co., Ltd.		(46,210)		(2,027,100)
Yamaha Motor Co., Ltd.		(51,500)		(449,447)
Yamato Holdings Co., Ltd.		(15,000)		(237,234)
Yaskawa Electric Corp.		(2,000)		(13,340)
				(135,105,161)
Luxembourg - (0.6)%
ArcelorMittal		(186,887)		(2,690,138)
Oriflame Cosmetics SA SDR		(47,042)		(1,612,485)
				(4,302,623)
Mexico - 0.0% (c)
Cemex SAB de CV ADR †(1)
(cost $264,063)		(34,986)		(291,433)
Netherlands - (1.0)%
Akzo Nobel NV		(20,416)		(1,152,826)
Fugro NV CVA		(32,156)		(2,185,490)
Heineken NV		(7,567)		(451,070)
Koninklijke KPN NV		(222,381)		(1,692,817)
Koninklijke Philips Electronics NV		(12,810)		(299,081)
PostNL NV		(165,417)		(575,422)
Randstad Holding NV		(27,866)		(926,208)
Royal Imtech NV		(12,137)		(320,480)
Wolters Kluwer NV		(11,906)		(223,663)
				(7,827,057)
Norway - (0.5)%
Marine Harvest ASA †		(1,597,070)		(1,289,013)
Norsk Hydro ASA		(102,911)		(483,619)
Schibsted ASA		(2,234)		(85,497)
Storebrand ASA †		(130,398)		(599,565)
TGS Nopec Geophysical Co. ASA		(14,674)		(478,494)
				(2,936,188)
Sweden - (1.8)%
Alfa Laval AB		(20,677)		(375,717)
Assa Abloy AB, Class B		(32,661)		(1,060,409)
Atlas Copco AB, A Shares		(15,379)		(359,351)
Elekta AB, B Shares		(115,460)		(1,524,327)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Sweden - (1.8)% (continued)
Hexagon AB, B Shares		(188,051)	$	(4,044,207)
Husqvarna AB, B Shares		(290,525)		(1,484,309)
Modern Times Group AB, B Shares		(15,761)		(697,255)
Sandvik AB		(83,362)		(1,133,804)
Scania AB, B Shares		(46,652)		(857,649)
SSAB AB, A Shares		(193,400)		(1,377,093)
Svenska Handelsbanken AB, A Shares		(21,186)		(795,089)
Volvo AB, B Shares		(14,456)		(203,099)
				(13,912,309)
Switzerland - (2.6)%
Adecco SA †		(6,004)		(286,594)
Baloise Holding AG		(1,653)		(130,080)
Clariant AG †		(103,865)		(1,237,216)
Compagnie Financiere Richemont SA, Class A		(12,271)		(736,790)
Credit Suisse Group AG †		(201,365)		(4,257,711)
Geberit AG †		(1,939)		(422,320)
Givaudan SA †		(1,367)		(1,297,836)
Holcim Ltd. †		(22,875)		(1,456,932)
Julius Baer Group Ltd. †		(47,080)		(1,642,198)
Kuehne + Nagel International AG		(14,654)		(1,658,300)
Nobel Biocare Holding AG †		(49,109)		(492,474)
Sonova Holding AG †		(30,150)		(3,050,590)
Swatch Group AG/The		(2,814)		(1,123,784)
Swisscom AG		(571)		(229,873)
Temenos Group AG †		(29,985)		(450,518)
				(18,473,216)
United Kingdom - (0.3)%
Subsea 7 SA
(cost $1,795,486)		(79,036)		(1,825,683)
United States - (22.5)%
Alcoa, Inc. (1)		(522,741)		(4,626,258)
Allegheny Technologies, Inc. (1)		(11,667)		(372,177)
Amkor Technology, Inc. (1)†		(1,037,473)		(4,564,881)
Annaly Capital Management, Inc. REIT (1)		(3,029)		(51,008)
Archer-Daniels-Midland Co. (1)		(979)		(26,609)
Ares Capital Corp. (1)		(19,330)		(331,316)
Avis Budget Group, Inc. (1)†		(87,323)		(1,343,028)
Boston Properties, Inc. REIT (1)		(10,874)		(1,202,773)
Cadence Design Systems, Inc. (1)†		(353,565)		(4,548,614)

	SHARES		VALUE (Note 3)
United States - (22.5)% (continued)
Chart Industries, Inc. (1)†		(34,239)	$	(2,528,550)
Ciena Corp. (1)†		(66,618)		(906,005)
Citigroup, Inc. (1)		(17,465)		(571,455)
CVR Energy, Inc. (1)†		(1,538)		(56,522)
CVR Energy, Inc. (3)†(d)		(3,362)		—
DDR Corp. REIT (1)		(263,997)		(4,054,994)
Digital Realty Trust, Inc. REIT (1)		(38,333)		(2,677,560)
DR Horton, Inc. (1)		(386,868)		(7,984,956)
Equinix, Inc. (1)†		(50,665)		(10,439,523)
Exelixis, Inc. (1)†		(79,471)		(383,050)
Gaylord Entertainment Co. REIT (1)†		(110,642)		(4,373,678)
General Cable Corp. (1)†		(76,824)		(2,257,089)
Gilead Sciences, Inc. (1)†		(113,713)		(7,542,583)
Health Care REIT, Inc. REIT (1)		(40,444)		(2,335,641)
Hertz Global Holdings, Inc. (1)†		(719,457)		(9,878,145)
Host Hotels & Resorts, Inc. REIT (1)		(319,839)		(5,133,416)
Intel Corp. (1)		(21,263)		(482,245)
JetBlue Airways Corp. (1)†		(61,001)		(292,195)
L-3 Communications Holdings, Inc. (1)		(9,895)		(709,570)
Lennar Corp., Class A (1)		(216,064)		(7,512,545)
Level 3 Communications, Inc. (1)†		(15,787)		(362,627)
Medtronic, Inc. (1)		(2,706)		(116,683)
MetLife, Inc. (1)		(45,912)		(1,582,128)
Microchip Technology, Inc. (1)		(146,219)		(4,787,210)
Micron Technology, Inc. (1)†		(245,494)		(1,469,282)
Navistar International Corp. (1)†		(4,848)		(102,244)
NetApp, Inc. (1)†		(104,156)		(3,424,649)
NextEra Energy, Inc. (1)		(4,124)		(290,041)
Omnicare, Inc. (1)		(22,457)		(762,864)
PHH Corp. (1)†		(460,137)		(9,363,788)
PPL Corp. (1)		(26,744)		(776,913)
priceline.com, Inc. (1)†		(848)		(524,683)
Prologis, Inc. REIT (1)		(36,897)		(1,292,502)
Regeneron Pharmaceuticals, Inc. (1)†		(70,942)		(10,830,006)
Royal Caribbean Cruises Ltd.		(20,093)		(607,082)
Salesforce.com, Inc. (1)†		(59,370)		(9,065,205)
SanDisk Corp. (1)†		(5,612)		(243,729)
Sirius XM Radio, Inc. (1)†		(1,941,808)		(5,048,701)
SL Green Realty Corp. REIT (1)		(34,765)		(2,783,634)
Smithfield Foods, Inc. (1)†		(59,940)		(1,177,821)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
United States - (22.5)% (continued)
Take-Two Interactive Software,
Inc. (1)†		(5,133)	$	(53,537)
Textron, Inc. (1)		(66,000)		(1,727,220)
Tyson Foods, Inc., Class A (1)		(87,170)		(1,396,463)
United States Steel Corp. (1)		(51,702)		(985,957)
VeriSign, Inc. (1)†		(274,583)		(13,369,446)
Virgin Media, Inc. (1)		(45,402)		(1,336,635)
Vishay Intertechnology, Inc. (1)†		(140,059)		(1,376,780)
Xilinx, Inc. (1)		(236,357)		(7,896,687)
				(169,940,903)
TOTAL COMMON STOCKS SOLD SHORT
(proceeds $395,231,613)				(408,693,373)
PREFERRED STOCKS - 0.0% (c)
Germany - 0.0% (c)
Porsche Automobil Holding SE
(cost $298,103)		(5,534)		(331,621)
EXCHANGE TRADED FUNDS - (4.2)%
iShares MSCI Emerging Markets Index Fund (1)		(771,400)		(31,874,248)
SPDR S&P 500 ETF Trust (1)		(325)		(46,777)
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT
(proceeds $30,649,949)				(31,921,025)
TOTAL SECURITIES SOLD SHORT
(proceeds $426,179,665)				(440,946,019)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 43.9%
(Cost $316,610,768)				333,036,998
OTHER ASSETS IN EXCESS OF LIABILITIES - 56.1% (j)				425,425,704
NET ASSETS - 100.0%			$	758,462,702

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	(5,772,139)		(0.8	%)
Consumer Staples		19,537,376		2.6
Energy		6,285,185		0.8
Financials		36,651,685		4.8
Health Care		15,048,356		2.0
Industrials		37,840,212		5.0
Information Technology		9,673,386		1.3
Materials		3,805,812		0.5
Money Market Fund		214,855,204		28.3
Mutual Fund		(31,921,025)		(4.2)
Telecommunication Services		13,094,036		1.7
Utilities		13,938,910		1.9
Total Investments		333,036,998		43.9
Other Assets in Excess of Liabilities (a)		425,425,704		56.1
Net Assets	$	758,462,702		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 September 30, 2012, the value of these securities was $166,588,541. In addition, $385,112,645 of cash collateral was pledged.

(b) All or a portion of the security on loan. The aggregate market value of such securities is $6,638,558; cash collateral of $6,866,350 was received with which the Fund purchased a money market fund. In accordance with the Fund’s security lending standards and guidelines, additional collateral was subsequently received the next business day.

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

(d) Security fair valued at $0 September 30, 2012 using procedures approved by the Board of Trustees.

(e) Represents a step bond. The rate shown reflects the yield at September 30, 2012.

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

(g) Represents annualized seven-day yield as of September 30, 2012.

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

(i) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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

* The rating reflected is as September 30, 2012. Rating of certain bonds may have changed subsequent to the date.

** S & P Rating provided.

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

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CVA - Dutch Certificate

EUR - Euro

NR - Not Rated by Moody’s

NVDR - Non-Voting Depositary Receipts

REIT - Real Estate Investment Trust

SDR - Special Drawing Rights

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Credit default swap contracts sell protection as of September 30, 2012:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECIEVED) PAID			TERMINATION DATE	UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 18	5.000%		USD		36,650,000	$	(1,069,633	)	06/20/2017	$	1,341,810
								(1,069,633	)			1,341,810

Collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

Total return swap contracts outstanding as of September 30, 2012:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	Bovespa Index	10/17/2012		BRL		(4,616,254	)	$	82,387
Bank of America	Canadian 10-Year Bond Futures	12/18/2012		CAD		11,305,207			89,782
Barclays Capital	Cocoa Futures	12/13/2012		USD		(525,360	)		(28,160	)
Bank of America	Euro - Bobl Futures	12/6/2012		EUR		4,654,234			(4,270	)
Bank of America	Euro - Bund Futures	12/6/2012		EUR		(13,129,036	)		(72,196	)
Bank of America	Euro - Buxl 30-Year Bond Futures	12/6/2012		EUR		402,208			(3,165	)
Bank of America	Euro - SCHATZ Futures	12/6/2012		EUR		19,061,810			(22,546	)
Barclays Capital	Lean Hogs Futures	12/14/2012		USD		(2,836,438	)		(84,062	)
Bank of America	Long Gilt Futures	12/27/2012		GBP		(17,438,642	)		(83,206	)
Morgan Stanley and Co., International PLC	Russian Trading System Index Futures	12/17/2012		USD		12,394,103			(85,571	)
Barclays Capital	Soybean Futures	11/14/2012		USD		3,051,490			(9,590	)
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	12/21/2012		CHF		8,234,247			(35,306	)
Bank of America	U.S. Long Bond Futures	12/19/2012		USD		900,386			(4,136	)
Bank of America	U.S. Treasury 10-Year Note Futures	12/19/2012		USD		8,737,905			72,064
Bank of America	U.S. Treasury 2-Year Note Futures	12/31/2012		USD		(25,567,453	)		(14,172	)
Bank of America	U.S. Treasury 5-Year Note Futures	12/31/2012		USD		10,693,252			25,170
								$	(176,977	)

Money Market is pledged as collateral to brokers for total return swap contracts in the amount of $30,261. Additional cash held as collateral at Barclays Capital for total return swaps was $1,130,000 at September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
16	Brent Crude Oil Penultimate Financial Futures	October 15, 2012	$	1,806,920	$	1,798,240	$	(8,680	)
375	Corn Futures	December 14, 2012		14,902,369		14,179,688		(722,681	)
24	Globex Heat Oil Futures	October 30, 2012		3,267,936		3,184,474		(83,462	)
38	Globex RBOB Gas Futures	October 30, 2012		4,680,110		4,660,479		(19,631	)
44	ICE Euro Gasoil Futures	October 10, 2012		4,338,400		4,315,300		(23,100	)
3	LME Aluminum Futures	October 5, 2012		146,398		156,424		10,026
1	LME Aluminum Futures	October 30, 2012		47,202		52,371		5,169
2	LME Aluminum Futures	October 31, 2012		95,003		104,762		9,759
14	LME Aluminum Futures	November 1, 2012		658,985		733,488		74,503
9	LME Aluminum Futures	November 2, 2012		417,614		471,625		54,011
2	LME Aluminum Futures	November 14, 2012		92,791		105,063		12,272
1	LME Aluminum Futures	November 16, 2012		46,002		52,553		6,551
1	LME Aluminum Futures	November 23, 2012		46,589		52,624		6,035
1	LME Aluminum Futures	December 5, 2012		48,361		52,728		4,367
8	LME Aluminum Futures	December 6, 2012		396,613		421,894		25,281
13	LME Aluminum Futures	December 7, 2012		646,080		685,691		39,611
20	LME Aluminum Futures	December 10, 2012		1,022,320		1,055,435		33,115
20	LME Aluminum Futures	December 11, 2012		1,028,973		1,055,605		26,632
14	LME Aluminum Futures	December 12, 2012		731,007		739,046		8,039
10	LME Aluminum Futures	December 13, 2012		519,413		527,978		8,565
6	LME Aluminum Futures	December 14, 2012		321,584		316,839		(4,745	)
103	LME Aluminum Futures	December 17, 2012		5,313,723		5,443,533		129,810
6	LME Aluminum Futures	December 24, 2012		314,148		316,715		2,567
2	LME Aluminum Futures	December 27, 2012		104,653		105,593		940
1	LME Aluminum Futures	December 28, 2012		53,288		52,800		(488	)
3	LME Copper Futures	October 5, 2012		578,714		615,885		37,171
1	LME Copper Futures	October 18, 2012		190,608		205,288		14,680
3	LME Copper Futures	October 24, 2012		555,755		615,488		59,733
1	LME Copper Futures	October 25, 2012		186,502		205,166		18,664
3	LME Copper Futures	October 26, 2012		565,130		615,506		50,376
4	LME Copper Futures	October 30, 2012		751,806		820,725		68,919
1	LME Copper Futures	October 31, 2012		189,127		205,185		16,058
1	LME Copper Futures	November 1, 2012		188,127		205,188		17,061
9	LME Copper Futures	November 2, 2012		1,662,064		1,846,717		184,653
1	LME Copper Futures	November 6, 2012		185,702		205,204		19,502
1	LME Copper Futures	November 8, 2012		188,127		205,210		17,083
1	LME Copper Futures	November 9, 2012		188,652		205,213		16,561
2	LME Copper Futures	November 14, 2012		371,166		410,457		39,291
1	LME Copper Futures	November 15, 2012		184,827		205,232		20,405
13	LME Copper Futures	November 23, 2012		2,478,907		2,667,762		188,855
2	LME Copper Futures	November 30, 2012		380,057		410,465		30,408
1	LME Copper Futures	December 4, 2012		191,434		205,244		13,810
2	LME Copper Futures	December 5, 2012		380,604		410,494		29,890
1	LME Copper Futures	December 7, 2012		194,421		205,253		10,832
3	LME Copper Futures	December 10, 2012		602,653		615,785		13,132
3	LME Copper Futures	December 11, 2012		604,175		615,793		11,618
5	LME Copper Futures	December 12, 2012		1,011,126		1,026,336		15,210
5	LME Copper Futures	December 13, 2012		1,009,744		1,026,352		16,608
1	LME Copper Futures	December 14, 2012		208,849		205,273		(3,576	)
41	LME Copper Futures	December 17, 2012		8,341,191		8,416,782		75,591
13	LME Copper Futures	December 20, 2012		2,677,812		2,667,437		(10,375	)
1	LME Copper Futures	December 21, 2012		208,206		205,138		(3,068	)
2	LME Copper Futures	December 24, 2012		411,707		410,267		(1,440	)
1	LME Nickel Futures	October 5, 2012		102,054		110,572		8,518
6	LME Nickel Futures	October 30, 2012		572,193		664,091		91,898
4	LME Nickel Futures	November 2, 2012		371,310		442,767		71,457

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	LME Nickel Futures	November 8, 2012	$	93,719	$	110,712	$	16,993
6	LME Nickel Futures	November 9, 2012		556,389		664,288		107,899
4	LME Nickel Futures	November 13, 2012		368,238		442,911		74,673
4	LME Nickel Futures	November 14, 2012		372,654		442,924		70,270
1	LME Nickel Futures	November 15, 2012		91,862		110,735		18,873
1	LME Nickel Futures	November 16, 2012		92,108		110,738		18,630
5	LME Nickel Futures	November 23, 2012		490,049		553,806		63,757
3	LME Nickel Futures	November 28, 2012		295,433		332,337		36,904
3	LME Nickel Futures	November 29, 2012		291,223		332,347		41,124
4	LME Nickel Futures	November 30, 2012		391,432		443,144		51,712
2	LME Nickel Futures	December 11, 2012		200,259		221,652		21,393
3	LME Nickel Futures	December 12, 2012		303,352		332,490		29,138
3	LME Nickel Futures	December 13, 2012		299,692		332,501		32,809
1	LME Nickel Futures	December 14, 2012		103,805		110,838		7,033
39	LME Nickel Futures	December 17, 2012		4,144,918		4,323,362		178,444
4	LME Nickel Futures	December 18, 2012		430,691		443,409		12,718
3	LME Nickel Futures	December 20, 2012		316,892		332,532		15,640
3	LME Nickel Futures	December 21, 2012		326,941		332,534		5,593
3	LME Nickel Futures	December 24, 2012		327,850		332,541		4,691
5	LME Nickel Futures	December 27, 2012		548,170		554,246		6,076
2	LME Nickel Futures	December 28, 2012		223,387		221,700		(1,687	)
1	LME Zinc Futures	October 19, 2012		46,851		51,793		4,942
2	LME Zinc Futures	October 23, 2012		90,653		103,683		13,030
4	LME Zinc Futures	October 24, 2012		181,006		207,414		26,408
6	LME Zinc Futures	October 30, 2012		276,759		311,550		34,791
8	LME Zinc Futures	November 1, 2012		366,013		415,590		49,577
16	LME Zinc Futures	November 2, 2012		727,432		831,372		103,940
5	LME Zinc Futures	November 8, 2012		232,070		260,162		28,092
5	LME Zinc Futures	November 13, 2012		230,070		260,460		30,390
11	LME Zinc Futures	November 14, 2012		502,992		573,144		70,152
2	LME Zinc Futures	November 23, 2012		92,140		104,408		12,268
12	LME Zinc Futures	November 28, 2012		558,677		626,943		68,266
10	LME Zinc Futures	November 29, 2012		464,542		522,535		57,993
8	LME Zinc Futures	December 5, 2012		374,011		418,426		44,415
7	LME Zinc Futures	December 7, 2012		336,866		366,239		29,373
10	LME Zinc Futures	December 10, 2012		498,103		523,445		25,342
10	LME Zinc Futures	December 11, 2012		498,910		523,528		24,618
10	LME Zinc Futures	December 12, 2012		504,655		523,610		18,955
6	LME Zinc Futures	December 13, 2012		300,976		314,215		13,239
10	LME Zinc Futures	December 14, 2012		522,800		523,775		975
134	LME Zinc Futures	December 17, 2012		6,909,175		7,023,947		114,772
10	LME Zinc Futures	December 18, 2012		518,322		524,105		5,783
2	LME Zinc Futures	December 20, 2012		104,596		104,812		216
9	LME Zinc Futures	December 21, 2012		479,434		471,544		(7,890	)
9	LME Zinc Futures	December 24, 2012		476,973		471,569		(5,404	)
8	LME Zinc Futures	December 27, 2012		419,206		419,192		(14	)
5	LME Zinc Futures	December 28, 2012		265,190		262,000		(3,190	)
25	Silver Futures	December 27, 2012		4,306,669		4,322,124		15,455
123	Soybean Futures	November 14, 2012		10,236,333		9,846,150		(390,183	)
37	Soybean Meal Futures	December 14, 2012		1,773,969		1,801,530		27,561
69	Wheat Futures	December 14, 2012		3,089,394		3,113,625		24,231
90	Amsterdam Index Futures	October 19, 2012		7,774,134		7,499,038		(275,096	)
156	CAC40 10 Euro Futures	October 19, 2012		7,027,782		6,721,685		(306,097	)
16	DAX Index Futures	December 21, 2012		3,790,045		3,720,733		(69,312	)
80	DJIA Mini E-CBOT Futures	December 21, 2012		5,395,383		5,342,000		(53,383	)
841	E-Mini Russell 2000 Futures	December 21, 2012		72,013,759		70,173,040		(1,840,719	)
1,100	Euro Stoxx 50 Index	December 21, 2012		35,912,909		34,702,775		(1,210,134	)
460	FTSE 100 Index Futures	December 21, 2012		43,361,198		42,436,621		(924,577	)
514	FTSE/JSE Top 40 Index Futures	December 20, 2012		20,053,771		19,629,946		(423,825	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
25	Hang Seng Index Futures	October 30, 2012	$	3,326,946		$	3,365,176		$	38,230
12	IBEX 35 Index Futures	October 19, 2012		1,234,903			1,184,734			(50,169	)
180	KOSPI Index 200 Futures	December 13, 2012		20,795,898			21,394,156			598,258
90	MSCI Singapore Index Futures	October 30, 2012		5,160,808			5,162,973			2,165
63	NASDAQ 100 E-Mini Futures	December 21, 2012		3,587,657			3,517,920			(69,737	)
42	S&P MID 400 E-Mini Futures	December 21, 2012		4,277,059			4,143,300			(133,759	)
30	S&P/Toronto Stock Exchange 60 Index Futures	December 20, 2012		4,333,815			4,276,472			(57,343	)
812	3-Month Euro Euribor Futures	March 18, 2013		259,812,046			260,369,506			557,460
560	3-Month Euro Euribor Futures	June 17, 2013		179,426,207			179,520,199			93,992
136	3-Month Euro Euribor Futures	September 16, 2013		43,529,799			43,586,840			57,041
124	3-Month Euro Euribor Futures	December 16, 2013		39,670,551			39,721,023			50,472
117	3-Month Euro Euribor Futures	March 17, 2014		37,415,693			37,456,155			40,462
113	3-Month Euro Euribor Futures	June 16, 2014		36,113,213			36,150,191			36,978
107	3-Month Euro Euribor Futures	September 15, 2014		34,203,054			34,204,930			1,876
96	90-Day EURODollar Futures	September 16, 2013		23,906,080			23,916,000			9,920
91	90-Day EURODollar Futures	December 16, 2013		22,651,684			22,664,687			13,003
92	90-Day EURODollar Futures	March 17, 2014		22,885,648			22,909,149			23,501
100	90-Day EURODollar Futures	June 16, 2014		24,860,848			24,891,250			30,402
120	90-Day EURODollar Futures	September 15, 2014		29,850,387			29,854,500			4,113
81	90-Day Sterling Futures	December 18, 2013		16,259,592			16,261,560			1,968
980	90-Day Sterling Futures	March 20, 2013		196,675,753			196,823,933			148,180
401	90-Day Sterling Futures	June 19, 2013		80,462,447			80,537,140			74,693
75	90-Day Sterling Futures	September 18, 2013		15,059,097			15,061,542			2,445
91	90-Day Sterling Futures	March 19, 2014		18,260,708			18,263,650			2,942
90	90-Day Sterling Futures	June 18, 2014		18,052,917			18,053,868			951
96	90-Day Sterling Futures	September 17, 2014		19,251,276			19,245,832			(5,444	)
425	Australia 10-Year Bond Futures	December 17, 2012		55,149,063			55,940,804			791,741
40	Australia 3-Year Bond Futures	December 17, 2012		4,572,510			4,585,423			12,913
				1,528,547,723			1,527,706,611			(841,112	)
Short Contracts:
10	Cocoa Futures	December 13, 2012		(236,744	)		(251,600	)		(14,856	)
5	Coffee ‘C’ Futures	December 18, 2012		(321,333	)		(325,313	)		(3,980	)
58	Cotton No. 2 Futures	December 6, 2012		(2,074,814	)		(2,048,850	)		25,964
82	Crude Oil Financial Futures	October 19, 2012		(8,096,230	)		(7,559,580	)		536,650
6	Gold 100 OZ Futures	December 27, 2012		(1,053,967	)		(1,064,340	)		(10,373	)
103	Lean Hogs Futures	December 14, 2012		(3,067,942	)		(3,038,500	)		29,442
3	LME Aluminum Futures	October 5, 2012		(146,321	)		(156,424	)		(10,103	)
1	LME Aluminum Futures	October 30, 2012		(47,248	)		(52,370	)		(5,122	)
2	LME Aluminum Futures	October 31, 2012		(94,914	)		(104,763	)		(9,849	)
14	LME Aluminum Futures	November 1, 2012		(658,836	)		(733,488	)		(74,652	)
9	LME Aluminum Futures	November 2, 2012		(419,610	)		(471,625	)		(52,015	)
2	LME Aluminum Futures	November 14, 2012		(93,207	)		(105,063	)		(11,856	)
1	LME Aluminum Futures	November 16, 2012		(45,804	)		(52,553	)		(6,749	)
1	LME Aluminum Futures	November 23, 2012		(46,553	)		(52,623	)		(6,070	)
1	LME Aluminum Futures	December 5, 2012		(48,873	)		(52,728	)		(3,855	)
8	LME Aluminum Futures	December 6, 2012		(393,187	)		(421,894	)		(28,707	)
13	LME Aluminum Futures	December 7, 2012		(652,579	)		(685,691	)		(33,112	)
20	LME Aluminum Futures	December 10, 2012		(1,023,593	)		(1,055,435	)		(31,842	)
20	LME Aluminum Futures	December 11, 2012		(1,031,968	)		(1,055,605	)		(23,637	)
14	LME Aluminum Futures	December 12, 2012		(726,928	)		(739,046	)		(12,118	)
10	LME Aluminum Futures	December 13, 2012		(523,734	)		(527,977	)		(4,243	)
6	LME Aluminum Futures	December 14, 2012		(324,215	)		(316,839	)		7,376
113	LME Aluminum Futures	December 17, 2012		(5,707,880	)		(5,972,032	)		(264,152	)
6	LME Aluminum Futures	December 24, 2012		(314,240	)		(316,714	)		(2,474	)
2	LME Aluminum Futures	December 27, 2012		(103,947	)		(105,593	)		(1,646	)
1	LME Aluminum Futures	December 28, 2012		(52,961	)		(52,800	)		161
3	LME Copper Futures	October 5, 2012		(575,246	)		(615,885	)		(40,639	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	LME Copper Futures	October 18, 2012	$	(191,259	)	$	(205,287	)	$	(14,028	)
3	LME Copper Futures	October 24, 2012		(558,065	)		(615,488	)		(57,423	)
1	LME Copper Futures	October 25, 2012		(183,724	)		(205,166	)		(21,442	)
3	LME Copper Futures	October 26, 2012		(561,256	)		(615,507	)		(54,251	)
4	LME Copper Futures	October 30, 2012		(753,744	)		(820,725	)		(66,981	)
1	LME Copper Futures	October 31, 2012		(189,050	)		(205,185	)		(16,135	)
1	LME Copper Futures	November 1, 2012		(188,426	)		(205,188	)		(16,762	)
9	LME Copper Futures	November 2, 2012		(1,668,299	)		(1,846,717	)		(178,418	)
1	LME Copper Futures	November 6, 2012		(185,401	)		(205,204	)		(19,803	)
1	LME Copper Futures	November 8, 2012		(187,805	)		(205,210	)		(17,405	)
1	LME Copper Futures	November 9, 2012		(189,192	)		(205,212	)		(16,020	)
2	LME Copper Futures	November 14, 2012		(372,327	)		(410,457	)		(38,130	)
1	LME Copper Futures	November 15, 2012		(185,895	)		(205,232	)		(19,337	)
13	LME Copper Futures	November 23, 2012		(2,480,742	)		(2,667,763	)		(187,021	)
2	LME Copper Futures	November 30, 2012		(380,374	)		(410,465	)		(30,091	)
1	LME Copper Futures	December 4, 2012		(191,498	)		(205,244	)		(13,746	)
2	LME Copper Futures	December 5, 2012		(383,597	)		(410,494	)		(26,897	)
1	LME Copper Futures	December 7, 2012		(198,323	)		(205,253	)		(6,930	)
3	LME Copper Futures	December 10, 2012		(606,408	)		(615,785	)		(9,377	)
3	LME Copper Futures	December 11, 2012		(606,145	)		(615,793	)		(9,648	)
5	LME Copper Futures	December 12, 2012		(1,008,117	)		(1,026,336	)		(18,219	)
5	LME Copper Futures	December 13, 2012		(1,012,492	)		(1,026,351	)		(13,859	)
1	LME Copper Futures	December 14, 2012		(209,623	)		(205,273	)		4,350
21	LME Copper Futures	December 17, 2012		(4,008,571	)		(4,311,031	)		(302,460	)
13	LME Copper Futures	December 20, 2012		(2,686,429	)		(2,667,437	)		18,992
1	LME Copper Futures	December 21, 2012		(207,073	)		(205,137	)		1,936
2	LME Copper Futures	December 24, 2012		(411,747	)		(410,267	)		1,480
1	LME Nickel Futures	October 5, 2012		(101,069	)		(110,572	)		(9,503	)
6	LME Nickel Futures	October 30, 2012		(571,259	)		(664,092	)		(92,833	)
4	LME Nickel Futures	November 2, 2012		(371,890	)		(442,767	)		(70,877	)
1	LME Nickel Futures	November 8, 2012		(93,875	)		(110,712	)		(16,837	)
6	LME Nickel Futures	November 9, 2012		(557,277	)		(664,288	)		(107,011	)
4	LME Nickel Futures	November 13, 2012		(366,541	)		(442,912	)		(76,371	)
4	LME Nickel Futures	November 14, 2012		(369,174	)		(442,924	)		(73,750	)
1	LME Nickel Futures	November 15, 2012		(92,790	)		(110,734	)		(17,944	)
1	LME Nickel Futures	November 16, 2012		(92,092	)		(110,738	)		(18,646	)
5	LME Nickel Futures	November 23, 2012		(492,514	)		(553,806	)		(61,292	)
3	LME Nickel Futures	November 28, 2012		(293,575	)		(332,337	)		(38,762	)
3	LME Nickel Futures	November 29, 2012		(291,955	)		(332,347	)		(40,392	)
4	LME Nickel Futures	November 30, 2012		(391,986	)		(443,144	)		(51,158	)
2	LME Nickel Futures	December 11, 2012		(200,457	)		(221,652	)		(21,195	)
3	LME Nickel Futures	December 12, 2012		(298,165	)		(332,489	)		(34,324	)
3	LME Nickel Futures	December 13, 2012		(302,323	)		(332,500	)		(30,177	)
1	LME Nickel Futures	December 14, 2012		(105,298	)		(110,837	)		(5,539	)
42	LME Nickel Futures	December 17, 2012		(4,130,429	)		(4,655,930	)		(525,501	)
4	LME Nickel Futures	December 18, 2012		(430,674	)		(443,409	)		(12,735	)
3	LME Nickel Futures	December 20, 2012		(319,423	)		(332,532	)		(13,109	)
3	LME Nickel Futures	December 21, 2012		(325,255	)		(332,534	)		(7,279	)
3	LME Nickel Futures	December 24, 2012		(328,315	)		(332,541	)		(4,226	)
5	LME Nickel Futures	December 27, 2012		(544,339	)		(554,246	)		(9,907	)
2	LME Nickel Futures	December 28, 2012		(222,801	)		(221,700	)		1,101
1	LME Zinc Futures	October 19, 2012		(46,935	)		(51,794	)		(4,859	)
2	LME Zinc Futures	October 23, 2012		(90,780	)		(103,683	)		(12,903	)
4	LME Zinc Futures	October 24, 2012		(181,917	)		(207,414	)		(25,497	)
6	LME Zinc Futures	October 30, 2012		(276,559	)		(311,550	)		(34,991	)
8	LME Zinc Futures	November 1, 2012		(365,583	)		(415,590	)		(50,007	)
16	LME Zinc Futures	November 2, 2012		(728,668	)		(831,372	)		(102,704	)
5	LME Zinc Futures	November 8, 2012		(231,465	)		(260,162	)		(28,697	)
5	LME Zinc Futures	November 13, 2012		(228,949	)		(260,460	)		(31,511	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
11	LME Zinc Futures	November 14, 2012	$	(504,073	)	$	(573,144	)	$	(69,071	)
2	LME Zinc Futures	November 23, 2012		(92,697	)		(104,408	)		(11,711	)
12	LME Zinc Futures	November 28, 2012		(562,256	)		(626,943	)		(64,687	)
10	LME Zinc Futures	November 29, 2012		(464,734	)		(522,535	)		(57,801	)
8	LME Zinc Futures	December 5, 2012		(377,087	)		(418,426	)		(41,339	)
7	LME Zinc Futures	December 7, 2012		(344,214	)		(366,238	)		(22,024	)
10	LME Zinc Futures	December 10, 2012		(501,234	)		(523,445	)		(22,211	)
10	LME Zinc Futures	December 11, 2012		(501,484	)		(523,527	)		(22,043	)
10	LME Zinc Futures	December 12, 2012		(502,984	)		(523,610	)		(20,626	)
6	LME Zinc Futures	December 13, 2012		(305,240	)		(314,215	)		(8,975	)
10	LME Zinc Futures	December 14, 2012		(524,984	)		(523,775	)		1,209
97	LME Zinc Futures	December 17, 2012		(4,749,782	)		(5,084,453	)		(334,671	)
10	LME Zinc Futures	December 18, 2012		(520,734	)		(524,105	)		(3,371	)
2	LME Zinc Futures	December 20, 2012		(105,747	)		(104,813	)		934
9	LME Zinc Futures	December 21, 2012		(479,236	)		(471,544	)		7,692
9	LME Zinc Futures	December 24, 2012		(477,436	)		(471,569	)		5,867
8	LME Zinc Futures	December 27, 2012		(416,787	)		(419,192	)		(2,405	)
5	LME Zinc Futures	December 28, 2012		(264,367	)		(262,000	)		2,367
1,087	Natural Gas Swap Futures	October 29, 2012		(8,256,213	)		(9,022,100	)		(765,887	)
25	Soybean Oil Futures	December 14, 2012		(784,950	)		(789,900	)		(4,950	)
165	Sugar #11 (World Markets) Futures	February 28, 2013		(3,762,994	)		(3,773,616	)		(10,622	)
6	FTSE/MIB Index Futures	December 21, 2012		(615,891	)		(579,969	)		35,922
124	H-SHARES Index Futures	October 30, 2012		(7,755,214	)		(7,881,481	)		(126,267	)
100	MSCI Taiwan Stock Index Futures	October 30, 2012		(2,741,034	)		(2,754,000	)		(12,966	)
4,567	S&P 500 E-Mini Futures	December 21, 2012		(332,255,739	)		(327,499,570	)		4,756,169
2,011	SGX S&P CNX Nifty Index Futures	October 25, 2012		(22,951,553	)		(23,017,906	)		(66,353	)
469	SPI 200 Index Futures	December 20, 2012		(53,604,228	)		(53,319,708	)		284,520
164	TOPIX Index Futures	December 13, 2012		(15,248,261	)		(15,445,926	)		(197,665	)
132	10-Year Japanese Government Bond Futures	December 10, 2012		(24,318,820	)		(24,397,335	)		(78,515	)
1,498	90-Day EURODollar Futures	March 18, 2013		(373,152,606	)		(373,282,875	)		(130,269	)
840	90-Day EURODollar Futures	June 17, 2013		(209,244,099	)		(209,286,000	)		(41,901	)
542	Canadian 3-Month Bank Acceptance Futures	March 18, 2013		(136,082,437	)		(136,092,680	)		(10,243	)
392	Canadian 3-Month Bank Acceptance Futures	June 17, 2013		(98,279,872	)		(98,418,676	)		(138,804	)
38	Canadian 3-Month Bank Acceptance Futures	September 16, 2013		(9,522,681	)		(9,537,687	)		(15,006	)
90	Euro CHF 3-Month LIFFE Futures	March 18, 2013		(23,935,002	)		(23,933,014	)		1,988
56	Euro CHF 3-Month LIFFE Futures	June 17, 2013		(14,894,107	)		(14,894,630	)		(523	)
14	U.S. Treasury 2-Year Note Futures	December 31, 2012		(3,085,443	)		(3,087,438	)		(1,995	)
7	U.S. Treasury 5-Year Note Futures	December 31, 2012		(869,081	)		(872,430	)		(3,349	)
				(1,414,188,089	)		(1,414,187,189	)		900
			$	114,359,634		$	113,519,422		$	(840,212	)

Cash held as collateral with broker for futures contracts was $53,051,826 at September 30, 2012.

Forward foreign currency exchange contracts outstanding as of September 30, 2012:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		48,611,000	$	50,067,211	$	50,081,627	$	14,416
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		1,500,000		730,248		732,408		2,160

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	CAD		79,347,000	$	80,278,430	$	80,565,073	$	286,643
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		7,567,000		8,059,711		8,057,475		(2,236	)
Chilean Peso, Expiring 12/19/12	The Royal Bank of Scotland	CLP		229,059,000		469,607		477,218		7,611
Columbian Peso, Expiring 12/19/12	The Royal Bank of Scotland	COP		486,000,000		262,845		267,240		4,395
Czech Republic Koruna, Expiring 12/19/12	The Royal Bank of Scotland	CZK		4,000,000		201,950		204,528		2,578
Danish Krone, Expiring 12/19/12	The Royal Bank of Scotland	DKK		2,991,000		505,920		516,442		10,522
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		40,110,000		51,726,089		51,587,757		(138,332	)
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		17,579,000		28,097,746		28,380,241		282,495
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		4,022,400,000		17,593,826		17,948,403		354,577
Indonesian Rupiah, Expiring 12/19/12	The Royal Bank of Scotland	IDR		6,000,000,000		625,472		620,220		(5,252	)
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		6,500,000		1,648,707		1,653,439		4,732
Indian Rupee, Expiring 12/19/12	The Royal Bank of Scotland	INR		593,000,000		10,794,512		11,074,873		280,361
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		2,103,047,000		27,017,640		26,969,704		(47,936	)
Korean Won, Expiring 12/20/12	The Royal Bank of Scotland	KRW		46,166,546,000		40,677,610		41,372,704		695,094
Mexican Peso, Expiring 12/19/12	The Royal Bank of Scotland	MXN		382,679,000		29,005,892		29,497,374		491,482
Malaysian Ringgit, Expiring 12/19/12	The Royal Bank of Scotland	MYR		28,000,000		8,988,471		9,108,780		120,309
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		469,968,000		81,027,125		81,792,080		764,955
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		52,804,000		42,354,735		43,532,829		1,178,094
Poland Zloty, Expiring 12/19/12	The Royal Bank of Scotland	PLN		57,611,000		17,531,604		17,819,148		287,544
Russian Ruble, Expiring 12/19/12	The Royal Bank of Scotland	RUB		549,259,000		17,069,650		17,366,696		297,046
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		314,824,000		47,141,268		47,814,137		672,869
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		5,900,000		4,758,660		4,807,477		48,817
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		81,320,000		44,300,760		44,757,352		456,592
Taiwanese Dollar, Expiring 12/19/12	The Royal Bank of Scotland	TWD		295,000,000		10,020,593		10,066,164		45,571
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		8,000,000		963,246		950,509		(12,737	)
						621,919,528		628,021,898		6,102,370

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	AUD		(41,707,000	)	$	(42,704,754	)	$	(42,968,760	)	$	(264,006	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 12/19/12	The Royal Bank of Scotland	BRL		(60,478,000	)	$	(29,253,077	)	$	(29,529,705	)	$	(276,628	)
Canadian Dollar, Expiring 12/19/12	The Royal Bank of Scotland	CAD		(8,175,000	)		(8,348,970	)		(8,300,496	)		48,474
Swiss Franc, Expiring 12/19/12	The Royal Bank of Scotland	CHF		(50,439,000	)		(53,100,628	)		(53,708,338	)		(607,710	)
Chilean Peso, Expiring 12/19/12	The Royal Bank of Scotland	CLP		(122,906,000	)		(254,042	)		(256,060	)		(2,018	)
Czech Republic Koruna, Expiring 12/19/12	The Royal Bank of Scotland	CZK		(266,946,000	)		(13,577,008	)		(13,649,466	)		(72,458	)
Danish Krone, Expiring 12/19/12	The Royal Bank of Scotland	DKK		(9,146,000	)		(1,563,045	)		(1,579,196	)		(16,151	)
Euro, Expiring 12/19/12	The Royal Bank of Scotland	EUR		(114,736,381	)		(146,120,793	)		(147,568,997	)		(1,448,204	)
Euro, Expiring 04/05/13	The Royal Bank of Scotland	EUR		(3,562	)		(4,694	)		(4,587	)		107
Euro, Expiring 04/07/14	The Royal Bank of Scotland	EUR		(3,562	)		(4,704	)		(4,605	)		99
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(3,562	)		(4,716	)		(4,614	)		102
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(3,562	)		(4,730	)		(4,614	)		116
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(3,562	)		(4,751	)		(4,614	)		137
British Pound, Expiring 12/19/12	The Royal Bank of Scotland	GBP		(22,680,000	)		(36,627,092	)		(36,615,499	)		11,593
Hong Kong Dollar, Expiring 12/19/12	The Royal Bank of Scotland	HKD		(42,124,000	)		(5,432,346	)		(5,432,697	)		(351	)
Hungarian Forint, Expiring 12/19/12	The Royal Bank of Scotland	HUF		(70,000,000	)		(319,252	)		(312,348	)		6,904
Indonesian Rupiah, Expiring 12/19/12	The Royal Bank of Scotland	IDR		(40,039,011,000	)		(4,111,520	)		(4,138,833	)		(27,313	)
Israeli Shekel, Expiring 12/19/12	The Royal Bank of Scotland	ILS		(147,325,000	)		(36,652,055	)		(37,475,840	)		(823,785	)
Indian Rupee, Expiring 12/19/12	The Royal Bank of Scotland	INR		(2,358,111,000	)		(41,702,304	)		(44,040,102	)		(2,337,798	)
Japanese Yen, Expiring 12/19/12	The Royal Bank of Scotland	JPY		(9,389,684,000	)		(119,747,260	)		(120,414,331	)		(667,071	)
Korean Won, Expiring 12/20/12	The Royal Bank of Scotland	KRW		(3,541,587,000	)		(3,124,554	)		(3,173,836	)		(49,282	)
Mexican Peso, Expiring 12/19/12	The Royal Bank of Scotland	MXN		(5,587,000	)		(423,916	)		(430,653	)		(6,737	)
Malaysian Ringgit, Expiring 12/19/12	The Royal Bank of Scotland	MYR		(6,324,000	)		(2,022,301	)		(2,057,283	)		(34,982	)
Norwegian Krone, Expiring 12/19/12	The Royal Bank of Scotland	NOK		(19,224,000	)		(3,337,955	)		(3,345,698	)		(7,743	)
New Zealand Dollar, Expiring 12/19/12	The Royal Bank of Scotland	NZD		(11,852,000	)		(9,385,332	)		(9,771,061	)		(385,729	)
Peru Nuevo Sol, Expiring 12/19/12	The Royal Bank of Scotland	PEN		(962,000	)		(366,227	)		(368,554	)		(2,327	)
Philippine Peso, Expiring 12/19/12	The Royal Bank of Scotland	PHP		(254,500,000	)		(6,063,279	)		(6,090,120	)		(26,841	)
Poland Zloty, Expiring 12/19/12	The Royal Bank of Scotland	PLN		(3,960,000	)		(1,210,700	)		(1,224,832	)		(14,132	)
Russian Ruble, Expiring 12/19/12	The Royal Bank of Scotland	RUB		(9,579,000	)		(297,306	)		(302,873	)		(5,567	)
Swedish Krona, Expiring 12/19/12	The Royal Bank of Scotland	SEK		(72,160,000	)		(10,762,370	)		(10,959,356	)		(196,986	)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2012			UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 12/19/12	The Royal Bank of Scotland	SGD		(29,568,000	)	$	(23,804,838	)	$	(24,092,792	)	$	(287,954	)
Thailand Baht, Expiring 12/19/12	The Royal Bank of Scotland	THB		(6,616,000	)		(211,216	)		(213,737	)		(2,521	)
Turkish Lira, Expiring 12/19/12	The Royal Bank of Scotland	TRY		(6,331,000	)		(3,461,460	)		(3,484,491	)		(23,031	)
Taiwanese Dollar, Expiring 12/19/12	The Royal Bank of Scotland	TWD		(144,518,000	)		(4,859,098	)		(4,931,328	)		(72,230	)
South African Rand, Expiring 12/19/12	The Royal Bank of Scotland	ZAR		(249,349,000	)		(29,714,555	)		(29,626,071	)		88,484
							(638,582,848	)		(646,086,387	)		(7,503,539	)
						$	(16,663,320	)	$	(18,064,489	)	$	(1,401,169	)

Money Market Fund is pledged as collateral with broker for forward foreign currency exchange contracts in the amount of $9,735,660 at September 30, 2012.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian Peso

CZK - Czech Republic Koruna

DKK - Danish Krone

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 - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thailand Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at September 30, 2012

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/23/2013 - 08/19/2013	$	3,053,059

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

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 September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Arkema SA		49,988	EUR	4,357,942	$	321,055
AtoS		40,581		2,478,863		344,636
Cap Gemini SA		24,680		967,811		75,139
Casino Guichard Perrachon SA		945		85,814		(2,223)
Cie Generale des Etablissements Michelin		17,614		1,311,069		68,138
Danone SA		158		10,125		(403)
Dassault Systemes SA		9,458		948,312		45,384
Edenred		12		328		8
Etablissements Maurel et Prom		35,197		567,148		(45,354)
Faurecia		6,629		129,240		(19,592)
France Telecom SA		548		8,096		(1,460)
GDF Suez		1,981		49,716		(5,556)
Hermes International		1,043		297,775		(17,963)
Iliad SA		1,014		161,132		3,889
Lagardere SCA		38,739		1,123,290		(65,175)
Nexans SA		4,833		239,590		(13,026)
PPR		12		1,967		(125)
Remy Cointreau SA		1,920		227,786		(7,020)
Renault SA		39,996		1,882,104		(8,046)
Safran SA		1,584		56,918		58
Sanofi		30,041		2,568,051		2,752
Schneider Electric SA		2,153		142,426		(15,133)
Societe BIC SA		9,410		1,059,799		76,764
Technip SA		5		564		(9)
Thales SA		2,577		88,332		128
Total SA		30,254		1,572,300		(67,166)
Valeo SA		38,834		1,966,832		(171,670)
Vivendi SA		77,934		1,581,241		(62,540)
						435,490
Netherlands
European Aeronautic Defence and Space Co NV		36,932		1,454,906		(284,349)
Spain
Distribuidora International PLC		80,065		379,456		62,702
Enagas SA		8,591		161,034		8,383
Endesa SA		395		6,762		833
Ferrovial SA		36		380		89
Gas Natural SDG SA		36,875		477,494		44,312
Inditex SA		3,638		325,598		126,434
Indra Sistemas SA		3		30		(1)
International Group PLC		164,084		441,528		(46,457)
Obrascon Huarte Lain SA		22,956		487,386		42,892
Red Electrica Corp SA		6,495		274,519		33,320

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain (continued)
Sacyr Vallehermoso SA		117,189	EUR	208,312	$	43,748
Tecnicas Reunidas SA		30,287		1,203,328		208,032
						524,287
United Kingdom
AMEC PLC		13,208	GBP	236,504		8,604
Anglo American PLC		41,258		1,330,372		(115,809)
AstraZeneca PLC		21,090		988,947		17,995
Aveva Group PLC		20,036		539,940		97,566
Aviva PLC		195,740		933,196		78,261
Babcock International Group PLC		251,440		3,490,053		279,964
Barclays PLC		470,567		1,529,544		104,550
Barratt Developments PLC		66,890		165,609		17,817
Berkeley Group Holdings PLC		5,431		113,035		10,404
British American Tobacco PLC		14,813		788,700		(27,557)
BT Group PLC		678,412		2,358,292		170,653
Bundesrepublik Deutschland		331,202		1,727,143		51,417
Bunzl PLC		21,493		385,151		281
De La Rue PLC		6,619		96,383		11,962
Drax Group PLC		8,456		69,044		274
Experian PLC		75,035		1,145,039		104,347
Ferrexpo PLC		9,188		42,630		(13,773)
FIH Erhvervsbank A/S		9,575		101,940		3,904
GAS PLC		167,750		724,759		(4,226)
GKN PLC		625,799		2,096,234		79,679
GlaxoSmithKline PLC		47,178		1,114,209		(25,217)
Hays PLC		262,967		386,259		(57,982)
HSBC Holdings PLC		150,869		1,368,778		32,759
Inchcape PLC		266,537		1,576,331		(24,504)
Inmarsat PLC		13,908		98,792		33,996
Intermediate Capital Group PLC		88,301		366,483		59,842
Investec PLC		1,544		8,196		1,363
ITV PLC		276,090		385,381		9,299
John Wood Group PLC		106,949		1,305,947		84,689
Kazakhmys PLC		119,932		1,246,096		99,495
Kesa Electricals PLC		211,282		194,078		(960)
Kingfisher PLC		566,174		2,606,772		(186,392)
Legal & General Group SA		823,908		1,606,792		152,173
Lloyds Banking Group PLC		622,239		317,967		73,831
Michael Page International PLC		44,249		297,939		(42,906)
National Grid PLC		44,816		497,027		(2,668)
Next PLC		23,365		1,224,359		79,151
Northwest Equity Corp.		319,314		1,573,232		105,641

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Pennon Group PLC		819	GBP	9,653	$	(88)
ProLogis LP		19,050		680,592		67,246
Reckitt Benckiser Group PLC		4,896		283,231		(1,150)
Rolls-Royce Holdings PLC		67,226		907,653		9,423
Rolls-Royce Holdings PLC		3,831		6		—
Sanyo Shinpan Finance Co. Ltd.		926,197		1,615,665		40,135
Serco Group PLC		80,441		712,509		41,885
Severn Trent PLC		15,329		423,455		(7,781)
Shinsei Bank Ltd.		24,143		975,924		(81,509)
SSE PLC		21,811		479,293		11,513
Standard Life PLC		64,845		278,297		7,946
Sumitomo Bakelite Co., Ltd.		33,868		619,875		42,195
Tate & Lyle PLC		305,935		3,375,713		(85,099)
Thomas Cook Group PLC		221,964		84,506		(21,643)
William Hill PLC		475,805		2,136,030		301,654
Wolseley PLC		105,890		4,099,444		430,103
WPP PLC		87,616		1,175,836		17,570
Xstrata PLC		21,601		324,968		10,128
						2,050,451
United States
Gazprom OAO		126,974	$	1,289,566		(9,938)
Lukoil OAO		16,723		969,657		63,979
Reliance Industries Ltd.		1,464		42,090		4,127
Rosneft Oil Co.		1,003		7,141		(378)
Samsung Electronics Co., Ltd.		4,927		2,699,301		272,427
State Bank of India		5,081		412,733		25,475
Surgutneftegaz ADR		24,221		219,902		(392)
Tatneft		14,154		451,559		137,197
						492,497
Total Long Positions						3,218,376
Short Positions
France
Accor SA		(23,683)	EUR	(823,284)		34,818
Air France-KLM		(128)		(697)		(131)
Alcatel-Lucent		(598,804)		(751,893)		91,239
Alstom SA		(13,128)		(484,134)		24,554
Bouygues SA		(4,871)		(139,820)		21,371
Bureau Veritas SA		(4,836)		(455,759)		(40,688)
Carrefour SA		(114,154)		(2,372,354)		4,386
Christian Dior SA		(494)		(74,906)		8,734
Cie de St-Gobain		(15,370)		(547,069)		9,086
Cie Generale de Geophysique - Veritas		(3,721)		—		(6,006)
Cie Generale de Geophysique - Veritas		(3,721)		(112,371)		(7,131)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Cie Generale d’Optique Essilor International SA		(2,160)	EUR	(189,463)	$	(12,662)
Electricite de France SA		(52,181)		(1,118,605)		27,508
Eutelsat Communications SA		(41,322)		(1,359,051)		31,393
Lafarge SA		(65,318)		(3,151,124)		(358,248)
Legrand SA		(26,573)		(963,273)		(38,360)
L’Oreal SA		(1,431)		(186,190)		9,260
LVMH Moet Hennessy Louis Vuitton SA		(11,085)		(1,871,124)		207,064
Neopost SA		(10,674)		(594,879)		4,402
Pernod-Ricard SA		(6,587)		(735,499)		(3,368)
Peugeot SA		(89,846)		(788,299)		79,012
Publicis Groupe SA		(4,299)		(229,204)		(11,252)
SES SA		(4,969)		(135,164)		39
Sodexo		(3,856)		(314,273)		23,946
Suez Environnement Co.		(28,806)		(345,813)		19,973
Vallourec SA		(82,779)		(4,068,660)		571,276
Veolia Environnement SA		(98,463)		(1,074,423)		15,054
Zodiac Aerospace		(35)		(3,625)		208
						705,477
Netherlands
Gemalto NV		(1,848)		(139,143)		(23,386)
Spain
Abertis Infraestructuras SA		(58,396)		(840,904)		(19,751)
Acciona SA		(12,673)		(743,616)		21,666
Acerinox SA		(951)		(10,281)		(402)
Amadeus IT Holding SA		(18,106)		(354,789)		(67,334)
Ebro Foods SA		(11,670)		(194,795)		(10,477)
Repsol YPF SA		(42,125)		(674,455)		(144,206)
Telefonica SA		(105,082)		(1,391,071)		(13,418)
						(233,922)
United Kingdom
Admiral Group PLC		(161,481)	GBP	(3,099,385)		347,279
Aegis Group PLC		(29,377)		(99,884)		(11,908)
Aggreko PLC		(76,608)		(2,744,985)		(122,804)
Banca Popolare di Crema SpA		(77,108)		(856,881)		(68,610)
Barloworld Ltd.		(35,789)		(798,494)		(12,446)
BG Group PLC		(45,679)		(971,914)		47,612
BP PLC		(168,695)		(1,173,774)		(15,505)
Burberry Group PLC		(42,367)		(923,191)		237,182
Capita Group PLC/The		(241,520)		(2,804,895)		(219,924)
Carnival PLC		(50,765)		(1,666,796)		(203,170)
Cascade Bancorp		(64,638)		(407,409)		(5,106)
Centrica PLC		(92,535)		(475,256)		(14,403)
Cobham PLC		(105,678)		(405,813)		26,739
Cookson Group PLC		(9,735)		(116,507)		22,294
Daily Mail & General Trust PLC		(6,716)		(45,323)		(6,960)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Depfa Funding III LP		(92,867)	GBP	(1,704,114)	$	(195,203)
Diageo PLC		(63,576)		(1,648,328)		(141,855)
Dresdner Bank AG		(52,093)		(234,605)		(5,581)
Eurasian Natural Resources Corp. PLC		(6,459)		(31,468)		(826)
Glencore International PLC		(61,121)		(342,797)		3,299
Home Retail Group PLC		(239,728)		(377,233)		31,613
ICAP PLC		(166,836)		(894,894)		27,663
IMI PLC		(73,923)		(1,014,029)		(62,854)
Informa PLC		(39,083)		(259,478)		4,865
Intercontinental Hotels Group PLC		(26,786)		(663,878)		(39,514)
Intertek Group PLC		(34,270)		(1,424,087)		(95,269)
Invensys PLC		(207,562)		(781,800)		(5,067)
J Sainsbury PLC		(88,881)		(438,134)		(61,376)
Johnson Matthey PLC		(14,396)		(526,366)		(35,939)
Kotak Mahindra Prime Ltd.		(182,437)		(4,891,604)		(331,029)
Kreis-Und Stadtsparkasse Erding		(35,715)		(135,220)		19,577
Lonmin PLC		(74,735)		(1,109,474)		434,687
Man Group PLC		(1,518,355)		(2,196,844)		172,245
Marks & Spencer Group PLC		(472,668)		(2,715,492)		(12,276)
Mitchells & Butlers PLC		(53,950)		(232,434)		(21,840)
Mondi PLC		(64,482)		(557,714)		(100,112)
Old Mutual PLC		(9,491)		(23,586)		(2,525)
Petrofac Ltd		(9,439)		(233,701)		(10,173)
Prudential PLC		(79,111)		(919,435)		(107,843)
Rexam PLC		(21,985)		(152,207)		(2,481)
Royal Bank of Scotland Group PLC		(314,552)		(1,129,573)		(177,324)
Royal Dutch Shell PLC		(16,595)		(605,563)		15,016
SABMiller PLC		(43,260)		(1,861,726)		(41,717)
Shire PLC		(48,843)		(1,522,053)		81,245
Signature Metals Ltd.		(33,289)		(656,884)		(36,770)
Smith & Nephew PLC		(2,152)		(21,067)		(2,672)
Smiths Group PLC		(38,502)		(642,996)		(3,772)
UBS AG		(67,303)		(1,145,820)		11,478
United Utilities Group PLC		(6,684)		(73,667)		(3,607)
Vedanta Resources PLC		(45,973)		(744,552)		(22,401)
Whitbread PLC		(10,575)		(314,827)		(73,038)
						(791,106)
Total Short Positions						(342,937)
Total of Long and Short Positions of Portfolio Swap						2,875,439

REFERENCE ENTITY	SHARES	NOTIONAL (a)	NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Net Cash and Other Receivables (b)			$	177,620
Swaps, at Value			$	3,053,059

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

(b) Cash and other receivables 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 is pledged as collateral to the broker in the amount of $12,256,700 at September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/23/2013	$	(11,214	)

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

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 September 30, 2012.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Aegis Group PLC		478,872	GBP	1,833,664		(11,357)
Total Long Positions						(11,357)
Total of Long and Short Positions of Portfolio Swap						(11,357)
Net Cash and Other Receivables (b)						143
Swaps, at Value					$	(11,214)

(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 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.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/24/2013	$	(7,874,359	)

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

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 September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
3M Co.		3,800	$	340,337	$	10,859
Accenture PLC		12,500		728,423		146,952
ACE Ltd.		20,600		1,509,511		47,849
Advance Auto Parts, Inc.		24,800		1,830,038		(132,726)
AECOM Technology Corp.		50,600		929,323		141,373
Aeropostale, Inc.		190,600		3,172,861		(594,043)
AES Corp./The		84,600		996,544		(68,482)
Aetna, Inc.		36,000		1,386,717		38,883
Aflac, Inc.		16,800		727,482		76,902
AGCO Corp.		23,900		1,024,510		110,262
Agilent Technologies, Inc.		28,200		1,120,314		(36,024)
Airgas, Inc.		1,600		143,876		(12,196)
AK Steel Holding Corp.		151,900		904,387		(175,267)
Akamai Technologies, Inc.		16,000		600,931		11,229
Alaska Air Group, Inc.		30,300		1,069,475		(7,157)
Albemarle Corp.		7,600		474,588		(74,220)
Alliant Energy Corp.		1,200		54,789		(2,721)
Alliant Techsystems, Inc.		33,200		1,643,330		20,322
Allied World Assuarance		8,400		651,031		(2,131)
Allscripts Healthcare		13,200		136,160		27,916
Allstate Corp.		16,600		590,344		67,182
Alpha Natural Resources, Inc.		194,000		1,148,453		126,127
Altria Group, Inc.		25,300		884,396		(39,629)
AMDOCS Ltd.		100		3,026		273
Ameren Corp.		32,600		1,087,587		(22,545)
American Capital Ltd.		449,300		4,483,108		611,954
American Eagle Outfitters, Inc.		145,200		3,011,825		48,991
American Electric Power Co., Inc.		31,100		1,279,451		87,083
American Financial Group, Inc.		29,300		1,130,058		(19,588)
American Water Works Co., Inc.		6,600		236,351		8,245
Ameriprise Financial, Inc.		61,200		3,137,651		331,777
AmerisourceBergen Corp.		26,700		996,542		37,015
Amgen, Inc.		31,600		2,483,775		180,737
Anadarko Petroleum Corp.		8,600		597,087		4,225
Analog Devices, Inc.		10,300		375,780		27,877
Anixter International, Inc.		700		42,242		(2,020)
AON PLC		5,900		283,731		24,780
Applied Industrial Technologies, Inc.		11,900		456,320		36,697

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Applied Materials, Inc.		26,500	$	293,919	$	1,953
Archer-Daniels-Midland Co.		109,400		3,121,694		(148,202)
ARES Captial Corp.		29,600		462,695		44,649
Armstrong World Industries, Inc.		15,200		689,790		15,034
Arris Group, Inc.		65,000		897,471		(66,121)
Arrow Electronics, Inc.		35,400		1,255,687		(62,353)
Ascena Retail Group		95,800		1,855,250		199,660
Associated Banc-Corp.		55,800		723,287		11,599
Assurant, Inc.		62,200		2,212,658		107,402
AT&T, Inc.		57,100		2,017,085		135,585
Atmos Energy Corp.		1,900		65,215		2,786
Autodesk, Inc.		27,500		933,168		(15,493)
Autoliv, Inc.		11,900		662,077		75,366
Automatic Data Processing, Inc.		800		42,624		4,304
Autozone, Inc.		2,500		941,730		(17,555)
Avago Technologies Ltd.		41,800		1,335,178		122,179
Avnet, Inc.		68,800		2,231,688		(230,296)
Axis Capital Holdings Co.		10,600		362,592		7,560
Ball Corp.		14,200		590,270		10,532
BE Aerospace, Inc.		9,800		409,169		3,411
Beam, Inc.		11,200		676,872		(32,424)
Becton Dickinson		1,200		90,443		3,829
Bed Bath & Beyond, Inc.		32,000		2,064,980		(48,980)
Bemis Co., Inc.		4,000		120,318		5,562
Big Lots, Inc.		44,600		1,638,325		(319,057)
Biogen Idec, Inc.		21,100		2,887,398		261,355
BlackRock, Inc.		6,300		1,091,460		31,830
BMC Software, Inc.		36,400		1,460,454		49,782
Boeing Co./The		15,400		1,136,403		(64,255)
Bristow Group, Inc.		14,900		677,211		75,984
Broadridge Financial Solutions, Inc.		27,800		622,105		26,469
Brocade Communications Systems, Inc.		822,600		4,232,902		632,777
Brown & Brown, Inc.		12,700		338,249		(7,160)
Buckle, Inc./The		10,400		421,611		50,861
Bunge Ltd.		6,200		384,914		30,796
CA, Inc.		59,300		1,544,622		(16,757)
Cabot Corp.		21,000		859,556		(91,586)
Cabot Oil & Gas Corp.		6,200		223,076		55,304
Cameron International Corp.		3,700		167,883		39,576
Capital One Financial Corp.		18,300		996,534		46,749
CapitalSource, Inc.		78,800		534,150		63,154
Cardinal Health, Inc.		61,900		2,606,285		(194,042)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Career Education Corp.		167,295	$	913,787	$	(283,085)
Carefusion Corp.		22,500		580,989		57,786
Carlisle Cos, Inc.		8,800		474,408		(17,512)
Carpenter Technology Corp.		4,900		250,913		5,455
Carter’s, Inc.		8,900		499,776		(20,600)
CBRE Group, Inc.		25,600		438,142		33,154
CBS Corp.		19,800		646,310		73,024
Celanese Corp.		16,000		677,440		(70,880)
Celgene Corp.		11,900		823,084		86,076
CenterPoint Energy, Inc.		39,200		781,410		53,550
CF Industries Holdings, Inc.		12,800		2,354,400		490,272
Charles River Laboratories International, Inc.		16,100		547,417		90,143
Chemed Corp.		2,800		178,404		15,608
Chevron Corp.		23,900		2,513,592		272,192
Chicos’s, Inc.		85,900		1,353,889		201,760
Church & Dwight Co., Inc.		3,100		175,195		(7,826)
CIGNA Corp.		32,900		1,476,195		75,698
Cinemark Holdings, Inc.		13,300		314,272		(15,953)
Cintas Corp.		8,100		323,072		12,673
Cisco Systems, Inc.		271,400		4,564,906		616,120
CitiGroup, Inc.		56,100		1,477,896		357,696
Citrix Systems, Inc.		6,100		472,997		(5,920)
CLARCOR, Inc.		1,700		82,960		(7,089)
Cleco Corp.		3,400		147,412		(4,680)
CNH Global NV		2,500		97,256		(331)
Coca-Cola Enterprises, Inc.		51,100		1,498,532		99,365
Colgate-Palmolive Co.		1,300		131,862		7,524
Comcast Corp.		63,300		2,058,128		206,113
Commerce Bancshares, Inc.		5,205		208,668		1,249
Commercial Metals Co.		123,700		1,607,658		25,182
Community Health Systems, Inc.		37,500		986,153		106,597
Commvault Systems, Inc.		6,900		331,176		73,854
Computer Sciences Corp.		38,500		980,316		259,769
Compuware Corp.		102,200		878,647		134,155
Comtech Telecommunications Corp.		5,400		153,194		(3,938)
ConAgra Foods, Inc.		13,600		343,167		32,057
ConocoPhillips		55,300		3,061,779		100,275
Consolidated Edison, Inc.		14,000		875,268		(36,808)
Convergys Corp.		59,700		879,216		56,283
Con-way, Inc.		42,400		1,401,012		(240,524)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cooper Cos., Inc./The		14,700	$	1,237,713	$	150,849
Copa Holdings SA		100		7,681		446
Copart, Inc.		17,600		461,931		26,117
Corning, Inc.		52,600		619,391		72,299
Corrections Corp. of America		18,000		492,804		109,296
Costco Wholesale Corp.		7,700		693,974		76,989
Covance, Inc.		16,100		739,540		12,169
Covidien PLC		21,800		1,195,004		100,352
CR Bard, Inc.		500		50,210		2,115
Crane Co.		33,400		1,318,994		14,668
Crocs, Inc.		110,100		1,897,924		(113,203)
Crown Holdings, Inc.		39,600		1,437,298		18,002
CSX Corp.		21,100		460,515		(22,690)
Cummins, Inc.		25,200		2,444,090		(120,398)
CVS Caremark Corp.		37,400		1,717,297		93,611
Cypress Semiconductor		34,000		404,014		(39,534)
Cytec Industries, Inc.		10,400		670,301		11,107
DaVita, Inc.		23,800		2,141,170		324,748
Dean Foods Co.		133,500		2,070,200		112,525
Dell, Inc.		9,800		119,373		(22,745)
Delta Air Lines, Inc.		243,800		2,462,795		(229,587)
Denbury Resources, Inc.		33,600		530,004		12,972
Devon Energy Corp.		21,200		1,238,039		44,561
Diebold, Inc.		8,800		305,644		(8,996)
Dillards, Inc.		33,000		2,221,141		165,419
Discover Financial Services		72,100		2,471,271		393,262
DISH Network Corp.		162,700		4,846,638		133,609
Dolby Laboratories, Inc.		28,400		1,211,749		(281,649)
Dollar General Corp.		7,500		377,880		8,670
Dollar Tree, Inc.		14,000		690,874		(15,024)
Dominos Pizza, Inc.		39,300		1,297,500		184,110
Domtar Corp.		7,400		575,271		4,075
Donaldson Co., Inc.		2,300		78,959		874
DR Horton, Inc.		30,600		569,788		61,796
Dr Pepper Snapple Group, Inc.		16,200		706,619		14,767
Dresser-Rand Group, Inc.		17,500		848,990		115,435
DST Systems, Inc.		12,300		654,331		41,357
DSW, Inc.		7,500		422,813		77,587
DTE Energy Co.		26,600		1,576,282		18,122
Dun & Bradstreet Corp./The		9,000		620,168		96,412
E*Trade Financial Corp.		94,800		879,406		(44,218)
East West BanCorp., Inc.		25,300		559,383		(25,047)
Eastman Chemical Co.		1,600		81,692		9,524
Edison International		41,400		1,866,563		25,003
Eli Lilly & Co.		42,200		1,826,565		174,137
EMCOR Group, Inc.		20,100		564,315		9,339

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Endo Pharmaceuticals Holdings, Inc.		39,300	$	1,254,487	$	(7,891)
Energen Corp.		2,600		121,536		14,730
Energizer Holdings, Inc.		8,900		625,251		38,778
Energy XXI, Inc.		5,100		162,931		15,314
Entergy Corp.		14,000		970,776		(576)
EOG Resources, Inc.		1,600		173,056		6,224
Equifax, Inc.		5,400		247,861		3,671
Everest Re Group Ltd.		11,600		1,192,917		47,819
EXCO Resources, Inc.		43,000		308,459		35,971
Expedia, Inc.		34,400		1,737,419		252,277
Express Scripts PLC		13,700		820,829		37,750
EzCorp., Inc.		22,000		546,700		(42,240)
Fair Isaac Corp.		13,100		554,469		25,337
FedEx Corp.		5,100		458,495		(26,933)
Fifth Third BanCorp.		153,100		2,113,706		260,875
First Solar, Inc.		23,500		444,774		75,634
FirstEnergy Corp.		2,700		132,303		(13,233)
Fiserv, Inc.		3,300		218,724		25,575
Flextronics, Inc.		379,400		2,474,823		(198,423)
FMC Corp.		1,900		100,019		5,203
Foot Locker, Inc.		110,800		3,464,376		469,024
Forest Laboratories, Inc.		62,500		2,166,487		59,138
Forest Oil Corp.		67,500		433,138		137,237
Fortinet, Inc.		58,500		1,431,653		(19,463)
Foster Wheeler AG		14,800		261,489		93,119
Fulton Financial Corp.		48,400		496,036		(18,812)
GameStop Corp.		122,700		2,315,537		261,163
Gap, Inc./The		29,500		1,028,287		27,223
Gartner, Inc.		16,600		735,701		29,393
General Cable Corp.		32,100		890,391		52,707
General Dynamics Corp.		9,900		643,009		11,579
General Electric Co.		49,400		1,033,069		88,805
GenOn Energy, Inc.		85,100		172,030		43,273
Genuine Parts Co.		10,900		669,055		(3,828)
Genworth Financial, Inc.		549,000		2,919,801		(48,531)
Global Payments, Inc.		11,900		508,918		(11,141)
Goldman Sachs Group, Inc./The		8,700		879,966		109,050
Goodyear Tire & Rubber Co./The		29,700		353,165		8,878
Google, Inc.		800		466,636		136,964
Graco, Inc.		1,700		87,163		(1,687)
Guess?, Inc.		87,800		2,386,458		(154,582)
Halliburton Co.		22,700		711,683		53,080
Hanover Insurance Group, Inc./The		6,000		231,268		(7,708)
Harman International Industries, Inc.		75,200		3,140,367		330,865
Harris Teeter Supe Co.		6,000		239,572		(6,532)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Harsco Corp.		14,100	$	293,933	$	(4,460)
Hasbro, Inc.		33,000		1,138,924		120,686
Hawaiian Electric Industries, Inc.		6,800		194,437		(15,529)
HCC Insurance Holdings, Inc.		23,800		760,288		46,294
Health Net, Inc.		64,200		1,637,999		(192,857)
HealthSouth Corp.		2,700		64,749		213
Helix Energy Solutions Group, Inc.		75,300		1,379,610		(3,879)
Henry Schein, Inc.		3,100		242,671		3,066
Hershey Co./The		4,100		281,967		8,682
Hess Corp.		33,200		1,568,229		215,275
Hill-Rom Holdings, Inc.		52,500		1,610,529		(84,879)
Hillshire Brands Co.		88,500		2,611,593		(241,563)
Hittite Microwave Corp.		400		20,828		1,360
HollyFrontier Corp.		26,600		867,639		230,143
Home Depot, Inc.		14,600		746,624		134,778
Honeywell International, Inc.		4,200		237,912		13,038
Hormel Foods Corp.		3,200		93,728		(160)
Hubbell, Inc.		4,700		371,783		7,695
Hudson City BanCorp., Inc.		16,700		120,504		12,428
Humana, Inc.		41,800		3,119,882		(187,612)
Huntington Bancshares, Inc.		216,100		1,391,211		99,879
IAC/InterActiveCorp.		53,900		2,658,009		148,025
Ingersoll-Rand PLC		33,000		1,425,381		53,679
Ingram Micro, Inc.		161,500		2,795,692		(336,047)
Ingredion, Inc.		26,200		1,426,944		18,248
Integrys Energy Group, Inc.		1,000		53,667		(1,467)
Intel Corp.		48,900		1,204,993		(95,941)
International Paper Co.		2,800		96,213		5,483
Interpublic Group of Cos, Inc./The		237,200		2,625,349		12,315
Intuit, Inc.		13,300		762,522		20,582
InvesCo., Ltd.		63,200		1,425,842		153,526
Itron, Inc.		22,200		894,462		63,468
ITT Corp.		87,600		1,903,812		(138,672)
ITT Educational Services, Inc.		19,100		1,167,076		(551,483)
Jabil Circuit, Inc.		140,700		2,932,424		(298,520)
Jacobs Engineering Group, Inc.		4,900		192,521		5,586
JDS Uniphase Corp.		166,200		1,770,806		287,581
JM Smucker Co./The		1,200		90,948		12,648
Johnson & Johnson		4,100		278,414		4,117
Jones Lang LaSalle, Inc.		4,300		333,594		(5,289)
JPMorgan Chase & Co.		72,700		2,496,168		446,728
Kansas City Southern		100		6,896		682
KBR, Inc.		137,400		3,859,847		237,421

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kennametal, Inc.		2,200	$	76,099	$	5,477
Key Energy Group		31,600		245,867		(24,667)
KeyCorp.		264,900		2,071,688		243,538
Kimberly-Clark Corp.		19,900		1,672,622		34,400
KLA-Tencor Corp.		23,300		1,088,712		22,814
Kraft Foods, Inc.		23,000		917,172		33,878
Kroger Co./The		5,900		134,090		4,796
L-3 Communications Holdings, Inc.		5,800		404,441		11,477
Landstar System, Inc.		8,500		456,006		(54,126)
Lender Processing Services, Inc.		5,400		150,434		172
LKQ Corp.		6,800		119,212		6,588
Lockheed Martin Corp.		7,400		650,601		40,411
Loews Corp.		37,100		1,509,434		21,312
Lorillard, Inc.		2,400		306,085		(26,605)
Lowe’s Cos, Inc.		113,200		3,048,594		374,574
LSI Corp.		264,500		2,041,466		(213,771)
Lyondellbasell Industries, Inc.		131,500		5,283,421		1,509,869
Macy’s, Inc.		67,900		2,572,886		(18,488)
Magellan Health Services, Inc.		11,100		510,097		62,774
Manpower, Inc.		44,400		1,651,100		(17,180)
Marathon Oil Corp.		99,300		2,542,964		393,337
Marsh & McLennan Cos, Inc.		17,800		580,861		23,093
Marvell Technology Group Ltd.		140,800		1,817,002		(528,682)
Mastercard, Inc.		700		291,577		24,459
Mattel, Inc.		23,500		798,607		35,173
Maxim Integrated Products, Inc.		7,100		189,633		(631)
McDermott International, Inc.		274,900		2,841,793		517,485
McDonald’s Corp.		2,000		180,618		2,882
McGraw-Hill Cos, Inc./The		2,400		114,077		16,939
McKesson Corp.		25,400		2,254,221		(69,059)
McMoRan Exploration Co.		13,300		186,133		(29,858)
MeadWestvaco Corp.		28,200		798,778		64,142
MetroPCS Communications, Inc.		30,200		191,666		161,976
MGM Resorts International		17,700		173,197		17,078
MKS Instruments, Inc.		69,300		1,799,375		(32,918)
Mohawk Industries, Inc.		8,800		630,045		74,131
Molex, Inc.		19,500		478,317		34,143
Monsanto Co.		22,800		1,767,490		307,766
Monster Beverage Corp.		43,200		2,856,819		(517,107)
Motorola Solutions, Inc.		31,900		1,559,315		53,230
Murphy Oil Corp.		37,300		1,844,406		158,231

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nabors Industries Ltd.		147,200	$	2,152,239	$	(87,023)
National Oilwell Varco, Inc.		21,900		1,470,768		283,641
Navistar International Corp.		14,100		423,366		(125,997)
NCR Corp.		160,500		3,659,673		81,582
Neustar, Inc.		6,600		230,406		33,792
New York Times Co./The		30,900		198,749		102,835
Newell Rubbermaid, Inc.		19,500		347,472		24,783
Newfield Exploration Co.		7,700		253,226		(12,062)
News Corp.		173,200		3,710,276		538,320
NiSource, Inc.		7,200		178,607		4,849
Nordson Corp.		1,900		97,601		13,777
Norfolk Southern Corp.		11,900		854,536		(97,339)
Northrop Grumman Corp.		49,700		3,253,641		47,930
NorthWestern Corp.		900		32,626		(19)
NV Energy, Inc.		19,100		325,522		18,469
NVIDIA Corp.		137,600		1,775,615		59,969
NVR, Inc.		100		86,737		(2,287)
Occidental Petroleum Corp.		7,700		654,723		7,939
Oceaneering International, Inc.		29,800		1,475,459		170,991
OGE Energy Corp.		6,800		365,074		12,054
Old Dominion Freight Line, Inc.		27,600		808,888		23,528
Olin Corp.		16,700		350,781		12,110
Omnicom Group, Inc.		3,400		175,352		(48)
ON Semiconductor Corp.		223,000		1,448,519		(72,609)
Orchard Supply Hardware		99		188		5
O’Reilly Automotive, Inc.		4,000		356,085		(21,605)
Owens & Minor, Inc.		16,100		460,655		20,413
Owens-Illinois, Inc.		77,600		1,673,275		(217,499)
PACCAR, Inc.		4,300		162,076		10,031
Packaging Corp. of America		3,500		106,003		21,047
Pall Corp.		7,400		420,033		49,793
Panera Bread Co.		5,300		801,462		104,255
Parker Hannifin Corp.		17,500		1,342,850		119,800
Patterson Cos, Inc.		14,000		487,983		(8,623)
Patterson-UTI Energy, Inc.		80,400		1,238,034		35,502
Paychex, Inc.		11,200		358,969		13,879
Penn National Gaming, Inc.		1,800		79,577		(1,997)
PerkinElmer, Inc.		22,100		589,963		61,324
PetSmart, Inc.		15,200		1,018,907		29,589
Pfizer, Inc.		81,800		1,932,864		99,866
PG&E Corp.		20,600		914,881		(35,879)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Philip Morris International, Inc.		6,300	$	571,130	$	(4,508)
Pinnacle West Capital Corp.		10,000		524,384		3,616
Plains Exploration & Production Co.		54,100		2,058,394		(31,267)
PMC - Sierra, Inc.		117,100		709,405		(48,961)
PNC Financial Services Group, Inc.		22,900		1,425,775		19,215
PNM Resources, Inc.		19,600		387,641		24,547
Polaris Industries, Inc.		13,400		1,013,981		69,677
Polycom, Inc.		108,400		1,298,365		(228,457)
Popular, Inc.		24,760		407,406		24,161
Portland General Electric Co.		7,600		196,124		9,380
PPG Industries, Inc.		13,800		1,488,263		96,529
ProAssurance Corp.		4,000		356,034		5,726
Procter & Gamble Co.		10,900		691,333		64,691
Protective Life Corp.		62,200		1,726,569		(96,307)
Prudential Financial, Inc.		12,600		604,875		81,951
Public Service Enterprise Group, Inc.		19,200		616,860		996
Pulte Group, Inc.		99,200		1,069,927		467,673
PVH Corp.		10,400		837,566		137,122
QEP Resources, Inc.		13,200		381,377		36,535
QLogic Corp.		100,700		1,394,437		(244,443)
Quest Software, Inc.		19,300		485,781		54,619
RadioShack Corp.		166,600		658,091		(261,583)
RalCorp. Holdings, Inc.		100		7,070		230
Ralph Lauren Corp.		4,100		584,881		35,162
Raytheon Co.		63,900		3,551,474		101,050
Regal Entertainment Group		32,500		449,995		7,280
Regions Financial Corp.		17,300		120,638		4,095
Reinsurance Group of America, Inc.		34,300		1,897,642		87,299
Reliance Steel & Aluminum Co.		38,600		1,994,563		26,147
Reynolds American, Inc.		1,400		56,717		3,959
Riverbed Technology, Inc.		79,700		1,355,668		498,951
Robert Half International, Inc.		10,900		282,593		7,674
Rockwell Automation, Inc.		5,500		426,525		(44,000)
Rockwood Holdings, Inc.		3,100		157,193		(12,733)
Ross Stores, Inc.		42,400		2,630,059		108,981
RPC, Inc.		55,650		655,433		6,246
RPM International, Inc.		23,300		627,663		37,319
Ryder System, Inc.		27,900		1,151,103		(61,329)
SAIC, Inc.		4,000		48,278		(118)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sally Beauty Holdings, Inc.		72,000	$	1,940,543	$	(134,063)
SEACOR Holdings, Inc.		13,400		1,187,812		(70,788)
Seagate Technology PLC		3,900		122,615		(1,715)
Sears Holdings Corp.		13,300		722,794		15,223
SEI Investments Co.		11,300		214,226		28,159
Sempra Energy		1,100		72,181		(1,242)
Service Corp. International		77,600		936,228		108,268
Shaw Group, Inc./The		42,600		1,187,871		670,341
Sherwin-Williams Co./The		6,000		790,542		102,918
Signet Jewelers Ltd.		22,300		1,022,618		64,730
SLM Corp.		105,900		1,637,175		27,573
SM Energy Co.		8,800		541,216		(65,048)
Smith Corp.		11,300		559,820		90,382
Snap-on, Inc.		9,600		607,577		82,375
Sohu.com, Inc.		22,000		950,423		(24,443)
Sonoco Products Co.		1,200		35,588		1,600
Spectra Energy Corp.		100		2,821		115
Sprint Nextel Corp.		437,800		1,369,920		1,046,736
SPX Corp.		11,200		811,387		(78,795)
Starbucks Corp.		19,900		1,064,607		(54,682)
Starwood Hotels & Resorts Worldwide, Inc.		6,300		337,607		27,541
Steel Dynamics, Inc.		283,300		3,428,740		(247,281)
Swift Energy Co.		27,300		507,490		62,534
Symantec Corp.		118,900		1,802,096		338,104
Synopsys, Inc.		33,000		975,768		113,892
TE Connectivity Ltd.		60,700		2,032,195		32,212
Tech Data Corp.		35,100		1,734,652		(144,622)
Teleflex, Inc.		6,100		393,839		26,085
Telephone & Data System		43,000		990,027		111,203
Tellabs, Inc.		525,200		1,980,227		(121,019)
Tempur Pedic Co.		23,500		625,652		76,763
Thoratec Corp.		54,200		1,782,221		93,099
TIBCO Software, Inc.		39,700		1,236,125		(35,994)
Time Warner Cable, Inc.		26,200		2,141,663		348,909
Timken Co.		63,500		3,027,530		(667,870)
TJX Cos, Inc.		30,600		1,325,913		44,661
Toll Brothers, Inc.		6,800		221,617		4,347
Torchmark Corp.		9,800		502,733		497
Total System Services, Inc.		51,300		1,195,634		20,176
Towers Watson & Co.		19,200		1,226,112		(207,552)
Tractor Supply Co.		8,800		846,232		24,000
Transdigm, Inc.		2,900		362,718		48,705
Travelers Cos, Inc./The		5,700		365,944		23,138
Trinity Industries, Inc.		4,100		93,463		29,414
TRW Automotive Holdings Corp.		11,100		466,228		18,953

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Tupperware Brands Corp.		27,900	$	1,592,776	$	(97,615)
Tyco International Ltd.		25,800		1,421,672		29,836
Tyson Foods, Inc.		68,400		1,190,348		(94,580)
UGI Corp.		1,600		46,848		3,952
Ultra Salon, Inc.		20,400		1,767,977		196,645
Union Pacific Corp.		4,100		497,144		(10,474)
Unit Corp.		27,500		1,087,490		53,760
United States Steel Corp.		81,500		1,715,126		(160,921)
United Technologies Corp.		13,100		974,241		51,358
Universal Health Services, Inc.		28,400		1,141,972		156,760
Unum Group		96,800		1,922,167		(61,671)
URS Corp.		30,600		1,136,699		(56,213)
US BanCorp.		10,100		325,131		21,299
Valero Energy Corp.		15,800		344,139		156,405
Validus Holding Ltd.		42,000		1,380,196		44,024
Valmont Industries, Inc.		1,800		230,510		6,190
Valspar Corp.		21,000		1,084,996		93,104
VeriSign, Inc.		14,700		636,280		79,463
Verisk Analytics, Inc.		4,600		222,700		(3,694)
Verizon Communications, Inc.		24,800		1,103,672		26,464
Vertex Pharmaceuticals, Inc.		7,500		444,366		(24,741)
Viacom, Inc.		4,400		208,808		26,988
Viropharma, Inc.		3,800		85,877		28,959
WABCO Holdings, Inc.		39,200		2,220,459		40,205
Wabtec Corp.		4,800		356,047		29,345
Wal-Mart Stores, Inc.		4,100		298,028		4,552
Walt Disney Co./The		13,100		628,138		56,730
Walter Energy, Inc.		2,000		62,151		2,769
Warnaco Group, Inc./The		28,800		1,333,850		160,870
Warner Chilcott PLC		236,600		3,875,593		(681,493)
Washington Post Co./The		1,600		568,800		12,048
Waste Management, Inc.		3,100		105,651		(6,203)
Waters Corp.		900		74,644		353
Watson Pharmaceuticals, Inc.		6,500		468,287		85,253
Weatherford International Ltd.		47,500		578,768		23,532
Webster Financial Corp.		9,300		197,643		22,767
Weight Watchers International, Inc.		1,800		85,534		9,506
WellPoint, Inc.		6,700		418,125		(29,458)
Wells Fargo & Co.		51,200		1,695,784		72,152
Werner Enterprises, Inc.		6,000		142,532		(14,312)
Western Digital Corp.		108,000		4,011,964		170,876

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WGL Holdings, Inc.		900	$	35,298	$	927
Whirlpool Corp.		25,200		1,688,803		400,530
Whiting Petroleum Corp.		23,300		1,112,097		(8,143)
Williams-Sonoma, Inc.		26,800		994,296		184,100
Wisconsin Energy Corp.		18,100		726,265		(44,438)
Wolverine World Wide, Inc.		6,200		254,571		20,523
WR Grace & Co.		31,100		1,794,083		43,305
Wyndham Worldwide Corp.		41,800		2,138,420		55,244
Xcel Energy, Inc.		10,900		303,802		(1,763)
Yahoo!, Inc.		34,500		529,333		21,804
Zimmer Holdings, Inc.		10,900		687,497		49,561
						16,863,832
Total Long Positions						16,863,832
Short Positions
United States
Abbott Laboratories		(4,200)		(259,618)		(28,334)
Abercrombie & Fitch Co.		(19,700)		(889,557)		221,333
ACME Packet, Inc.		(80,300)		(1,540,764)		167,634
Activision Blizzard, Inc.		(14,500)		(181,261)		17,701
Actuant Corp.		(44,900)		(1,221,972)		(63,067)
Acuity Brands, Inc.		(400)		(21,523)		(3,793)
Adobe Systems, Inc.		(29,600)		(948,158)		(12,658)
ADTRAN, Inc.		(117,500)		(3,031,425)		1,001,025
Advanced Micro Device		(263,000)		(1,002,998)		116,688
Air Products & Chemicals, Inc.		(5,200)		(425,608)		(4,432)
Alcoa, Inc.		(48,900)		(439,846)		7,081
Alere, Inc.		(52,400)		(1,018,742)		(2,534)
Allegheny Technologies, Inc.		(56,400)		(1,997,195)		198,035
Allergan, Inc.		(15,900)		(1,411,233)		(44,889)
Alliance Data Systems Corp.		(13,000)		(1,679,540)		(165,810)
Altera Corp.		(54,800)		(1,876,805)		14,427
Amazon.com, Inc.		(13,400)		(2,987,129)		(420,759)
American Express Co.		(30,600)		(1,798,760)		58,844
AMETEK, Inc.		(6,200)		(208,759)		(11,031)
Amphenol Corp.		(22,300)		(1,233,164)		(79,860)
ANSYS, Inc.		(1,000)		(69,651)		(3,749)
Apache Corp.		(5,300)		(452,024)		(6,267)
Apollo Group, Inc.		(54,600)		(1,658,464)		72,334
Apple, Inc.		(2,800)		(1,651,824)		(216,504)
ARCH Capital Group, Inc.		(14,100)		(559,028)		(28,660)
Arch Coal, Inc.		(566,100)		(4,218,556)		635,143
Aruba Networks, Inc.		(227,400)		(3,488,845)		(1,624,244)
Ashland, Inc.		(18,500)		(1,230,313)		(94,287)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Assured Guaranty Ltd.		(101,900)	$	(1,266,391)	$	(121,487)
athenahealth, Inc.		(2,600)		(184,808)		(53,794)
Atmel Corp.		(234,000)		(1,439,587)		208,747
Atwood Oceanics, Inc.		(19,200)		(785,693)		(86,947)
Autonation, Inc.		(7,300)		(256,136)		(62,655)
Avery Dennison Corp.		(7,200)		(217,458)		(11,646)
Avon Products, Inc.		(144,900)		(2,278,512)		(32,643)
Baker Hughes, Inc.		(69,200)		(2,998,920)		(130,996)
Bally Technologies, Inc.		(31,700)		(1,468,585)		(97,078)
Bank of America Corp		(223,300)		(1,674,766)		(296,973)
Bank of Hawaii		(4,300)		(209,643)		13,477
Bank of New York Mellon Corp./The		(32,600)		(720,157)		(17,255)
Barnes Group, Inc.		(11,500)		(288,650)		1,035
Baxter International, Inc.		(4,900)		(286,738)		(8,536)
Baytex Energy Corp.		(2,900)		(122,370)		(15,206)
BB&T Corp.		(900)		(28,158)		(1,686)
Berry Petroleum Co.		(15,000)		(618,378)		8,928
Best Buy Co., Inc.		(48,100)		(956,230)		129,391
Bill Barrett Corp.		(77,000)		(1,798,225)		(109,065)
BioMarin Pharmaceutical, Inc.		(49,600)		(1,849,733)		(147,659)
Black Hills Corp.		(23,300)		(756,761)		(72,020)
BorgWarner, Inc.		(7,300)		(560,984)		56,481
Boston Scientific Corp.		(110,500)		(637,574)		3,304
Brinker International, Inc.		(5,700)		(181,579)		(19,631)
Bristol-Myers Squibb Co.		(33,900)		(1,117,411)		(26,714)
Broadcom Corp.		(5,900)		(206,438)		2,416
Brookdale Senior Living		(60,100)		(1,036,092)		(359,430)
Cablevision Systems Corp.		(74,500)		(1,049,525)		(131,300)
CACI International, Inc.		(5,800)		(311,387)		11,005
Cadence Design Systems, Inc.		(5,900)		(67,310)		(8,594)
Calpine Corp.		(36,800)		(655,122)		18,482
Campbell Soup Co.		(15,100)		(500,919)		(24,863)
CarMax, Inc.		(127,300)		(3,650,164)		47,574
Carnival Corp.		(23,900)		(753,936)		(116,980)
Casey’s General Stores, Inc.		(2,900)		(170,959)		5,253
Cash America International, Inc.		(23,000)		(1,011,815)		124,705
Caterpillar, Inc.		(38,800)		(3,385,835)		47,483
Cavium, Inc.		(107,500)		(2,769,192)		(813,783)
Centene Corp.		(38,700)		(1,498,777)		51,010
CenturyLink, Inc.		(19,400)		(760,510)		(23,250)
Cepheid, Inc.		(55,400)		(2,246,477)		334,623
Cerner Corp.		(3,800)		(298,636)		4,478

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CH Robinson Worldwide, Inc.		(34,600)	$	(2,039,891)	$	14,061
Charles Schwab Corp./The		(398,900)		(5,157,012)		55,081
Chart Industries, Inc.		(10,700)		(721,751)		(68,444)
Check Point Software		(28,800)		(1,370,229)		(16,779)
Cheesecake Factory, Inc.		(19,300)		(628,913)		(61,062)
Chesapeake Energy Corp.		(64,500)		(1,129,664)		(87,451)
Childrens Place Retail Stores, Inc./The		(25,300)		(1,159,785)		(358,215)
Chipotle Mexican Grill, Inc.		(12,300)		(4,354,226)		448,484
Ciena Corp.		(179,100)		(2,291,888)		(143,872)
Cimarex Energy Co.		(15,000)		(869,723)		(8,527)
Cinncinnati Financial Corp.		(34,000)		(1,213,889)		(74,371)
City National Corp.		(4,600)		(236,025)		(921)
Clean Harbors, Inc.		(6,400)		(376,599)		63,959
Cliffs Natural Resources, Inc.		(98,400)		(3,948,718)		98,326
Clorox Co.		(5,000)		(360,101)		(149)
CMS Energy Corp.		(5,700)		(128,079)		(6,156)
Coach, Inc.		(89,300)		(5,105,396)		102,810
Coca-Cola Co./The		(41,800)		(1,610,951)		25,477
Cognizant Technology Solutions Corp.		(43,400)		(2,555,305)		(479,223)
Comerica, Inc.		(66,100)		(2,044,991)		(7,414)
Compass Minerals International, Inc.		(6,300)		(475,975)		6,058
Concho Resources, Inc.		(9,900)		(871,876)		(66,149)
Concur Technologies, Inc.		(46,700)		(2,991,247)		(451,944)
Consol Energy, Inc.		(118,900)		(3,600,869)		27,924
Continental Resources, Inc.		(13,000)		(923,360)		(76,340)
Core Laboratories NV		(17,400)		(2,115,504)		1,752
Coventry Health Care, Inc.		(4,600)		(149,728)		(42,046)
Cree, Inc.		(119,200)		(3,589,432)		546,256
Crown Castle International Corp.		(19,700)		(1,154,824)		(107,946)
Cubist Pharmaceutical Co.		(12,700)		(532,585)		(72,951)
Cullen Frost Bankers		(5,200)		(301,602)		2,966
CVR Energy, Inc.		(5,400)		(162,138)		(36,312)
Dana Holding Corp.		(104,200)		(1,402,266)		120,606
Danaher Corp.		(32,300)		(1,686,826)		(94,519)
Darden Restaurants, Inc.		(13,600)		(688,690)		(69,510)
Darling International		(20,900)		(341,454)		(40,807)
Deckers Outdoor Corp.		(45,100)		(2,246,400)		593,936
Deere & Co.		(5,700)		(449,839)		(20,354)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
DENTSPLY International, Inc.		(25,900)	$	(988,656)	$	830
DeVry, Inc.		(20,200)		(390,188)		(69,564)
Diamond Offshore Drill		(2,700)		(165,792)		(11,895)
Dick’s Sporting Goods, Inc.		(27,800)		(1,368,863)		(72,567)
Discovery Communications, Inc.		(20,300)		(1,035,049)		(175,440)
Dominion Resources, Inc.		(23,000)		(1,224,200)		6,580
Dover Corp.		(100)		(5,263)		(686)
Dow Chemical Co./The		(83,000)		(2,651,340)		247,660
DreamWorks Animation SKG, Inc.		(3,300)		(57,028)		(6,431)
Dril-Quip, Inc.		(4,900)		(329,006)		(23,206)
Eagle Materials, Inc.		(17,700)		(633,598)		(185,204)
eBay, Inc.		(20,600)		(868,342)		(128,904)
Ecolab, Inc.		(26,700)		(1,750,954)		20,527
Edwards Lifesciences Corp.		(4,300)		(438,872)		(22,819)
EI du Pont de Nemours & Co.		(12,100)		(630,289)		22,022
Electronic Arts, Inc.		(21,800)		(281,161)		4,519
EMC Corp.		(24,000)		(633,473)		(21,007)
Emerson Electric Co.		(20,600)		(974,459)		(19,903)
Enerplus Corp.		(12,300)		(190,597)		(13,706)
EQT Corp.		(9,800)		(540,203)		(37,997)
Equinix, Inc.		(20,100)		(3,310,146)		(831,459)
Estee Lauder Cos., Inc./The		(1,900)		(112,518)		(4,465)
Esterline Technologies Corp.		(3,100)		(192,230)		18,196
Exelon Corp.		(32,100)		(1,200,184)		58,066
Expeditors International of Washington, Inc.		(7,600)		(277,434)		1,098
Exxon Mobil Corp.		(1,200)		(99,972)		(9,768)
F5 Networks, Inc.		(3,700)		(349,723)		(37,667)
Factset Research Systems, Inc.		(7,400)		(768,805)		55,297
Fairchild Semiconductor Co.		(28,100)		(388,707)		20,035
Family Dollar Stores, Inc.		(2,100)		(132,375)		(6,855)
Fastenal Co.		(72,400)		(3,108,538)		(3,938)
Fidelity National Financial, Inc.		(15,200)		(290,536)		(34,592)
Fidelity National Information Services, Inc.		(3,000)		(96,720)		3,060
Finisar Corp.		(290,500)		(3,906,682)		(247,468)
First Horizon National Corp.		(137,600)		(1,204,663)		(120,425)
FirstMerit Corp.		(17,100)		(269,708)		17,825
FLIR Systems, Inc.		(71,600)		(1,472,516)		42,306
Flowers Foods, Inc.		(35,900)		(781,639)		57,177

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Flowserve Corp.		(6,300)	$	(737,008)	$	(67,754)
Fluor Corp.		(10,700)		(526,458)		(75,738)
FMC Technologies, Inc.		(28,500)		(1,309,439)		(10,111)
Forest City Enterprises, Inc.		(147,500)		(2,188,969)		(148,906)
Fossil, Inc.		(25,400)		(1,790,867)		(360,513)
Franklin Resources, Inc.		(11,900)		(1,351,671)		(136,662)
Freeport-McMoRan Copper & Gold, Inc.		(69,100)		(2,340,841)		(394,137)
FTI Consulting, Inc.		(58,000)		(1,659,699)		112,259
Gannett Co., Inc.		(91,100)		(1,235,524)		(381,501)
Garmin, Ltd.		(1,100)		(41,086)		(4,828)
GATX Corp.		(16,600)		(669,168)		(35,336)
General Mills, Inc.		(13,100)		(510,373)		(11,662)
Genesee & Wyoming, Inc.		(10,000)		(544,449)		(124,151)
Gentex Corp.		(93,200)		(1,824,046)		238,714
Geo Group, Inc./The		(30,100)		(680,783)		(152,084)
Gilead Sciences, Inc.		(19,900)		(1,048,141)		(271,826)
GrafTech International Ltd.		(38,500)		(372,286)		26,171
Great Plains Energy, Inc.		(4,600)		(91,310)		(11,086)
Green Mountain Coffee Roasters, Inc.		(227,400)		(5,515,349)		114,599
Greenhill & Co., Inc.		(50,600)		(1,844,889)		(773,661)
Gulfport Energy Corp.		(39,800)		(881,960)		(362,188)
H&R Block, Inc.		(77,400)		(1,136,559)		(204,783)
H.J. Heinz Co.		(500)		(26,970)		(1,005)
Hain Celestial Group, Inc./The		(16,700)		(936,844)		(115,256)
Hancock Holding Co.		(10,000)		(306,140)		(3,360)
Hanesbrands, Inc.		(52,500)		(1,487,241)		(186,459)
Harley-Davidson, Inc.		(7,400)		(336,562)		23,024
Harris Corp.		(60,100)		(2,480,833)		(597,489)
Hartford Financial Services Group, Inc.		(76,300)		(1,370,565)		(112,707)
Helmerich & Payne, Inc.		(4,500)		(211,455)		(2,790)
Hertz Global Holdings, Inc.		(160,900)		(2,360,490)		151,333
Hewlett-Packard Co.		(82,500)		(1,778,717)		371,267
Hexcel Corp.		(56,200)		(1,431,342)		81,418
Hologic, Inc.		(4,600)		(80,388)		(12,716)
Hospira, Inc.		(59,300)		(2,005,264)		59,038
Huntsman Corp.		(69,900)		(883,849)		(159,758)
IDEX Corp.		(8,300)		(335,879)		(10,812)
IDEXX Laboratories, Inc.		(4,100)		(381,460)		(25,875)
IHS, Inc.		(5,200)		(551,316)		45,096
Illinois Tool Works, Inc.		(17,500)		(962,975)		(77,750)
Informatica Corp.		(64,000)		(1,976,069)		(251,771)
InterDigital, Inc.		(33,800)		(1,024,363)		(235,701)
International Flavors & Fragrances, Inc.		(1,500)		(85,238)		(4,132)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Interoil Corp.		(3,000)	$	(174,900)	$	(56,880)
Intersil Corp.		(7,500)		(79,645)		14,020
Intrepid Potash, Inc.		(110,400)		(2,403,740)		32,348
Intuitive Surgical, Inc.		(3,200)		(1,589,402)		3,386
IPG Photonics Corp.		(29,100)		(1,354,546)		(312,884)
Iron Mountain, Inc.		(28,000)		(873,741)		(81,339)
ITC Holdings Corp.		(11,800)		(841,873)		(49,971)
Jack Henry & Associates, Inc.		(400)		(13,214)		(1,946)
Jarden Corp.		(6,900)		(326,960)		(37,636)
Jazz Pharmaceuticals Co.		(23,800)		(1,113,496)		(243,342)
JB Hunt Transport Services, Inc.		(11,600)		(643,650)		39,986
JC Penney Co., Inc.		(82,500)		(2,226,670)		222,745
Jefferies Group, Inc.		(97,000)		(1,312,556)		(15,374)
JetBlue Airways Corp.		(197,400)		(963,906)		18,360
Johnson Controls, Inc.		(72,500)		(2,186,679)		200,179
Joy Global, Inc.		(29,300)		(1,555,581)		(86,977)
Juniper Networks, Inc.		(100,500)		(1,803,799)		84,244
Kellogg Co.		(26,500)		(1,337,301)		(31,689)
Kirby Corp.		(40,200)		(2,113,341)		(108,915)
Knight Transportation, Inc.		(23,200)		(380,048)		48,288
Kohl’s Corp.		(27,000)		(1,359,535)		(23,405)
Laboratory Corp. of America Holdings		(7,100)		(616,498)		(40,039)
Lam Research Corp.		(23,400)		(869,641)		125,872
Lamar Advertising Co.		(54,000)		(1,455,859)		(545,381)
Las Vegas Sands Corp.		(44,200)		(1,802,978)		(246,576)
Leap Wireless International, Inc.		(234,600)		(1,329,897)		(270,075)
Legg Mason, Inc.		(52,000)		(1,239,616)		(43,744)
Leggett & Platt, Inc.		(36,000)		(744,277)		(157,523)
Lennar Corp.		(56,100)		(1,643,448)		(307,149)
Lennox International, Inc.		(2,900)		(124,618)		(15,626)
Leucadia National Corp.		(24,200)		(517,348)		(33,202)
Level 3 Communication		(9,200)		(197,530)		(13,794)
Lexmark International, Inc.		(4,700)		(99,699)		(4,876)
Liberty Global, Inc.		(3,000)		(145,268)		(36,982)
Life Technologies Corp.		(16,500)		(737,890)		(68,630)
Life Time Fitness, Inc.		(37,300)		(1,652,793)		(53,309)
LifePoint Hospitals, Inc.		(3,300)		(121,341)		(19,833)
Lincoln National Corp.		(24,400)		(555,624)		(34,612)
Linear Technology Corp.		(9,800)		(300,944)		(11,186)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ltd. Brands, Inc.		(35,700)	$	(1,719,072)	$	(39,510)
Lufkin Industries, Inc.		(42,900)		(2,444,278)		135,400
Lululemon Athletica, Inc.		(57,800)		(3,808,412)		(465,320)
M&T Bank Corp.		(3,500)		(296,047)		(37,013)
Manitowoc Co., Inc./The		(131,700)		(1,512,376)		(244,502)
Markel Corp.		(2,000)		(869,226)		(47,754)
Marriott International, Inc.		(20,700)		(811,026)		1,656
Martin Marietta Materials, Inc.		(26,500)		(2,024,487)		(171,568)
Masco Corp.		(44,800)		(617,569)		(56,671)
Masimo Corp.		(44,000)		(964,440)		(99,480)
McCormick & Co., Inc.		(8,800)		(525,018)		(20,934)
MDU Resources Group, Inc.		(15,200)		(337,042)		2,034
Medicis Pharmaceutical Corp.		(31,400)		(1,105,210)		(253,468)
Mednax, Inc.		(20,000)		(1,337,399)		(151,601)
Medtronic, Inc.		(11,500)		(437,345)		(58,535)
MEMC Electronic Materials, Inc.		(92,100)		(234,800)		(18,475)
Men’s Wearhouse, Inc./The		(41,300)		(1,306,736)		(115,223)
Merck & Co., Inc.		(8,600)		(352,407)		(35,453)
MetLife, Inc.		(31,100)		(1,054,912)		(16,794)
Mettler-Toledo International, Inc.		(7,500)		(1,184,957)		(95,593)
Micro Devices, Inc.		(123,700)		(495,239)		6,624
Microchip Technology		(14,100)		(446,241)		(15,393)
Micron Technology, Inc.		(47,700)		(286,276)		791
Monster Worldwide, Inc.		(10,100)		(736,538)		(3,590)
Monster Worldwide, Inc.		(131,400)		(999,603)		36,441
Mosaic Co./The		(26,000)		(1,403,465)		(94,395)
MSC Industrial Direct Co., Inc.		(12,000)		(787,297)		(22,223)
Mylan, Inc.		(94,800)		(1,980,199)		(332,921)
National Fuel Gas Co.		(1,700)		(85,396)		(6,472)
NetApp, Inc.		(39,300)		(1,341,286)		49,102
Netflix, Inc.		(19,500)		(1,542,841)		481,261
NextEra Energy, Inc.		(8,600)		(551,690)		(53,148)
NII Holdings, Inc.		(113,400)		(1,018,463)		128,273
NIKE, Inc.		(14,000)		(1,322,288)		(6,452)
Noble Corp.		(58,900)		(2,016,814)		(90,628)
Noble Energy, Inc.		(100)		(8,668)		(603)
Nordstrom, Inc.		(33,200)		(1,808,140)		(23,836)
Northeast Utilities		(7,900)		(308,046)		6,029
Northern Trust Corp.		(9,800)		(445,292)		(9,575)
NRG Energy, Inc.		(101,800)		(1,800,399)		(377,103)
Nu Skin Enterprises		(40,300)		(1,868,529)		303,680
Nuance Communications, Inc.		(152,800)		(3,448,388)		(354,804)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nucor Corp.		(31,200)	$	(1,158,902)	$	(34,810)
Oil States International, Inc.		(2,800)		(197,453)		(25,035)
Old Republic International Corp.		(87,000)		(829,110)		20,010
Omnicare, Inc.		(5,600)		(180,848)		(9,384)
Oneok, Inc.		(16,500)		(718,151)		(78,964)
Onyx Pharmaceuticals, Inc.		(31,400)		(2,210,145)		(443,155)
Oracle Corp.		(7,900)		(219,462)		(29,309)
Oshkosh Corp.		(13,500)		(296,168)		(74,137)
Owens Corning		(39,300)		(1,284,615)		(30,363)
Parametric Technology		(21,100)		(438,928)		(21,052)
Peabody Energy Corp.		(55,700)		(1,160,460)		(81,093)
Penn West Petroleum Corp.		(55,300)		(739,103)		(48,369)
Penske Automotive Group, Inc.		(44,100)		(1,121,081)		(205,888)
Pentair, Inc.		(43,100)		(1,817,380)		(101,001)
Pepco Holdings, Inc.		(4,900)		(92,414)		(196)
PepsiCo, Inc.		(19,700)		(1,354,158)		(40,011)
Perrigo Co.		(18,000)		(1,995,671)		(95,389)
Pioneer Natural Resources Co.		(22,800)		(2,219,532)		(160,788)
Pitney Bowes, Inc.		(13,200)		(201,300)		18,876
Plantronics, Inc.		(9,200)		(291,117)		(33,919)
Polypore International		(14,200)		(499,651)		(2,319)
PPL Corp.		(20,000)		(575,449)		(5,551)
Praxair, Inc.		(9,300)		(1,038,527)		72,443
Precision Castparts Corp.		(4,100)		(666,120)		(3,574)
priceline.com, Inc.		(3,700)		(2,527,516)		238,215
Principal Financial Group, Inc.		(22,000)		(591,551)		(1,129)
Progressive Corp./The		(44,300)		(972,972)		54,190
Prosperity Bancshares, Inc.		(3,200)		(145,071)		8,687
PSS World Medical, Inc.		(7,100)		(164,034)		2,297
QUALCOMM, Inc.		(69,500)		(3,946,813)		(396,242)
Quality Systems, Inc.		(16,900)		(469,468)		155,973
Quanta Services, Inc.		(52,000)		(1,227,388)		(57,012)
Quest Diagnostics, Inc.		(8,900)		(523,928)		(40,599)
Questar Corp.		(5,100)		(101,126)		(2,557)
Rackspace Hosting, Inc.		(63,100)		(3,059,705)		(1,110,574)
Rambus, Inc.		(24,300)		(103,044)		(31,578)
Range Resources Corp.		(43,700)		(2,755,190)		(298,129)
Red Hat, Inc.		(9,300)		(506,037)		(23,505)
Regal-Beloit Corp.		(3,600)		(222,394)		(31,334)
Renaissance Re Holdings, Inc.		(1,500)		(117,052)		1,492
Rent-A-Center, Inc.		(16,400)		(550,339)		(24,973)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Republic Services, Inc.		(17,800)	$	(474,514)	$	(15,164)
ResMed, Inc.		(8,700)		(290,939)		(61,150)
Rockwell Collins, Inc.		(10,400)		(529,716)		(28,140)
Roper Industries, Inc.		(7,900)		(794,578)		(73,553)
Rosetta Resources, Inc.		(28,800)		(1,175,173)		(204,347)
Rovi Corp.		(58,500)		(1,137,186)		288,351
Rowan Co.		(27,400)		(857,040)		(68,258)
Safeway, Inc.		(43,700)		(793,056)		89,923
Saks, Inc.		(22,100)		(228,150)		299
Salesforce.com, Inc.		(52,400)		(7,337,040)		(663,916)
Salix Pharmaceutical Corp.		(60,100)		(3,084,440)		539,806
Sanderson Farms, Inc.		(600)		(31,056)		4,434
SanDisk Corp.		(115,300)		(4,208,687)		(798,792)
SandRidge Energy, Inc.		(531,200)		(3,506,216)		(196,248)
SBA Communications Corp.		(4,100)		(228,561)		(29,329)
SCANA Corp.		(1,200)		(54,972)		(2,952)
Schlumberger Ltd.		(13,600)		(949,114)		(34,574)
Schnitzer Steel Industries, Inc.		(8,300)		(287,253)		53,608
Scotts Miracle-Gro Co.		(11,100)		(474,742)		(7,775)
Scripps Networks Interactive, Inc.		(11,700)		(646,302)		(70,089)
Sealed Air Corp.		(25,500)		(366,758)		(27,472)
Sensata Technologies		(45,300)		(1,281,698)		(66,883)
Sigma-Aldrich Corp.		(5,600)		(393,061)		(9,971)
Signature Bank Co.		(9,000)		(553,435)		(50,285)
Silicon Laboratories, Inc.		(8,000)		(274,640)		(19,440)
Skyworks Solutions, Inc.		(26,300)		(688,507)		68,748
Smithfield Foods, Inc.		(59,400)		(1,193,820)		26,610
Solera Holdings, Inc.		(3,100)		(123,298)		(12,699)
Southern Co.		(18,300)		(835,347)		(8,100)
Southwest Airlines Co.		(38,100)		(316,961)		(17,176)
Southwestern Energy Co.		(105,900)		(3,297,696)		(385,506)
Spirit Aerosystems Holdings, Inc.		(2,300)		(58,242)		7,159
St. Jude Medical, Inc.		(14,700)		(574,990)		(44,321)
Stanley Black & Decker, Inc.		(14,900)		(1,010,570)		(125,555)
Staples, Inc.		(42,800)		(548,160)		55,104
State Street Corp.		(7,000)		(291,381)		(2,339)
Stericycle, Inc.		(4,100)		(355,163)		(15,969)
STERIS Corp.		(1,000)		(30,146)		(5,324)
Stifel Financial Corp.		(33,100)		(1,090,174)		(21,986)
Strayer Education, Inc.		(600)		(38,235)		(375)
Stryker Corp.		(2,100)		(112,706)		(4,180)

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SunTrust Banks, Inc.		(22,000)	$	(507,708)	$	(114,232)
Superior Energy Services, Inc.		(18,300)		(368,833)		(6,683)
SVB Financial Group		(12,800)		(765,534)		(8,354)
Synovus Financial Corp.		(1,318,300)		(2,646,301)		(478,070)
Sysco Corp.		(18,400)		(509,819)		(65,549)
T Rowe Price Group, Inc.		(23,600)		(1,409,583)		(84,297)
Take-Two Interactive Software, Inc.		(21,100)		(214,848)		(5,225)
Target Corp.		(5,000)		(276,400)		(40,950)
TCF Financial Corp.		(76,300)		(896,471)		(14,551)
TECO Energy, Inc.		(1,900)		(33,868)		162
Tenet Healthcare Corp.		(74,300)		(379,214)		(86,647)
Tenneco, Inc.		(13,400)		(388,691)		13,491
Teradyne, Inc.		(42,200)		(620,808)		20,724
Terex Corp.		(34,000)		(693,107)		(74,613)
Tesoro Corp.		(2,600)		(72,943)		(35,997)
Texas Instruments, Inc.		(63,900)		(1,847,367)		86,922
Textron, Inc.		(23,500)		(566,672)		(48,323)
Thermo Fisher Scientific, Inc.		(5,200)		(275,102)		(30,814)
Tidewater, Inc.		(14,000)		(700,280)		20,860
Tiffany & Co.		(64,300)		(3,730,076)		(248,808)
Time Warner, Inc.		(23,800)		(871,591)		(207,263)
Titanium Metals Corp.		(126,700)		(1,522,636)		(102,925)
Transocean Ltd.		(7,400)		(333,898)		1,712
TreeHouse Foods, Inc.		(16,100)		(927,718)		82,468
Trimble Navigation Ltd.		(12,600)		(598,855)		(1,661)
Triumph Group, Inc.		(18,400)		(1,147,002)		(3,550)
Ultra Petroleum Corp.		(51,700)		(1,116,163)		(20,203)
Under Armour, Inc.		(51,600)		(2,477,025)		(403,803)
United Continental Holdings, Inc.		(16,200)		(380,214)		64,314
United Natural Foods, Inc.		(7,500)		(397,284)		(41,091)
United Parcel Service, Inc.		(2,700)		(208,175)		14,936
United Therapeutics Corp.		(7,900)		(430,584)		(10,868)
UnitedHealth Group, Inc.		(24,500)		(1,358,854)		1,309
Universal Corp.		(1,800)		(84,605)		(7,051)
Urban Outfitters, Inc.		(121,300)		(3,635,044)		(920,984)
Vail Resorts, Inc.		(17,900)		(794,317)		(237,618)
Valley National Bancorp.		(22,300)		(237,303)		13,857
ValueClick, Inc.		(70,700)		(1,164,514)		(50,819)
Varian Medical Systems, Inc.		(12,200)		(724,517)		(11,387)
VCA Antech, Inc.		(57,400)		(1,191,920)		59,418
Vectren Corp.		(400)		(11,600)		160
VF Corp.		(3,100)		(419,541)		(74,475)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Virgin Media, Inc.		(81,900)	$	(1,877,956)	$	(533,180)
Visa, Inc.		(11,300)		(1,326,734)		(190,630)
Vishay Intertechnology, Inc.		(11,500)		(114,591)		1,546
Volcano Corp.		(30,600)		(882,651)		8,409
Waddell & Reed Financial, Inc.		(17,000)		(514,148)		(42,942)
Walgreen Co.		(12,400)		(422,010)		(29,846)
Watsco, Inc.		(15,000)		(1,117,444)		(19,406)
Wendy’s Company/The		(22,900)		(107,274)		3,079
WESCO International, Inc.		(20,200)		(1,228,846)		73,406
Westar Energy, Inc.		(3,900)		(111,033)		(4,641)
Western Union Co./The		(132,400)		(2,266,738)		(145,590)
Whole Foods Market, Inc.		(3,900)		(366,037)		(13,823)
Williams Cos, Inc./The		(23,300)		(749,628)		(65,173)
Windstream Corp.		(23,500)		(247,110)		9,525
Woodward, Inc.		(24,700)		(951,978)		112,672
World Fuel Services		(1,300)		(48,696)		2,403
Worthington Industries, Inc.		(23,800)		(442,172)		(73,336)
WR Berkley Corp.		(7,700)		(295,895)		7,222
WW Grainger, Inc.		(3,000)		(575,616)		(49,494)
Wynn Resorts Ltd.		(4,300)		(428,682)		(67,710)
Xerox Corp.		(15,200)		(116,128)		4,560
Xilinx, Inc.		(18,800)		(631,495)		3,387
Zions BanCorp.		(170,100)		(3,314,406)		(199,009)
						(21,422,399)
Total Short Positions						(21,422,399)
Total of Long and Short Positions of Portfolio Swap						(4,558,567)
Net Cash and Other Receivables (b)						(3,315,792)
Swaps, at Value					$	(7,874,359)

(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 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 the broker in the amount of $6,051,282.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/24/2013	$	341,651

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

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 September 30, 2012.

See notes to Schedule of Investments. (Continued)

Consolidated Schedule of Investments September 30, 2012 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
CGA Mining Ltd.		147,160	CAD	424,231	$	(5,100)
Canada
Astral Media, Inc.		51,259		2,509,305		2,808
Nexen, Inc.		148,129		3,787,056		(33,468)
Progress Energy Resources Corp.		109,564		2,378,173		62,527
Rona, Inc.		102,857		1,384,850		(224,557)
Saskatchewan Wheat Pool		153,306		2,493,271		18,945
						(173,745)
Netherlands
Mediq NV		22,414	EUR	371,584		(89)
TNT Express		166,940		1,930,974		(188,901)
						(188,990)
United States
American Greetings Corp.		24,911	$	420,353		(1,849)
AMERIGROUP Corp.		32,315		2,918,814		35,746
Ariba, Inc.		59,974		2,678,853		7,982
Brightpoint, Inc.		94,915		845,524		6,813
Citizens Republic Bancorp, Inc.		23,825		471,088		(10,074)
Collective Brands, Inc.		106,407		2,286,696		23,400
Cooper Industries PLC		102,507		7,302,636		391,540
Coventry Health Care, Inc.		189,141		7,876,292		8,996
CVR Energy, Inc.		4,900		148,813		31,262
Deltek, Inc.		57		740		2
Dollar Thrifty Automotive Group, Inc.		46,959		4,026,788		55,358
Energy Group, Inc.		20,140		1,316,605		(3,275)
GenOn Energy, Inc.		2,776,309		7,198,220		(174,158)
Hudson City BanCorp., Inc.		177,541		1,303,279		109,948
Kenexa Corp.		3,033		139,103		(100)
Medicis Pharmaceutical Corp.		33,512		1,455,683		(5,619)
Par Pharmaceutical Cos., Inc.		57,945		2,887,889		8,202
Quest Software, Inc.		39,415		1,100,899		2,721
RailAmerica, Inc.		6,008		163,893		1,147
Robbins & Myers, Inc.		29,378		1,751,840		(912)
Shaw Group, Inc./The		103,263		4,274,770		229,562
Sunrise Senior Living, Inc.		64,297		915,873		1,645
Venoco, Inc.		194,115		2,099,348		206,738
						925,075
Total Long Positions						557,240

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Canada
B2Gold Corp.		(106,738)	CAD	(425,273)	$	(2,504)
Netherlands
Chicago Bridge & Iron Co. NV		(13,045)	$	(475,746)		(21,139)
United States
Aetna, Inc.		(73,182)		(2,860,079)		(37,929)
Eaton Corp.		(80,284)		(3,462,704)		(331,517)
FirstMerit Corp.		(30,321)		(454,139)		7,511
M&T Bank Corp.		(14,843)		(1,321,968)		(90,492)
NRG Energy, Inc.		(337,660)		(7,362,344)		139,797
						(312,630)
Total Short Positions						(336,273)
Total of Long and Short Positions of Portfolio Swap						220,967
Net Cash and Other Receivables (b)						120,684
Swaps, at Value					$	341,651

(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 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.

Additional collateral for this position held with Morgan Stanley is included in the collateral noted in the other Morgan Stanley total return basket swap.

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
COMMON STOCKS - 99.5%
Consumer Discretionary - 20.0%
Advance Auto Parts, Inc.		2,300	$	157,412
Amazon.com, Inc. †		800		203,456
American Eagle Outfitters, Inc.		22,900		482,732
Apollo Group, Inc., Class A †(a)		8,300		241,115
AutoNation, Inc. †(a)		14,700		641,949
AutoZone, Inc. †		2,700		998,109
Bed Bath & Beyond, Inc. †(a)		10,800		680,400
Big Lots, Inc. †(a)		7,800		230,724
BorgWarner, Inc. †(a)		1,700		117,487
Brinker International, Inc. (a)		12,400		437,720
Brunswick Corp.		20,700		468,441
Buckle, Inc./The (a)		7,400		336,182
Carter’s, Inc. †		7,700		414,568
CBS Corp., Class B		59,300		2,154,369
Chipotle Mexican Grill, Inc. †(a)		2,600		825,604
Cinemark Holdings, Inc. (a)		15,800		354,394
Clear Channel Outdoor Holdings, Inc., Class A †(a)		9,300		55,614
Coach, Inc.		3,307		185,258
Comcast Corp., Class A		195,400		6,989,458
Deckers Outdoor Corp. †(a)		5,600		205,184
Dick’s Sporting Goods, Inc. (a)		4,600		238,510
Dillard’s, Inc., Class A		10,500		759,360
Discovery Communications, Inc., Class A †(a)		20,266		1,208,462
DISH Network Corp., Class A		29,800		912,178
Dollar General Corp. †		29,000		1,494,660
Dollar Tree, Inc. †		38,400		1,853,760
Domino’s Pizza, Inc. (a)		10,800		407,160
DR Horton, Inc. (a)		73,900		1,525,296
DSW, Inc., Class A		6,600		440,352
Expedia, Inc.		26,200		1,515,408
Family Dollar Stores, Inc.		4,900		324,870
Foot Locker, Inc. (a)		7,900		280,450
Fossil, Inc. †		6,900		584,430
Gannett Co., Inc. (a)		26,700		473,925
Gap, Inc./The		49,300		1,763,954
Gentex Corp. (a)		13,000		221,130
Genuine Parts Co. (a)		16,500		1,006,995
GNC Holdings, Inc., Class A		12,900		502,713
H&R Block, Inc. (a)		25,400		440,182
Harley-Davidson, Inc. (a)		13,200		559,284
Hasbro, Inc. (a)		3,200		122,144
Home Depot, Inc./The (a)		108,300		6,538,071
HSN, Inc. (a)		8,000		392,400
Hyatt Hotels Corp., Class A †		10,100		405,515
Jarden Corp.		9,200		486,128
JC Penney Co., Inc.		2,900		70,441
Las Vegas Sands Corp. (a)		17,700		820,749
Lennar Corp., Class A (a)		46,600		1,620,282
Liberty Global, Inc., Class A †		12,400		753,300
Liberty Media Corp. - Liberty Capital, Class A †		11,900		1,239,623
LKQ Corp. †(a)		21,400		395,900
Lowe’s Cos., Inc. (a)		77,600		2,346,624
Ltd. Brands, Inc. (a)		29,600		1,458,096
Macy’s, Inc.		44,800		1,685,376
Marriott International, Inc., Class A (a)		24,800		969,680
Mattel, Inc. (a)		33,000		1,170,840
McGraw-Hill Cos., Inc./The		24,400		1,331,996
Mohawk Industries, Inc. †		6,000		480,120
News Corp., Class A (a)		171,800		4,214,254
NIKE, Inc., Class B		4,700		446,077
Nordstrom, Inc.		11,100		612,498

	SHARES		VALUE (Note 3)
Consumer Discretionary - 20.0% (continued)
O’Reilly Automotive, Inc. †		12,400	$	1,036,888
Panera Bread Co., Class A †		2,400		410,136
PetSmart, Inc. (a)		9,200		634,616
Polaris Industries, Inc. (a)		10,200		824,874
priceline.com, Inc. †		3,226		1,996,023
PulteGroup, Inc. †		88,400		1,370,200
PVH Corp.		4,900		459,228
Ralph Lauren Corp. (a)		4,900		741,027
Rent-A-Center, Inc. (a)		8,000		280,640
Ross Stores, Inc.		24,800		1,602,080
Sally Beauty Holdings, Inc. †		22,600		567,034
Signet Jewelers Ltd. (Bermuda)		3,900		190,164
Sirius XM Radio, Inc. †		348,900		907,140
Six Flags Entertainment Corp.		7,600		446,880
Standard Pacific Corp. †		66,100		446,836
Starbucks Corp.		33,834		1,717,076
Target Corp.		7,900		501,413
Tempur-Pedic International, Inc. †(a)		16,100		481,229
Tenneco, Inc. †		3,100		86,800
Time Warner Cable, Inc.		21,700		2,062,802
Time Warner, Inc. (a)		37,600		1,704,408
TJX Cos., Inc.		63,000		2,821,770
Toll Brothers, Inc. †(a)		43,000		1,428,890
Tractor Supply Co.		8,000		791,120
Tupperware Brands Corp.		4,600		246,514
Ulta Salon Cosmetics & Fragrance, Inc.		8,300		799,331
Under Armour, Inc., Class A †(a)		13,800		770,454
VF Corp.		10,700		1,705,152
Viacom, Inc., Class B		13,100		702,029
Walt Disney Co./The		108,100		5,651,468
Weight Watchers International, Inc. (a)		8,600		454,080
Whirlpool Corp.		5,700		472,587
Wolverine World Wide, Inc. (a)		8,400		372,708
Wyndham Worldwide Corp.		26,300		1,380,224
Wynn Resorts Ltd.		3,900		450,216
Yum! Brands, Inc.		17,700		1,174,218
				97,941,624
Consumer Staples - 11.5%
Altria Group, Inc. (a)		102,000		3,405,780
Beam, Inc.		5,400		310,716
Brown-Forman Corp., Class B (a)		5,700		371,925
Casey’s General Stores, Inc. (a)		5,900		337,126
Church & Dwight Co., Inc. (a)		12,500		674,875
Coca-Cola Co./The		75,200		2,852,336
Coca-Cola Enterprises, Inc.		6,823		213,355
Colgate-Palmolive Co.		22,200		2,380,284
ConAgra Foods, Inc.		2,400		66,216
Constellation Brands, Inc., Class A †		17,800		575,830
Costco Wholesale Corp.		18,400		1,842,300
CVS Caremark Corp. (a)		63,200		3,060,144
Darling International, Inc. †(a)		15,500		283,495
Dean Foods Co. †		31,800		519,930
Estee Lauder Cos., Inc./The, Class A (a)		24,500		1,508,465
Hain Celestial Group, Inc./The †		7,600		478,800
Herbalife Ltd. (Cayman Islands) (a)		12,700		601,980
Hershey Co./The (a)		21,600		1,531,224
Hillshire Brands Co.		8,960		239,949
HJ Heinz Co. (a)		2,200		123,090
Hormel Foods Corp. (a)		19,500		570,180
Ingredion, Inc.		4,600		253,736
JM Smucker Co./The		6,800		587,044
Kimberly-Clark Corp. (a)		21,000		1,801,380
Kraft Foods, Inc., Class A		35,800		1,480,330

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 11.5% (continued)
Lorillard, Inc. (a)		7,500	$	873,375
McCormick & Co., Inc. (a)		3,300		204,732
Mead Johnson Nutrition Co. (a)		6,500		476,320
Monster Beverage Corp. †(a)		24,600		1,332,336
Nu Skin Enterprises, Inc., Class A (a)		5,900		229,097
Philip Morris International, Inc.		94,300		8,481,342
Pricesmart, Inc. (a)		7,900		598,188
Reynolds American, Inc. (a)		38,200		1,655,588
Smithfield Foods, Inc. †		14,000		275,100
TreeHouse Foods, Inc. †(a)		4,700		246,750
Tyson Foods, Inc., Class A		22,700		363,654
Wal-Mart Stores, Inc.		190,200		14,036,760
Whole Foods Market, Inc.		15,000		1,461,000
				56,304,732
Energy - 3.4%
Atwood Oceanics, Inc. †(a)		7,100		322,695
Berry Petroleum Co., Class A (a)		3,600		146,268
Cabot Oil & Gas Corp.		9,500		426,550
CARBO Ceramics, Inc. (a)		3,900		245,388
Cheniere Energy, Inc. †(a)		24,100		374,755
Cobalt International Energy, Inc. †		51,400		1,144,678
Concho Resources, Inc. †(a)		1,100		104,225
Continental Resources, Inc. †(a)		9,100		699,790
Dresser-Rand Group, Inc. †(a)		3,600		198,396
Energen Corp.		2,800		146,748
Energy XXI Bermuda Ltd. (Bermuda) (a)		4,500		157,275
EOG Resources, Inc.		4,300		481,815
Golar LNG Ltd. (Bermuda) (a)		10,300		397,477
HollyFrontier Corp.		5,500		226,985
Kinder Morgan, Inc.		68,800		2,443,776
Kodiak Oil & Gas Corp. †		51,900		485,784
Lufkin Industries, Inc. (a)		1,900		102,258
Marathon Petroleum Corp.		11,900		649,621
National Oilwell Varco, Inc.		9,200		737,012
Oceaneering International, Inc.		7,300		403,325
Pioneer Natural Resources Co. (a)		4,700		490,680
Rosetta Resources, Inc. †(a)		10,000		479,000
Seadrill Ltd. (Norway)		24,700		968,734
SM Energy Co.		8,300		449,113
Spectra Energy Corp.		28,100		825,016
Tesoro Corp.		20,700		867,330
Tidewater, Inc.		2,900		140,737
Valero Energy Corp.		15,500		491,040
Williams Cos., Inc./The (a)		44,200		1,545,674
World Fuel Services Corp. (a)		7,000		249,270
WPX Energy, Inc. †		10,366		171,972
				16,573,387
Financials - 14.1%
Allstate Corp./The (a)		26,900		1,065,509
American Campus Communities, Inc. REIT		7,300		320,324
American Capital Ltd. †		17,800		201,852
American Express Co.		45,400		2,581,444
American Financial Group, Inc.		8,200		310,780
American International Group, Inc. †		89,800		2,944,542
American Tower Corp. REIT		25,100		1,791,889
Aon PLC (United Kingdom)		11,400		596,106
Arch Capital Group Ltd. (Bermuda) †(a)		13,000		541,840
AvalonBay Communities, Inc. REIT (a)		7,300		992,727
BB&T Corp.		73,900		2,450,524
BGC Partners, Inc., Class A		14,300		70,070
Boston Properties, Inc. REIT (a)		10,900		1,205,649
Camden Property Trust REIT (a)		3,800		245,062

	SHARES		VALUE (Note 3)
Financials - 14.1% (continued)
Capital One Financial Corp. (a)		23,900	$	1,362,539
Capitol Federal Financial, Inc. (a)		26,600		318,136
CBL & Associates Properties, Inc. REIT		22,000		469,480
Chubb Corp./The (a)		29,900		2,280,772
Cincinnati Financial Corp. (a)		12,300		466,047
Digital Realty Trust, Inc. REIT (a)		10,100		705,485
Discover Financial Services		39,000		1,549,470
Douglas Emmett, Inc. REIT (a)		8,500		196,095
Equity Residential REIT (a)		13,200		759,396
Erie Indemnity Co., Class A		2,000		128,540
Essex Property Trust, Inc. REIT (a)		1,800		266,832
Extra Space Storage, Inc. REIT		11,900		395,675
Fidelity National Financial, Inc., Class A		21,800		466,302
Fifth Third Bancorp (a)		70,100		1,087,251
General Growth Properties, Inc. REIT		81,500		1,587,620
HCP, Inc. REIT		39,200		1,743,616
Health Care REIT, Inc. REIT (a)		15,300		883,575
Host Hotels & Resorts, Inc. REIT		29,600		475,080
Huntington Bancshares, Inc.		70,400		485,760
Invesco Ltd.		19,400		484,806
Leucadia National Corp. (a)		7,700		175,175
Lincoln National Corp.		19,800		478,962
Macerich Co./The REIT		7,100		406,333
Marsh & McLennan Cos., Inc.		39,900		1,353,807
Mid-America Apartment Communities, Inc. REIT (a)		1,800		117,558
Moody’s Corp. (a)		18,400		812,728
NASDAQ OMX Group, Inc./The		5,000		116,475
Ocwen Financial Corp. †		17,600		482,416
Post Properties, Inc. REIT		5,900		282,964
Prologis, Inc. REIT (a)		8,130		284,794
Public Storage REIT		20,600		2,866,902
Rayonier, Inc. REIT (a)		13,850		678,789
Regions Financial Corp.		79,700		574,637
RenaissanceRe Holdings Ltd. (Bermuda)		4,100		315,864
Rouse Properties, Inc. REIT (a)		303		4,348
Signature Bank †(a)		5,800		389,064
Simon Property Group, Inc. REIT		27,500		4,174,775
SL Green Realty Corp. REIT (a)		1,200		96,084
SunTrust Banks, Inc.		16,900		477,763
Taubman Centers, Inc. REIT		6,500		498,745
Torchmark Corp.		9,400		482,690
Travelers Cos., Inc./The (a)		22,900		1,563,154
UDR, Inc. REIT		7,900		196,078
US Bancorp		154,500		5,299,350
Ventas, Inc. REIT (a)		14,000		871,500
Weingarten Realty Investors REIT (a)		5,400		151,794
Wells Fargo & Co.		361,300		12,475,689
Weyerhaeuser Co. REIT (a)		44,600		1,165,844
WR Berkley Corp. (a)		13,700		513,613
				68,738,690
Health Care - 13.2%
Abbott Laboratories		64,000		4,387,840
Alexion Pharmaceuticals, Inc. †		20,300		2,322,320
Align Technology, Inc. †		13,100		484,307
Allergan, Inc.		5,900		540,322
Amgen, Inc.		49,500		4,173,840
Arena Pharmaceuticals, Inc. †(a)		58,200		484,224
Ariad Pharmaceuticals, Inc. †(a)		25,500		617,738
athenahealth, Inc. †(a)		6,800		624,036
Biogen Idec, Inc. †		21,700		3,238,291
BioMarin Pharmaceutical, Inc. †(a)		13,400		539,618

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 13.2% (continued)
Bristol-Myers Squibb Co.		73,500	$	2,480,625
Catamaran Corp. †(a)		11,000		1,077,670
Celgene Corp. †		7,700		588,280
Cepheid, Inc. †(a)		11,200		386,512
Cerner Corp. †(a)		15,500		1,199,855
Cooper Cos., Inc./The		1,500		141,690
Cubist Pharmaceuticals, Inc. †(a)		8,600		410,048
Edwards Lifesciences Corp. †		4,700		504,639
Eli Lilly & Co. (a)		41,700		1,976,997
Express Scripts Holding Co. †		31,800		1,992,906
Gilead Sciences, Inc. †(a)		43,500		2,885,355
HCA Holdings, Inc.		16,200		538,650
Henry Schein, Inc. †(a)		4,600		364,642
Hill-Rom Holdings, Inc.		3,500		101,710
HMS Holdings Corp. †(a)		5,700		190,551
Humana, Inc.		7,600		533,140
IDEXX Laboratories, Inc. †(a)		4,000		397,400
Intuitive Surgical, Inc. †		3,500		1,734,705
Jazz Pharmaceuticals PLC (Ireland) †(a)		8,000		456,080
McKesson Corp.		2,900		249,487
Medivation, Inc. †		29,400		1,656,984
Merck & Co., Inc.		127,700		5,759,270
Omnicare, Inc.		8,700		295,539
Onyx Pharmaceuticals, Inc. †		13,000		1,098,500
Perrigo Co. (a)		9,300		1,080,381
Pfizer, Inc.		390,200		9,696,470
Pharmacyclics, Inc. †		23,900		1,541,550
Questcor Pharmaceuticals, Inc. †(a)		41,100		760,350
Regeneron Pharmaceuticals, Inc. †(a)		11,900		1,816,654
UnitedHealth Group, Inc.		39,200		2,172,072
Vertex Pharmaceuticals, Inc. †(a)		13,300		744,135
ViroPharma, Inc. †(a)		10,700		323,354
Vivus, Inc. †(a)		37,700		671,814
Watson Pharmaceuticals, Inc. †		5,900		502,444
WellCare Health Plans, Inc. †		10,500		593,775
				64,336,770
Industrials - 9.6%
Acacia Research Corp. †		8,700		238,467
ACCO Brands Corp. †(a)		1,715		11,130
Acuity Brands, Inc. (a)		2,600		164,554
Alaska Air Group, Inc. †		7,800		273,468
Amerco, Inc.		1,900		202,084
AMETEK, Inc. (a)		6,900		244,605
Chart Industries, Inc. †(a)		5,200		384,020
Clean Harbors, Inc. †(a)		4,800		234,480
Copa Holdings SA, Class A		5,000		406,350
Copart, Inc. †		14,400		399,312
Cummins, Inc.		11,700		1,078,857
Delta Air Lines, Inc. †		94,800		868,368
Donaldson Co., Inc. (a)		8,800		305,448
Fastenal Co. (a)		33,500		1,440,165
Flowserve Corp.		3,700		472,638
Fluor Corp. (a)		2,700		151,956
Fortune Brands Home & Security, Inc. †		5,400		145,854
Gardner Denver, Inc.		2,100		126,861
General Electric Co.		630,400		14,316,384
Genesee & Wyoming, Inc., Class A †(a)		2,300		153,778
Hexcel Corp. †(a)		15,700		377,114
Honeywell International, Inc.		8,200		489,950
Hubbell, Inc., Class B		3,700		298,738
IHS, Inc., Class A †		4,100		399,135
Illinois Tool Works, Inc.		10,300		612,541

	SHARES		VALUE (Note 3)
Industrials - 9.6% (continued)
Iron Mountain, Inc. (a)		17,400	$	593,514
JB Hunt Transport Services, Inc.		14,400		749,376
Kansas City Southern (a)		7,900		598,662
KBR, Inc.		3,900		116,298
Kennametal, Inc. (a)		7,500		278,100
Kirby Corp. †(a)		4,600		254,288
Lockheed Martin Corp. (a)		15,100		1,410,038
Masco Corp.		32,800		493,640
Mueller Industries, Inc. (a)		6,500		295,555
Nordson Corp. (a)		3,200		187,584
Norfolk Southern Corp.		7,400		470,862
Old Dominion Freight Line, Inc. †		11,100		334,776
Pall Corp.		7,000		444,430
Polypore International, Inc. †(a)		10,200		360,570
Precision Castparts Corp.		7,300		1,192,382
Raytheon Co. (a)		8,400		480,144
SPX Corp.		4,900		320,509
Stericycle, Inc. †(a)		7,700		697,004
Terex Corp. †		21,000		474,180
Textron, Inc.		18,300		478,911
Timken Co.		3,700		137,492
Towers Watson & Co., Class A		5,000		265,250
TransDigm Group, Inc. †(a)		4,900		695,163
Triumph Group, Inc. (a)		6,300		393,939
Union Pacific Corp.		31,700		3,762,790
United Continental Holdings, Inc. †(a)		21,400		417,300
United Parcel Service, Inc., Class B		19,400		1,388,458
United Rentals, Inc. †(a)		24,700		807,937
US Airways Group, Inc. †(a)		82,700		865,042
USG Corp. †		21,100		463,145
Verisk Analytics, Inc., Class A †		8,300		395,163
WABCO Holdings, Inc. †		2,900		167,243
Wabtec Corp.		4,400		353,276
Waste Connections, Inc.		8,300		251,075
Werner Enterprises, Inc. (a)		10,900		232,933
Woodward, Inc. (a)		3,200		108,736
WW Grainger, Inc. (a)		9,500		1,979,515
				46,711,537
Information Technology - 17.3%
3D Systems Corp. †(a)		13,800		453,330
Acme Packet, Inc. †(a)		6,600		112,860
Activision Blizzard, Inc.		34,500		389,160
Adobe Systems, Inc. †		14,700		477,162
Akamai Technologies, Inc. †		12,800		489,728
Alliance Data Systems Corp. †(a)		4,600		652,970
ANSYS, Inc. †(a)		5,600		411,040
AOL, Inc. †		14,500		510,835
Apple, Inc.		53,300		35,564,958
Arrow Electronics, Inc. †		8,600		289,906
Automatic Data Processing, Inc.		28,400		1,665,944
CA, Inc.		16,500		425,122
Cadence Design Systems, Inc. †(a)		23,600		303,614
Cirrus Logic, Inc. †		13,700		525,943
Cisco Systems, Inc.		50,000		954,500
Citrix Systems, Inc. †(a)		7,700		589,589
Concur Technologies, Inc. †		6,600		486,618
CoreLogic, Inc. †		18,100		480,193
Cypress Semiconductor Corp. †		6,900		73,968
eBay, Inc. †		83,000		4,018,030
Equinix, Inc. †(a)		8,300		1,710,215
F5 Networks, Inc. †		6,500		680,550
FactSet Research Systems, Inc. (a)		1,300		125,346
Fairchild Semiconductor International, Inc. †(a)		7,700		101,024
Fortinet, Inc. †		19,300		465,902

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 17.3% (continued)
Gartner, Inc. †(a)		6,200	$	285,758
Google, Inc., Class A †		400		301,800
IAC/InterActiveCorp		16,100		838,166
Informatica Corp. †		2,300		80,063
Intel Corp.		240,100		5,445,468
InterDigital, Inc. (a)		6,200		231,136
International Business Machines Corp.		8,800		1,825,560
Intuit, Inc. (a)		8,200		482,816
IPG Photonics Corp. †(a)		3,700		212,010
Jabil Circuit, Inc. (a)		15,000		280,800
Jack Henry & Associates, Inc. (a)		8,800		333,520
KLA-Tencor Corp.		11,300		539,067
Mastercard, Inc., Class A		7,000		3,160,360
Maxim Integrated Products, Inc.		21,200		564,344
Microsoft Corp.		47,200		1,405,616
Molex, Inc. (a)		9,000		236,520
Motorola Solutions, Inc. (a)		10,300		520,665
NCR Corp. †		8,300		193,473
NetSuite, Inc. †(a)		8,500		542,300
NeuStar, Inc., Class A †		8,700		348,261
Nuance Communications, Inc. †(a)		23,600		587,404
QUALCOMM, Inc.		800		49,992
Rackspace Hosting, Inc. †(a)		18,800		1,242,492
Red Hat, Inc. †(a)		7,400		421,356
Skyworks Solutions, Inc. †		20,400		480,726
SolarWinds, Inc. †(a)		12,600		702,324
Solera Holdings, Inc. (a)		5,700		250,059
Teradata Corp. †		14,100		1,063,281
TIBCO Software, Inc. †(a)		20,000		604,600
Total System Services, Inc.		15,100		357,870
Trimble Navigation Ltd. †		3,400		162,044
Universal Display Corp. †(a)		8,600		295,668
VeriFone Systems, Inc. †		8,300		231,155
VeriSign, Inc. †(a)		10,500		511,245
Visa, Inc., Class A (a)		43,600		5,854,608
Vishay Intertechnology, Inc. †(a)		8,200		80,606
VMware, Inc., Class A †		8,300		802,942
Western Digital Corp.		19,200		743,616
Xilinx, Inc. (a)		9,300		310,713
Zebra Technologies Corp., Class A †		3,200		120,128
				84,659,039
Materials - 3.1%
Airgas, Inc.		4,900		403,270
Albemarle Corp.		4,000		210,720
Allied Nevada Gold Corp. †(a)		15,600		609,336
Ashland, Inc.		6,600		472,560
Ball Corp.		5,200		220,012
Carpenter Technology Corp. (a)		5,700		298,224
Celanese Corp., Series A (a)		7,000		265,370
CF Industries Holdings, Inc.		4,400		977,856
Eastman Chemical Co.		2,500		142,525
Ecolab, Inc.		18,600		1,205,466
FMC Corp.		8,000		443,040
International Flavors & Fragrances, Inc.		6,500		387,270
International Paper Co. (a)		22,600		820,832
Louisiana-Pacific Corp. †		35,300		441,250
MeadWestvaco Corp. (a)		5,200		159,120
Monsanto Co. (a)		20,100		1,829,502
NewMarket Corp. (a)		1,600		394,368
PPG Industries, Inc. (a)		12,600		1,446,984
Praxair, Inc. (a)		6,900		716,772
Rockwood Holdings, Inc.		5,700		265,620
Royal Gold, Inc. (a)		4,300		429,398
Sherwin-Williams Co./The (a)		12,800		1,906,048

	SHARES		VALUE (Note 3)
Materials - 3.1% (continued)
SunCoke Energy, Inc. †		2,334	$	37,624
Valspar Corp.		8,500		476,850
Westlake Chemical Corp.		6,600		482,196
WR Grace & Co. †		3,700		218,596
				15,260,809
Telecommunication Services - 3.8%
AT&T, Inc.		248,000		9,349,600
CenturyLink, Inc. (a)		11,200		452,480
Crown Castle International Corp. †		15,200		974,320
Level 3 Communications, Inc. †(a)		21,386		491,236
SBA Communications Corp., Class A †(a)		15,600		981,240
Sprint Nextel Corp. †		86,100		475,272
Verizon Communications, Inc. (a)		131,100		5,974,227
				18,698,375
Utilities - 3.5%
AGL Resources, Inc. (a)		7,100		290,461
Alliant Energy Corp.		7,000		303,730
Ameren Corp.		10,100		329,967
American Electric Power Co., Inc.		6,500		285,610
American Water Works Co., Inc.		20,500		759,730
Atmos Energy Corp. (a)		9,100		325,689
Calpine Corp. †		27,100		468,830
CenterPoint Energy, Inc. (a)		23,800		506,940
Cleco Corp. (a)		8,100		340,038
CMS Energy Corp. (a)		14,000		329,700
Consolidated Edison, Inc. (a)		22,900		1,371,481
Dominion Resources, Inc.		20,400		1,079,976
DTE Energy Co. (a)		16,600		995,004
Duke Energy Corp.		8,599		557,215
Edison International		16,900		772,161
FirstEnergy Corp.		5,700		251,370
Hawaiian Electric Industries, Inc. (a)		11,500		302,565
ITC Holdings Corp. (a)		7,500		566,850
National Fuel Gas Co. (a)		5,400		291,816
NextEra Energy, Inc.		6,900		485,277
NiSource, Inc.		25,700		654,836
Northeast Utilities (a)		1,900		72,637
OGE Energy Corp.		7,300		404,858
ONEOK, Inc. (a)		22,400		1,082,144
Pinnacle West Capital Corp. (a)		7,600		401,280
Portland General Electric Co. (a)		12,000		324,480
Questar Corp.		15,300		311,049
Sempra Energy		6,900		444,981
Southern Co.		20,400		940,236
UIL Holdings Corp. (a)		7,700		276,122
WGL Holdings, Inc. (a)		6,900		277,725
Wisconsin Energy Corp. (a)		8,700		327,729
Xcel Energy, Inc.		30,600		847,926
				16,980,413
TOTAL COMMON STOCKS (cost $419,563,403)				486,205,376
MONEY MARKET FUNDS - 0.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b)
(cost $1,827,411)		1,827,411		1,827,411

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 20.7%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(b)(c)
(cost $101,392,748)		101,392,748	$	101,392,748
TOTAL INVESTMENTS - 120.6% (cost $522,783,562)				589,425,535
LIABILITIES IN EXCESS OF OTHER ASSETS - (20.6%) (d)				(100,751,132)
NET ASSETS - 100.0%			$	488,674,403

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $99,128,210; cash collateral of $101,392,748 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(d) Includes appreciation on futures contracts.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED DEPRECIATION
Long Contracts:
33	S&P 500 E-Mini Futures	December 21, 2012	$	2,391,465	$	2,366,430	$	(25,035	)

Cash held as collateral with broker for futures contracts was $129,519 at September 30, 2012.

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

COMMON STOCKS - 99.3%	SHARES		VALUE (Note 3)
Consumer Discretionary - 17.4%
A. H. Belo Corp., Class A		3,400	$	16,422
Aeropostale, Inc. †		12,500		169,125
AFC Enterprises, Inc. †		5,000		123,000
America’s Car-Mart, Inc. †(a)		3,100		140,957
ANN, Inc. †		3,600		135,828
Arctic Cat, Inc. †		10,100		418,746
Asbury Automotive Group, Inc. †(a)		17,000		475,150
Ascent Capital Group, Inc., Class A †		4,800		259,248
Bally Technologies, Inc. †(a)		2,500		123,475
Beazer Homes USA, Inc. †(a)		80,400		285,420
bebe stores, inc.		15,100		72,480
Belo Corp., Class A		16,900		132,327
Black Diamond, Inc. †(a)		2,900		25,433
Blyth, Inc. (a)		6,800		176,732
Bob Evans Farms, Inc.		9,000		352,170
Brown Shoe Co., Inc.		9,200		147,476
Buffalo Wild Wings, Inc. †(a)		2,600		222,924
Build-A-Bear Workshop, Inc. †		3,600		14,040
Cabela’s, Inc. †(a)		2,400		131,232
Caribou Coffee Co., Inc. †		18,300		251,259
Carrols Restaurant Group, Inc. †		5,800		33,408
Cavco Industries, Inc. †		1,300		59,657
Churchill Downs, Inc.		3,600		225,792
Collective Brands, Inc. †		19,900		432,029
Collectors Universe		5,900		82,777
Conn’s, Inc. †(a)		19,600		432,180
Cooper Tire & Rubber Co.		10,500		201,390
Core-Mark Holding Co., Inc.		2,900		139,519
Cracker Barrel Old Country Store, Inc.		8,300		557,013
CSS Industries, Inc.		2,600		53,430
Delta Apparel, Inc. †		2,300		31,671
Denny’s Corp. †(a)		18,100		87,785
Domino’s Pizza, Inc. (a)		13,500		508,950
Dorman Products, Inc. †		4,664		146,963
Drew Industries, Inc. †(a)		2,600		78,546
Einstein Noah Restaurant Group, Inc.		3,600		63,684
Ethan Allen Interiors, Inc. (a)		4,400		96,448
Fiesta Restaurant Group, Inc. †		5,800		92,046
Fifth & Pacific Cos., Inc. †		45,200		577,656
Finish Line, Inc./The, Class A		5,500		125,070
Fisher Communications, Inc. †		2,300		84,548
Francesca’s Holdings Corp. †(a)		4,600		141,358
Fred’s, Inc., Class A (a)		7,400		105,302
Geeknet, Inc. †		1,800		34,830
Genesco, Inc. †(a)		7,400		493,802
Gentherm, Inc. †		8,800		109,472
Global Sources Ltd. (Bermuda) †		2,900		19,024
Grand Canyon Education, Inc. †(a)		13,300		312,949
Group 1 Automotive, Inc. (a)		5,400		325,242
Helen of Troy Ltd. (Bermuda) †(a)		7,100		225,993
Hibbett Sports, Inc. †(a)		8,400		499,380
Hot Topic, Inc. (a)		24,900		216,630
Hovnanian Enterprises, Inc., Class A †(a)		84,700		293,062
Interval Leisure Group, Inc.		6,500		123,045
Jack in the Box, Inc. †		5,300		148,983
KB Home (a)		25,300		363,055
Kingold Jewelry, Inc. (China) †		9,300		13,299
Kona Grill, Inc. †		3,200		28,640
Krispy Kreme Doughnuts, Inc. †(a)		14,300		113,399
La-Z-Boy, Inc. †		30,700		449,141
LeapFrog Enterprises, Inc. †(a)		45,800		413,116
Libbey, Inc. †		4,300		67,854

	SHARES		VALUE (Note 3)
Consumer Discretionary - 17.4% (continued)
Lions Gate Entertainment Corp. †(a)		5,400	$	82,458
Lithia Motors, Inc., Class A (a)		7,300		243,163
Lumber Liquidators Holdings, Inc. †(a)		9,900		501,732
M/I Homes, Inc. †		6,800		131,512
Martha Stewart Living Omnimedia, Class A (a)		6,100		18,727
MDC Holdings, Inc. (a)		15,000		577,650
Meredith Corp.		3,800		133,000
Meritage Homes Corp. †(a)		12,700		482,981
Motorcar Parts of America, Inc. †(a)		4,400		21,252
Movado Group, Inc.		10,800		364,176
Multimedia Games Holding Co., Inc. †		17,500		275,275
Nexstar Broadcasting Group, Inc., Class A †		2,900		30,798
Oxford Industries, Inc. (a)		4,300		242,735
Papa John’s International, Inc. †		7,200		384,552
Peet’s Coffee & Tea, Inc. †		1,300		95,342
Pier 1 Imports, Inc. (a)		38,600		723,364
Pool Corp.		6,200		257,796
Red Robin Gourmet Burgers, Inc. †(a)		1,100		35,816
Regis Corp. (a)		14,500		266,510
RG Barry Corp. (a)		2,800		41,272
Ruth’s Hospitality Group, Inc. †(a)		11,400		72,618
Ryland Group, Inc./The (a)		21,300		639,000
Saga Communications, Inc., Class A †		300		12,156
Scholastic Corp. (a)		8,700		276,486
Select Comfort Corp. †(a)		23,500		741,425
Shoe Carnival, Inc. (a)		4,200		98,826
Shuffle Master, Inc. †(a)		18,300		289,323
Sinclair Broadcast Group, Inc., Class A		17,800		199,538
Skechers U.S.A., Inc., Class A †(a)		13,500		275,400
Smith & Wesson Holding Corp. †		44,100		485,541
Sonic Automotive, Inc., Class A		4,100		77,818
Standard Motor Products, Inc. (a)		7,000		128,940
Standard Pacific Corp. †(a)		111,500		753,740
Steiner Leisure Ltd. †		1,700		79,135
Steinway Musical Instruments, Inc. †		3,500		85,260
Stewart Enterprises, Inc., Class A (a)		15,600		130,962
Sturm, Ruger & Co., Inc. (a)		10,300		509,747
Systemax, Inc. †		3,200		37,792
Texas Roadhouse, Inc. (a)		7,200		123,120
Thor Industries, Inc. (a)		8,400		305,088
Town Sports International Holdings, Inc. †		13,300		164,521
True Religion Apparel, Inc. (a)		2,800		59,724
Unifi, Inc. †		3,700		47,434
Vitamin Shoppe, Inc. †(a)		6,900		402,408
VOXX International Corp. †(a)		6,800		50,864
Winmark Corp. (a)		600		32,448
ZAGG, Inc. †		10,000		85,300
Zale Corp. †		14,700		101,430
Zumiez, Inc. †(a)		11,900		329,987
				23,787,724
Consumer Staples - 3.4%
B&G Foods, Inc.		14,200		430,402
Boston Beer Co., Inc./The, Class A †(a)		3,400		380,698
Calavo Growers, Inc.		4,000		100,000
Cal-Maine Foods, Inc.		5,200		233,688
Coca-Cola Bottling Co. Consolidated (a)		1,200		81,720
Craft Brew Alliance, Inc. †		4,500		35,325
Cyanotech Corp. †		1,300		7,670
Elizabeth Arden, Inc. †(a)		9,300		439,332
Hain Celestial Group, Inc./The †(a)		3,700		233,100

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 3.4% (continued)
Ingles Markets, Inc., Class A (a)		2,200	$	35,970
J&J Snack Foods Corp. (a)		4,700		269,451
Lancaster Colony Corp.		500		36,625
Limoneira Co.		1,600		29,488
National Beverage Corp. †(a)		3,200		48,512
Omega Protein Corp. †		13,000		89,180
Pizza Inn Holdings, Inc. †(a)		12,000		35,160
Revlon, Inc., Class A †		3,200		49,408
Rite Aid Corp. †		124,300		145,431
Smart Balance, Inc. †(a)		21,200		256,096
Snyders-Lance, Inc.		11,400		285,000
Spartan Stores, Inc. (a)		6,500		99,515
Spectrum Brands Holdings, Inc.		7,300		292,073
Star Scientific, Inc. †(a)		64,200		222,132
Susser Holdings Corp. †		12,400		448,508
Vector Group Ltd. (a)		1,850		30,692
WD-40 Co. (a)		5,800		305,312
Weis Markets, Inc. (a)		2,000		84,660
				4,705,148
Energy - 3.4%
Adams Resources & Energy, Inc.		700		21,350
Alon USA Energy, Inc.		14,500		198,650
Approach Resources, Inc. †(a)		8,100		244,053
Cheniere Energy, Inc. †(a)		3,800		59,090
Clean Energy Fuels Corp. †(a)		6,000		79,020
Crosstex Energy, Inc.		12,400		173,972
Dawson Geophysical Co. †		3,100		78,306
Delek US Holdings, Inc.		11,700		298,233
Double Eagle Petroleum Co. †		9,500		52,535
Enbridge Energy Management LLC †		4,885		154,659
Evolution Petroleum Corp. †(a)		10,800		87,264
Exterran Holdings, Inc. †		7,000		141,960
Gulf Island Fabrication, Inc.		3,100		86,397
Halcon Resources Corp. †		77,900		571,007
Hornbeck Offshore Services, Inc. †(a)		11,900		436,135
Miller Energy Resources, Inc. †(a)		5,300		26,659
Mitcham Industries, Inc. †		5,800		92,394
OYO Geospace Corp. †(a)		1,100		134,651
Panhandle Oil and Gas, Inc., Class A (a)		1,300		39,871
Parker Drilling Co. †(a)		29,100		123,093
PHI, Inc. †		1,900		59,774
Rentech, Inc. †		52,300		128,658
REX American Resources Corp. †		4,500		81,045
Royale Energy, Inc. †(a)		18,600		75,144
SemGroup Corp., Class A †		9,900		364,815
Targa Resources Corp.		2,900		145,986
TGC Industries, Inc. †		5,250		37,800
Union Drilling, Inc. †(a)		10,600		68,794
Uranerz Energy Corp. †(a)		14,800		24,124
VAALCO Energy, Inc. †(a)		13,800		117,990
Western Refining, Inc. (a)		15,600		408,408
				4,611,837
Financials - 24.1%
1st Source Corp.		4,400		97,988
Acadia Realty Trust REIT (a)		8,500		210,970
Agree Realty Corp. REIT		2,100		53,529
Alexander & Baldwin, Inc. †		3,900		115,167
American Safety Insurance Holdings Ltd. †		1,900		35,511
Ameris Bancorp †		5,701		71,776
AMERISAFE, Inc. †		4,000		108,560
Amtrust Financial Services, Inc. (a)		8,380		214,701

	SHARES		VALUE (Note 3)
Financials - 24.1% (continued)
Arlington Asset Investment Corp., Class A (a)		2,800	$	66,808
Associated Estates Realty Corp. REIT		12,900		195,564
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		16,700		368,903
Bancorp, Inc. †		2,800		28,756
BancorpSouth, Inc.		8,700		128,238
Bank of Marin Bancorp		1,200		51,012
Bank of the Ozarks, Inc.		17,000		585,990
Banner Corp. (a)		6,300		170,730
BBCN Bancorp, Inc. †(a)		10,700		134,927
Beneficial Mutual Bancorp, Inc. †		2,600		24,856
Berkshire Hills Bancorp, Inc. (a)		5,000		114,400
BofI Holding, Inc. †		3,800		98,990
Boston Private Financial Holdings, Inc.		32,500		311,675
Brandywine Realty Trust REIT		25,300		308,407
Bryn Mawr Bank Corp.		2,400		53,856
Cardinal Financial Corp.		6,300		90,090
Chemical Financial Corp.		1,500		36,300
Citizens & Northern Corp. (a)		4,300		84,323
Citizens Republic Bancorp, Inc. †(a)		13,400		259,290
Citizens, Inc. †		7,900		82,871
City Holding Co.		1,300		46,592
CNB Financial Corp.		1,800		31,518
CNO Financial Group, Inc. (a)		42,900		413,985
Cohen & Steers, Inc. (a)		7,800		231,036
Colonial Properties Trust REIT (a)		25,100		528,355
Columbia Banking System, Inc.		11,600		215,064
Community Bank System, Inc. (a)		13,100		369,289
Community Trust Bancorp, Inc. (a)		3,300		117,266
Coresite Realty Corp. REIT		9,200		247,848
Crawford & Co., Class B (a)		6,200		31,062
Credit Acceptance Corp. †		318		27,192
CubeSmart REIT (a)		32,500		418,275
CVB Financial Corp. (a)		44,400		530,136
DCT Industrial Trust, Inc. REIT		93,300		603,651
Diamond Hill Investment Group, Inc. (a)		500		38,340
DiamondRock Hospitality Co. REIT		13,400		129,042
DuPont Fabros Technology, Inc. REIT (a)		12,400		313,100
Eagle Bancorp, Inc. †		5,400		90,288
EastGroup Properties, Inc. REIT		11,000		585,200
Education Realty Trust, Inc. REIT		33,700		367,330
eHealth, Inc. †		4,600		86,342
Employers Holdings, Inc. (a)		3,300		60,489
Enstar Group Ltd. (Bermuda) †(a)		2,500		249,125
Enterprise Financial Services Corp.		4,200		57,120
Epoch Holding Corp. (a)		5,200		120,120
ESB Financial Corp.		1,600		22,336
FBL Financial Group, Inc., Class A (a)		7,100		235,720
Federal Agricultural Mortgage Corp., Class C		7,100		182,754
First Busey Corp. (a)		11,700		57,096
First Cash Financial Services, Inc. †(a)		1,200		55,212
First Commonwealth Financial Corp. (a)		18,100		127,605
First Defiance Financial Corp.		1,400		24,164
First Financial Bancorp (a)		14,400		243,504
First Financial Bankshares, Inc.		4,400		158,532
First Financial Corp.		2,700		84,618
First Industrial Realty Trust, Inc. REIT †		17,600		231,264
First Interstate Bancsystem, Inc.		1,400		20,944
First Merchants Corp.		9,200		138,092
FNB Corp. (a)		50,400		564,984
Fox Chase Bancorp, Inc.		3,300		51,546

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Financials - 24.1% (continued)
GAMCO Investors, Inc., Class A (a)		1,600	$	79,600
German American Bancorp, Inc.		1,900		45,828
Glacier Bancorp, Inc. (a)		16,000		249,280
Gladstone Capital Corp. (a)		7,300		63,875
Gladstone Commercial Corp. REIT (a)		5,400		98,604
Gladstone Investment Corp.		9,900		77,418
Glimcher Realty Trust REIT		29,900		316,043
Global Indemnity PLC (Ireland) †(a)		1,500		32,820
Gramercy Capital Corp. REIT †		20,400		61,404
Gyrodyne Co. of America, Inc. REIT †		100		10,863
Hersha Hospitality Trust REIT		27,500		134,750
HFF, Inc., Class A †(a)		9,100		135,590
Home BancShares, Inc. (a)		10,600		361,354
Horizon Technology Finance Corp.		900		14,544
Hudson Valley Holding Corp. (a)		2,100		35,805
Independent Bank Corp. (a)		1,500		45,135
Infinity Property & Casualty Corp. (a)		3,300		199,287
International Bancshares Corp. (a)		14,900		283,845
INTL FCStone, Inc. †(a)		3,000		57,180
Investors Bancorp, Inc. †		17,800		324,672
Kansas City Life Insurance Co. (a)		1,100		42,383
Kemper Corp.		9,300		285,603
Ladenburg Thalmann Financial Services, Inc. †(a)		46,300		61,116
Lakeland Financial Corp. (a)		7,600		209,760
Lexington Realty Trust REIT (a)		27,900		269,514
LTC Properties, Inc. REIT		14,800		471,380
Maiden Holdings Ltd. (Bermuda)		15,800		140,462
Main Street Capital Corp. (a)		13,600		401,336
MainSource Financial Group, Inc.		3,300		42,372
MarketAxess Holdings, Inc.		6,282		198,511
MB Financial, Inc.		7,700		152,075
MBIA, Inc. †		45,300		458,889
Meadowbrook Insurance Group, Inc. (a)		7,800		59,982
Medallion Financial Corp.		7,700		90,937
Mission West Properties, Inc. REIT		7,900		68,730
Monmouth Real Estate Investment Corp., Class A REIT		8,600		96,234
Montpelier Re Holdings Ltd. (Bermuda)		9,000		199,170
MVC Capital, Inc.		4,300		55,040
National Financial Partners Corp. †(a)		5,800		98,020
National Health Investors, Inc. REIT (a)		10,400		534,976
National Penn Bancshares, Inc.		64,200		584,862
Nelnet, Inc., Class A (a)		2,900		68,846
NewStar Financial, Inc. †(a)		11,100		133,089
Northfield Bancorp, Inc. (a)		2,000		32,040
OceanFirst Financial Corp. (a)		1,500		22,005
Ocwen Financial Corp. †		9,300		254,913
Old National Bancorp (a)		23,500		319,835
OmniAmerican Bancorp, Inc. †		2,200		50,006
One Liberty Properties, Inc. REIT (a)		3,500		65,275
OneBeacon Insurance Group Ltd., Class A		14,400		193,536
Oritani Financial Corp.		27,300		410,865
PacWest Bancorp		6,400		149,568
Park National Corp.		1,000		70,020
Pebblebrook Hotel Trust REIT (a)		11,100		259,629
Penns Woods Bancorp, Inc.		700		31,031
Pennsylvania Real Estate Investment Trust REIT		17,700		280,722
Pinnacle Financial Partners, Inc. †		11,500		222,180
Platinum Underwriters Holdings Ltd. (Bermuda)		3,200		130,784
Potlatch Corp. REIT (a)		2,200		82,214

	SHARES		VALUE (Note 3)
Financials - 24.1% (continued)
Primerica, Inc.		10,100	$	289,264
PrivateBancorp, Inc. (a)		17,300		276,627
Prospect Capital Corp. (a)		33,200		382,464
PS Business Parks, Inc. REIT		6,400		427,648
Radian Group, Inc.		30,600		132,804
Republic Bancorp, Inc., Class A (a)		1,300		28,535
Retail Opportunity Investments Corp. REIT (a)		18,200		234,234
RLI Corp. (a)		7,800		519,948
Rockville Financial, Inc.		6,200		75,950
Sabra Health Care REIT, Inc. REIT		6,800		136,068
Safeguard Scientifics, Inc. †(a)		4,700		73,743
Safety Insurance Group, Inc. (a)		1,900		87,172
Seacoast Banking Corp of Florida †		8,500		13,515
Solar Capital Ltd. (a)		6,500		148,980
Southside Bancshares, Inc. (a)		7,035		153,433
Sovran Self Storage, Inc. REIT		8,600		497,510
Sterling Financial Corp.		2,900		64,583
Strategic Hotels & Resorts, Inc. REIT †		47,400		284,874
Sun Communities, Inc. REIT (a)		11,509		507,777
Sunstone Hotel Investors, Inc. REIT †		68,300		751,300
Susquehanna Bancshares, Inc. (a)		35,200		368,192
SWS Group, Inc. †		6,300		38,493
Synovus Financial Corp. (a)		93,000		220,410
Tejon Ranch Co. †		900		27,036
Territorial Bancorp, Inc.		3,600		82,620
Texas Capital Bancshares, Inc. †(a)		16,300		810,273
TICC Capital Corp. (a)		6,600		68,640
Tompkins Financial Corp.		1,500		60,780
Triangle Capital Corp.		12,600		323,316
Trustmark Corp. (a)		13,400		326,156
UMB Financial Corp. (a)		5,000		243,400
Umpqua Holdings Corp.		30,700		395,723
United Bankshares, Inc. (a)		15,400		383,614
United Financial Bancorp, Inc. (a)		5,100		73,797
Universal Health Realty Income Trust REIT		4,100		188,518
ViewPoint Financial Group, Inc. (a)		12,300		235,791
Virginia Commerce Bancorp, Inc. †		13,700		119,875
Virtus Investment Partners, Inc. †		2,800		240,800
Walter Investment Management Corp. †		4,120		152,481
Washington Trust Bancorp, Inc. (a)		4,200		110,334
Webster Financial Corp. (a)		9,100		215,670
WesBanco, Inc. (a)		9,200		190,532
West Bancorporation, Inc.		2,200		26,510
West Coast Bancorp †		10,120		227,902
Wintrust Financial Corp.		7,500		281,775
WisdomTree Investments, Inc. †		23,000		154,100
World Acceptance Corp. †(a)		2,400		161,880
WSFS Financial Corp. (a)		2,000		82,560
				33,033,738
Health Care - 15.3%
Aastrom Biosciences, Inc. †		16,500		26,730
Abaxis, Inc. †		5,400		193,968
ABIOMED, Inc. †(a)		11,600		243,484
Achillion Pharmaceuticals, Inc. †		2,900		30,189
Acura Pharmaceuticals, Inc. †(a)		5,600		9,744
Aegerion Pharmaceuticals, Inc. †		2,500		37,050
Affymax, Inc. †		20,700		435,942
Air Methods Corp. †(a)		3,400		405,858
Akorn, Inc. †(a)		34,500		456,090
Alnylam Pharmaceuticals, Inc. †(a)		18,900		355,131
Amsurg Corp. †		8,000		227,040

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 15.3% (continued)
Analogic Corp.		3,500	$	273,595
AngioDynamics, Inc. †(a)		3,100		37,820
Antares Pharma, Inc. †(a)		62,000		270,320
Apricus Biosciences, Inc. †(a)		7,900		25,754
Arena Pharmaceuticals, Inc. †(a)		68,000		565,760
Ariad Pharmaceuticals, Inc. †(a)		4,900		118,702
Arqule, Inc. †(a)		6,200		31,682
Array BioPharma, Inc. †		49,500		290,070
AtriCure, Inc. †(a)		6,300		46,872
Atrion Corp. (a)		300		66,450
Auxilium Pharmaceuticals, Inc. †(a)		5,500		134,530
Biolase, Inc. †(a)		21,099		36,079
Bio-Reference Labs, Inc. †		5,000		142,900
BioScrip, Inc. †		15,900		144,849
BSD Medical Corp. †		8,200		10,742
Cambrex Corp. †		8,300		97,359
Cantel Medical Corp.		4,649		125,895
Capital Senior Living Corp. †(a)		12,300		177,981
Cardiovascular Systems, Inc. †		5,600		64,736
Celldex Therapeutics, Inc. †		23,800		149,940
Celsion Corp. †		24,300		131,706
Cerus Corp. †(a)		13,000		44,200
Conceptus, Inc. †		6,300		127,953
CONMED Corp. (a)		3,700		105,450
Corcept Therapeutics, Inc. †(a)		9,500		26,505
Corvel Corp. †(a)		1,600		71,600
Curis, Inc. †(a)		40,700		168,498
Cyberonics, Inc. †(a)		7,500		393,150
Dusa Pharmaceuticals, Inc. †		8,000		54,320
Dynavax Technologies Corp. †(a)		85,100		405,076
Echo Therapeutics, Inc. †		8,800		13,904
Endologix, Inc. †(a)		18,700		258,434
Ensign Group, Inc./The		3,500		107,118
Exact Sciences Corp. †		26,600		292,866
Furiex Pharmaceuticals, Inc. †(a)		3,000		57,240
Genomic Health, Inc. †(a)		7,700		267,113
Gentiva Health Services, Inc. †		11,400		129,048
GTx, Inc. †		12,200		55,876
Halozyme Therapeutics, Inc. †(a)		37,500		283,500
Hansen Medical, Inc. †(a)		19,600		38,220
HealthStream, Inc. †(a)		17,400		495,204
HeartWare International, Inc. †(a)		4,300		406,307
Hi-Tech Pharmacal Co., Inc. †(a)		4,700		155,617
ICU Medical, Inc. †(a)		1,600		96,768
Idenix Pharmaceuticals, Inc. †(a)		68,700		313,959
Immunogen, Inc. †(a)		28,200		411,720
Immunomedics, Inc. †(a)		19,800		69,498
Infinity Pharmaceuticals, Inc. †		13,600		320,280
Insulet Corp. †(a)		2,900		62,582
Isis Pharmaceuticals, Inc. †(a)		32,100		451,647
Jazz Pharmaceuticals PLC (Ireland) †		2,300		131,123
Ligand Pharmaceuticals, Inc., Class B †(a)		8,400		144,060
Luminex Corp. †(a)		9,900		192,456
MAP Pharmaceuticals, Inc. †(a)		9,200		143,244
Maxygen, Inc.		11,000		29,040
Medicines Co./The †		12,700		327,787
Medidata Solutions, Inc. †(a)		4,000		166,000
Medivation, Inc. †		6,400		360,704
MELA Sciences, Inc. †		19,800		63,558
Merge Healthcare, Inc. †(a)		30,200		115,666
Merit Medical Systems, Inc. †(a)		7,600		113,468
Metropolitan Health Networks, Inc. †(a)		19,700		183,998
Molina Healthcare, Inc. †		5,800		145,870

	SHARES		VALUE (Note 3)
Health Care - 15.3% (continued)
MWI Veterinary Supply, Inc. †(a)		3,400	$	362,712
Navidea Biopharmaceuticals, Inc. †(a)		46,100		126,775
Nektar Therapeutics †(a)		28,700		306,516
Neogen Corp. †		2,300		98,210
Neurocrine Biosciences, Inc. †		7,100		56,658
Obagi Medical Products, Inc. †(a)		8,200		101,762
Omnicell, Inc. †		6,600		91,740
Oncothyreon, Inc. †		19,600		100,744
OPKO Health, Inc. †(a)		69,700		291,346
Optimer Pharmaceuticals, Inc. †(a)		10,800		152,496
OraSure Technologies, Inc. †(a)		19,300		214,616
Orexigen Therapeutics, Inc. †(a)		51,600		294,636
Pacira Pharmaceuticals, Inc. †		14,400		250,560
Pain Therapeutics, Inc. †(a)		10,200		51,510
PAREXEL International Corp. †		10,000		307,600
PDL BioPharma, Inc. (a)		34,300		263,767
Pharmacyclics, Inc. †		7,200		464,400
Progenics Pharmaceuticals, Inc. †(a)		14,200		40,754
Quidel Corp. †(a)		9,600		181,728
Rigel Pharmaceuticals, Inc. †(a)		14,500		148,625
Rockwell Medical Technologies, Inc. †		5,100		41,667
RTI Biologics, Inc. †(a)		21,000		87,570
Sangamo Biosciences, Inc. †(a)		7,900		48,032
Santarus, Inc. †		23,200		206,016
Sarepta Therapeutics, Inc. †		9,600		149,088
SciClone Pharmaceuticals, Inc. †(a)		20,600		114,330
Select Medical Holdings Corp. †(a)		33,300		373,959
Solta Medical, Inc. †		10,900		34,226
Spectranetics Corp. †(a)		8,200		120,950
Spectrum Pharmaceuticals, Inc. †(a)		27,800		325,260
Staar Surgical Co. †(a)		14,800		111,888
Synergetics USA, Inc. †		9,900		48,906
Team Health Holdings, Inc. †		3,000		81,390
Theravance, Inc. †(a)		7,100		183,961
Threshold Pharmaceuticals, Inc. †(a)		52,300		378,652
Transcept Pharmaceuticals, Inc. †		6,100		32,391
Trius Therapeutics, Inc. †		10,600		61,798
Universal American Corp. †(a)		19,100		176,484
Uroplasty, Inc. †		11,800		44,958
US Physical Therapy, Inc. (a)		3,000		82,890
Vascular Solutions, Inc. †		2,200		32,582
Vical, Inc. †(a)		32,800		141,696
ViroPharma, Inc. †(a)		15,200		459,344
Vivus, Inc. †		7,000		124,740
West Pharmaceutical Services, Inc.		2,400		127,368
Wright Medical Group, Inc. †(a)		5,900		130,449
Young Innovations, Inc.		700		27,370
ZIOPHARM Oncology, Inc. †(a)		15,300		83,385
				20,904,100
Industrials - 13.8%
AAON, Inc. (a)		4,700		92,543
ACCO Brands Corp. †(a)		29,200		189,508
Aceto Corp.		7,400		69,930
Acorn Energy, Inc. (a)		2,700		24,084
Advisory Board Co./The †(a)		10,600		506,998
Aircastle Ltd.		15,800		179,014
Alamo Group, Inc.		2,500		84,450
Allegiant Travel Co. †(a)		9,100		576,576
American Railcar Industries, Inc. †(a)		6,000		170,040
Applied Industrial Technologies, Inc.		9,600		397,728
Argan, Inc.		2,300		40,135
Astec Industries, Inc. †(a)		4,900		154,889
Astronics Corp. †		5,400		166,320

See note to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Industrials - 13.8% (continued)
Astronics Corp., Class B †		210	$	6,405
AT Cross Co., Class A †		2,100		20,937
Avis Budget Group, Inc. †		15,900		244,542
AZZ, Inc.		5,200		197,496
Barnes Group, Inc. (a)		5,700		142,557
Barrett Business Services, Inc.		3,600		97,560
Beacon Roofing Supply, Inc. †(a)		16,300		464,550
Builders FirstSource, Inc. †(a)		10,600		55,014
Cascade Corp. (a)		1,600		87,584
Casella Waste Systems, Inc., Class A †		10,100		43,228
CBIZ, Inc. †		10,400		62,608
Chart Industries, Inc. †(a)		1,400		103,390
Coleman Cable, Inc. (a)		6,900		66,516
Covenant Transportation Group, Inc., Class A †		2,600		11,960
CPI Aerostructures, Inc. †(a)		1,800		19,512
CRA International, Inc. †(a)		2,200		38,016
Deluxe Corp. (a)		7,400		226,144
Douglas Dynamics, Inc. (a)		6,500		96,135
DXP Enterprises, Inc. †(a)		6,600		315,282
Dycom Industries, Inc. †		9,100		130,858
Dynamic Materials Corp.		5,600		84,112
Echo Global Logistics, Inc. †		4,100		70,315
Encore Capital Group, Inc. †		2,774		78,393
Encore Wire Corp. (a)		2,900		84,854
EnerSys, Inc. †		6,500		229,385
Exponent, Inc. †		4,900		279,741
Flow International Corp. †		11,400		42,180
Forward Air Corp. (a)		2,500		76,025
Franklin Electric Co., Inc. (a)		5,300		320,597
Furmanite Corp. †(a)		7,300		41,464
G&K Services, Inc., Class A		4,000		125,240
GenCorp, Inc. †(a)		14,000		132,860
Generac Holdings, Inc.		22,400		512,736
Gibraltar Industries, Inc. †		3,100		39,742
Global Power Equipment Group, Inc.		5,200		96,148
Gorman-Rupp Co./The (a)		3,500		94,500
GP Strategies Corp. †(a)		5,000		96,600
Graham Corp. (a)		1,900		34,333
Granite Construction, Inc.		5,000		143,600
H&E Equipment Services, Inc.		15,800		191,496
Hardinge, Inc.		4,300		44,075
Healthcare Services Group, Inc. (a)		20,500		468,835
Heritage-Crystal Clean, Inc. †(a)		1,400		27,790
HNI Corp.		5,300		135,203
Houston Wire & Cable Co.		4,500		48,420
Hudson Global, Inc. †		5,400		24,084
Hurco Cos., Inc. †		4,400		100,672
Huron Consulting Group, Inc. †		5,900		205,438
InnerWorkings, Inc. †(a)		12,900		167,958
Insteel Industries, Inc.		3,700		43,401
Intersections, Inc.		2,300		24,242
JetBlue Airways Corp. †		27,000		129,330
Kadant, Inc. †		3,300		76,527
Kaman Corp.		7,100		254,606
Lydall, Inc. †		8,800		123,992
Macquarie Infrastructure Co. LLC		11,600		481,168
Manitowoc Co., Inc./The		15,700		209,438
Matson, Inc.		3,900		81,549
McGrath RentCorp. (a)		4,400		114,796
Metalico, Inc. †		10,700		27,392
Middleby Corp. †		1,100		127,204
Miller Industries, Inc.		7,800		125,190
Mine Safety Appliances Co.		7,700		286,979

	SHARES		VALUE (Note 3)
Industrials - 13.8% (continued)
Mistras Group, Inc. †		8,900	$	206,480
Mueller Industries, Inc.		6,500		295,555
Multi-Color Corp. (a)		6,200		143,592
MYR Group, Inc. †		3,100		61,845
Navigant Consulting, Inc. †		7,300		80,665
Northwest Pipe Co. †(a)		2,800		69,020
Odyssey Marine Exploration, Inc. †(a)		26,100		82,476
On Assignment, Inc. †		20,800		414,336
Park-Ohio Holdings Corp. †		2,600		56,342
Patrick Industries, Inc. †		2,300		35,581
PMFG, Inc. †		3,900		31,551
Portfolio Recovery Associates, Inc. †		1,300		135,759
Powell Industries, Inc. †(a)		1,200		46,404
Primoris Services Corp.		13,000		169,650
Quality Distribution, Inc. †(a)		12,000		111,000
Raven Industries, Inc.		9,600		282,528
RBC Bearings, Inc. †		2,800		134,680
Roadrunner Transportation Systems, Inc. †		3,000		48,540
Rush Enterprises, Inc., Class A †(a)		5,900		113,634
SeaCube Container Leasing Ltd.		7,600		142,500
Seaspan Corp. (Hong Kong)		3,700		58,386
Simpson Manufacturing Co., Inc. (a)		6,200		177,444
Spirit Airlines, Inc. †(a)		26,000		444,080
Standex International Corp. (a)		3,500		155,575
Sun Hydraulics Corp. (a)		6,700		178,019
TAL International Group, Inc. (a)		8,300		282,034
Taser International, Inc. †(a)		20,400		123,012
Team, Inc. †(a)		6,600		210,210
Tennant Co. (a)		5,000		214,100
Tetra Tech, Inc. †		7,600		199,576
Textainer Group Holdings Ltd. (a)		15,600		476,580
Titan Machinery, Inc. †(a)		3,900		79,092
TRC Cos., Inc. †		2,900		21,808
Trex Co., Inc. †(a)		4,500		153,540
Twin Disc, Inc. (a)		4,800		85,920
UniFirst Corp.		4,100		273,839
United Rentals, Inc. †(a)		1,086		35,523
Universal Forest Products, Inc. (a)		7,000		290,780
US Airways Group, Inc. †(a)		35,800		374,468
US Ecology, Inc. (a)		5,300		114,374
US Home Systems, Inc.		1,500		18,705
USG Corp. †		37,100		814,345
Valence Technology, Inc. †		9,700		136
Wabash National Corp. †		19,300		137,609
XPO Logistics, Inc. †(a)		11,600		141,984
				18,908,396
Information Technology - 14.8%
3D Systems Corp. †(a)		17,500		574,875
Accelrys, Inc. †		7,200		62,352
ACI Worldwide, Inc. †(a)		7,900		333,854
Actuate Corp. †		14,700		103,341
Agilysys, Inc. †		10,000		86,000
Alliance Fiber Optic Products, Inc. †		3,000		26,970
American Software, Inc., Class A		8,600		70,176
Anaren, Inc. †		4,700		93,953
AOL, Inc. †(a)		8,000		281,840
Arris Group, Inc. †		21,300		272,427
Aspen Technology, Inc. †		6,700		173,195
ATMI, Inc. †(a)		11,000		204,270
Blackbaud, Inc.		1,100		26,312
Blucora, Inc. †		19,000		338,390
BroadSoft, Inc. †(a)		1,100		45,122

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 14.8% (continued)
BroadVision, Inc. †		4,900	$	45,913
Brooks Automation, Inc.		11,100		89,133
BSQUARE Corp. †		6,800		21,624
CalAmp Corp. †(a)		6,400		52,544
Callidus Software, Inc. †(a)		16,900		83,317
Cardtronics, Inc. †		11,300		336,514
CIBER, Inc. †(a)		10,100		35,047
Ciena Corp. †(a)		7,600		103,360
Cirrus Logic, Inc. †(a)		22,500		863,775
Cognex Corp. (a)		4,300		148,694
Computer Task Group, Inc. †(a)		4,100		66,338
Comtech Telecommunications Corp. (a)		4,000		110,560
Convergys Corp.		8,400		131,628
Cornerstone OnDemand, Inc. †(a)		11,200		343,392
CoStar Group, Inc. †		1,300		106,002
CVD Equipment Corp. †(a)		11,300		109,610
Cymer, Inc. †(a)		7,000		357,420
Datalink Corp. †(a)		11,900		98,532
DealerTrack Holdings, Inc. †		11,700		325,845
Digi International, Inc. †		7,200		73,152
Digimarc Corp.		2,200		48,950
Dot Hill Systems Corp. †		19,100		20,437
eGain Communications Corp. †(a)		4,300		19,952
Electro Rent Corp. (a)		4,400		77,836
Electronics for Imaging, Inc. †		9,400		156,134
Ellie Mae, Inc. †		18,800		511,924
eMagin Corp. †(a)		6,100		25,132
Emcore Corp. †(a)		7,250		40,890
Entegris, Inc. †		9,600		78,048
EPIQ Systems, Inc.		4,100		55,022
ePlus, Inc. †(a)		2,800		109,816
Euronet Worldwide, Inc. †		6,900		129,651
ExlService Holdings, Inc. †		4,000		118,000
Fair Isaac Corp.		10,600		469,156
FalconStor Software, Inc. †		9,600		22,560
FARO Technologies, Inc. †(a)		5,300		218,996
FEI Co. (a)		11,700		625,950
Forrester Research, Inc.		3,800		109,326
Global Cash Access Holdings, Inc. †		38,500		309,925
Globecomm Systems, Inc. †(a)		5,100		56,865
Glu Mobile, Inc. †(a)		39,900		184,737
GSI Group, Inc. †		6,900		61,479
GSI Technology, Inc. †(a)		5,000		24,750
Hackett Group, Inc./The †		5,800		24,244
Heartland Payment Systems, Inc. (a)		9,500		300,960
iGO, Inc. †(a)		12,500		4,875
Immersion Corp. †(a)		13,500		73,845
Insight Enterprises, Inc. †		11,200		195,776
Integrated Silicon Solution, Inc. †		7,500		69,450
Internap Network Services Corp. †(a)		7,800		54,990
Ixia †		10,300		165,521
IXYS Corp. †		8,400		83,328
Keynote Systems, Inc. (a)		7,200		104,256
Kulicke & Soffa Industries, Inc. †		23,100		240,240
Liquidity Services, Inc. †(a)		3,700		185,777
LivePerson, Inc. †(a)		20,251		366,746
Majesco Entertainment Co. †		42,600		53,676
Manhattan Associates, Inc. †		5,800		332,166
Marchex, Inc., Class B (a)		13,700		52,334
MAXIMUS, Inc. (a)		6,600		394,152
Measurement Specialties, Inc. †(a)		3,900		128,622
Mentor Graphics Corp. †		19,300		298,764
Mercury Computer Systems, Inc. †		4,500		47,790
Mitek Systems, Inc. †(a)		15,900		51,357

	SHARES		VALUE (Note 3)
Information Technology - 14.8% (continued)
MKS Instruments, Inc.		4,900	$	124,901
Monolithic Power Systems, Inc. †(a)		6,100		120,475
Monotype Imaging Holdings, Inc. (a)		10,400		162,136
MoSys, Inc. †(a)		5,300		21,412
MTS Systems Corp.		2,200		117,810
Nanometrics, Inc. †(a)		8,800		121,528
Netlist, Inc. †		13,900		17,931
Netscout Systems, Inc. †		5,400		137,754
NIC, Inc.		20,500		303,400
NVE Corp. †		2,400		142,056
OSI Systems, Inc. †		7,600		591,584
PC Connection, Inc.		6,800		78,268
PDF Solutions, Inc. †(a)		12,000		163,920
PFSweb, Inc. †		9,900		28,611
Procera Networks, Inc. †(a)		9,600		225,600
PROS Holdings, Inc. †(a)		8,200		156,374
QuickLogic Corp. †(a)		5,700		15,960
RealNetworks, Inc. †		4,000		33,280
Richardson Electronics Ltd.		9,500		112,765
Rogers Corp. †(a)		3,100		131,316
Saba Software, Inc. †(a)		13,200		131,868
ScanSource, Inc. †		3,700		118,474
SciQuest, Inc. †		2,000		36,400
Seachange International, Inc. †		4,300		33,755
Sourcefire, Inc. †(a)		10,000		490,300
SPS Commerce, Inc. †(a)		4,000		153,880
SS&C Technologies Holdings, Inc. †		5,500		138,655
Stamps.com, Inc. †(a)		10,600		245,284
Stratasys, Inc. †(a)		10,300		560,320
Super Micro Computer, Inc. †(a)		9,400		113,082
support.com, Inc. †(a)		12,700		53,721
Synaptics, Inc. †(a)		10,000		240,200
SYNNEX Corp. †(a)		6,800		221,544
TeleNav, Inc. †		9,300		55,521
Tessco Technologies, Inc.		1,400		29,638
Tyler Technologies, Inc. †(a)		8,700		382,974
Ultimate Software Group, Inc. †(a)		3,600		367,560
Ultratech, Inc. †		5,100		160,038
Universal Display Corp. †(a)		3,900		134,082
ValueClick, Inc. †(a)		6,800		116,892
VirnetX Holding Corp. †(a)		2,700		68,661
Virtusa Corp. †(a)		4,600		81,742
Volterra Semiconductor Corp. †(a)		6,100		133,407
Web.com Group, Inc. †		15,400		276,430
Westell Technologies, Inc., Class A †(a)		19,600		41,944
Wright Express Corp. †(a)		800		55,776
Zix Corp. †		14,200		40,754
Zygo Corp. †		7,800		142,662
				20,332,527
Materials - 4.8%
A Schulman, Inc. (a)		9,100		216,762
ADA-ES, Inc. †		4,300		101,523
American Vanguard Corp. (a)		13,800		480,240
Balchem Corp. (a)		4,800		176,304
Boise, Inc.		15,500		135,780
Buckeye Technologies, Inc.		9,700		310,982
Deltic Timber Corp. (a)		1,900		123,994
Eagle Materials, Inc.		13,300		615,258
Flotek Industries, Inc. †		17,800		225,526
Georgia Gulf Corp.		12,800		463,616
Graphic Packaging Holding Co. †		19,900		115,619
H.B. Fuller Co. (a)		14,100		432,588
Handy & Harman Ltd. †(a)		3,600		53,208

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Materials - 4.8% (continued)
Hawkins, Inc. (a)		1,700	$	70,635
Haynes International, Inc.		1,400		73,010
Headwaters, Inc. †		37,700		248,066
Innophos Holdings, Inc. (a)		8,200		397,618
Innospec, Inc. †		6,700		227,264
KapStone Paper and Packaging Corp. †(a)		3,800		85,082
Koppers Holdings, Inc.		3,700		129,241
Louisiana-Pacific Corp. †(a)		35,900		448,750
Material Sciences Corp. †		8,000		73,120
Midway Gold Corp. †(a)		30,700		50,348
Myers Industries, Inc. (a)		10,900		170,258
Neenah Paper, Inc. (a)		4,000		114,560
PH Glatfelter Co.		4,400		78,364
Quaker Chemical Corp. (a)		1,000		46,670
Schweitzer-Mauduit International, Inc.		5,600		184,744
Senomyx, Inc. †		8,600		16,340
Stepan Co. (a)		2,400		230,688
Tredegar Corp.		5,000		88,700
UFP Technologies, Inc. †		3,400		59,806
Universal Stainless & Alloy †		2,600		96,590
Vista Gold Corp. †		33,900		123,057
Worthington Industries, Inc.		7,600		164,616
				6,628,927
Telecommunication Services - 1.0%
8x8, Inc. †		33,400		219,104
Atlantic Tele-Network, Inc. (a)		2,200		94,556
Cincinnati Bell, Inc. †(a)		42,200		240,540
Cogent Communications Group, Inc. (a)		12,400		285,076
Elephant Talk Communications, Inc. †(a)		14,600		20,148
General Communication, Inc., Class A †		4,600		45,080
HickoryTech Corp. (a)		1,700		17,986
IDT Corp., Class B		7,300		74,971
inContact, Inc. †		14,500		94,540
Lumos Networks Corp.		1,850		14,541
NTELOS Holdings Corp.		6,450		112,036
ORBCOMM, Inc. †(a)		4,000		14,960
Premiere Global Services, Inc. †		10,600		99,110
				1,332,648
Utilities - 1.3%
Artesian Resources Corp., Class A		2,300		53,429
CH Energy Group, Inc.		400		26,084
Chesapeake Utilities Corp.		7,400		350,464
Connecticut Water Service, Inc.		2,900		92,510
Genie Energy Ltd., Class B		5,900		42,303
Laclede Group, Inc./The (a)		8,600		369,800
MGE Energy, Inc. (a)		5,200		275,548
Middlesex Water Co.		4,300		82,388
NorthWestern Corp.		400		14,492
PNM Resources, Inc. (a)		11,700		246,051
Unitil Corp. (a)		4,200		114,324
UNS Energy Corp.		300		12,558
York Water Co. (a)		4,100		75,194
				1,755,145
TOTAL COMMON STOCKS (cost $115,921,886)				136,000,190
RIGHTS - 0.0% (b)
Information Technology - 0.0% (b)
Gerber Scientific, Inc., Expires (3)†(c)
(cost $—)		4,000		—

	SHARES		VALUE (Note 3)
WARRANTS - 0.0% (b)
Energy - 0.0% (b)
Magnum Hunter Resources Corp. (3)†(c)
(cost $—)		2,980	$	—
MONEY MARKET FUNDS - 0.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(d)
(cost $842,755)		842,755		842,755
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 27.4%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(d)(e)
(cost $37,476,923)		37,476,923		37,476,923
TOTAL INVESTMENTS - 127.3% (cost $154,241,564)				174,319,868
LIABILITIES IN EXCESS OF OTHER ASSETS - (27.3%) (f)				(37,343,212)
NET ASSETS - 100.0%			$	136,976,656

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $36,452,321; cash collateral of $37,476,923 was received with which the Fund purchased a money market fund.

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

(c) Security fair valued at $0 as of September 30, 2012 using procedures approved by the Board of Trustees.

(d) Represents annualized seven-day yield as of September 30, 2012.

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

(f) Includes depreciation on futures contracts.

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

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

Open futures contracts outstanding at September 30, 2012:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2012		UNREALIZED DEPRECIATION
Long Contracts:
8	E-Mini Russell 2000 Futures	December 21, 2012	$	678,461	$	667,520	$	(10,941	)

Cash held as collateral with broker for futures contracts was $54,437 at September 30, 2012.

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
COMMON STOCKS - 98.9%
Australia - 8.1%
ALS Ltd.		11,725	$	103,943
Amcor Ltd.		30,438		244,227
Atlas Iron Ltd. †		18,245		26,399
Australia & New Zealand Banking Group Ltd.		49,898		1,275,173
Caltex Australia Ltd.		4,085		69,599
CFS Retail Property Trust Group REIT		41,469		82,742
Coca-Cola Amatil Ltd.		10,216		143,426
Commonwealth Bank of Australia		27,136		1,562,438
Commonwealth Property Office Fund REIT		75,980		81,399
CSL Ltd.		8,759		416,611
Dexus Property Group REIT		90,954		89,420
GPT Group REIT		38,389		134,951
Insurance Australia Group Ltd.		62,946		283,898
Mesoblast Ltd. †		10,394		71,840
Mirvac Group REIT		60,599		89,621
National Australia Bank Ltd.		28,942		760,938
New Hope Corp. Ltd.		14,557		67,756
Orica Ltd.		4,011		103,147
OZ Minerals Ltd.		4,289		29,775
Paladin Energy Ltd. †(a)		12,165		15,562
QR National Ltd.		27,946		98,387
Ramsay Health Care Ltd.		3,907		97,125
Sonic Healthcare Ltd.		6,491		90,927
Telecom Corp of New Zealand Ltd. (a)		36,210		70,933
Telstra Corp. Ltd.		255,311		1,035,029
Wesfarmers Ltd.		3,799		134,455
Westfield Group REIT		56,684		595,658
Westfield Retail Trust REIT		88,920		265,508
Westpac Banking Corp. (a)		38,597		989,660
Woolworths Ltd.		8,977		267,308
WorleyParsons Ltd.		2,954		86,192
				9,384,047
Austria - 0.1%
Andritz AG		1,830		103,762
Lenzing AG		606		51,842
				155,604
Belgium - 2.4%
Ageas		11,340		272,435
Anheuser-Busch InBev NV		25,374		2,170,712
Belgacom SA		2,566		78,297
RTL Group SA		766		72,871
UCB SA		3,497		192,435
				2,786,750
Canada - 6.6% (1)
Agrium, Inc.		2,900		300,885
Alimentation Couche Tard, Inc., Class B		3,800		174,635
Atco Ltd., Class I		1,000		78,324
Baytex Energy Corp.		800		38,019
BCE, Inc.		9,900		435,536
Boardwalk Real Estate Investment Trust REIT (a)		1,500		99,161
Brookfield Office Properties, Inc.		7,200		119,670
Calloway Real Estate Investment Trust REIT		3,200		97,227
Canadian National Railway Co.		5,900		522,064
Canadian Pacific Railway Ltd.		4,600		381,766

	SHARES		VALUE (Note 3)
Canada - 6.6% (1) (continued)
Canadian Utilities Ltd., Class A		3,500	$	244,548
CGI Group, Inc., Class A †		10,200		273,909
CI Financial Corp.		3,300		76,265
Dollarama, Inc.		4,000		255,315
Domtar Corp.		900		70,555
Emera, Inc.		2,100		74,101
Empire Co., Ltd., Class A		1,100		66,217
Enbridge, Inc.		7,500		292,951
Fairfax Financial Holdings Ltd.		200		77,252
First Capital Realty, Inc.		3,800		72,629
First Majestic Silver Corp. †		4,300		99,813
Franco-Nevada Corp.		3,600		212,206
Gildan Activewear, Inc.		3,000		95,117
H&R Real Estate Investment Trust REIT		5,400		138,364
Intact Financial Corp.		2,700		164,236
Keyera Corp.		1,700		82,380
Lululemon Athletica, Inc. †		3,000		221,727
Methanex Corp.		2,000		57,064
Metro, Inc.		4,200		249,496
Onex Corp.		2,400		94,721
Paramount Resources Ltd., Class A †		2,400		73,189
Pembina Pipeline Corp.		4,600		129,143
RioCan Real Estate Investment Trust REIT (a)		8,000		225,165
Rogers Communications, Inc., Class B		2,500		101,210
Shoppers Drug Mart Corp.		200		8,327
TELUS Corp.		6,200		391,071
Tim Hortons, Inc.		5,100		265,401
Toronto-Dominion Bank/The		6,300		525,417
TransCanada Corp. (a)		3,800		172,935
Trilogy Energy Corp.		4,600		119,972
Valeant Pharmaceuticals International, Inc. †		1,329		73,351
Vermilion Energy, Inc.		1,300		61,092
Yamana Gold, Inc.		15,100		288,453
				7,600,879
Denmark - 1.8%
Carlsberg A/S, Class B		3,117		276,137
Coloplast A/S, Class B		894		186,294
DSV A/S		2,710		60,839
H Lundbeck A/S		3,734		69,180
Novo Nordisk A/S, Class B		8,917		1,403,303
William Demant Holding A/S †		1,394		124,902
				2,120,655
Finland - 0.8%
Elisa OYJ		3,629		82,122
Kesko OYJ, B Shares		1,282		36,338
Kone OYJ, Class B		3,513		243,482
Nokian Renkaat OYJ		1,747		71,313
Sampo OYJ, A Shares		4,733		147,484
Wartsila OYJ		8,465		293,744
				874,483
France - 7.3%
Air Liquide SA		3,601		446,348
AXA SA		18,006		268,068
Bureau Veritas SA		591		60,670
Christian Dior SA		1,623		217,405
Cie Generale d’Optique Essilor
International SA		3,545		331,727

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
France - 7.3% (continued)
Danone SA		2,877	$	177,019
Dassault Systemes SA		1,844		193,738
Edenred		3,620		101,648
European Aeronautic Defence and Space Co. NV		14,081		446,296
Eutelsat Communications SA		3,108		99,859
Hermes International		1,665		446,680
Iliad SA		1,834		298,470
Lafarge SA		5,316		285,615
L’Oreal SA		7,307		903,445
LVMH Moet Hennessy Louis Vuitton SA		971		145,765
Pernod-Ricard SA		4,394		492,878
PPR		1,784		273,809
Renault SA		5,669		265,627
Rexel SA		4,367		87,872
Safran SA		2,192		78,845
Sanofi		16,226		1,388,564
SCOR SE		2,421		62,405
SEB SA		592		41,046
Sodexo		1,964		147,874
Technip SA		1,542		171,334
Total SA		14,661		729,384
Unibail-Rodamco SE REIT		1,172		233,539
				8,395,930
Germany - 8.7%
Adidas AG		5,909		484,900
Allianz SE		4,951		590,474
BASF SE		9,004		760,803
Bayer AG		9,028		776,315
Beiersdorf AG		7,760		569,931
Continental AG		4,295		421,230
Daimler AG		6,159		298,931
Deutsche Post AG		18,373		358,930
E.ON AG		13,505		320,919
Fresenius Medical Care AG & Co. KGaA		5,562		407,975
Fresenius SE & Co. KGaA		2,724		316,302
GEA Group AG		2,796		84,771
Hannover Rueckversicherung AG		4,457		285,211
HeidelbergCement AG		5,185		272,336
Kabel Deutschland Holding AG †		2,893		206,517
Lanxess AG		3,371		280,015
Linde AG		3,571		615,497
Merck KGaA		3,635		448,715
Muenchener Rueckversicherungs AG		4,909		767,583
RWE AG		6,357		284,463
SAP AG		18,837		1,340,505
Suedzucker AG		2,234		79,139
				9,971,462
Hong Kong - 3.1%
AIA Group Ltd.		62,200		230,478
ASM Pacific Technology Ltd. (a)		9,700		114,698
BOC Hong Kong Holdings Ltd.		189,500		599,312
Cheung Kong Holdings Ltd.		20,000		292,174
Cheung Kong Infrastructure Holdings Ltd.		31,000		187,471
CLP Holdings Ltd.		1,500		12,732
Dah Chong Hong Holdings Ltd.		63,000		57,027
First Pacific Co., Ltd.		72,000		77,861
Galaxy Entertainment Group Ltd. †(a)		92,000		305,660

	SHARES		VALUE (Note 3)
Hong Kong - 3.1% (continued)
Giordano International Ltd.		64,000	$	53,665
Global Bio-Chem Technology Group Co., Ltd.		198,000		20,758
Great Wall Motor Co., Ltd.		250		656
Hang Seng Bank Ltd. (a)		2,800		42,804
Lifestyle International Holdings Ltd.		33,500		69,052
Link REIT/The REIT (a)		37,500		177,613
Melco International Development Ltd.		103,000		91,424
New World Development Co., Ltd.		196,000		302,036
NWS Holdings Ltd.		61,000		97,777
Sands China Ltd.		82,000		303,595
Shangri-La Asia Ltd.		24,000		46,416
SmarTone Telecommunications Holdings Ltd.		31,500		62,542
Stella International Holdings Ltd.		32,500		79,978
Swire Pacific Ltd., Class A		1,500		18,313
Swire Properties Ltd.		50		154
Television Broadcasts Ltd.		10,000		73,826
Towngas China Co., Ltd.		39,000		28,844
Vinda International Holdings Ltd.		44,000		60,454
Wheelock & Co., Ltd. (a)		16,000		68,739
Yingde Gases		63,500		56,058
				3,532,117
Israel - 0.5%
Bezeq The Israeli Telecommunication Corp. Ltd.		22,496		26,280
Israel Corp. Ltd./The		62		39,475
Mellanox Technologies Ltd. †		1,786		185,227
Teva Pharmaceutical Industries Ltd.		8,831		364,534
				615,516
Italy - 2.8%
Davide Campari-Milano SpA		11,007		86,644
Enel Green Power SpA		39,334		66,624
Eni SpA		63,063		1,382,560
Fiat Industrial SpA		27,185		266,228
Luxottica Group SpA		5,548		195,702
Pirelli & C. SpA (a)		9,640		104,024
Prada SpA		43,300		321,691
Saipem SpA		7,415		357,331
Snam SpA		22,123		98,132
Tenaris SA		15,608		319,402
Terna Rete Elettrica Nazionale SpA		16,361		61,008
				3,259,346
Japan - 15.0%
ABC-Mart, Inc.		2,700		119,156
Acom Co., Ltd. †		4,470		113,706
Aeon Credit Service Co., Ltd.		5,400		116,115
Ajinomoto Co., Inc.		24,000		375,919
Aozora Bank Ltd.		58,000		177,364
Asics Corp.		5,100		68,794
Astellas Pharma, Inc.		7,700		390,235
Autobacs Seven Co., Ltd. (a)		1,100		49,805
Calbee, Inc.		3,600		315,644
Calsonic Kansei Corp.		14,000		53,920
Century Tokyo Leasing Corp.		4,800		92,924
Chiyoda Corp.		7,000		108,751
Chugai Pharmaceutical Co., Ltd.		13,800		289,241
Chugoku Bank Ltd./The		5,000		70,446
Credit Saison Co., Ltd.		3,800		91,807
Daido Steel Co., Ltd. (a)		12,000		55,729

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Japan - 15.0% (continued)
Dainippon Screen Manufacturing Co., Ltd.		7,000	$	34,285
Dainippon Sumitomo Pharma Co., Ltd.		6,800		74,713
Daito Trust Construction Co., Ltd.		1,100		110,423
Daiwa House Industry Co., Ltd.		9,000		130,409
Eisai Co., Ltd.		2,900		130,639
FamilyMart Co., Ltd.		6,000		294,777
Fast Retailing Co., Ltd.		1,500		348,357
Fuji Heavy Industries Ltd.		17,000		141,635
Gunma Bank Ltd./The		15,000		76,175
Hachijuni Bank Ltd./The		12,000		66,532
Hankyu Hanshin Holdings, Inc.		52,000		280,828
Heiwa Corp.		3,300		55,360
Hino Motors Ltd.		32,000		209,482
Hitachi Ltd.		660		3,665
Hitachi Transport System Ltd.		3,200		53,621
Hokuhoku Financial Group, Inc.		23,000		35,556
Hoshizaki Electric Co., Ltd.		3,200		92,933
House Foods Corp.		3,600		60,905
IHI Corp.		27,000		60,134
Isuzu Motors Ltd.		52,000		250,575
Itochu Techno-Solutions Corp.		6,900		358,628
Japan Retail Fund Investment Corp. REIT		33		58,923
Japan Tobacco, Inc.		35,300		1,056,661
JGC Corp.		8,000		266,434
Joyo Bank Ltd./The		19,000		92,921
Kajima Corp. (a)		30,000		81,838
Kakaku.com, Inc.		2,100		78,715
Kewpie Corp.		4,700		78,634
Keyence Corp.		40		10,243
Kintetsu Corp. (a)		71,000		278,037
Komeri Co., Ltd.		2,500		63,617
Kyowa Hakko Kirin Co., Ltd.		6,000		72,457
Lawson, Inc.		4,500		345,440
M3, Inc.		69		131,173
McDonald’s Holdings Co., Japan Ltd.		3,700		105,407
Miraca Holdings, Inc.		1,700		76,344
Mitsubishi UFJ Financial Group, Inc.		83,400		390,275
Mitsui Fudosan Co., Ltd.		17,000		339,705
Mizuho Financial Group, Inc. (a)		174,700		283,545
Namco Bandai Holdings, Inc.		12,300		208,375
NHK Spring Co., Ltd.		12,500		107,407
Nikon Corp.		8,900		244,726
Nippon Shokubai Co., Ltd. (a)		7,000		78,289
Nippon Television Network Corp.		5,100		74,929
Nishi-Nippon City Bank Ltd./The		21,000		48,606
Nissin Foods Holdings Co., Ltd.		1,900		74,428
Nomura Research Institute Ltd.		3,500		72,130
NTT DOCOMO, Inc.		6		9,694
Odakyu Electric Railway Co., Ltd. (a)		11,000		115,607
OJI Paper Co., Ltd. (a)		15,000		45,650
Ono Pharmaceutical Co., Ltd.		2,500		153,830
Oriental Land Co., Ltd.		2,300		302,834
Otsuka Holdings Co., Ltd.		12,200		378,090
Park24 Co., Ltd.		5,400		88,236
Rakuten, Inc.		18,100		184,042
Sanrio Co., Ltd. (a)		2,600		92,993
Santen Pharmaceutical Co., Ltd.		2,100		96,327
Sawai Pharmaceutical Co., Ltd.		700		81,224
Sekisui Chemical Co., Ltd.		10,000		80,542

	SHARES		VALUE (Note 3)
Japan - 15.0% (continued)
Seven & I Holdings Co., Ltd.		10,300	$	315,626
Shimamura Co., Ltd.		2,300		267,762
Shimano, Inc.		1,600		116,170
SKY Perfect JSAT Holdings, Inc.		133		59,890
Softbank Corp.		11,100		448,790
Sugi Holdings Co., Ltd.		2,600		91,282
Sumitomo Corp.		18,100		243,492
Sumitomo Forestry Co., Ltd.		9,300		82,578
Sumitomo Mitsui Financial Group, Inc.		11,300		352,087
Sumitomo Realty & Development Co., Ltd.		8,000		211,988
Sumitomo Rubber Industries Ltd.		6,400		76,112
Suruga Bank Ltd.		8,000		90,674
Sysmex Corp.		3,100		149,062
Taiheiyo Cement Corp.		49,000		105,483
Taisei Corp. (a)		28,000		80,231
Tobu Railway Co., Ltd. (a)		73,000		392,793
Toho Gas Co., Ltd.		17,000		112,806
Tokyo Gas Co., Ltd.		52,000		285,945
Tokyu Corp.		41,000		195,847
TOTO Ltd.		12,000		88,151
Toyo Suisan Kaisha Ltd.		3,000		75,069
Toyota Tsusho Corp.		18,400		393,056
Trend Micro, Inc.		3,500		97,587
Ube Industries Ltd.		25,000		53,685
Unicharm Corp. (a)		7,800		447,215
USS Co., Ltd.		1,250		132,012
Yakult Honsha Co., Ltd. (a)		5,200		246,568
Yamaguchi Financial Group, Inc.		5,000		40,458
Yamazaki Baking Co., Ltd.		5,000		66,917
Yokogawa Electric Corp.		8,300		95,796
Yokohama Rubber Co., Ltd./The		14,000		103,453
Zensho Holdings Co., Ltd. (a)		4,900		62,411
				17,288,512
Netherlands - 6.3%
Akzo Nobel NV		4,998		282,221
ASML Holding NV		11,663		623,836
Gemalto NV		3,241		285,043
Heineken NV		7,509		447,613
Koninklijke Ahold NV		12,773		159,976
Koninklijke DSM NV		1,137		56,718
Koninklijke Philips Electronics NV		12,874		300,575
Koninklijke Vopak NV		762		53,468
Royal Dutch Shell PLC, Class A		96,292		3,334,055
Unilever NV CVA		46,959		1,665,450
				7,208,955
Norway - 2.7%
Aker Solutions ASA		15,020		286,125
Golar LNG Ltd.		2,009		78,176
Petroleum Geo-Services ASA		17,644		293,503
Seadrill Ltd.		13,054		512,821
Statoil ASA		52,537		1,355,801
Telenor ASA		22,754		444,106
TGS Nopec Geophysical Co. ASA		3,376		110,086
				3,080,618
Portugal - 0.2%
Galp Energia SGPS SA		4,497		72,855
Jeronimo Martins SGPS SA		6,068		101,303

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Portugal - 0.2% (continued)
Portugal Telecom SGPS SA		7,413	$	36,629
				210,787
Singapore - 3.4%
Ascendas Real Estate Investment
Trust REIT		52,000		101,853
CapitaLand Ltd.		125,000		321,978
Dairy Farm International Holdings, Ltd.		6,300		69,986
DBS Group Holdings Ltd.		27,000		315,367
Fraser and Neave Ltd.		50,000		360,345
Global Logistic Properties Ltd.		210,000		428,066
Jardine Cycle & Carriage Ltd. (a)		6,000		234,202
Jardine Matheson Holdings Ltd.		11,600		658,503
Jardine Strategic Holdings Ltd.		7,000		236,971
Keppel Corp. Ltd.		35,000		323,603
Noble Group Ltd.		19,363		20,783
SembCorp Industries Ltd.		13,000		59,723
SembCorp Marine Ltd.		17,000		68,378
Singapore Telecommunications Ltd.		256,000		666,611
StarHub Ltd.		33,000		99,867
				3,966,236
Spain - 1.9%
Amadeus IT Holding SA, A Shares		12,030		280,467
Ferrovial SA		11,268		146,800
Grifols SA †		9,811		324,287
Inditex SA		10,745		1,335,097
Red Electrica Corp. SA		2,354		111,571
				2,198,222
Sweden - 4.0%
Alfa Laval AB		6,671		121,217
Assa Abloy AB, Class B		5,856		190,128
Atlas Copco AB, A Shares		11,995		280,280
Electrolux AB, Series B		11,360		280,701
Elekta AB, B Shares		6,724		88,772
Getinge AB, B Shares		4,444		134,158
Hennes & Mauritz AB, B Shares		27,327		951,066
Industrivarden AB, Class C		4,099		58,738
Investor AB, B Shares		16,029		353,232
Lundin Petroleum AB †		7,466		182,332
Meda AB, A Shares		7,554		76,521
Skandinaviska Enskilda Banken AB, Class A		34,172		286,341
Svenska Cellulosa AB, B Shares		5,358		99,615
Svenska Handelsbanken AB, A Shares		15,565		584,139
Swedbank AB, A Shares		21,343		401,440
Swedish Match AB		4,571		185,042
Volvo AB, B Shares		23,782		334,124
				4,607,846
Switzerland - 8.6%
Adecco SA †		5,658		270,078
Compagnie Financiere Richemont SA, Class A		9,054		543,631
Geberit AG †		236		51,402
Holcim Ltd. †		4,469		284,635
Nestle SA		45,680		2,882,288
Novartis AG		28,392		1,737,690
Roche Holding AG		9,510		1,778,814
Schindler Holding AG		1,395		171,756
SGS SA		237		487,374

	SHARES		VALUE (Note 3)
Switzerland - 8.6% (continued)
Swatch Group AG/The		716	$	285,938
Syngenta AG		1,918		717,490
Zurich Insurance Group AG †		2,580		643,213
				9,854,309
United Kingdom - 14.6%
Aggreko PLC		7,624		285,401
ARM Holdings PLC		2,198		20,515
Associated British Foods PLC		9,388		195,621
AstraZeneca PLC		240		11,459
BG Group PLC		2,230		45,123
British American Tobacco PLC		28,992		1,489,708
British Sky Broadcasting Group PLC		17,246		206,996
BT Group PLC		130,732		487,335
Bunzl PLC		7,883		141,365
Burberry Group PLC		10,227		165,596
Compass Group PLC		41,470		458,420
CRH PLC		13,354		257,072
Croda International PLC		3,164		124,208
Diageo PLC		46,529		1,310,171
Experian PLC		34,548		575,249
Fresnillo PLC		1,715		51,476
G4S PLC		22,026		94,608
GlaxoSmithKline PLC		62,859		1,450,951
IMI PLC		4,267		62,160
Imperial Tobacco Group PLC		12,034		445,818
Intertek Group PLC		2,171		96,251
Johnson Matthey PLC		2,582		100,853
Kingfisher PLC		42,770		182,841
Legal & General Group PLC		62,913		134,313
Meggitt PLC		17,966		114,658
Mondi PLC		7,018		71,596
National Grid PLC		39,563		436,414
Next PLC		6,383		356,101
Old Mutual PLC		33,291		91,587
Pearson PLC		15,946		311,721
Petrofac Ltd.		14,632		378,045
Prudential PLC		39,000		506,426
Randgold Resources Ltd.		303		37,273
Reckitt Benckiser Group PLC		4,737		272,920
Reed Elsevier PLC		9,377		89,768
Rexam PLC		12,637		88,915
Rolls-Royce Holdings PLC †		35,118		479,069
SABMiller PLC		32,301		1,421,246
Sage Group PLC/The		14,253		72,222
Severn Trent PLC		3,568		96,753
Shire PLC		2,048		60,413
Smith & Nephew PLC		5,401		59,580
SSE PLC		8,866		199,509
Standard Life PLC		35,622		157,245
Tate & Lyle PLC		14,485		155,800
Tullow Oil PLC		11,125		246,799
United Utilities Group PLC		13,217		152,803
Vodafone Group PLC		704,780		2,002,726
WM Morrison Supermarkets PLC		42,179		194,476
Wolseley PLC		5,086		217,559
WPP PLC		7,612		103,682
				16,768,816
TOTAL COMMON STOCKS (cost $101,579,469)				113,881,090

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
EXCHANGE-TRADED FUNDS - 0.5%
iShares MSCI EAFE Index Fund (1)
(cost $504,633)		10,617	$	562,701
MONEY MARKET FUNDS - 0.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)
(cost $225,757)		225,757		225,757
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (b)(c)
(cost $3,253,508)		3,253,508		3,253,508
TOTAL INVESTMENTS - 102.4% (cost $105,563,367)				117,923,056
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.4%)				(2,811,959)
NET ASSETS - 100.0%			$	115,111,097

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $3,083,879; cash collateral of $3,253,508 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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 Certificate of Shares

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	14,692,728		12.7	%
Consumer Staples		20,859,439		18.1
Energy		11,064,522		9.6
Financials		19,712,772		17.1
Health Care		14,506,078		12.6
Industrials		12,622,321		11.0
Information Technology		4,141,210		3.6
Materials		6,651,806		5.8
Mutual Fund		562,701		0.5
Telecommunication Services		6,777,248		5.9
Utilities		2,852,966		2.5
Money Market Funds		3,479,265		3.0
Total Investments		117,923,056		102.4
Liabilities in Excess of Other Assets		(2,811,959)		(2.4)
Net Assets	$	115,111,097		100.0	%

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

COMMON STOCKS - 97.8%	SHARES		VALUE (Note 3)
Consumer Discretionary - 21.6%
Aaron’s, Inc. (a)		93	$	2,586
Amazon.com, Inc. †		53		13,479
Apollo Group, Inc., Class A †		71		2,063
AutoNation, Inc. †(a)		90		3,930
AutoZone, Inc. †		16		5,915
Bed Bath & Beyond, Inc. †		101		6,363
BorgWarner, Inc. †(a)		22		1,520
Buckle, Inc./The (a)		45		2,044
Carter’s, Inc. †		59		3,177
CBS Corp., Class B		788		28,628
Chipotle Mexican Grill, Inc. †		49		15,559
Cinemark Holdings, Inc. (a)		92		2,064
Coach, Inc.		66		3,697
Comcast Corp., Class A		1,823		65,209
Deckers Outdoor Corp. †(a)		28		1,026
Dillard’s, Inc., Class A		49		3,544
DIRECTV †		86		4,512
DISH Network Corp., Class A		192		5,877
Dollar General Corp. †		579		29,842
Dollar Tree, Inc. †		295		14,241
Domino’s Pizza, Inc. (a)		82		3,091
DR Horton, Inc. (a)		795		16,409
DSW, Inc., Class A		51		3,403
Express, Inc. †(a)		194		2,875
Family Dollar Stores, Inc.		63		4,177
Foot Locker, Inc.		105		3,727
Fossil, Inc. †		37		3,134
GameStop Corp., Class A (a)		66		1,386
Gap, Inc./The		502		17,962
Genuine Parts Co.		74		4,516
GNC Holdings, Inc., Class A		104		4,053
Goodyear Tire & Rubber Co./The †		186		2,267
H&R Block, Inc.		197		3,414
Home Depot, Inc./The		1,221		73,712
HSN, Inc. (a)		57		2,796
Las Vegas Sands Corp.		457		21,191
Lennar Corp., Class A (a)		624		21,696
Liberty Media Corp. - Liberty Capital, Class A †		44		4,583
LKQ Corp. †(a)		202		3,737
Lowe’s Cos., Inc.		949		28,698
Ltd. Brands, Inc.		139		6,847
Macy’s, Inc.		524		19,713
Madison Square Garden Co./The, Class A †(a)		56		2,255
Mattel, Inc.		402		14,263
McGraw-Hill Cos., Inc./The		120		6,551
News Corp., Class A		2,041		50,066
NIKE, Inc., Class B		304		28,853
Nordstrom, Inc.		59		3,256
O’Reilly Automotive, Inc. †		60		5,017
Panera Bread Co., Class A †		24		4,101
PetSmart, Inc.		64		4,415
Polaris Industries, Inc. (a)		56		4,529
priceline.com, Inc. †		39		24,130
PulteGroup, Inc. †		1,557		24,134
Ralph Lauren Corp.		40		6,049
Rent-A-Center, Inc. (a)		57		2,000
Ross Stores, Inc.		256		16,538
Sally Beauty Holdings, Inc. †		147		3,688
Sears Holdings Corp. †		35		1,942
Service Corp. International		218		2,934
Sirius XM Radio, Inc. †		4,683		12,176

	SHARES		VALUE (Note 3)
Consumer Discretionary - 21.6% (continued)
Six Flags Entertainment Corp.		55	$	3,234
Starbucks Corp.		458		23,243
Tesla Motors, Inc. †(a)		56		1,640
Tiffany & Co. (a)		39		2,413
Time Warner, Inc.		212		9,610
TJX Cos., Inc.		768		34,399
Tractor Supply Co.		49		4,846
Tupperware Brands Corp.		43		2,304
Ulta Salon Cosmetics & Fragrance, Inc.		50		4,815
Under Armour, Inc., Class A †(a)		82		4,578
VF Corp.		51		8,127
Viacom, Inc., Class B		118		6,324
Walt Disney Co./The		1,137		59,442
Weight Watchers International, Inc. (a)		51		2,693
Wolverine World Wide, Inc. (a)		50		2,218
Wyndham Worldwide Corp.		277		14,537
Wynn Resorts Ltd.		37		4,271
Yum! Brands, Inc.		243		16,121
				890,375
Consumer Staples - 10.9%
Altria Group, Inc.		932		31,120
Brown-Forman Corp., Class B		66		4,307
Casey’s General Stores, Inc. (a)		44		2,514
Church & Dwight Co., Inc.		85		4,589
Coca-Cola Co./The		102		3,869
Colgate-Palmolive Co.		155		16,619
ConAgra Foods, Inc.		182		5,021
Costco Wholesale Corp.		147		14,718
CVS Caremark Corp.		734		35,540
Estee Lauder Cos., Inc./The, Class A		151		9,297
Flowers Foods, Inc. (a)		102		2,058
General Mills, Inc.		150		5,978
Green Mountain Coffee Roasters, Inc. †(a)		84		1,995
Herbalife Ltd. (Cayman Islands)		71		3,365
Hershey Co./The		95		6,735
HJ Heinz Co. (a)		50		2,798
Hormel Foods Corp. (a)		136		3,977
JM Smucker Co./The		55		4,748
Kimberly-Clark Corp.		366		31,396
Kraft Foods, Inc., Class A		535		22,122
Kroger Co./The		86		2,024
Lorillard, Inc.		61		7,104
Mead Johnson Nutrition Co.		82		6,009
Monster Beverage Corp. †		364		19,714
Nu Skin Enterprises, Inc., Class A (a)		58		2,252
Philip Morris International, Inc.		681		61,249
Pricesmart, Inc. (a)		39		2,953
Ralcorp Holdings, Inc. †		26		1,898
Reynolds American, Inc. (a)		232		10,055
Smithfield Foods, Inc. †		116		2,279
TreeHouse Foods, Inc. †		39		2,048
Tyson Foods, Inc., Class A		192		3,076
Wal-Mart Stores, Inc.		1,388		102,434
Whole Foods Market, Inc.		135		13,149
				449,010
Energy - 4.1%
Anadarko Petroleum Corp.		60		4,195
Apco Oil and Gas International, Inc.		32		515
Cabot Oil & Gas Corp.		130		5,837
CARBO Ceramics, Inc. (a)		17		1,070
Chesapeake Energy Corp.		102		1,925
Chevron Corp.		66		7,693

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 3)
Energy - 4.1% (continued)
Cobalt International Energy, Inc. †		757	$	16,858
ConocoPhillips		135		7,719
Dresser-Rand Group, Inc. †		42		2,314
EOG Resources, Inc.		32		3,585
EQT Corp.		82		4,838
FMC Technologies, Inc. †		64		2,963
Golar LNG Ltd. (Bermuda)		71		2,740
Gulfport Energy Corp. †(a)		49		1,532
Helix Energy Solutions Group, Inc. †(a)		146		2,667
HollyFrontier Corp.		81		3,343
Key Energy Services, Inc. †		134		938
Kinder Morgan, Inc.		785		27,883
Kodiak Oil & Gas Corp. †		1,030		9,641
Marathon Oil Corp.		178		5,263
Marathon Petroleum Corp.		173		9,444
Noble Energy, Inc.		23		2,132
Oasis Petroleum, Inc. †		30		884
Oceaneering International, Inc.		67		3,702
Range Resources Corp.		84		5,869
Rosetta Resources, Inc. †(a)		40		1,916
Seadrill Ltd. (Norway)		144		5,648
SM Energy Co.		42		2,273
Spectra Energy Corp.		227		6,665
Tesoro Corp.		112		4,693
Valero Energy Corp.		91		2,883
Williams Cos., Inc./The		269		9,407
World Fuel Services Corp. (a)		52		1,852
				170,887
Financials - 13.2%
American Campus Communities,
Inc. REIT		63		2,764
American Express Co.		479		27,236
American Financial Group, Inc.		68		2,577
American International Group, Inc. †		1,279		41,938
American Tower Corp. REIT		358		25,558
Arch Capital Group Ltd. (Bermuda) †(a)		86		3,584
AvalonBay Communities, Inc. REIT		37		5,032
BB&T Corp.		375		12,435
Boston Properties, Inc. REIT		39		4,314
BRE Properties, Inc. REIT (a)		50		2,344
Capital One Financial Corp.		175		9,977
Chubb Corp./The		190		14,493
Digital Realty Trust, Inc. REIT (a)		55		3,842
Discover Financial Services		221		8,780
Equity Lifestyle Properties, Inc. REIT		31		2,112
Erie Indemnity Co., Class A		32		2,057
Essex Property Trust, Inc. REIT (a)		22		3,261
Extra Space Storage, Inc. REIT		110		3,657
Federal Realty Investment Trust REIT (a)		34		3,580
Fidelity National Financial, Inc., Class A		146		3,123
General Growth Properties, Inc. REIT		1,377		26,824
HCP, Inc. REIT		443		19,705
Health Care REIT, Inc. REIT		462		26,680
Marsh & McLennan Cos., Inc.		196		6,650
Moody’s Corp. (a)		113		4,991
Ocwen Financial Corp. †(a)		119		3,262
ProAssurance Corp.		33		2,985
Prologis, Inc. REIT		69		2,417
Public Storage REIT		189		26,303
Rayonier, Inc. REIT (a)		72		3,529
Signature Bank †(a)		40		2,683
Simon Property Group, Inc. REIT		219		33,246
SLM Corp.		80		1,258

	SHARES		VALUE (Note 3)
Financials - 13.2% (continued)
Tanger Factory Outlet Centers REIT		72	$	2,328
Taubman Centers, Inc. REIT		42		3,223
US Bancorp		1,669		57,247
Ventas, Inc. REIT		229		14,255
Wells Fargo & Co.		3,472		119,888
WR Berkley Corp. (a)		97		3,637
				543,775
Health Care - 12.7%
Abbott Laboratories		291		19,951
Accretive Health, Inc. †		106		1,183
Aetna, Inc.		150		5,940
Alexion Pharmaceuticals, Inc. †		280		32,032
Allergan, Inc.		105		9,616
AmerisourceBergen Corp.		46		1,781
Amgen, Inc.		474		39,968
athenahealth, Inc. †(a)		42		3,854
Biogen Idec, Inc. †		167		24,921
BioMarin Pharmaceutical, Inc. †		82		3,302
Bristol-Myers Squibb Co.		767		25,886
Cardinal Health, Inc.		99		3,858
Catamaran Corp. †(a)		44		4,311
Celgene Corp. †		287		21,927
Cepheid, Inc. †(a)		65		2,243
Cerner Corp. †		78		6,038
Cigna Corp.		80		3,774
Cooper Cos., Inc./The		25		2,362
Cubist Pharmaceuticals, Inc. †(a)		74		3,528
Eli Lilly & Co.		601		28,493
Express Scripts Holding Co. †		365		22,875
Gilead Sciences, Inc. †		221		14,659
HCA Holdings, Inc.		382		12,702
Humana, Inc.		72		5,051
Intuitive Surgical, Inc. †		26		12,886
Jazz Pharmaceuticals PLC (Ireland) †(a)		22		1,254
Johnson & Johnson		76		5,237
McKesson Corp.		63		5,420
Merck & Co., Inc.		951		42,890
Omnicare, Inc.		90		3,057
Onyx Pharmaceuticals, Inc. †		58		4,901
Perrigo Co.		47		5,460
Pfizer, Inc.		3,092		76,836
Pharmacyclics, Inc. †		329		21,221
Regeneron Pharmaceuticals, Inc. †(a)		98		14,961
Thoratec Corp. †		57		1,972
UnitedHealth Group, Inc.		330		18,285
Watson Pharmaceuticals, Inc. †		45		3,832
WellCare Health Plans, Inc. †		53		2,997
WellPoint, Inc.		89		5,163
				526,627
Industrials - 9.1%
Chart Industries, Inc. †(a)		32		2,363
CLARCOR, Inc. (a)		41		1,830
Clean Harbors, Inc. †(a)		45		2,198
Copart, Inc. †		106		2,939
Delta Air Lines, Inc. †		1,583		14,500
Donaldson Co., Inc. (a)		84		2,916
Fastenal Co.		131		5,632
Gardner Denver, Inc.		25		1,510
General Electric Co.		6,175		140,234
Genesee & Wyoming, Inc., Class A †(a)		34		2,273
Hexcel Corp. †(a)		109		2,618
Iron Mountain, Inc.		115		3,923
Kansas City Southern		58		4,395

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 3)
Industrials - 9.1% (continued)
Kirby Corp. †(a)		47	$	2,598
Lincoln Electric Holdings, Inc. (a)		63		2,460
Lockheed Martin Corp.		39		3,642
Norfolk Southern Corp.		121		7,699
Old Dominion Freight Line, Inc. †		84		2,533
Polypore International, Inc. †(a)		35		1,237
Precision Castparts Corp.		33		5,390
Rollins, Inc.		105		2,456
Ryder System, Inc.		25		977
Sauer-Danfoss, Inc.		56		2,252
Teledyne Technologies, Inc. †(a)		41		2,599
Towers Watson & Co., Class A		39		2,069
TransDigm Group, Inc. †		32		4,540
Triumph Group, Inc. (a)		44		2,751
Union Pacific Corp.		364		43,207
United Parcel Service, Inc., Class B		344		24,620
United Rentals, Inc. †		336		10,991
US Airways Group, Inc. †(a)		359		3,755
Verisk Analytics, Inc., Class A †		332		15,807
Wabtec Corp.		40		3,212
Waste Connections, Inc.		76		2,299
WW Grainger, Inc.		195		40,632
				375,057
Information Technology - 16.8%
Alliance Data Systems Corp. †(a)		33		4,684
AOL, Inc. †		236		8,314
Apple, Inc.		442		294,929
Automatic Data Processing, Inc.		159		9,327
Cadence Design Systems, Inc. †(a)		264		3,396
Cisco Systems, Inc.		802		15,310
CommVault Systems, Inc. †(a)		40		2,348
Dell, Inc.		606		5,975
eBay, Inc. †		790		38,244
EchoStar Corp., Class A †(a)		43		1,232
Electronic Arts, Inc. †		216		2,741
Equinix, Inc. †(a)		51		10,509
Fortinet, Inc. †		124		2,993
Fusion-io, Inc. †(a)		135		4,087
Google, Inc., Class A †		6		4,527
IAC/InterActiveCorp		82		4,269
Intel Corp.		2,827		64,116
International Business Machines Corp.		24		4,979
Intuit, Inc.		74		4,357
IPG Photonics Corp. †(a)		43		2,464
Jack Henry & Associates, Inc.		62		2,350
KLA-Tencor Corp.		80		3,816
LinkedIn Corp., Class A †		33		3,973
Mastercard, Inc., Class A		58		26,186
Microsoft Corp.		824		24,539
Molex, Inc. (a)		79		2,076
Motorola Solutions, Inc.		138		6,976
NCR Corp. †		95		2,214
NetSuite, Inc. †(a)		72		4,594
NeuStar, Inc., Class A †		69		2,762
Nuance Communications, Inc. †(a)		155		3,858
Oracle Corp.		621		19,555
QUALCOMM, Inc.		171		10,686
Rackspace Hosting, Inc. †(a)		82		5,419
SolarWinds, Inc. †		98		5,463
Teradata Corp. †		80		6,033
TIBCO Software, Inc. †		93		2,811
Total System Services, Inc.		143		3,389
Ultimate Software Group, Inc. †(a)		25		2,553

	SHARES		VALUE (Note 3)
Information Technology - 16.8% (continued)
Universal Display Corp. †(a)		41	$	1,410
VeriFone Systems, Inc. †		48		1,337
Visa, Inc., Class A		351		47,132
VMware, Inc., Class A †(a)		140		13,544
Xilinx, Inc.		97		3,241
				694,718
Materials - 2.3%
Airgas, Inc.		30		2,469
Allied Nevada Gold Corp. †(a)		73		2,851
Carpenter Technology Corp.		51		2,668
Celanese Corp., Series A		24		910
CF Industries Holdings, Inc.		82		18,224
Ecolab, Inc.		65		4,213
Molycorp, Inc. †(a)		35		402
Monsanto Co.		313		28,489
NewMarket Corp. (a)		14		3,451
Newmont Mining Corp.		60		3,361
Praxair, Inc.		34		3,532
Royal Gold, Inc.		48		4,793
Sherwin-Williams Co./The		116		17,273
WR Grace & Co. †		48		2,836
				95,472
Telecommunication Services - 3.4%
AT&T, Inc.		2,011		75,815
Level 3 Communications, Inc. †(a)		128		2,940
Sprint Nextel Corp. †		2,023		11,167
Verizon Communications, Inc.		1,160		52,861
				142,783
Utilities - 3.7%
AGL Resources, Inc.		62		2,536
Ameren Corp.		110		3,594
American Electric Power Co., Inc.		130		5,712
American Water Works Co., Inc.		122		4,521
Calpine Corp. †		225		3,893
CenterPoint Energy, Inc.		247		5,261
Cleco Corp. (a)		70		2,939
CMS Energy Corp.		150		3,533
Consolidated Edison, Inc.		120		7,187
Dominion Resources, Inc.		205		10,853
DTE Energy Co.		87		5,215
Duke Energy Corp.		278		18,014
FirstEnergy Corp.		177		7,806
ITC Holdings Corp. (a)		37		2,796
NextEra Energy, Inc.		56		3,939
NiSource, Inc.		195		4,969
NV Energy, Inc.		127		2,287
OGE Energy Corp.		61		3,383
ONEOK, Inc.		108		5,217
Pinnacle West Capital Corp.		73		3,854
Portland General Electric Co.		98		2,650
PPL Corp.		242		7,030
Questar Corp.		122		2,480
Southern Co.		425		19,588
UIL Holdings Corp. (a)		72		2,582
WGL Holdings, Inc. (a)		68		2,737
Wisconsin Energy Corp.		89		3,353
Xcel Energy, Inc.		158		4,378
				152,307
TOTAL COMMON STOCKS (cost $3,735,261)				4,041,011

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 3)
EXCHANGE-TRADED FUNDS - 1.9%
SPDR S&P 500 ETF Trust
(cost $76,131)		540	$	77,722
MONEY MARKET FUNDS - 3.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b)
(cost $123,690)		123,690		123,690
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 6.0%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(b)(c)
(cost $248,678)		248,678		248,678
TOTAL INVESTMENTS - 108.7% (cost $4,183,760)				4,491,101
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.7%)				(361,192)
NET ASSETS - 100.0%			$	4,129,909

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $243,020; cash collateral of $248,678 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

COMMON STOCKS - 97.3%	SHARES		VALUE (Note 3)
Consumer Discretionary - 16.3%
American Public Education, Inc. †(a)		58	$	2,113
America’s Car-Mart, Inc. †(a)		61		2,774
Ameristar Casinos, Inc.		118		2,100
ANN, Inc. †		88		3,320
Arbitron, Inc.		51		1,933
Arctic Cat, Inc. †		166		6,882
Asbury Automotive Group, Inc. †		234		6,540
Ascent Capital Group, Inc., Class A †		63		3,403
Barnes & Noble, Inc. †		101		1,291
Beazer Homes USA, Inc. †		1,573		5,584
bebe stores, inc.		410		1,968
BJ’s Restaurants, Inc. †(a)		57		2,585
Black Diamond, Inc. †(a)		382		3,350
Blyth, Inc. (a)		98		2,547
Bob Evans Farms, Inc.		192		7,513
Brown Shoe Co., Inc.		303		4,857
Brunswick Corp. (a)		116		2,625
Buffalo Wild Wings, Inc. †(a)		66		5,659
Cabela’s, Inc. †(a)		167		9,132
Caribou Coffee Co., Inc. †		143		1,963
Children’s Place Retail Stores, Inc./The †(a)		73		4,380
Churchill Downs, Inc.		75		4,704
Coinstar, Inc. †(a)		52		2,339
Collective Brands, Inc. †		421		9,140
Conn’s, Inc. †		363		8,004
Cooper Tire & Rubber Co.		371		7,116
Core-Mark Holding Co., Inc.		49		2,357
Cracker Barrel Old Country Store, Inc.		222		14,898
CSS Industries, Inc.		91		1,870
Delta Apparel, Inc. †(a)		110		1,515
Domino’s Pizza, Inc. (a)		321		12,102
Dorman Products, Inc. †		104		3,277
Drew Industries, Inc. †		70		2,115
Einstein Noah Restaurant Group, Inc.		90		1,592
Ethan Allen Interiors, Inc. (a)		121		2,652
Fiesta Restaurant Group, Inc. †		173		2,745
Fifth & Pacific Cos., Inc. †		902		11,528
Finish Line, Inc./The, Class A (a)		238		5,412
Fisher Communications, Inc. †		68		2,500
Francesca’s Holdings Corp. †		101		3,104
Genesco, Inc. †		141		9,409
Gentherm, Inc. †		157		1,953
Group 1 Automotive, Inc. (a)		93		5,601
Helen of Troy Ltd. (Bermuda) †		96		3,056
Hibbett Sports, Inc. †(a)		172		10,225
Hillenbrand, Inc.		64		1,164
Hot Topic, Inc.		342		2,975
Hovnanian Enterprises, Inc., Class A †		1,709		5,913
iRobot Corp. †(a)		130		2,959
Johnson Outdoors, Inc., Class A †(a)		84		1,797
Jos. A. Bank Clothiers, Inc. †(a)		118		5,721
K12, Inc. †		78		1,576
KB Home		411		5,898
Kona Grill, Inc. †		165		1,477
Krispy Kreme Doughnuts, Inc. †		235		1,864
La-Z-Boy, Inc. †		430		6,291
LeapFrog Enterprises, Inc. †(a)		701		6,323
Lions Gate Entertainment Corp. †(a)		298		4,550
Lithia Motors, Inc., Class A		138		4,597
Lumber Liquidators Holdings, Inc. †(a)		208		10,541

	SHARES		VALUE (Note 3)
Consumer Discretionary - 16.3% (continued)
M/I Homes, Inc. †		223	$	4,313
Martha Stewart Living Omnimedia, Class A		226		694
MDC Holdings, Inc. (a)		331		12,747
Men’s Wearhouse, Inc./The (a)		77		2,651
Meritage Homes Corp. †(a)		248		9,431
Monro Muffler Brake, Inc. (a)		114		4,012
Movado Group, Inc. (a)		246		8,295
Multimedia Games Holding Co., Inc. †		256		4,027
NACCO Industries, Inc., Class A		62		7,775
Nexstar Broadcasting Group, Inc., Class A †		220		2,336
Oxford Industries, Inc.		75		4,234
Papa John’s International, Inc. †		112		5,982
Peet’s Coffee & Tea, Inc. †		87		6,381
Penske Automotive Group, Inc. (a)		131		3,942
Pier 1 Imports, Inc. (a)		748		14,018
Pool Corp.		199		8,274
Red Robin Gourmet Burgers, Inc. †(a)		87		2,833
Ryland Group, Inc./The (a)		377		11,310
Saga Communications, Inc., Class A †		37		1,499
Select Comfort Corp. †(a)		500		15,775
Sinclair Broadcast Group, Inc., Class A		335		3,755
Skechers U.S.A., Inc., Class A †		234		4,774
Smith & Wesson Holding Corp. †(a)		801		8,819
Sonic Automotive, Inc., Class A		237		4,498
Standard Motor Products, Inc.		126		2,321
Standard Pacific Corp. †		2,620		17,711
Steinway Musical Instruments, Inc. †		94		2,290
Steven Madden Ltd. †		109		4,765
Sturm, Ruger & Co., Inc. (a)		220		10,888
Systemax, Inc. †		145		1,712
Thor Industries, Inc.		218		7,918
Town Sports International Holdings, Inc. †(a)		240		2,969
True Religion Apparel, Inc. (a)		123		2,624
Vitamin Shoppe, Inc. †		169		9,856
Winmark Corp.		35		1,893
Zumiez, Inc. †		228		6,322
				499,023
Consumer Staples - 4.2%
Andersons, Inc./The (a)		86		3,239
B&G Foods, Inc. (a)		336		10,184
Boston Beer Co., Inc./The, Class A †(a)		72		8,062
Calavo Growers, Inc.		67		1,675
Cal-Maine Foods, Inc.		101		4,539
Coca-Cola Bottling Co. Consolidated		37		2,520
Dean Foods Co. †		222		3,630
Elizabeth Arden, Inc. †		131		6,188
Fresh Del Monte Produce, Inc.		157		4,019
Hain Celestial Group, Inc./The †		131		8,253
Harbinger Group, Inc. †		384		3,237
J&J Snack Foods Corp.		84		4,816
Lancaster Colony Corp. (a)		40		2,930
National Beverage Corp. †(a)		207		3,138
Omega Protein Corp. †(a)		138		947
Pizza Inn Holdings, Inc. †(a)		228		668
Prestige Brands Holdings, Inc. †		333		5,648
Revlon, Inc., Class A †		233		3,597
Rite Aid Corp. †		2,521		2,950
Sanderson Farms, Inc.		65		2,884

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 4.2% (continued)
Smart Balance, Inc. †		415	$	5,013
Snyders-Lance, Inc.		152		3,800
Spartan Stores, Inc. (a)		107		1,638
Spectrum Brands Holdings, Inc.		257		10,283
Star Scientific, Inc. †(a)		1,901		6,577
Susser Holdings Corp. †		195		7,053
Universal Corp. (a)		72		3,666
WD-40 Co.		78		4,106
Weis Markets, Inc.		80		3,386
				128,646
Energy - 3.3%
Alon USA Energy, Inc.		292		4,000
Approach Resources, Inc. †(a)		139		4,188
Bristow Group, Inc.		51		2,578
Cheniere Energy, Inc. †		188		2,923
Clean Energy Fuels Corp. †(a)		310		4,083
Crosstex Energy, Inc.		243		3,409
Dawson Geophysical Co. †		42		1,061
Delek US Holdings, Inc.		297		7,571
Enbridge Energy Management LLC †		105		3,324
EPL Oil & Gas, Inc. †		142		2,881
Evolution Petroleum Corp. †		187		1,511
Goodrich Petroleum Corp. †(a)		71		897
Gulf Island Fabrication, Inc.		61		1,700
Halcon Resources Corp. †		1,666		12,212
Heckmann Corp. †(a)		644		2,705
Hercules Offshore, Inc. †		631		3,079
Hornbeck Offshore Services, Inc. †(a)		153		5,608
Kodiak Oil & Gas Corp. †		259		2,424
Panhandle Oil and Gas, Inc., Class A		65		1,994
PHI, Inc. †		89		2,800
Rentech, Inc. †		1,324		3,257
REX American Resources Corp. †		79		1,423
Rex Energy Corp. †(a)		251		3,351
RigNet, Inc. †		88		1,628
SemGroup Corp., Class A †		244		8,991
TGC Industries, Inc. †		573		4,126
Western Refining, Inc. (a)		330		8,639
				102,363
Financials - 24.7%
1st Source Corp.		130		2,895
Acadia Realty Trust REIT (a)		188		4,666
Alexander & Baldwin, Inc. †		121		3,573
American Assets Trust, Inc. REIT		329		8,814
AMERISAFE, Inc. †		115		3,121
Amtrust Financial Services, Inc. (a)		181		4,632
Associated Estates Realty Corp. REIT		200		3,032
Bank of Kentucky Financial Corp.		70		1,942
Bank of Marin Bancorp		56		2,381
Bank of the Ozarks, Inc.		413		14,236
Banner Corp. (a)		85		2,303
BBCN Bancorp, Inc. †		497		6,267
BofI Holding, Inc. †		111		2,892
Boston Private Financial Holdings, Inc. (a)		425		4,076
Bridge Capital Holdings †		96		1,484
Bryn Mawr Bank Corp.		114		2,558
Cash America International, Inc. (a)		26		1,003
Center Bancorp, Inc.		140		1,669
Chesapeake Lodging Trust REIT (a)		157		3,120

	SHARES		VALUE (Note 3)
Financials - 24.7% (continued)
Citizens & Northern Corp.		103	$	2,020
Citizens, Inc. †		264		2,769
CNO Financial Group, Inc.		1,083		10,451
Cohen & Steers, Inc. (a)		106		3,140
Colonial Properties Trust REIT (a)		532		11,199
Community Bank System, Inc. (a)		218		6,145
Community Trust Bancorp, Inc.		85		3,020
Coresite Realty Corp. REIT		334		8,998
Crawford & Co., Class B		345		1,728
CubeSmart REIT		892		11,480
CVB Financial Corp.		924		11,033
DCT Industrial Trust, Inc. REIT (a)		1,582		10,236
DFC Global Corp. †		70		1,200
DuPont Fabros Technology, Inc. REIT (a)		276		6,969
Eagle Bancorp, Inc. †		112		1,873
EastGroup Properties, Inc. REIT		204		10,853
Education Realty Trust, Inc. REIT		966		10,529
eHealth, Inc. †		111		2,083
Employers Holdings, Inc. (a)		119		2,181
Enstar Group Ltd. (Bermuda) †		55		5,481
Enterprise Financial Services Corp.		163		2,217
Epoch Holding Corp.		129		2,980
ESB Financial Corp.		126		1,759
Excel Trust, Inc. REIT		195		2,227
Ezcorp, Inc., Class A †		144		3,302
FBL Financial Group, Inc., Class A (a)		141		4,681
Federal Agricultural Mortgage Corp., Class C		77		1,982
FelCor Lodging Trust, Inc. REIT †		944		4,475
First Busey Corp.		512		2,499
First Cash Financial Services, Inc. †		128		5,889
First Defiance Financial Corp.		120		2,071
First Financial Corp.		67		2,100
First Industrial Realty Trust, Inc. REIT †		256		3,364
First Interstate Bancsystem, Inc.		302		4,518
FirstMerit Corp.		817		12,034
FNB Corp. (a)		1,119		12,544
Fox Chase Bancorp, Inc.		146		2,281
FXCM, Inc., Class A		276		2,636
GAMCO Investors, Inc., Class A		46		2,288
Gladstone Investment Corp.		220		1,720
Glimcher Realty Trust REIT		692		7,314
Golub Capital BDC, Inc.		236		3,752
Gyrodyne Co. of America, Inc. REIT †(a)		11		1,195
Heritage Commerce Corp. †		261		1,811
HFF, Inc., Class A †(a)		152		2,265
Home BancShares, Inc.		287		9,784
Homeowners Choice, Inc.		337		7,919
Hudson Pacific Properties, Inc. REIT (a)		305		5,642
Hudson Valley Holding Corp.		85		1,449
International Bancshares Corp.		362		6,896
Investors Bancorp, Inc. †		291		5,308
Kearny Financial Corp.		178		1,734
Kemper Corp.		236		7,248
Ladenburg Thalmann Financial Services, Inc. †		1,019		1,345
Lakeland Financial Corp.		116		3,202
LTC Properties, Inc. REIT		138		4,395
Maiden Holdings Ltd. (Bermuda)		347		3,085
Main Street Capital Corp.		317		9,355
MarketAxess Holdings, Inc.		166		5,246
MB Financial, Inc.		97		1,916

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Financials - 24.7% (continued)
MBIA, Inc. †		1,092	$	11,062
Meadowbrook Insurance Group, Inc.		279		2,146
Medallion Financial Corp.		191		2,256
Medley Capital Corp.		211		2,969
Mercantile Bank Corp. †		192		3,291
Mission West Properties, Inc. REIT		254		2,210
National Financial Partners Corp. †		188		3,177
National Interstate Corp.		96		2,477
National Penn Bancshares, Inc.		1,237		11,269
Nelnet, Inc., Class A		74		1,757
Netspend Holdings, Inc. †		306		3,008
New Mountain Finance Corp.		187		2,771
NewStar Financial, Inc. †		175		2,098
Nicholas Financial, Inc.		81		1,046
Northwest Bancshares, Inc.		427		5,222
Old National Bancorp		558		7,594
OmniAmerican Bancorp, Inc. †		247		5,614
One Liberty Properties, Inc. REIT		127		2,369
OneBeacon Insurance Group Ltd., Class A		661		8,884
Oritani Financial Corp.		260		3,913
PacWest Bancorp		303		7,081
Pebblebrook Hotel Trust REIT (a)		276		6,456
Pennsylvania Real Estate Investment Trust REIT		595		9,437
Pinnacle Financial Partners, Inc. †		181		3,497
Platinum Underwriters Holdings Ltd. (Bermuda) (a)		224		9,155
Primerica, Inc.		446		12,773
PrivateBancorp, Inc.		381		6,092
Prospect Capital Corp. (a)		806		9,285
PS Business Parks, Inc. REIT		143		9,555
Radian Group, Inc.		862		3,741
RAIT Financial Trust REIT		853		4,478
Retail Opportunity Investments Corp. REIT (a)		467		6,010
Rockville Financial, Inc.		241		2,952
Seacoast Banking Corp of Florida †		696		1,107
Selective Insurance Group, Inc. (a)		103		1,956
Solar Capital Ltd. (a)		88		2,017
Sovran Self Storage, Inc. REIT		310		17,933
STAG Industrial, Inc. REIT		755		12,276
Stewart Information Services Corp. (a)		227		4,572
Strategic Hotels & Resorts, Inc. REIT †		1,142		6,863
Sun Communities, Inc. REIT (a)		184		8,118
Sunstone Hotel Investors, Inc. REIT †		1,678		18,458
Susquehanna Bancshares, Inc.		1,293		13,525
SWS Group, Inc. †		203		1,240
Taylor Capital Group, Inc. †		206		3,527
Territorial Bancorp, Inc.		211		4,842
Texas Capital Bancshares, Inc. †(a)		392		19,486
THL Credit, Inc. (a)		294		4,125
Trustmark Corp. (a)		644		15,675
UMB Financial Corp. (a)		200		9,736
Umpqua Holdings Corp.		755		9,732
United Bankshares, Inc. (a)		382		9,516
United Financial Bancorp, Inc.		122		1,765
Universal Health Realty Income Trust REIT		73		3,357
ViewPoint Financial Group, Inc.		201		3,853
Virginia Commerce Bancorp, Inc. †		236		2,065
Virtus Investment Partners, Inc. †		34		2,924

	SHARES		VALUE (Note 3)
Financials - 24.7% (continued)
Walker & Dunlop, Inc. †		107	$	1,645
Walter Investment Management Corp. †		149		5,514
Washington Trust Bancorp, Inc.		110		2,890
Webster Financial Corp. (a)		223		5,285
WesBanco, Inc. (a)		152		3,148
West Bancorporation, Inc.		175		2,109
West Coast Bancorp †		108		2,432
Western Alliance Bancorp †		525		5,355
WisdomTree Investments, Inc. †		468		3,136
World Acceptance Corp. †		66		4,452
				756,759
Health Care - 14.5%
Abaxis, Inc. †		78		2,802
ABIOMED, Inc. †(a)		210		4,408
Achillion Pharmaceuticals, Inc. †		345		3,591
Acorda Therapeutics, Inc. †		61		1,562
Acura Pharmaceuticals, Inc. †		437		760
Affymax, Inc. †		320		6,739
Air Methods Corp. †		55		6,565
Akorn, Inc. †(a)		663		8,765
Align Technology, Inc. †(a)		105		3,882
Alkermes PLC (Ireland) †(a)		155		3,216
Alnylam Pharmaceuticals, Inc. †		394		7,403
Amsurg Corp. †		151		4,285
Analogic Corp.		62		4,847
Anika Therapeutics, Inc. †		115		1,727
Antares Pharma, Inc. †(a)		931		4,059
Apricus Biosciences, Inc. †(a)		249		812
Arena Pharmaceuticals, Inc. †(a)		1,336		11,116
Ariad Pharmaceuticals, Inc. †(a)		298		7,219
Array BioPharma, Inc. †		718		4,207
Atrion Corp.		11		2,437
Biolase, Inc. †(a)		384		657
Biosante Pharmaceuticals, Inc. †(a)		508		960
BioScrip, Inc. †		379		3,453
Cambrex Corp. †		263		3,085
Cantel Medical Corp.		139		3,764
Capital Senior Living Corp. †		213		3,082
Celsion Corp. †		544		2,948
Centene Corp. †		61		2,282
Cerus Corp. †		1,221		4,151
Curis, Inc. †(a)		447		1,851
Cyberonics, Inc. †		135		7,077
Cynosure, Inc., Class A †		121		3,192
Dusa Pharmaceuticals, Inc. †		328		2,227
Dynavax Technologies Corp. †(a)		1,858		8,844
Echo Therapeutics, Inc. †		488		771
Endologix, Inc. †(a)		490		6,772
Exact Sciences Corp. †		307		3,380
Exelixis, Inc. †(a)		177		853
Furiex Pharmaceuticals, Inc. †		216		4,121
Genomic Health, Inc. †(a)		224		7,771
GTx, Inc. †		394		1,805
Halozyme Therapeutics, Inc. †(a)		449		3,394
HealthStream, Inc. †(a)		255		7,257
HeartWare International, Inc. †		87		8,221
Hi-Tech Pharmacal Co., Inc. †(a)		77		2,549
ICU Medical, Inc. †		136		8,225
Idenix Pharmaceuticals, Inc. †		1,246		5,694
Immunogen, Inc. †(a)		578		8,439
Infinity Pharmaceuticals, Inc. †		341		8,031

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 14.5% (continued)
Insulet Corp. †(a)		205	$	4,424
InterMune, Inc. †(a)		139		1,247
IPC The Hospitalist Co., Inc. †(a)		27		1,234
Isis Pharmaceuticals, Inc. †(a)		610		8,583
Jazz Pharmaceuticals PLC (Ireland) †		72		4,105
Lexicon Pharmaceuticals, Inc. †(a)		1,893		4,392
Ligand Pharmaceuticals, Inc., Class B †(a)		179		3,070
Luminex Corp. †(a)		195		3,791
Magellan Health Services, Inc. †		46		2,374
Medicines Co./The †		371		9,576
Medidata Solutions, Inc. †		149		6,184
Medivation, Inc. †		222		12,512
Merge Healthcare, Inc. †(a)		546		2,091
Merit Medical Systems, Inc. †(a)		161		2,404
Metropolitan Health Networks, Inc. †		304		2,839
Momenta Pharmaceuticals, Inc. †		100		1,457
MWI Veterinary Supply, Inc. †(a)		55		5,867
Navidea Biopharmaceuticals, Inc. †		438		1,205
Nektar Therapeutics †(a)		523		5,586
Omeros Corp. †		423		3,976
Omnicell, Inc. †		188		2,613
Oncothyreon, Inc. †		759		3,901
OPKO Health, Inc. †(a)		445		1,860
Optimer Pharmaceuticals, Inc. †(a)		216		3,050
OraSure Technologies, Inc. †(a)		284		3,158
Orexigen Therapeutics, Inc. †(a)		891		5,088
Pacira Pharmaceuticals, Inc. †		328		5,707
PAREXEL International Corp. †		228		7,013
PDL BioPharma, Inc. (a)		712		5,475
Pernix Therapeutics Holdings †		112		834
Pharmacyclics, Inc. †		158		10,191
Progenics Pharmaceuticals, Inc. †(a)		866		2,485
PSS World Medical, Inc. †(a)		83		1,891
Quidel Corp. †		203		3,843
Repros Therapeutics, Inc. †		329		5,011
Rigel Pharmaceuticals, Inc. †		205		2,101
RTI Biologics, Inc. †(a)		511		2,131
Santarus, Inc. †		731		6,491
SciClone Pharmaceuticals, Inc. †(a)		374		2,076
Select Medical Holdings Corp. †		1,022		11,477
Solta Medical, Inc. †		977		3,068
Spectranetics Corp. †		286		4,219
Spectrum Pharmaceuticals, Inc. †(a)		460		5,382
Staar Surgical Co. †(a)		228		1,724
Sunesis Pharmaceuticals, Inc. †		636		3,593
Synta Pharmaceuticals Corp. †		487		3,711
Theravance, Inc. †(a)		222		5,752
Threshold Pharmaceuticals, Inc. †		732		5,300
Universal American Corp. †		417		3,853
Vical, Inc. †(a)		620		2,678
ViroPharma, Inc. †(a)		338		10,214
Vivus, Inc. †(a)		199		3,546
Wright Medical Group, Inc. †(a)		130		2,874
ZIOPHARM Oncology, Inc. †		300		1,635
				446,120
Industrials - 13.4%
AAON, Inc. (a)		131		2,579
Acacia Research Corp. †		72		1,974
ACCO Brands Corp. †		585		3,797
Acorn Energy, Inc. (a)		208		1,855

	SHARES		VALUE (Note 3)
Industrials - 13.4% (continued)
Advisory Board Co./The †		164	$	7,844
Aerovironment, Inc. †(a)		107		2,511
Aircastle Ltd.		313		3,546
Albany International Corp., Class A (a)		105		2,307
Allegiant Travel Co. †		158		10,011
American Railcar Industries, Inc. †		113		3,202
Applied Industrial Technologies, Inc.		164		6,795
Argan, Inc.		130		2,269
Astec Industries, Inc. †(a)		103		3,256
Astronics Corp. †		75		2,310
AT Cross Co., Class A †		141		1,406
Avis Budget Group, Inc. †		465		7,152
AZZ, Inc.		116		4,406
Barnes Group, Inc.		224		5,602
Barrett Business Services, Inc.		87		2,358
Beacon Roofing Supply, Inc. †(a)		267		7,609
Brink’s Co./The		68		1,747
Builders FirstSource, Inc. †(a)		1,259		6,534
Capstone Turbine Corp. †(a)		1,193		1,193
Ceradyne, Inc. (a)		51		1,246
Chart Industries, Inc. †(a)		43		3,176
Coleman Cable, Inc.		177		1,706
Colfax Corp. †(a)		113		4,144
Corporate Executive Board Co./The		53		2,842
Curtiss-Wright Corp.		66		2,158
Deluxe Corp. (a)		136		4,156
Douglas Dynamics, Inc.		179		2,647
DXP Enterprises, Inc. †(a)		77		3,678
Dycom Industries, Inc. †		159		2,286
Echo Global Logistics, Inc. †		134		2,298
EDAC Technologies Corp. †		106		1,498
Encore Wire Corp.		111		3,248
Exponent, Inc. †(a)		69		3,939
Forward Air Corp.		130		3,953
Franklin Covey Co. †		154		1,848
Franklin Electric Co., Inc. (a)		101		6,109
FTI Consulting, Inc. †(a)		53		1,414
GATX Corp.		58		2,462
GenCorp, Inc. †(a)		259		2,458
Generac Holdings, Inc.		513		11,743
Gorman-Rupp Co./The		102		2,754
GP Strategies Corp. †		152		2,937
H&E Equipment Services, Inc. (a)		289		3,503
Healthcare Services Group, Inc. (a)		518		11,847
Heritage-Crystal Clean, Inc. †(a)		100		1,985
Houston Wire & Cable Co.		95		1,022
Huron Consulting Group, Inc. †(a)		102		3,552
ICF International, Inc. †(a)		68		1,367
InnerWorkings, Inc. †(a)		264		3,437
Intersections, Inc.		103		1,086
Kadant, Inc. †(a)		59		1,368
Kaman Corp.		93		3,335
Lydall, Inc. †(a)		165		2,325
Macquarie Infrastructure Co. LLC		388		16,094
Manitowoc Co., Inc./The		448		5,976
MasTec, Inc. †(a)		231		4,551
Matson, Inc.		121		2,530
McGrath RentCorp.		83		2,165
Middleby Corp. †		56		6,476
Miller Industries, Inc.		112		1,798
Mine Safety Appliances Co.		161		6,000
Mistras Group, Inc. †		236		5,475

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Industrials - 13.4% (continued)
Mueller Industries, Inc.		166	$	7,548
Multi-Color Corp.		103		2,385
Navigant Consulting, Inc. †		256		2,829
NL Industries, Inc. (a)		120		1,379
Nortek, Inc. †		108		5,911
On Assignment, Inc. †(a)		426		8,486
Patrick Industries, Inc. †		633		9,793
PMFG, Inc. †		111		898
Portfolio Recovery Associates, Inc. †		27		2,820
Primoris Services Corp.		239		3,119
Quality Distribution, Inc. †(a)		153		1,415
Raven Industries, Inc.		150		4,414
RBC Bearings, Inc. †(a)		66		3,175
Roadrunner Transportation Systems, Inc. †		126		2,039
SeaCube Container Leasing Ltd.		255		4,781
Simpson Manufacturing Co., Inc. (a)		190		5,438
Spirit Airlines, Inc. †(a)		588		10,043
Standex International Corp.		60		2,667
Sun Hydraulics Corp. (a)		83		2,205
Taser International, Inc. †		464		2,798
Team, Inc. †(a)		99		3,153
Tennant Co. (a)		62		2,655
Textainer Group Holdings Ltd.		386		11,792
Thermon Group Holdings, Inc. †		117		2,924
Titan International, Inc.		137		2,419
TRC Cos., Inc. †		244		1,835
Twin Disc, Inc. (a)		79		1,414
United Rentals, Inc. †(a)		164		5,364
United Stationers, Inc.		120		3,122
Universal Truckload Services, Inc.		73		1,166
US Airways Group, Inc. †(a)		734		7,678
US Ecology, Inc. (a)		115		2,482
USG Corp. †		735		16,133
Watts Water Technologies, Inc., Class A (a)		58		2,194
Werner Enterprises, Inc. (a)		267		5,706
XPO Logistics, Inc. †(a)		226		2,766
				409,801
Information Technology - 14.3%
3D Systems Corp. †(a)		374		12,286
ACI Worldwide, Inc. †(a)		147		6,212
Actuate Corp. †(a)		330		2,320
Agilysys, Inc. †		234		2,012
American Software, Inc., Class A (a)		231		1,885
AOL, Inc. †		173		6,095
Arris Group, Inc. †		469		5,999
Aspen Technology, Inc. †		281		7,264
ATMI, Inc. †		113		2,098
Blackbaud, Inc.		186		4,449
Blucora, Inc. †		397		7,071
Bottomline Technologies, Inc. †		106		2,617
Brooks Automation, Inc. (a)		216		1,734
CACI International, Inc., Class A †(a)		39		2,020
CalAmp Corp. †		349		2,865
Cardtronics, Inc. †		192		5,718
Cass Information Systems, Inc. (a)		57		2,392
CEVA, Inc. †		113		1,625
Cirrus Logic, Inc. †		492		18,888
Clearfield, Inc. †		208		1,063
Cognex Corp.		109		3,769

	SHARES		VALUE (Note 3)
Information Technology - 14.3% (continued)
Coherent, Inc. †		68	$	3,119
CommVault Systems, Inc. †(a)		72		4,226
Computer Task Group, Inc. †		144		2,330
Comtech Telecommunications Corp. (a)		107		2,957
Cornerstone OnDemand, Inc. †		334		10,240
CoStar Group, Inc. †		108		8,806
Cray, Inc. †		352		4,470
CVD Equipment Corp. †		115		1,116
Cymer, Inc. †		167		8,527
Datalink Corp. †(a)		194		1,606
DealerTrack Holdings, Inc. †		171		4,762
Digi International, Inc. †(a)		137		1,392
eGain Communications Corp. †		191		886
Electro Rent Corp.		141		2,494
Electronics for Imaging, Inc. †		183		3,040
Ellie Mae, Inc. †		353		9,612
Entegris, Inc. †		550		4,472
ePlus, Inc. †		69		2,706
Euronet Worldwide, Inc. †		143		2,687
ExlService Holdings, Inc. †		162		4,779
Fair Isaac Corp.		165		7,303
FARO Technologies, Inc. †(a)		79		3,264
FEI Co.		269		14,392
Global Cash Access Holdings, Inc. †		470		3,784
Globecomm Systems, Inc. †		166		1,851
Glu Mobile, Inc. †(a)		416		1,926
GSI Group, Inc. †		137		1,221
GT Advanced Technologies, Inc. †(a)		207		1,128
Hackett Group, Inc./The †(a)		376		1,572
Heartland Payment Systems, Inc. (a)		174		5,512
Insight Enterprises, Inc. †		194		3,391
Integrated Silicon Solution, Inc. †		174		1,611
Ixia †		344		5,528
j2 Global, Inc. (a)		128		4,201
JDA Software Group, Inc. †		65		2,066
Key Tronic Corp. †		295		2,926
Keynote Systems, Inc.		110		1,593
Kulicke & Soffa Industries, Inc. †		235		2,444
Lattice Semiconductor Corp. †(a)		450		1,724
Liquidity Services, Inc. †(a)		81		4,067
LiveDeal, Inc. †		278		1,437
LivePerson, Inc. †(a)		246		4,455
Majesco Entertainment Co. †		597		752
Manhattan Associates, Inc. †(a)		104		5,956
MAXIMUS, Inc.		137		8,182
Measurement Specialties, Inc. †		59		1,946
Mentor Graphics Corp. †		559		8,653
MicroStrategy, Inc., Class A †		10		1,341
MKS Instruments, Inc.		143		3,645
Monotype Imaging Holdings, Inc. (a)		188		2,931
MTS Systems Corp.		53		2,838
Nanometrics, Inc. †(a)		125		1,726
NIC, Inc.		297		4,396
Opnet Technologies, Inc. (a)		106		3,611
OSI Systems, Inc. †		155		12,065
PC Connection, Inc. (a)		132		1,519
PDF Solutions, Inc. †(a)		254		3,470
Pegasystems, Inc.		54		1,568
Procera Networks, Inc. †		134		3,149
PROS Holdings, Inc. †		171		3,261
QAD, Inc., Class A †		107		1,453
Richardson Electronics Ltd.		132		1,567

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 14.3% (continued)
Rogers Corp. †		60	$	2,542
Saba Software, Inc. †		188		1,878
Sapient Corp. †		247		2,633
ScanSource, Inc. †		78		2,498
SciQuest, Inc. †		176		3,203
Semtech Corp. †		117		2,943
Silicon Graphics International Corp. †		221		2,011
Sourcefire, Inc. †(a)		253		12,405
SPS Commerce, Inc. †		179		6,886
SS&C Technologies Holdings, Inc. †(a)		93		2,345
Stamps.com, Inc. †		180		4,165
Stratasys, Inc. †(a)		153		8,323
Super Micro Computer, Inc. †		181		2,177
Synaptics, Inc. †(a)		126		3,027
Telular Corp.		162		1,604
TiVo, Inc. †(a)		368		3,838
Tyler Technologies, Inc. †(a)		137		6,031
Ultimate Software Group, Inc. †		83		8,474
Ultratech, Inc. †(a)		112		3,515
Unisys Corp. †(a)		76		1,582
Universal Display Corp. †		95		3,266
USA Technologies, Inc. †(a)		881		1,110
ValueClick, Inc. †(a)		209		3,593
VirnetX Holding Corp. †(a)		80		2,034
Volterra Semiconductor Corp. †		75		1,640
Web.com Group, Inc. †		429		7,701
Zygo Corp. †		126		2,305
				439,763
Materials - 4.5%
ADA-ES, Inc. †		175		4,132
AMCOL International Corp. (a)		59		1,999
American Vanguard Corp. (a)		194		6,751
Balchem Corp.		58		2,130
Buckeye Technologies, Inc.		156		5,001
Calgon Carbon Corp. †(a)		158		2,261
Chemtura Corp. †		201		3,461
Core Molding Technologies, Inc. †		248		1,813
Deltic Timber Corp.		41		2,676
Eagle Materials, Inc.		344		15,913
Flotek Industries, Inc. †		274		3,472
Friedman Industries, Inc.		127		1,294
Georgia Gulf Corp.		242		8,765
Graphic Packaging Holding Co. †		551		3,201
H.B. Fuller Co. (a)		215		6,596
Haynes International, Inc.		62		3,233
Headwaters, Inc. †		800		5,264
Innophos Holdings, Inc.		147		7,128
Innospec, Inc. †		119		4,037
KapStone Paper and Packaging Corp. †(a)		146		3,269
Louisiana-Pacific Corp. †		1,002		12,525
LSB Industries, Inc. †		79		3,466
Material Sciences Corp. †		165		1,508
Myers Industries, Inc.		203		3,171
Olin Corp. (a)		256		5,563
Paramount Gold and Silver Corp. †(a)		449		1,194
PH Glatfelter Co. (a)		228		4,061
RTI International Metals, Inc. †(a)		55		1,317
Stepan Co. (a)		42		4,037
Tredegar Corp. (a)		103		1,827
United States Lime & Minerals, Inc. †(a)		32		1,543

	SHARES		VALUE (Note 3)
Materials - 4.5% (continued)
Universal Stainless & Alloy †(a)		48	$	1,783
Worthington Industries, Inc. (a)		103		2,231
				136,622
Telecommunication Services - 1.0%
8x8, Inc. †		552		3,621
Atlantic Tele-Network, Inc.		74		3,181
Cincinnati Bell, Inc. †(a)		883		5,033
Cogent Communications Group, Inc. (a)		214		4,920
Consolidated Communications Holdings, Inc.		147		2,527
HickoryTech Corp. (a)		139		1,471
inContact, Inc. †		395		2,575
Premiere Global Services, Inc. †		278		2,599
Primus Telecommunications Group, Inc.		259		3,955
Vonage Holdings Corp. †		714		1,628
				31,510
Utilities - 1.1%
ALLETE, Inc.		35		1,461
Artesian Resources Corp., Class A		114		2,648
Black Hills Corp.		75		2,668
Chesapeake Utilities Corp.		72		3,410
El Paso Electric Co.		44		1,507
MGE Energy, Inc.		78		4,133
Middlesex Water Co.		156		2,989
PNM Resources, Inc. (a)		389		8,181
South Jersey Industries, Inc.		37		1,958
Unitil Corp. (a)		94		2,559
York Water Co.		145		2,659
				34,173
TOTAL COMMON STOCKS (cost $2,751,069)				2,984,780
EXCHANGE-TRADED FUNDS - 2.4%
iShares Russell 2000 Index Fund
(cost $72,186)		876		73,111
MONEY MARKET FUNDS - 3.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b)
(cost $120,921)		120,921		120,921
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 23.0%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (2)(b)(c)
(cost $707,462)		707,462		707,462
TOTAL INVESTMENTS - 126.6% (cost $3,651,638)				3,886,274
LIABILITIES IN EXCESS OF OTHER ASSETS - (26.6%)				(816,225)
NET ASSETS - 100.0%			$	3,070,049

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $688,553; cash collateral of $707,462 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

See notes to Schedule of Investments.

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
COMMON STOCKS - 97.9%
Australia - 8.2%
ALS Ltd.		295	$	2,615
Amcor Ltd.		586		4,702
Brambles Ltd.		322		2,333
Coca-Cola Amatil Ltd.		386		5,419
Commonwealth Bank of Australia		1,530		88,094
Dexus Property Group REIT		4,204		4,133
GPT Group REIT		1,253		4,405
Mesoblast Ltd. †		152		1,051
Mirvac Group REIT		2,298		3,399
National Australia Bank Ltd.		1,442		37,913
New Hope Corp. Ltd.		547		2,546
Orica Ltd.		113		2,906
QR National Ltd.		7,008		24,672
Ramsay Health Care Ltd.		161		4,002
Santos Ltd.		278		3,262
Telecom Corp of New Zealand Ltd.		1,966		3,851
Telstra Corp. Ltd.		16,142		65,440
Washington H Soul Pattinson & Co., Ltd.		170		2,327
Wesfarmers Ltd.		803		28,420
Westfield Retail Trust REIT		16,763		50,053
Westpac Banking Corp. (a)		2,294		58,820
				400,363
Austria - 0.1%
Lenzing AG		12		1,027
Strabag SE		102		2,472
				3,499
Belgium - 2.6%
Anheuser-Busch InBev NV		1,308		111,898
Belgacom SA		94		2,868
RTL Group SA		62		5,898
UCB SA		98		5,393
				126,057
Bermuda - 0.2%
Gulf Keystone Petroleum Ltd. †		2,240		8,526
Canada - 7.5% (1)
Alimentation Couche Tard, Inc., Class B		100		4,596
AltaGas Ltd.		100		3,433
AuRico Gold, Inc. †		200		1,406
Bank of Montreal		100		5,910
BCE, Inc.		136		5,983
Boardwalk Real Estate Investment Trust REIT		100		6,611
Brookfield Asset Management, Inc., Class A		509		17,572
Brookfield Office Properties, Inc.		100		1,662
Calloway Real Estate Investment Trust REIT		100		3,038
Canadian National Railway Co.		493		43,623
Canadian Utilities Ltd., Class A		100		6,987
CGI Group, Inc., Class A †		100		2,685
Crescent Point Energy Corp.		100		4,428
Dollarama, Inc.		343		21,893
Eldorado Gold Corp.		200		3,050
Empire Co., Ltd., Class A		100		6,020
Enbridge, Inc.		431		16,835
Ensign Energy Services, Inc.		100		1,536
First Majestic Silver Corp. †		100		2,321

	SHARES		VALUE (Note 3)
Canada - 7.5% (1) (continued)
Fortis, Inc.		100	$	3,411
Franco-Nevada Corp.		100		5,895
H&R Real Estate Investment Trust REIT		100		2,562
Husky Energy, Inc.		200		5,375
IGM Financial, Inc.		100		3,905
Intact Financial Corp.		100		6,083
Jean Coutu Group PJC, Inc./The, Class A		200		2,895
Loblaw Cos., Ltd.		100		3,475
Lululemon Athletica, Inc. †		100		7,391
Metro, Inc.		100		5,940
National Bank of Canada		100		7,568
New Gold, Inc. †		300		3,677
Onex Corp.		100		3,947
Open Text Corp. †		100		5,514
Paramount Resources Ltd., Class A †		100		3,050
Pembina Pipeline Corp.		100		2,807
Precision Drilling Corp. †		200		1,573
RioCan Real Estate Investment Trust REIT		992		27,920
Rogers Communications, Inc., Class B		209		8,461
Royal Bank of Canada		100		5,751
Shaw Communications, Inc., Class B		100		2,047
Shoppers Drug Mart Corp.		330		13,739
TELUS Corp.		230		14,507
Tim Hortons, Inc.		100		5,204
Toronto-Dominion Bank/The		132		11,009
TransAlta Corp.		100		1,531
TransCanada Corp. (a)		444		20,206
Trilogy Energy Corp.		100		2,608
Valeant Pharmaceuticals International, Inc. †		100		5,519
Vermilion Energy, Inc.		100		4,699
Yamana Gold, Inc.		300		5,731
				363,589
Denmark - 2.1%
Chr Hansen Holding A/S		299		8,985
Coloplast A/S, Class B		18		3,751
Novo Nordisk A/S, Class B		520		81,835
Novozymes A/S, B Shares		153		4,220
William Demant Holding A/S †		39		3,494
				102,285
Finland - 0.7%
Elisa OYJ		122		2,761
Kone OYJ, Class B		134		9,287
Metso OYJ		434		15,546
Sampo OYJ, A Shares		156		4,861
				32,455
France - 5.6%
Air Liquide SA		161		19,956
AXA SA		277		4,124
Cie Generale d’Optique Essilor
International SA		243		22,739
Danone SA		363		22,335
Dassault Systemes SA		53		5,568
Edenred		323		9,070
European Aeronautic Defence and Space Co. NV		496		15,721
Eutelsat Communications SA		106		3,406
Hermes International		35		9,390

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
France - 5.6% (continued)
Iliad SA		21	$	3,417
L’Oreal SA		257		31,776
LVMH Moet Hennessy Louis Vuitton SA		196		29,423
Pernod-Ricard SA		92		10,320
Sanofi		811		69,402
Sodexo		65		4,894
Technip SA		46		5,111
Unibail-Rodamco SE REIT		24		4,782
				271,434
Germany - 9.5%
Adidas AG		418		34,302
Allianz SE		386		46,036
BASF SE		509		43,008
Bayerische Motoren Werke AG		248		18,186
Beiersdorf AG		64		4,700
Brenntag AG		188		24,090
Continental AG		196		19,223
Daimler AG		628		30,480
Deutsche Postbank AG †		67		2,567
Fresenius Medical Care AG & Co. KGaA		109		7,995
Fresenius SE & Co. KGaA		61		7,083
GEA Group AG		93		2,820
Hannover Rueckversicherung AG		53		3,392
Kabel Deutschland Holding AG †		267		19,060
Linde AG		270		46,537
Merck KGaA		78		9,628
Muenchener Rueckversicherungs AG		363		56,760
SAP AG		1,156		82,265
Suedzucker AG		113		4,003
				462,135
Hong Kong - 2.2%
AIA Group Ltd.		4,200		15,563
Cheung Kong Infrastructure Holdings Ltd.		1,000		6,048
China Overseas Grand Oceans Group Ltd.		500		493
CLP Holdings Ltd.		1,000		8,488
Dah Chong Hong Holdings Ltd.		2,000		1,810
First Pacific Co., Ltd.		12,000		12,977
Galaxy Entertainment Group Ltd. †		2,000		6,645
Giordano International Ltd.		2,000		1,677
Hong Kong & China Gas Co., Ltd.		2,200		5,561
Link REIT/The REIT (a)		1,000		4,736
Luk Fook Holdings International Ltd.		1,000		3,295
Melco International Development Ltd.		2,000		1,775
Power Assets Holdings Ltd.		1,000		8,491
Sands China Ltd.		6,000		22,214
SmarTone Telecommunications Holdings Ltd.		1,500		2,978
Stella International Holdings Ltd.		1,000		2,461
Vinda International Holdings Ltd.		1,000		1,374
Yingde Gases		1,000		883
				107,469
Israel - 0.4%
EZchip Semiconductor Ltd. †		308		9,741
Mellanox Technologies Ltd. †		77		7,986
				17,727

	SHARES		VALUE (Note 3)
Italy - 3.4%
Davide Campari-Milano SpA		430	$	3,385
Eni SpA		3,410		74,759
Fiat Industrial SpA		2,270		22,230
Lottomatica Group SpA		157		3,463
Luxottica Group SpA		114		4,021
Pirelli & C. SpA		343		3,701
Prada SpA		1,600		11,887
Saipem SpA		624		30,071
Salvatore Ferragamo Italia SpA		534		11,139
				164,656
Japan - 16.2%
Acom Co., Ltd. †		620		15,771
Aeon Co., Ltd.		200		2,258
Aozora Bank Ltd.		1,000		3,058
Astellas Pharma, Inc.		800		40,544
Autobacs Seven Co., Ltd. (a)		100		4,528
Bridgestone Corp.		400		9,277
Calbee, Inc.		300		26,304
Capcom Co., Ltd.		700		14,482
CyberAgent, Inc.		1		2,150
Dainippon Sumitomo Pharma Co., Ltd.		300		3,296
Don Quijote Co., Ltd.		100		3,852
East Japan Railway Co.		300		19,850
Eisai Co., Ltd.		100		4,505
FamilyMart Co., Ltd.		100		4,913
FANUC Corp.		100		16,096
Fast Retailing Co., Ltd.		100		23,224
Gree, Inc. (a)		500		9,128
Hiroshima Bank Ltd./The		1,000		3,349
Hitachi Ltd.		2,000		11,106
Hitachi Transport System Ltd.		200		3,351
Hoshizaki Electric Co., Ltd.		100		2,904
House Foods Corp.		100		1,692
Inpex Corp.		1		5,945
ITOCHU Corp.		1,800		18,172
Itochu Techno-Solutions Corp.		100		5,197
Japan Tobacco, Inc.		1,500		44,901
Kajima Corp.		1,000		2,728
Kakaku.com, Inc.		100		3,748
KDDI Corp.		200		15,512
Keihan Electric Railway Co., Ltd.		1,000		4,761
Kintetsu Corp.		3,000		11,748
Kobayashi Pharmaceutical Co., Ltd.		100		5,336
Komeri Co., Ltd.		100		2,545
Konami Corp.		600		13,624
K’s Holdings Corp.		100		2,488
Lawson, Inc.		300		23,029
LIXIL Group Corp.		100		2,383
M3, Inc.		3		5,703
Mitsubishi Heavy Industries, Ltd.		1,000		4,325
Mitsubishi UFJ Financial Group, Inc.		3,600		16,846
Mitsui Fudosan Co., Ltd.		1,000		19,983
Nabtesco Corp.		100		1,841
Namco Bandai Holdings, Inc.		200		3,388
Nikon Corp.		600		16,498
Nippon Telegraph & Telephone Corp.		100		4,758
Nissan Motor Co., Ltd.		1,200		10,213
Nissin Foods Holdings Co., Ltd.		100		3,917
Nitori Holdings Co., Ltd.		50		4,641
Nomura Research Institute Ltd.		700		14,426
NTT DOCOMO, Inc.		9		14,541

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Japan - 16.2% (continued)
OJI Paper Co., Ltd. (a)		1,000	$	3,043
Ono Pharmaceutical Co., Ltd.		100		6,153
Otsuka Holdings Co., Ltd.		800		24,793
Park24 Co., Ltd.		200		3,268
Pola Orbis Holdings, Inc.		400		12,604
Rakuten, Inc.		600		6,101
Sanrio Co., Ltd. (a)		100		3,577
Santen Pharmaceutical Co., Ltd.		100		4,587
Sega Sammy Holdings, Inc.		700		13,209
Seven & I Holdings Co., Ltd.		800		24,515
SKY Perfect JSAT Holdings, Inc.		6		2,702
Square Enix Holdings Co., Ltd.		600		9,145
Sugi Holdings Co., Ltd.		100		3,511
Sumitomo Corp.		2,100		28,250
Sumitomo Mitsui Financial Group, Inc.		1,000		31,158
Taiheiyo Cement Corp.		4,000		8,611
Taisei Corp.		1,000		2,865
Toho Co., Ltd.		200		3,677
Toho Gas Co., Ltd.		1,000		6,636
Tokyo Gas Co., Ltd.		3,000		16,497
Tokyu Corp.		1,000		4,777
Toray Industries, Inc.		1,000		5,916
Toyota Motor Corp.		100		3,921
Unicharm Corp.		400		22,934
USS Co., Ltd.		30		3,168
West Japan Railway Co.		100		4,271
Yakult Honsha Co., Ltd.		100		4,742
Yamada Denki Co., Ltd.		40		1,755
Yamato Holdings Co., Ltd.		200		3,163
Yokogawa Electric Corp.		300		3,462
Zensho Holdings Co., Ltd. (a)		200		2,547
				784,393
Netherlands - 6.1%
ASML Holding NV		525		28,082
Heineken NV		82		4,888
Koninklijke Ahold NV		658		8,241
Royal Dutch Shell PLC, Class A		4,934		170,837
Unilever NV CVA		2,444		86,679
				298,727
Norway - 2.1%
Gjensidige Forsikring ASA		1,119		15,547
Golar LNG Ltd.		70		2,724
Seadrill Ltd.		556		21,842
Statoil ASA		1,903		49,110
Telenor ASA		565		11,027
TGS Nopec Geophysical Co. ASA		82		2,674
				102,924
Portugal - 0.1%
Galp Energia SGPS SA		140		2,268
Jeronimo Martins SGPS SA		313		5,226
				7,494
Singapore - 3.1%
CapitaMalls Asia Ltd.		18,000		24,095
First Resources Ltd.		7,000		12,010
Fraser and Neave Ltd.		1,000		7,207
Global Logistic Properties Ltd.		18,000		36,691
Jardine Matheson Holdings Ltd.		400		22,707
Jardine Strategic Holdings Ltd.		500		16,927
Singapore Telecommunications Ltd.		10,000		26,040

	SHARES		VALUE (Note 3)
Singapore - 3.1% (continued)
StarHub Ltd.		1,000	$	3,026
				148,703
Spain - 2.4%
Abertis Infraestructuras SA		340		5,011
Amadeus IT Holding SA, A Shares		895		20,866
CaixaBank		381		1,435
Endesa SA		148		2,846
Ferrovial SA		390		5,081
Gas Natural SDG SA		438		6,198
Inditex SA		505		62,748
Mapfre SA		1,513		4,148
Repsol SA		400		7,773
				116,106
Sweden - 4.6%
Boliden AB		854		14,282
Elekta AB, B Shares		244		3,221
Getinge AB, B Shares		138		4,166
Hennes & Mauritz AB, B Shares		1,422		49,490
Investor AB, B Shares		2,125		46,829
Lundin Petroleum AB †		118		2,882
Skandinaviska Enskilda Banken AB, Class A		2,396		20,077
Swedbank AB, A Shares		1,359		25,561
Swedish Match AB		114		4,615
Tele2 AB, B Shares		227		4,123
Volvo AB, B Shares		3,301		46,377
				221,623
Switzerland - 7.8%
Compagnie Financiere Richemont SA, Class A		744		44,672
Lindt & Spruengli AG †		1		3,164
Nestle SA		1,591		100,388
Novartis AG		1,309		80,116
Roche Holding AG		470		87,912
Schindler Holding AG		32		3,940
SGS SA		12		24,677
Syngenta AG		94		35,164
				380,033
United Kingdom - 13.0%
Aggreko PLC		133		4,979
ARM Holdings PLC		591		5,516
Associated British Foods PLC		210		4,376
AstraZeneca PLC		50		2,387
Babcock International Group PLC		190		2,849
BG Group PLC		687		13,901
BP PLC		740		5,217
British American Tobacco PLC		1,218		62,585
British Land Co. PLC REIT		245		2,069
British Sky Broadcasting Group PLC		451		5,413
BT Group PLC		5,048		18,818
Bunzl PLC		221		3,963
Burberry Group PLC		203		3,287
Compass Group PLC		1,417		15,664
Croda International PLC		111		4,358
Diageo PLC		1,887		53,134
Experian PLC		1,092		18,183
Fresnillo PLC		272		8,164
G4S PLC		681		2,925
GlaxoSmithKline PLC		2,898		66,893

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
United Kingdom - 13.0% (continued)
Imperial Tobacco Group PLC		538	$	19,931
Intertek Group PLC		94		4,168
Kingfisher PLC		1,009		4,314
Land Securities Group PLC REIT		307		3,784
Legal & General Group PLC		1,967		4,199
Meggitt PLC		501		3,197
National Grid PLC		2,270		25,040
Next PLC		241		13,445
Pearson PLC		343		6,705
Prudential PLC		327		4,246
Randgold Resources Ltd.		40		4,921
Reckitt Benckiser Group PLC		500		28,807
Rexam PLC		527		3,708
Rolls-Royce Holdings PLC †		1,309		17,857
SABMiller PLC		977		42,988
Sage Group PLC/The		697		3,532
Severn Trent PLC		173		4,691
Shire PLC		214		6,313
SSE PLC		372		8,371
Standard Life PLC		762		3,364
Tate & Lyle PLC		322		3,463
Tesco PLC		1,089		5,848
Tullow Oil PLC		321		7,121
United Utilities Group PLC		372		4,301
Vodafone Group PLC		28,963		82,302
Weir Group PLC/The		123		3,521
WM Morrison Supermarkets PLC		1,127		5,196
Wolseley PLC		82		3,508
				633,522
TOTAL COMMON STOCKS (cost $4,490,460)				4,753,720
EXCHANGE-TRADED FUNDS - 1.8%
iShares MSCI EAFE Index Fund (1)
(cost $85,417)		1,643		87,079
MONEY MARKET FUNDS - 2.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)
(cost $119,584)		119,584		119,584
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.9%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.140% (b)(c)
(cost $43,251)		43,251		43,251
TOTAL INVESTMENTS - 103.1% (cost $4,738,712)				5,003,634
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.1%)				(149,619)
NET ASSETS - 100.0%			$	4,854,015

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $41,145; cash collateral of $43,251 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of September 30, 2012.

(c) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

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 Certificate of Shares

REIT - Real Estate Investment Trust

See notes to Schedule of Investments. (Continued)

Schedule of Investments September 30, 2012 (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	614,081		12.6	%
Consumer Staples		892,491		18.4
Energy		485,445		10.0
Financials		788,857		16.2
Health Care		562,482		11.6
Industrials		506,309		10.4
Information Technology		256,075		5.3
Materials		242,470		5.0
Mutual Fund		87,079		1.8
Telecommunication Services		290,415		6.0
Utilities		115,095		2.4
Money Market Funds		162,835		3.4
Total Investments		5,003,634		103.1
Liabilities in Excess of Other Assets		(149,619)		(3.1)
Net Assets	$	4,854,015		100.0	%

See notes to Schedule of Investments.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

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”). As of September 30, 2012, the Trust consists of sixteen active series (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund. AQR Capital Management, LLC (“the Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (“the Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Global Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR Global Equity Fund include seeking to outperform, after expenses, the MSCI World Index (the “Global Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The Global Equity Benchmark 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. The Fund offers Class I, Class N and Class Y shares.

The investment objective of the AQR International Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR International Equity Fund include seeking to outperform, after expenses, the MSCI EAFE Index (the “International Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The International Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. The Fund offers Class I, Class N and Class Y shares.

The investment objective of the AQR Emerging Defensive Equity Fund is total return. The Fund pursues a “defensive” strategy that provides exposure to Emerging stock markets with lower volatility and draw-downs relative to its stock market benchmark through active stock selection, risk management and diversification. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.

The investment objective of the AQR International Defensive Equity Fund is total return. The Fund pursues a “defensive” strategy that provides exposure to International stock markets. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.

The investment objective of the AQR U.S. Defensive Equity Fund is total return. The Fund pursues a “defensive” strategy that provides exposure the U.S. stock market. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.

The investment objective of the AQR Diversified Arbitrage Fund is to seek positive absolute returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform, after expenses, the BofA Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using arbitrage and alternative investment strategies such as merger arbitrage, convertible arbitrage, other forms of arbitrage (including, but not limited to, when-issued trading arbitrage, stub-trading arbitrage and dual-class arbitrage) and other types of non-arbitrage alternative investment strategies. The Fund offers Class I and Class N shares.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

The investment objective of the AQR Managed Futures Strategy Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests primarily in a portfolio of futures contracts, futures-related instruments and equity swaps. The Fund’s universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts, and equity swaps across four major asset classes (commodities, currencies, fixed-income and equities); however this universe of investments is subject to change under varying market conditions as these instruments evolve over time. The Fund offers Class I and Class N shares.

The investment objective of the AQR Risk-Balanced Commodities Strategy Fund is total return. The Fund pursues its investment objective by investing in a portfolio of commodity futures contracts. The Fund seeks to balance risks across commodity sectors, managing risk over time through volatility targeting and drawdown control, and improving returns using information on commodity fundamentals and trends. The fund can go long or short individual commodity contracts, but will always be net long commodities as a whole. The Fund offers Class I and Class N shares.

The investment objective of the AQR Risk Parity Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, emerging market fixed income, sovereign debt, the credit spreads of mortgage-backed securities and corporate and sovereign debt, developed and emerging market currencies, and commodities). The Fund offers Class I and Class N shares.

The investment objective of the AQR Multi-Strategy Alternative Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, currencies, commodities, credit derivatives, convertible securities, futures, forwards, options and swaps. The Fund offers Class I and Class N shares.

The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures, and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months that ranks in the top third of its relevant universe at the time of purchase. The Fund offers Class L shares.

The investment objective of the AQR Small Cap Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Fund offers Class L shares.

The investment objective of the AQR International Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depositary receipts) of non-U.S. companies that the Adviser determines to have positive momentum. The Fund offers Class L shares.

The investment objective of the AQR Tax-Managed Momentum Fund is to seek long-term after-tax capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange traded funds, equity index futures, and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.

The investment objective of the AQR Tax-Managed Small Cap Momentum Fund is to seek long-term after-tax capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange traded funds, equity index futures, and depositary receipts) of small cap companies traded on a principal U.S. exchange

Notes to Schedule of Investments September 30, 2012 (Unaudited)

or over-the-counter market that the Adviser determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.

The investment objective of the AQR Tax-Managed International Momentum Fund is to seek long-term after-tax capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange traded funds, equity index futures, and depositary receipts) of non-U.S. companies that the Adviser determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.

2. Consolidation of Subsidiaries — AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd. and AQR Multi-Strategy Alternative Offshore Fund Ltd.

The consolidated Schedules of Investments of the AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd. and AQR Multi-Strategy Alternative Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All inter-company accounts and transactions have been eliminated in consolidation for the Funds. 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 Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.

AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund 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 investments consistent with the Funds’ investment objectives and policies.

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT September 30, 2012		% OF TOTAL NET ASSETS AT September 30, 2012
AQR Managed Futures Strategy Offshore Fund, Ltd.	January 6, 2010	$	460,155,470		23.0	%
AQR Risk-Balanced Commodities Strategy Offshore Fund, Ltd.	July 9, 2012		6,142,017		24.1	%
AQR Risk Parity Offshore Fund, Ltd.	September 30, 2010		184,058,685		20.1	%
AQR Multi-Strategy Alternative Offshore Fund, Ltd.	July 18, 2011		112,164,030		14.8	%

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 accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the

Notes to Schedule of Investments September 30, 2012 (Unaudited)

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 reported period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ shall generally be the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities on a daily basis utilizing the quotations of an independent pricing service, unless the Adviser determines that use of another valuation methodology is appropriate. 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, securities and exchange rates in other markets, in determining fair value as of the time the Funds calculate their net asset value. Securities traded in the over-the-counter market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. The Funds value debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.

The Funds may use pricing services to obtain readily available market quotations. 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 in accordance with the valuation procedures approved by the Funds’ Board of Trustees, which 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. Using fair value to price securities may 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.

Convertible Securities: The 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. Traditionally, convertible securities have paid dividends or interest greater than on the related common stocks, but less than fixed-income non-convertible securities. 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 it 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.

Short Sales: The AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund 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 the Funds make a short sale, they must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Funds 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 open 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. The Funds are also subject to the

Notes to Schedule of Investments September 30, 2012 (Unaudited)

risk that they 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 Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.

The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short 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.

Futures Contracts: The Funds invest in futures contracts. The Funds, excluding AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund, invest in futures in order to hedge their investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or market conditions. The AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund and the AQR Multi-Strategy Alternative Fund invest in futures as part of their primary investment strategy. 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. Initially, 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 price of the underlying instruments fluctuates. Realized gains or losses, represent the difference between the value of the contract at the time it was opened and the value at the time it was closed. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. The use of long futures contracts subjects the Funds to risk of loss, 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 Currency Contracts: The Funds buy and sell forward currency 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 a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. 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 gain or loss. 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 Fund is unable to enter into a closing position. Forward currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Equity (including total return and commodity) Swap Contracts: The Funds invest in equity swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Equity 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, basket of securities, security index or index component during the period of the swap. Equity swap contracts are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may exceed the related amounts shown in the Schedule of Investments. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Equity swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

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. An up-front payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund, as the protection buyer, 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 or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. 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.

In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Schedule of Investments. The 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 Fund and the counterparty. 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 Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Schedule of Investments. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

The credit default swaps in which the AQR Diversified Arbitrage Fund is providing protection at September 30, 2012 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)		0-5 YEARS USD	WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
251 or more		750	$	5,570
Total		750	$	5,570

The credit default swaps in which the AQR Risk Parity Fund is providing protection at September 30, 2012 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)	0-5 YEARS USD		0-5 YEARS EUR		35-40 YEARS USD		WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
0-250		229,750		68,000		—	$	2,703,783
251 or more		141,050		44,725		6,275		(2,562,692	)
Total		370,800		112,725		6,275	$	141,091

Notes to Schedule of Investments September 30, 2012 (Unaudited)

The credit default swaps in which the AQR Multi-Strategy Alternative Fund is providing protection at September 30, 2012 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)		0-5 YEARS USD	WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
251 or more		36,650	$	272,177
Total		36,650	$	272,177

Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of 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 would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. 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.

Interest Rate Swaps: The AQR Risk Parity Fund enters into interest rate swaps as part of its investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Periodic payments received or paid by the Fund are recorded as realized gains and losses. Interest rate swaps are marked to market daily based on quotations as provided by an independent pricing service and the change is recorded as unrealized gain or loss. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Schedule of Investments. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.

High Yield Securities: Certain Funds may 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.

Master Agreements: The Funds are a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted for the benefit of a Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s Schedule of Investments. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Fund’s Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities and Money Market Funds as agreed to by the Fund and the applicable counterparty. Collateral requirements are generally determined based on the Fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative 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 one or more of the Fund’s counterparties to elect early termination could impact a Fund’s future derivative activity.

Options: The Funds are authorized to 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, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a

Notes to Schedule of Investments September 30, 2012 (Unaudited)

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 the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.

The 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 September 30, 2012 for the AQR Diversified Arbitrage Fund were as follows:

	CALL OPTIONS
	SHARES SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2011		(2,541	)	$	(419,013	)
Options written		(12,968	)		(2,616,383	)
Options expired		15,045			2,794,596
Options exercised		464			240,800
Options outstanding, September 30, 2012		—		$	—

Transactions in call and put options written during the period ended September 30, 2012 for the AQR Multi-Strategy Alternative Fund were as follows:

	CALL OPTIONS
	SHARES SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2011		—		$	—
Options written		(1,047	)		(231,334	)
Options expired		998			205,905
Options exercised		49			25,429
Options outstanding, September 30, 2012		—		$	—

Securities Lending: The Trust (excluding the AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Risk-Balanced Commodities Strategy Fund may lend securities to brokers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market Funds. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time. Securities lending income is comprised of income earned on cash collateral investments, net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

4. Federal Income Tax Matters

At September 30, 2012, 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 Global Equity Fund	$	403,074,531	$	63,795,212	$	(10,767,628	)	$	53,027,584
AQR International Equity Fund		593,630,507		58,198,204		(26,258,835	)		31,939,369
AQR Emerging Defensive Equity Fund		5,426,867		316,528		(101,280	)		215,248
AQR International Defensive Equity Fund		3,195,824		201,524		(23,467	)		178,057
AQR U.S. Defensive Equity Fund		2,995,088		94,631		(34,985	)		59,646
AQR Diversified Arbitrage Fund		2,589,877,273		75,997,025		(63,112,908	)		12,884,117
AQR Managed Futures Strategy Fund		1,740,427,798		—		—			—
AQR Risk-Balanced Commodities Strategy Fund		23,985,585		—		—			—
AQR Risk Parity Fund		816,067,479		13,022,402		—			13,022,402
AQR Multi-Strategy Alternative Fund		743,593,163		46,489,085		(16,099,231	)		30,389,854
AQR Momentum Fund		523,180,237		72,423,429		(6,178,131	)		66,245,298
AQR Small Cap Momentum Fund		154,260,975		24,321,202		(4,262,309	)		20,058,893
AQR International Momentum Fund		105,754,123		13,583,113		(1,414,180	)		12,168,933
AQR Tax-Managed Momentum Fund		4,184,781		373,893		(67,573	)		306,320
AQR Tax-Managed Small Cap Momentum Fund		3,652,745		355,063		(121,534	)		233,529
AQR Tax-Managed International Momentum Fund		4,746,024		324,353		(66,743	)		257,610

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.

5. Fair Value Measurements

The Funds utilize various inputs 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 — quoted prices in active markets for identical securities

Level 2 — other significant observable inputs (including quoted prices for similar securities, 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)

Valuation methodology and inputs

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. The following are certain inputs and techniques that the Funds use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

Equities traded outside North America are fair valued daily and therefore are considered Level 2 (Note 3). Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs 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 based on quotations from counterparties and other market participants, as well as pricing models using quoted inputs as provided by an independent pricing service. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information. 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 Funds 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.

The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated over-the-counter (“OTC”). 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. OTC derivatives, including forwards, credit default swaps, total return swaps, and interest rate swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. 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. Equity total return swap transactions are valued at fair value, based on the price of the underlying security. Interest rate swap contracts are valued at estimated fair value as determined by the Funds based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.

Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. 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.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

Securities for which market quotations or independent pricing service quotations are not readily available or which are not readily marketable and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The procedures require the Funds’ Valuation Committee (the “VC”) to meet annually and on an as-needed basis to value any securities or other assets for which prices or valuations are not readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values and other events that may have a potentially material impact on security values. On a monthly basis, model prices are reviewed against available third party model prices, and on a quarterly basis the VC reports to the Funds Board of Trustees regarding the number and materiality of Level 3 positions, discusses the methodology utilized in determining fair value prices and provides the results of back-testing. On a daily basis the Trust’s Fund Accountant compares trade executions prices to the prior night’s valuation price for all positions which were traded and held the previous day.

Quantitative Information

These tables include a description of unobservable and quantitative inputs and the relationship of such inputs, as used in determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third party pricing information was used without adjustment.

Transfers

Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. 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.

The following summarizes inputs used as of September 30, 2012 in valuing the Funds’ assets carried at fair value:

AQR GLOBAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	235,065,460		$	170,349,771		$	—	$	405,415,231
Preferred Stocks†		—			2,369,752			—		2,369,752
Money Market Funds		—			48,317,132			—		48,317,132
Total Assets	$	235,065,460		$	221,036,655		$	—	$	456,102,115
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—		$	(374,601	)	$	—	$	(374,601	)
Total Return Swap Contracts*		—			(153,326	)		—		(153,326	)
Futures Contracts*		(1,914,654	)		—			—		(1,914,654	)
Total Liabilities	$	(1,914,654	)	$	(527,927	)	$	—	$	(2,442,581	)

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument.

† Please refer to the Schedule of Investments to view securities segregated by country.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.

AQR INTERNATIONAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	—		$	538,470,194		$	—	$	538,470,194
Preferred Stocks†		—			5,217,033			—		5,217,033
Money Market Funds		—			81,882,649			—		81,882,649
Forward Foreign Currency Exchange Contracts*	$	—		$	608,360		$	—	$	608,360
Total Assets	$	—		$	626,178,236		$	—	$	626,178,236
LIABILITIES
Total Return Swap Contracts*	$	—		$	(174,993	)	$	—	$	(174,993	)
Futures Contracts*		(3,386,532	)		—			—		(3,386,532	)
Total Liabilities	$	(3,386,532	)	$	(174,993	)	$	—	$	(3,561,525	)

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument.

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.

AQR EMERGING DEFENSIVE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	1,679,278	$	3,361,674	$	—	$	5,040,952
Exchange-Traded Funds		328,701		—		—		328,701
Preferred Stocks†		31,033		—		—		31,033
Money Market Funds		—		241,429		—		241,429
Total Assets	$	2,039,012	$	3,603,103	$	—	$	5,642,115

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

AQR INTERNATIONAL DEFENSIVE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	514,051	$	2,567,078	$	—	$	3,081,129
Exchange-Traded Funds		191,118		—		—		191,118
Preferred Stocks†		—		14,304		—		14,304
Money Market Funds		—		87,330		—		87,330
Total Assets	$	705,169	$	2,668,712	$	—	$	3,373,881

† Please refer to the Schedule of Investments to view securities segregated by country.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

AQR U.S. DEFENSIVE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	2,522,862	$	—	$	—	$	2,522,862
Exchange-Traded Funds		216,471		—		—		216,471
Money Market Funds		—		315,401		—		315,401
Total Assets	$	2,739,333	$	315,401	$	—	$	3,054,734

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

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†	$	849,667,988		$	33,480,554		$	28,190,769		$	911,339,311
Convertible Preferred Stocks†		1,982,442			65,667,272			8,679,936			76,329,650
Corporate Bonds†		—			241,117,695			36,099,143			277,216,838
Convertible Bonds†		—			106,012,436			7,677,129			113,689,565
Bank Loans†		—			13,391,162			—			13,391,162
Closed End Funds†		70,560,501			—			—			70,560,501
Exchange Traded Funds		2,259,720			—			—			2,259,720
Preferred Stocks†		—			2,034,645			—			2,034,645
Rights†		—			—			2,835			2,835
Warrants†		17,903,189			583,738			2,964,046			21,450,973
Money Market Funds		—			1,114,486,190			—			1,114,486,190
Futures Contracts*		1,114,809			—			—			1,114,809
Total Assets	$	943,488,649		$	1,576,773,692		$	83,613,858		$	2,603,876,199
LIABILITIES
Common Stocks (Sold Short)†	$	(499,467,533	)	$	(127,030	)	$	(32,207	)	$	(499,626,770	)
Exchange-Traded Funds (Sold Short)		(41,729,924	)		—			—			(41,729,924	)
Forward Foreign Currency Exchange Contracts*		—			(332,181	)		—			(332,181	)
Credit Default Swap Contracts*		—			(1,287,531	)		—			(1,287,531	)
Total Return Basket Swap Contracts*		—			(1,530,710	)		—			(1,530,710	)
Total Liabilities	$	(541,197,457	)	$	(3,277,452	)	$	(32,207	) $		(544,507,116	)

* Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap and total return basket swap contracts are reported at market value.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

Quantitative Information about Level 3 Fair Value Measurements

	Value		Valuation Technique(s)	Unobservable Input(s)	Range
Common Stocks		13,401,396.69	Model Priced at terms of sale Last Trade	Underlying Price Price Liquidity Discount	$0.005 - $2.27 28 50%
Convertible Preferred Stocks		3,679,936.19	Model	Underlying Price Credit Spread Liquidity Discount Volatility	$1.28 - $5.50 8 bps - 30 bps 14.93% - 98.8% 75.0% -150.0%
Corporate Bonds		2,349,787.64	Model Comparable Position	Credit Spread Prior Price	25 bps $62.125
Convertible Bonds		5,832,166.75	Model	Underlying Price Credit Spread Liquidity Discount Volatility	$0.005 - $4.85 12 bps - 40 bps 10.0% - 50.0% 42.0% - 132.0%
Warrants		2,354,771.27	Model	Underlying Price Liquidity Discount Volatility	$0.0258 - $11.76 10.0% - 75.0% 40.0% - 150.0%

Level 3 values 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 the Fund’s investments in corporate bonds, convertible bonds, 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 discount, theoretical value, 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.

The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in determining fair value:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCKS			CONVERTIBLE PREFERRED STOCK			CORPORATE BONDS			CONVERTIBLE BONDS			WARRANTS			RIGHTS		SHORT COMMON STOCK
Balance as of December 31, 2011	$	13,402,480		$	1,181,492		$	4,152,274		$	4,372,176		$	2,984,201		$	—	$	(64,415	)
Accrued discounts/(premiums)		—			(5,281	)		84,193			2,653			—			—		—
Realized gain/(loss)		(1,362,385	)		—			(7,602	)		—			(1,135	)		—		—
Change in unrealized appreciation/(depreciation)		(1,692,258	)		(156,560	)		(6,655,955	)		(1,493,234	)		(263,039	)		—		32,208
Purchases1		9,096,073			2,660,285			15,626,901			6,302,001			430			—		—
Sales2		(8,379,405	)		—			(2,702,510	)		(6,300,000	)		—			—		—
Transfers in to Level 3		17,126,264			5,000,000			28,659,174			4,793,533			243,589			2,835		—
Transfers out of Level 3		—			—			3,057,332			—			—			—		—
Balance as of September 30, 2012	$	28,190,769		$	8,679,936		$	36,099,143		$	7,677,129		$	2,964,046		$	2,835	$	(32,207	)

¹  Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate action.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

There were no transfers between Levels 1 and 2 during the period. The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2012 is $(1,692,258), $(156,560), $(6,655,955), $(3,428,058), $(106,185) and $32,208 for common stocks, convertible preferred stock, corporate bonds, convertible bonds, warrants and short common stock, respectively.

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
Money Market Funds	$	—		$	1,740,427,797		$	—	$	1,740,427,797
Forward Foreign Currency Exchange Contracts*	$	—		$	2,400,715		$	—	$	2,400,715
Total Assets	$	—		$	1,742,828,512		$	—	$	1,742,828,512
LIABILITIES
Total Return Swap Contracts*	$	—		$	(37,538,182	)	$	—	$	(37,538,182	)
Futures Contracts*		(13,036,138	)		—			—		(13,036,138	)
Total Liabilities	$	(13,036,138	)	$	(37,538,182	)	$	—	$	(50,574,320	)

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

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
Money Market Funds	$	—	$	23,985,585	$	—	$	23,985,585
Total Return Swap Contracts*		—		570,156		—		570,156
Futures Contracts*		155,119		—		—		155,119
Total Assets	$	155,119	$	24,555,741	$	—	$	24,710,860

* Derivative instruments, including futures and total return swap contracts, are value at the unrealized appreciation (depreciation) of the instrument.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

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†	$	—	$	211,725,810		$	—	$	211,725,810
U.S. Treasury Obligations†		—		210,391,777			—		210,391,777
Money Market Funds		—		406,972,294			—		406,972,294
Futures Contracts*	$	3,452,021	$	—		$	—	$	3,452,021
Credit Default Swap Contracts*		—		141,091			—		141,091
Interest Rate Swap Contracts*		—		10,861,304			—		10,861,304
Total Return Swap Contracts*		—		4,063,929			—		4,063,929
Total Assets	$	3,452,021	$	844,156,205		$	—	$	847,608,226
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(77,292	)	$	—	$	(77,292	)
Total Return Swap Contracts*		—		(691,298	)		—		(691,298	)
Total Liabilities	$	—	$	(768,590	)	$	—	$	(768,590	)

* Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap contracts are reported at market value.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

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†	$	22,280,201		$	286,623,282		$	—	$	308,903,483
Convertible Preferred Stocks†		4,826,415			—			—		4,826,415
Corporate Bonds†		—			93,918,695			—		93,918,695
Convertible Bonds†		—			149,287,691			—		149,287,691
Preferred Stocks†		966,483			1,224,366			—		2,190,849
Rights†		—			680			—		680
Money Market Funds		—			214,855,204			—		214,855,204
Credit Default Swap Contracts*		—			272,177			—		272,177
Total Return Basket Swap Contracts*		—			3,041,845			—		3,041,845
Total Assets	$	28,073,099		$	749,223,940		$	—	$	777,297,039
LIABILITIES
Common Stocks (Sold Short)†	$	(169,751,698	)	$	(238,941,675	)	$	—	$	(408,693,373	)
Exchange-Traded Funds (Sold Short)		(31,921,025	)		—			—		(31,921,025	)
Forward Foreign Currency Exchange Contracts*		—			(1,401,169	)		—		(1,401,169	)
Preferred Stocks (Sold Short)†		—			(331,621	)		—		(331,621	)
Futures Contracts*		(840,212	)		—			—		(840,212	)
Total Return Swap Contracts*		—			(176,977	)		—		(176,977	)
Total Return Basket Swap Contracts*		—			(7,532,708	)		—		(7,532,708	)
Total Liabilities	$	(202,512,935	)	$	(248,384,150	)	$	—	$	(450,897,085	)

* Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap and total return basket swap contracts are reported at market value.

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as level 3 and considered quantitatively insignificant to the portfolio.

AQR MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	486,205,376		$	—	$	—	$	486,205,376
Money Market Funds		—			103,220,159		—		103,220,159
Total Assets	$	486,205,376		$	103,220,159	$	—	$	589,425,535
LIABILITIES
Futures Contracts*	$	(25,035	)	$	—	$	—	$	(25,035	)
Total Liabilities	$	(25,035	)	$	—	$	—	$	(25,035	)

* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

AQR SMALL CAP MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	136,000,190		$	—	$	—	$	136,000,190
Money Market Funds		—			38,319,678		—		38,319,678
Total Assets	$	136,000,190		$	38,319,678	$	—	$	174,319,868
LIABILITIES
Futures Contracts*	$	(10,941	)	$	—	$	—	$	(10,941	)
Total Liabilities	$	(10,941	)	$	—	$	—	$	(10,941	)

* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.

AQR INTERNATIONAL MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	7,600,876	$	106,280,214	$	—	$	113,881,090
Exchange-Traded Funds		562,701		—		—		562,701
Money Market Funds		—		3,479,265		—		3,479,265
Total Assets	$	8,163,577	$	109,759,479	$	—	$	117,923,056

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

AQR TAX-MANAGED MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	4,041,011	$	—	$	—	$	4,041,011
Exchange-Traded Funds		77,722		—		—		77,722
Money Market Funds		—		372,368		—		372,368
Total Assets	$	4,118,733	$	372,368	$	—	$	4,491,101

† Please refer to the Schedule of Investments to view securities segregated by industry type.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	2,984,780	$	—	$	—	$	2,984,780
Exchange-Traded Funds		73,111		—		—		73,111
Money Market Funds		—		828,383		—		828,383
Total Assets	$	3,057,891	$	828,383	$	—	$	3,886,274

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	363,589	$	4,390,131	$	—	$	4,753,720
Exchange-Traded Funds		87,079		—		—		87,079
Money Market Funds		—		162,835		—		162,835
Total Assets	$	450,668	$	4,552,966	$	—	$	5,003,634

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

6. Derivative Instruments and Hedging Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The effect of such derivative instruments on the Funds’ financial position and financial performance for the period ended September 30, 2012 are as follows:

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund	$	638,039	$	—	$	—	$	2,552,693	$	153,326	$	—
AQR International Equity Fund		789,473		—		—		4,176,005		174,993		—
AQR Diversified Arbitrage Fund		1,534,195		—		—		—		1,530,710		—
AQR Managed Futures Strategy Fund		1,118,105		—		—		14,139,211		290,234		—
AQR Risk Parity Fund		688,441		—		—		4,379,701		138,260		—
AQR Multi-Strategy Alternative Fund		5,715,264		3,477,097		—		5,817,402		8,006,450		—
AQR Momentum Fund		—		—		—		25,035		—		—
AQR Small Cap Momentum Fund		—		—		—		10,941		—		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—		—		2,063,251		—		—		2,437,852
AQR International Equity Fund		—		—		3,915,958		—		—		3,307,598
AQR Diversified Arbitrage Fund		—		—		1,195,414		—		—		1,527,595
AQR Managed Futures Strategy Fund		—		—		25,438,064		—		—		23,037,349
AQR Risk Parity Fund		—		—		3,203,118		—		—		3,280,410
AQR Multi-Strategy Alternative Fund		—		—		6,464,879		—		—		7,866,048
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		419,386		—		—
AQR Managed Futures Strategy Fund		7,475,589		133,451		—		572,126		321,297		—
AQR Risk Parity Fund		2,250,989		20,511,382		—		—		8,640,461		—
AQR Multi-Strategy Alternative Fund		1,957,041		187,016		—		426,049		203,691		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		34,361		—		—		1,321,892		—
AQR Risk Parity Fund		—		5,137,344		—		—		4,996,253		—
AQR Multi-Strategy Alternative Fund		—		272,177		—		—		—		—
Commodity Exposure:
AQR Managed Futures Strategy Fund		30,211,968		96,796		—		37,130,463		3,431,742		—
AQR Risk-Balanced Commodities Strategy Fund		530,382		881,681		—		375,263		311,525		—
AQR Risk Parity Fund		9,943,796		37,188		—		5,051,504		28,700		—
AQR Multi-Strategy Alternative Fund		3,919,912		—		—		6,188,978		121,812		—

Notes to Schedule of Investments September 30, 2012 (Unaudited)

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Netting:
AQR Global Equity Fund		(638,039	)		—			(2,063,251	)		(638,039	)		—			(2,063,251	)
AQR International Equity Fund		(789,473	)		—			(3,307,598	)		(789,473	)		—			(3,307,598	)
AQR Diversified Arbitrage Fund		(419,386	)		(34,361	)		(1,195,414	)		(419,386	)		(34,361	)		(1,195,414	)
AQR Managed Futures Strategy Fund		(38,805,662	)		(230,247	)		(23,037,349	)		(38,805,662	)		(230,247	)		(23,037,349	)
AQR Risk-Balanced Commodities Strategy Fund		(375,263	)		(311,525	)		—			(375,263	)		(311,525	)		—
AQR Risk Parity Fund		(9,431,205	)		(13,803,674	)		(3,203,118	)		(9,431,205	)		(13,803,674	)		(3,203,118	)
AQR Multi-Strategy Alternative Fund		(11,592,217	)		(3,936,290	)		(6,464,879	)		(11,592,217	)		(3,936,290	)		(6,464,879	)
Net Fair Value of Derivative Contracts:
AQR Global Equity Fund		—			—			—			1,914,654			153,326			374,601
AQR International Equity Fund		—			—			608,360			3,386,532			174,993			—
AQR Diversified Arbitrage Fund		1,114,809			—			—			—			2,818,241			332,181
AQR Managed Futures Strategy Fund		—			—			2,400,715			13,036,138			3,813,026			—
AQR Risk-Balanced Commodities Strategy Fund		155,119			570,156			—			—			—			—
AQR Risk Parity Fund		3,452,021			11,882,240			—			—			—			77,292
AQR Multi-Strategy Alternative Fund		—			—			—			840,212			4,395,663			1,401,169
AQR Momentum Fund		—			—			—			25,035			—			—
AQR Small Cap Momentum Fund		—			—			—			10,941			—			—

For swaps, futures and forward foreign currency contracts, the Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.

As of September 30, 2012, the following Funds had net liability positions:

FUND	DERIVATIVES IN NET LIABILITY POSITION			COLLATERAL POSTED
AQR Global Equity Fund	$	(2,442,581	)	$	12,174,373
AQR International Equity Fund		(2,953,165	)		18,865,964
AQR Diversified Arbitrage Fund		(2,035,613	)		288,590,280
AQR Managed Futures Strategy Fund		(14,448,449	)		169,232,347
AQR Multi-Strategy Alternative Fund		(6,637,044	)		82,255,729
AQR Momentum Fund		(25,035	)		129,519
AQR Small Cap Momentum Fund		(10,941	)		54,437

Notes to Schedule of Investments September 30, 2012 (Unaudited)

7. Risks and Concentrations

By using derivative instruments, the Funds are exposed to the counterparty’s credit risk, 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 Schedules of Investments. 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.

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. companies.

Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Schedules of Investments. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.

The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.

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).

Credit risk is 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. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, 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.

As of September 30, 2012, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive Equity, AQR International Defensive Equity, AQR International Momentum and AQR Tax-Managed International Momentum Funds’ net assets consisted of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities.

As of September 30, 2012, the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund pledged a substantial portion of their assets for securities sold short to JPMorgan Chase Bank, N.A.

Notes to Schedule of Investments September 30, 2012 (Unaudited)

8. New Accounting Pronouncements

In December 2011, FASB issued ASU No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The amendments in the ASU enhance disclosures about offsetting of financial assets and liabilities to enable investors to understand the effect of these arrangements on a Fund’s financial position. The ASU is effective for interim and annual reporting periods beginning on or after January 1, 2013. The Funds believe the adoption of this ASU will not have a material impact on their financial statements.

9. 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.

Item 2. 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 internal 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 3. Exhibits.

(a) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are 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

November 26, 2012

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

November 26, 2012

By: /s/ Nir Messafi

Nir Messafi

Principal Financial Officer

November 26, 2012