UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

Two Greenwich Plaza

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end: September 30

Date of reporting period: January 1, 2013 to September 30, 2013

Item 1. Reports to Shareholders.

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

Table of Contents

Shareholder Letters (unaudited)*
AQR Global Equity Fund	2
AQR International Equity Fund	7
AQR Emerging Defensive Equity Fund	12
AQR International Defensive Equity Fund	14
AQR U.S. Defensive Equity Fund	16
AQR Momentum Fund	18
AQR Small Cap Momentum Fund	20
AQR International Momentum Fund	22
AQR Tax-Managed Momentum Fund	24
AQR Tax-Managed Small Cap Momentum Fund	26
AQR Tax-Managed International Momentum Fund	28
AQR Core Equity Fund	30
AQR Small Cap Core Equity Fund	32
AQR International Core Equity Fund	34
Schedule of Investments
AQR Global Equity Fund	40
AQR International Equity Fund	49
AQR Emerging Defensive Equity Fund	56
AQR International Defensive Equity Fund	59
AQR U.S. Defensive Equity Fund	62
AQR Momentum Fund	65
AQR Small Cap Momentum Fund	71
AQR International Momentum Fund	80
AQR Tax-Managed Momentum Fund	86
AQR Tax-Managed Small Cap Momentum Fund	91
AQR Tax-Managed International Momentum Fund	98
AQR Core Equity Fund	103
AQR Small Cap Core Equity Fund	107
AQR International Core Equity Fund	112
Financial Statements and Notes	116
Report of Independent Registered Public Accounting Firm	178

Table of Contents

Other Federal Tax Information (unaudited)	179
Fund Expense Examples (unaudited)	180
Trustees and Officers (unaudited)	184

* The Funds have changed their fiscal year end from December 31 to September 30. This report discusses the nine months ended September 30, 2013.

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

Ronen Israel

Principal

Oktay Kurbanov

Principal

John Liew

Founding Principal

Lars Nielsen

Principal

Dear Shareholder:

Global equity markets have had a strong nine months in 2013, with the MSCI World Total Return Index returning 17.29%.

Developed equity markets were generally up across the globe, driven by modestly improving growth and supportive policy measures. Most notable was Japan where Prime Minister Shinzo Abe, fresh off a comprehensive election victory, pushed forward with an economic platform consisting of monetary and fiscal stimulus, along with structural reforms, that became known as “Abenomics.” The monetary policy impact of Abenomics began early in the year, when the Bank of Japan (“BOJ”) adopted a 2% inflation target and Abe nominated Haruhiko Kuroda, a vocal advocate of monetary stimulus, to be the new Governor of the BOJ. Japanese equities rallied strongly in yen terms, while the yen weakened considerably.

Europe equity performance has been uneven year to date. First quarter performance was lackluster across European equity markets. Drivers included a banking crisis in Cyprus that led to renewed concerns about financial stability across the continent, weak Gross Domestic Product (“GDP”) numbers in Germany and France, and uncertainty surrounding the Italian elections. However, the second quarter saw relief over the resolution of most of these issues. Economic statistics improved in the third quarter, notably in peripheral countries such as Spain, leading to stronger performance from European equity markets.

Growth in China slowed through the first half of the year, and the second quarter was particularly bad for markets with close ties to China. Economic activity statistics slowed in April and May and Chinese officials indicated that the government might be comfortable accepting a lower longer-term growth rate. Moreover, a relatively hawkish People’s Bank of China (“PBOC”) made matters worse by allowing tighter liquidity conditions in response to fears of a credit bubble. China is the world’s largest consumer of many commodities, and commodity prices declined with slowing Chinese growth. Growth statistics in China started to improve in August, leading to better performance in the third quarter.

The AQR Global Equity Fund Class I shares (the “Fund”) returned 17.44% for the nine months ended September 30, 2013, outperforming its benchmark index by 0.15%. The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.

The stock selection strategies outperformed in 2013, led mainly by strong returns in the US and Europe strategies. Returns in Japan, Canada and other regions were also positive.

Industry-relative valuation signals and momentum signals across industries drove most of the outperformance in the US, notably in the second quarter. Valuation across

2 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

industries and stability signals detracted modestly from returns in the country. In Europe, industry-relative valuation signals and momentum signals across industries drove much of the outperformance, while stability and management signaling contributed negatively to returns.

Sector positioning for the overall strategy contributed positively to the fund’s performance this year. Gains from an average net overweight position in healthcare offset losses from an average net underweight position in consumer discretionary. Our industry-neutral bets for the overall strategy also outperformed this year, notably within the information technology and financial sectors.

Tactically, we are slightly overweight value in the US due to positive momentum of value stocks. We are underweight value in Europe due to a tightening of value spreads in the region and are maintaining our long-term target weight to value in Japan.

The country selection strategy detracted from fund performance in 2013, with losses in the first and third quarters outweighing gains in the second quarter. Overall, gains to our momentum theme were not enough to offset losses to our valuation theme.

The largest detractor was our underweight position in U.S. equities, which detracted from performance in the first and second quarters before contributing significantly in the third quarter. We began the year underweight U.S. equities due to expensive valuations and weak price momentum. U.S. markets rallied early in the year on a resolution to the “fiscal cliff” issue, and continued the rally in the second quarter when U.S. economic data pointed to a stronger recovery than most other developed markets. However, U.S. markets lagged in the third quarter over fears of tapering by the U.S. Federal Reserve, possible military engagement in Syria and concerns about political impasse around the federal budget and debt ceiling. Another significant detractor was our overweight position in Hong Kong in the first and second quarters as Chinese growth slowed.

Our overweight position in Japan was the most significant contributor. Japan had the strongest performing equity market in local currency terms in 2013, driven by optimism over the ability of “Abenomics” to end deflation and reignite growth in the Japanese economy. Our underweight Canada position was another major contributor. Canadian equities underperformed throughout the year, weighed down by weaker commodity prices and concerns over a potential housing bubble.

Our largest overweight positions at the end of the third quarter were in Japan, Spain and France, and our largest underweights were in the U.S. and Canada. We like Japan because of positive price momentum and improving fundamentals, in particular bullish revisions to analysts’ earnings estimates for Japanese companies and a weaker yen. We are overweight Spanish equities due to improving fundamentals and supportive price momentum, and we also like French equities due to attractive valuations and supportive price momentum.

The currency selection strategy detracted from fund performance in 2013, with weak performance in the second and third quarters following a strong first quarter. Our valuation and momentum strategies provided positive returns, but not enough to overcome negative returns to interest-rate-related signals.

The largest contributor was the Japanese yen, which started the year as our largest underweight position due to expensive valuations, negative price momentum and bearish investor sentiment. This position profited in the first quarter when the announcement of a 2% inflation target and appointment of new Bank of Japan Governor Kuroda furthered expectations of extraordinary easing measures resulting in a

AQR Funds Annual Report September 2013 3

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

continuation of the slide in the yen that took place towards the end of 2012. The significant decline of the yen reduced the overvaluation of the Japanese currency and contributed to improving economic fundamentals leading us to an overweight position in the yen later in the year. This contributed to returns late in the second quarter before detracting somewhat in the third quarter.

The largest detractor was the Norwegian krone, which started the year as our largest overweight position. We found the krone attractive due to relatively high levels of carry, supportive price momentum and bullish investor sentiment. The krone underperformed early in the year due to worsening Eurozone sentiment, and continued to underperform throughout the year on weaker domestic growth and the surprising adoption of an easing bias by the central bank. Our underweight to the New Zealand dollar (“kiwi”) also detracted, with losses most notably occurring in the first and third quarters. The kiwi outperformed in the first quarter on the back of strong economic data from the region. In the third quarter, the New Zealand dollar was supported by continued strong growth statistics as well as by the adoption of a tightening bias by the Reserve Bank of New Zealand.

Our largest overweight positions as of the end of the third quarter were in the Japanese yen, euro and Norwegian krone, while we are most underweight the British pound, Canadian dollar and U.S. dollar. We like the yen due to attractive interest-rate-related signals, Japan’s strong equity market performance and positive investor sentiment. We are overweight the euro because of its attractive valuation, improving fundamentals and supportive price momentum, while we like the krone due to high levels of carry and other bullish signals related to interest rates. We find the British pound unattractive due to interest-rate-related signals, and find the Canadian dollar unattractive due to expensive valuation, poor momentum and bearish sentiment. We are also underweight the U.S. dollar due to poor fundamental momentum and bearish interest-rate-related signals.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	9 Months		1 Year		3 Year		Since Inception (12/31/2009)
Fund - Class I: AQGIX		17.44%		24.16%		12.60%		11.18%
Fund - Class N: AQGNX		17.23%		23.85%		12.29%		10.85%
Fund - Class Y: AQGYX		17.89%		24.83%		13.08%		11.67%
MSCI World Total Return (net of dividends) Index		17.29%		20.21%		11.82%		10.09%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 1.42%, 1.88% and 0.52%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

4 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 12/31/09

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

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	9 Months		1 Year		3 Year		5 Year		Since Inception (6/30/2006)
Fund - Class I: AQGIX		17.44%		24.16%		12.60%		9.04%		4.10%
Fund - Class N: AQGNX		17.23%		23.85%		12.29%		8.71%		3.76%
Fund - Class Y: AQGYX		17.89%		24.83%		13.08%		9.50%		4.52%
MSCI World Total Return (net of dividends) Index		17.29%		20.21%		11.82%		7.84%		4.37%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 1.42%, 1.88% and 0.52%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2013 5

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 6/30/06

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

6 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

Ronen Israel

Principal

Oktay Kurbanov

Principal

John Liew

Founding Principal

Lars Nielsen

Principal

Dear Shareholder:

International equity markets have had a strong nine months in 2013, with the MSCI EAFE Index returning 16.14%.

Developed equity markets were generally up across the globe, driven by modestly improving growth and supportive policy measures. Most notable was Japan where Prime Minister Shinzo Abe, fresh off a comprehensive election victory, pushed forward with an economic platform consisting of monetary and fiscal stimulus, along with structural reforms, that became known as “Abenomics.” The monetary policy impact of Abenomics began early in the year, when the Bank of Japan adopted a 2% inflation target and Abe nominated Haruhiko Kuroda, a vocal advocate of monetary stimulus, to be the new Governor of the BOJ. Japanese equities rallied strongly in yen terms, while the yen weakened considerably.

European equity performance has been uneven year to date. First quarter performance was lackluster across European equity markets. Drivers included a banking crisis in Cyprus that led to renewed concerns about financial stability across the continent, weak GDP numbers in Germany and France, and uncertainty surrounding the Italian elections. However, the second quarter saw relief over the resolution of most of these issues. Economic statistics improved in the third quarter, notably in peripheral countries such as Spain, leading to stronger performance from European equity markets.

Growth in China slowed through the first half of the year, and the second quarter was particularly bad for markets with close ties to China. Economic activity statistics slowed in April and May and Chinese officials indicated that the government might be comfortable accepting a lower longer-term growth rate. Moreover, a relatively hawkish PBOC made matters worse by allowing tighter liquidity conditions in response to fears of a credit bubble. China is the world’s largest consumer of many commodities, and commodity prices declined with slowing Chinese growth. Growth statistics in China started to improve in August, leading to better performance in the third quarter.

The AQR International Equity Fund Class I shares (the “Fund”) returned 16.02% for the nine months ended September 30, 2013, underperforming its benchmark index by 0.12%. The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.

The stock selection strategies outperformed in 2013, driven by strong returns from the Europe and Australia strategies. Our Japan strategy detracted slightly from performance.

Industry-relative valuation signals and momentum signals across industries drove most of the outperformance in Europe, particularly in the second quarter. Our stability

AQR Funds Annual Report September 2013 7

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

and management signaling investment themes detracted from returns in the region. In Japan, industry-relative valuation and stability signals underperformed, offsetting gains from industry-relative momentum and investor sentiment signals. Momentum and valuation signals tend to be negatively correlated.

Sector positioning for the overall strategy contributed positively to the fund’s performance the year. Gains from an average net overweight position in consumer discretionary and an average net underweight position in energy offset modest losses from an average net underweight in financials. Our industry-neutral bets for the overall strategy detracted from returns for the year, notably driven by the underperformance within financials.

Tactically, we are underweight value in Europe due to a tightening of value spreads. We are maintaining our long-term target weight to value in Japan.

The country selection strategy saw losses in the first quarter and gains in the second and third quarters. Overall, our momentum theme added value while our valuation theme detracted.

Our overweight position in Japan was the most significant contributor. Japan had the strongest performing equity market in local currency terms in 2013, driven by optimism over the ability of “Abenomics” to reignite growth in the Japanese economy. Our underweight position in Italian equities also outperformed. Gains were realized in the first quarter when Italian equities lagged due to uncertainty surrounding the outcome of elections in February.

Our underweight position to Switzerland was the largest detractor, with underperformance coming mainly in the first quarter, when Swiss equities benefitted from a weaker Swiss franc and positive economic statistics. Another significant detractor was our overweight position in Hong Kong, in the first and second quarters as Chinese growth slowed.

Our largest overweight positions at the end of the third quarter were in Japan, France and Hong Kong, and our largest underweights were in Australia, Switzerland and Sweden. We like Japan because of positive price momentum and improving fundamentals, in particular bullish revisions to analysts’ earnings estimates for Japanese companies and a weaker yen. We are overweight French equities due to attractive valuations and supportive price momentum, and Hong Kong equities due to attractive valuations. We dislike Australian, Swiss and Swedish equities due to expensive valuations.

The currency selection strategy saw strong performance in the first quarter, but losses in the second and third quarters. Our valuation and momentum strategies provided positive returns, while interest-rate-related signals detracted.

The largest contributor was the Japanese yen, which started the year as our largest underweight position due to expensive valuations, negative price momentum and bearish investor sentiment. This position profited in the first quarter when the announcement of a 2% inflation target and appointment of new Bank of Japan Governor Kuroda furthered expectations of extraordinary easing measures, resulting in a continuation of the slide in the yen that took place towards the end of 2012. The significant decline of the yen reduced the overvaluation of the Japanese currency and contributed to improving economic fundamentals, leading to an overweight position in the yen later in the year. This contributed to returns late in the second quarter before detracting somewhat in the third quarter.

The largest detractor was the Norwegian krone, which started the year as our largest overweight position. We found the krone attractive due to relatively high levels of carry, supportive price momentum and bullish

8 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

investor sentiment. The krone underperformed early in the year due to worsening Eurozone sentiment, and continued to underperform throughout the year on weaker domestic growth and the surprising adoption of an easing bias by the central bank. Our underweight to the British pound in the second and third quarters also detracted from performance. The pound rallied on surprisingly strong growth and less dovish than expected monetary policy.

Our largest overweight positions as of the end of the third quarter were in the Japanese yen and euro, while we are most underweight the British pound and Australian dollar. We like the yen due to attractive interest-rate-related signals, Japan’s strong equity market performance and positive investor sentiment. We are overweight the euro because of its attractive valuation, improving fundamentals and supportive price momentum. We find the British pound unattractive to due to interest-rate-related signals, and find the Australian dollar unattractive due to poor momentum, weak fundamental momentum and bearish sentiment.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	9 Months		1 Year		3 Year		Since Inception (9/29/2009)		Since Inception (8/28/2009)
Fund - Class I: AQIIX		16.02%		27.97%		9.30%		8.13%		na
Fund - Class N: AQINX		15.63%		27.43%		8.86%		7.81%		na
Fund - Class Y: AQIYX		16.25%		28.29%		9.67%		na		9.28%
MSCI EAFE Index		16.14%		23.77%		8.47%		8.15%		9.37%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 0.93%, 1.30% and 0.58%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2013 9

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX

VALUE OF $10,000 INVESTED ON 9/29/09

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

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	9 Months		1 Year		3 Year		5 Year		Since Inception (7/31/2004)
Fund - Class I: AQIIX		16.02%		27.97%		9.30%		8.01%		6.96%
Fund - Class N: AQINX		15.63%		27.43%		8.86%		7.69%		6.60%
Fund - Class Y: AQIYX		16.25%		28.29%		9.67%		8.37%		7.31%
MSCI EAFE Index		16.14%		23.77%		8.47%		6.35%		6.77%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 0.93%, 1.30% and 0.58%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

10 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX

VALUE OF $10,000 INVESTED ON 7/31/04

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

AQR Funds Annual Report September 2013 11

Shareholder Letter (Unaudited)

AQR EMERGING DEFENSIVE EQUITY FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

Hoon Kim

Vice President

Dear Shareholder:

Following a strong year for Emerging equity stocks, year to date 2013 performance was disappointing, led by slowed growth in China throughout the first half of the year. The MSCI Emerging Markets Index returned -4.35% in the nine months ending September 30, 2013, accompanied by an annualized volatility of 13.9%. The AQR Emerging Defensive Equity Fund (the “Fund”) underperformed the market, returning -5.95% (Class I shares) for the nine months ended September 30, 2013, with an annualized volatility of 12.2%. The Fund seeks to provide exposure to Emerging stock markets with lower volatility than its stock market benchmark. Over a full market cycle, we expect the strategy to underperform the index when the markets are rising, but outperform the index during market declines.

The Fund overweights low-risk sectors, countries and stocks while underweighting high-risk sectors, countries and stocks, relative to the market. Since the beginning of 2013, the Fund had an overweight position in low-risk sectors such as utilities, which negatively affected performance, as this sector trailed the market. An underweighting of information technology, a high-risk sector, also negatively contributed to the Fund’s performance, as this sector outperformed the market. Low-risk stock selection within sectors underperformed, particularly within consumer staples. Selecting low-risk countries during this period contributed positively to the performance of the Fund.

The Fund pursues a defensive strategy in emerging markets, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. The Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. These companies tend to be lower beta stocks, which are less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns over the long term than higher beta stocks.

12 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR EMERGING DEFENSIVE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR EMERGING DEFENSIVE EQUITY FUND
	9 Months		1 Year		Since Inception (7/9/2012)
Fund - Class I: AZEIX		-5.95%		-0.93%		3.10%
Fund - Class N: AZENX		-6.13%		-1.28%		2.81%
MSCI Emerging Markets Index		-4.35%		0.98%		7.13%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 4.18% and 5.45%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR EMERGING DEFENSIVE EQUITY FUND VS. MSCI EMERGING MARKETS INDEX

VALUE OF $10,000 INVESTED ON 7/9/12

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

AQR Funds Annual Report September 2013 13

Shareholder Letter (Unaudited)

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

Hoon Kim

Vice President

Dear Shareholder:

Following a positive year in 2012, the International equity markets continued their strong performance in 2013, driven by modestly improving growth and supportive policy measures in developed countries. The MSCI World ex-USA Index returned 14.66% in the nine months ending September 30, 2013. Strong performance in the market was accompanied by annualized volatility of 12.4%, a low figure by historical standards. The AQR International Defensive Equity Fund (the “Fund”) underperformed the market, returning 11.34% (Class I shares) for the nine months ended September 30, 2013, with an annualized volatility of 10.2%. The Fund seeks to provide exposure to International stock markets with lower volatility than its stock market benchmark. We expect the strategy to underperform its index when markets are rising, but outperform the index during market declines.

The Fund overweights low-risk sectors, countries and stocks, and underweights high-risk sectors, countries and stocks relative to the market. Higher-risk sectors like energy and materials underperformed the market, while lower-risk sectors like healthcare and telecommunications outperformed the market. As a result, the Fund’s sector selection relative to the MSCI World ex-USA Index outperformed for the period. However, these gains were offset by losses from low-risk stock selection within sectors, particularly in telecommunications and materials.

Selecting lower-risk countries detracted from returns in 2013. Due to the lower relative volatility of Canadian and Australian stocks, we have been overweight these countries throughout the year and their relative underperformance contributed negatively to overall returns. Low-risk stock selection within countries also underperformed, particularly within Canada and the U.K.

The Fund pursues a defensive strategy in developed markets outside of the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. The Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. These companies tend to be lower beta stocks, which are less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns over the long term than higher beta stocks.

14 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR INTERNATIONAL DEFENSIVE EQUITY FUND
	9 Months		1 Year		Since Inception (7/9/2012)
Fund - Class I: ANDIX		11.34%		12.58%		15.94%
Fund - Class N: ANDNX		11.13%		12.30%		15.70%
MSCI World ex-USA Index		14.66%		21.45%		25.34%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 5.03% and 6.99%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL DEFENSIVE EQUITY FUND VS. MSCI WORLD ex-USA INDEX (NET)

VALUE OF $10,000 INVESTED ON 7/9/12

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

AQR Funds Annual Report September 2013 15

Shareholder Letter (Unaudited)

AQR U.S. DEFENSIVE EQUITY FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

Hoon Kim

Vice President

Dear Shareholder:

Following a positive year in 2012, the U.S. equity market continued a strong bull run in 2013, despite concerns of possible military engagement in Syria and political impasse around the federal budget in the third quarter. The Russell 1000 Index returned 20.76% in the nine months ending September 30, 2013, accompanied by an annualized volatility of 11.2%, a low figure by historical standards. The Fund underperformed the index, returning 20.08% (Class I shares) for the nine months ended September 30, 2013, with realized volatility of 9.8%. The Fund seeks to provide exposure to U.S. stock markets with lower volatility than its stock market benchmark. We expect the strategy to underperform its index when markets are rising, but outperform the index during market declines.

The Fund overweights low-risk sectors and low-risk stocks, while underweighting high-risk sectors and high-risk stocks relative to the market. In 2013, high-risk sectors, like materials, energy and information technology, underperformed the market. While some low-risk sectors such as utilities underperformed relative to the market, healthcare, another low-risk sector outperformed. As a result, the Fund’s sector selection relative to the Russell 1000 Index contributed positively to returns for the period. Conversely, low-risk stocks underperformed high-risk stocks within industries, particularly in healthcare and consumer discretionary.

The Fund pursues a defensive strategy in the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. The Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. These companies tend to be lower beta stocks, which are less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns over the long term than higher beta stocks.

16 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR U.S. DEFENSIVE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR U.S. DEFENSIVE EQUITY FUND
	9 Months		1 Year		Since Inception (7/9/2012)
Fund - Class I: AUEIX		20.08%		19.08%		18.29%
Fund - Class N: AUENX		19.74%		18.80%		17.97%
Russell 1000® Index		20.76%		20.91%		23.26%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 3.92% and 9.38%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR U.S. DEFENSIVE EQUITY FUND VS. RUSSELL 1000 INDEX

VALUE OF $10,000 INVESTED ON 7/9/12

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

AQR Funds Annual Report September 2013 17

Shareholder Letter (Unaudited)

AQR MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

U.S. markets ended the fiscal year on a strong note with gains in the third quarter driven by hopes of continued monetary stimulus, strong readings on US manufacturing and service activity, and a general rebound in global economic activity. The Russell 1000 Index returned 20.76% and the Russell 1000 Growth Index returned 20.88% for the nine months ended September 30, 2013. The AQR Momentum Fund (the “Fund”) outperformed both Russell indices, gaining 22.35% (Class L shares) in 2013.

The outperformance to the Russell 1000 Index was primarily driven by sector over and under weights. In particular, the overweight of Consumer Discretionary, a sector that outperformed the market for the year, and the underweights of Consumer Staples, Energy and Telecommunication Services, sectors that underperformed the market year to date, contributed positively to performance.

Stock overweights of past winners and underweights of past losers in Consumer Discretionary, Health Care and Financials also contributed positively to performance. However, these gains were counteracted by losses from stock over and underweights within Information Technology, Energy and Consumer Staples, resulting in a small overall loss.

The AQR Momentum Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of the 1000 largest U.S. companies by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives, such as S&P500 E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in 2013 contributed about 0.28% year-to-date.

18 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR MOMENTUM FUND
	9 Months		1 Year*		3 Year*		Since Inception (12/17/2012)		Since Inception (7/9/2009)*
Fund - Class L: AMOMX		22.35%		21.90%		15.81%		na		18.96%
Fund - Class N: AMONX		22.18%		21.58%		15.52%		22.41%		18.66%
Russell 1000 Index		20.76%		20.91%		16.64%		20.66%		19.51%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 0.58% and 0.82%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR MOMENTUM FUND VS. RUSSELL 1000^® INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

AQR Funds Annual Report September 2013 19

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

U.S. Small Cap stocks fared similarly well to their large- and mid-cap peers. The Russell 2000 Index finished up 27.69% and the Russell 2000 Growth Index returned 32.47% for the nine months ended September 30, 2013. The AQR Small Cap Momentum Fund (the “Fund”) outperformed the Russell 2000 Index and fared similarly to the Russell 2000 Growth Index, returning 32.50% (Class L shares) in 2013.

Outperformance relative to the Russell 2000 Index was largely driven by relative stock exposures within sectors, particularly in the Consumer Discretionary, Health Care, Financials and Information Technology sectors. In Consumer Discretionary the Fund benefited from the overweight in Lumber Liquidators Holdings, the largest specialty retailer of hardwood flooring in North America, a company whose price has been trending up over the year, on consistent profits and earnings per share that beat the analysts’ consensus estimate. In Health Care, the Fund gained from the overweight in Acadia Pharmaceuticals, a biopharmaceutical company, whose price has also been trending up since April on evidence that its drug Pimavanserin was efficacious without significant side effects in patients with Parkinson’s disease. Finally, in Financials, a significant contribution was due to the overweight in Radian, a mortgage insurance company that has experienced an up drift in price due to a pickup in business and a decrease in delinquent loans on its books.

Relative exposures across sectors also added significantly to outperformance, particularly from the overweight in Health Care, a sector that outperformed the market, and the underweight in Utilities, a defensive sector that underperformed the market over the year.

The AQR Small Cap Momentum Fund invests in stocks of small-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives, such as Russell 2000 E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in 2013 contributed about 0.57% to performance year-to-date.

20 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR SMALL CAP MOMENTUM FUND
	9 Months		1 Year*		3 Year*		Since Inception (12/17/2012)		Since Inception (7/9/2009)*
Fund - Class L: ASMOX		32.50%		35.06%		21.36%		na		22.88%
Fund - Class N: ASMNX		32.26%		34.74%		21.06%		35.05%		22.58%
Russell 2000® Index		27.69%		30.06%		18.29%		30.04%		22.66%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 0.72% and 14.47%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR SMALL CAP MOMENTUM FUND VS. RUSSELL 2000^® INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

AQR Funds Annual Report September 2013 21

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

Developed world markets posted strong gains year to date driven by improving economic growth prospects in both Europe and China. For the nine months ended September 30, 2013, The MSCI World ex-USA Index returned 14.66%, while the MSCI World ex-USA Growth Index gained 14.70%. The AQR International Momentum Fund (the “Fund”) outperformed both benchmarks, returning 16.81% (Class L shares) in 2013.

The Fund’s outperformance relative to the broader MSCI World ex-USA Index, was primarily driven by over and underweights across sectors, particularly from the underweights of Energy and Materials, sectors that underperformed the market over the year, and the overweight in Consumer Discretionary, a sector that outperformed year-to-date. Relative exposures within sectors also contributed positively, but more modestly to performance. Specifically, while the Fund recorded gains from stock over and underweights within Financials, Consumer Discretionary and Information Technology, it incurred losses from stock over and underweights within Energy, Industrials, Health Care and Industrials.

The Fund also benefited from stock over and underweights within country, with the largest contributor coming from Japan. For example, the Fund gained from the overweight of the car maker Toyota Motor, a company whose price has been trending up since the beginning of the year on increased profit and high earnings forecasts from a weak yen, and the overweight of Softbank, a telecommunications and internet corporation, whose price has been drifting up over the year. Relative exposures across countries also added positively, but by a smaller amount, with positive contributions from the underweight of Canada and the overweight of Japan being counteracted by negative contributions from the underweight of Germany and overweight of Hong Kong.

A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives, such as MSCI EAFE E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in 2013 contributed about 0.53% to performance year-to-date.

22 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR INTERNATIONAL MOMENTUM FUND
	9 Months		1 Year*		3 Year*		Since Inception (12/17/2012)		Since Inception (7/9/2009)*
Fund - Class L: AIMOX		16.81%		23.32%		8.55%		na		12.69%
Fund - Class N: AIONX		16.59%		22.93%		8.25%		17.76%		12.39%
MSCI World ex-USA Index		14.66%		21.45%		7.89%		15.61%		12.09%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 0.81% and 14.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR INTERNATIONAL MOMENTUM FUND VS. MSCI WORLD ex-USA INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

AQR Funds Annual Report September 2013 23

Shareholder Letter (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

The AQR Tax-Managed Momentum Fund (the “Fund”) outperformed the market, gaining 22.19% (Class L shares) for the nine months ended September 30, 2013. Over the same period, the Russell 1000 Index returned 20.76% and the Russell 1000 Growth Index returned 20.88%.

The outperformance to the Russell 1000 Index was driven mainly by sector over and under weights. In particular, the overweight in Consumer Discretionary, a sector that outperformed the market for the year, and the underweights in Consumer Staples, Energy and Telecommunication Services, sectors that underperformed the market year-to-date contributed significantly to performance.

Stock overweights of past winners and underweights of past losers in Consumer Discretionary and Health Care also generated significant positive performance. However, these gains were counteracted by losses from stock over and underweights in Information Technology, Energy and Consumer Staples, resulting in small overall loss.

The AQR Tax-Managed Momentum Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of the 1000 largest U.S. companies by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return. The Fund does not currently use derivatives.

24 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR TAX-MANAGED MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR TAX-MANAGED MOMENTUM FUND
	9 Months		1 Year*		Since Inception (12/17/2012)		Since Inception (1/27/2012)*
Fund - Class L: ATMOX		22.19%		21.84%		na		21.65%
Fund - Class N: ATMNX		21.92%		21.51%		22.03%		21.33%
Russell 1000 Index		20.76%		20.91%		20.66%		18.87%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 4.58% and 15.33%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR TAX-MANAGED MOMENTUM FUND VS. RUSSELL 1000^® RETURN INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 25

Shareholder Letter (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

The AQR Tax-Managed Small Cap Momentum Fund (the “Fund”) outperformed the market, gaining 33.18% (Class L shares) for the nine months ended September 30, 2013. Over the same period, the Russell 2000 Index returned 27.69% and the Russell 2000 Growth Index returned 32.47%.

Outperformance relative to the Russell 2000 Index was driven mainly by relative stock exposures within sectors, particularly in the Health Care, Consumer Discretionary, Financials and Information Technology sectors. In Consumer Discretionary the Fund benefited from the overweight in Lumber Liquidators Holdings, the largest specialty retailer of hardwood flooring in North America, a company whose price has been trending up over the year, on consistent profits and earnings per share that beat the analysts’ consensus estimate. In Health Care, the Fund gained from the overweight in Acadia Pharmaceuticals, a biopharmaceutical company, whose price has also been trending up since April on evidence that its drug Pimavanserin was efficacious without significant side effects in patients with Parkinson’s disease. Finally, in Financials, a significant contribution was due to the overweight in Radian, a mortgage insurance company that has experienced an up drift in price due to a pickup in business and a decrease in delinquent loans on its books.

Stock over and underweights across sectors also added significantly to outperformance, particularly from the overweight of Health Care, a sector that outperformed the market over the year, and the underweight of Utilities, a defensive sector that underperformed the market year to date.

The AQR Tax-Managed Small Cap Momentum Fund invests in stocks of small-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return. The Fund does not currently use derivatives.

26 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
	9 Months		1 Year*		Since Inception (12/17/2012)		Since Inception (1/27/2012)*
Fund - Class L: ATSMX		33.18%		36.33%		na		27.61%
Fund - Class N: ATSNX		32.83%		35.89%		35.75%		27.24%
Russell 2000 Index		27.69%		30.06%		30.04%		21.03%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 5.78% and 12.33%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND VS. RUSSELL 2000^® RETURN INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 27

Shareholder Letter (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

The AQR Tax-Managed International Momentum Fund (the “Fund”) outperformed the market in 2013 gaining 17.26% (Class L shares) for the nine months ended September 30, 2013. Over the same period, the MSCI World ex-USA Index returned 14.66% and the MSCI World ex-USA Growth Index returned 14.70%.

The Fund’s outperformance relative to the broader MSCI World ex-USA Index was primarily driven by over and underweights across sectors, particularly from the underweights of Materials and Energy, sectors that underperformed the market over the year, and the overweight in Consumer Discretionary, a sector that outperformed year to date. Relative exposures within sectors also contributed positively, but more modestly to performance. Specifically, gains from stock over and underweights within Financials, Consumer Discretionary and Consumer Staples, were to some extent offset by losses from stock over and underweights in Energy, Materials, Health Care and Industrials.

The Fund also benefited from stock over and underweights within country, with the largest contributor coming from Japan. For example, the fund gained from the overweight of the car maker Toyota Motor, a company whose price has been trending up since the beginning of the year on increased profits and high earnings forecasts from a weak yen, and the overweight of Softbank, a telecommunications and internet corporation, whose price has been drifting up over the year. Relative exposures across countries detracted slightly. The small benefit from the underweight of Canada and overweight of Japan was offset by the negative contributions from the underweight of Germany and overweight of Hong Kong.

The AQR Tax-Managed International Momentum Fund invests in stocks of large and mid-cap non-U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return. The Fund does not currently use derivatives.

28 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
	9 Months		1 Year*		Since Inception (12/17/2012)		Since Inception (1/27/2012)*
Fund - Class L: ATIMX		17.26%		23.82%		na		19.19%
Fund - Class N: ATNNX		16.99%		23.47%		18.04%		18.87%
MSCI World ex-USA Index		14.66%		21.45%		15.61%		14.74%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 5.30% and 15.84%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Performance shown for Class N shares prior to December 17, 2012 reflect the historical performance of the Fund’s Class L shares, calculated using the fees and expenses of the Class N shares.

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND VS. MSCI WORLD ex-USA (NET) INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 29

Shareholder Letter (Unaudited)

AQR CORE EQUITY FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

U.S. markets ended the fiscal year on a strong note with gains in the third quarter driven by hopes of continued monetary stimulus, strong readings on U.S. manufacturing and service activity, and a general rebound in global economic activity. The Russell 1000 Index returned 9.28%, the Russell 1000 Growth Index returned 10.93% and the Russell 1000 Value Index returned 7.61% for the year since the fund’s inception on March 26, 2013. The AQR Core Equity Fund (the “Fund”) outperformed the market and the Russell 1000 Value Index and fared similarly to the Russell 1000 Growth Index, gaining 10.90% (Class L shares) for the year since inception. Value and Momentum themes were the main contributors to performance.

The outperformance to the Russell 1000 Index was largely driven by sector over and underweights, specifically the overweight of Consumer Discretionary and underweights of Consumer Staples, Telecommunication Services and Utilities, the 3 worst performing sectors relative to the market over the year since the fund’s inception. Stock overweights of past winners and underweights of past losers also contributed to performance. In particular, the stock over and underweights in Financials, the largest contributor, were diluted to some extent by losses from relative exposures within Energy, Heath Care and Information Technology

The AQR Core Equity Fund invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund does not currently use derivatives.

30 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR CORE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR CORE EQUITY FUND
	Since Inception (3/26/2013)
Fund - Class L: QCELX		10.90%
Fund - Class N: QCENX		10.90%
Russell 1000 Index		9.28%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 0.87% and 1.12%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR CORE EQUITY FUND VS. MSCI WORLD ex-USA (NET) INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 31

Shareholder Letter (Unaudited)

AQR SMALL CAP CORE EQUITY FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

U.S. Small Cap stocks fared similarly well to their large- and mid-cap peers. The Russell 2000 Index gained 13.84%, the Russell 2000 Growth Index gained 17.45% and the Russell 2000 Value Index returned 10.29% for the year since the fund’s inception on March 26, 2013. The AQR Small Cap Core Equity Fund (the “Fund”) outperformed the three Russell indices returning 18.80% (Class L shares) for the year since inception. Value, Momentum and Profitability themes contributed positively to performance.

The outperformance over the Russell 2000 Index was primarily driven by stock over and underweights within sectors, particularly within Consumer Discretionary, Financials and Information Technology. In Consumer Discretionary, the fund benefited from the overweight of Zale, a retailer of fine jewelry, whose price jumped in mid-May and mid-August on better than expected earnings both quarters, and increased same-store revenues in the third quarter. In Financials, a significant positive contribution derived from the overweight of Symetra Financials, a diversified financial services company that provides employee benefits, annuities and life insurance, whose price has been drifting up since end of May on improved earnings guidance for the year. In Information Technology, the fund gained from an overweight of Booz Allen Hamilton, a technology consulting firm, whose price has been trending up since the beginning of April on better than expected earnings driven by strong margins, and an underweight of Aruba Networks, a provider of network access solutions for mobile enterprises, whose price crashed in May as the company posted quarterly revenue below the previously stated guidance due to a worldwide drop in customer orders.

The sector over and underweights also added positively to performance, particularly from the overweight of Consumer Discretionary, a sector that outperformed the market since inception, and the underweight of Utilities, a defensive sector that underperformed the market since inception.

The AQR Small Cap Core Equity Fund invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund does not currently use derivatives.

32 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR SMALL CAP CORE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR SMALL CAP CORE EQUITY FUND
	Since Inception (3/26/2013)
Fund - Class L: QSLMX		18.80%
Fund - Class N: QSMNX		18.70%
Russell 2000 Index		13.84%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 1.03% and 1.28%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR SMALL CAP CORE EQUITY FUND VS. MSCI WORLD ex-USA (NET) INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 33

Shareholder Letter (Unaudited)

AQR INTERNATIONAL CORE EQUITY FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Vice President

Developed world markets posted strong gains year to date driven by improving economic growth prospects in both Europe and China. The MSCI World ex-USA Index returned 9.52%, the MSCI World ex-USA Index gained 8.41% and MSCI World ex-USA Value Index gained 10.63% for the year since the fund’s inception on March 26, 2013. The AQR International Core Equity Fund (the “Fund”) strongly outperformed the three benchmarks returning 12.80% (Class L shares) for the year since inception. Value and Momentum themes were the main drivers of performance.

The outperformance over the MSCI World ex-USA benchmark was driven roughly equally by sector over and under weights as well as by the relative exposures within sectors. Specifically, the overweight of Consumer Discretionary and underweights of Energy and Materials contributed positively to performance. In addition, the relative exposures within Consumer Discretionary, Financials and Telecommunication Services also added positively to performance.

The relative exposures within country, particularly from Japan also contributed significantly to outperformance. For example, the fund benefited from the overweight of Fuji Heavy Industries, the maker of the Subaru automobile, whose price has been trending up since the beginning the year on increased earnings from vehicle sales increases, product mix improvements, cost reductions and yen depreciation, as well as from the overweight in Softbank, a telecommunications and internet corporation, whose prices has been drifting up over the year. The Fund also gained from the relative exposures across countries, particularly the underweight of Australia, a country that underperformed the benchmark, and the overweights of Japan and Spain, countries that outperformed the benchmark over the year since the fund’s inception.

The AQR International Core Equity Fund invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund does not currently use derivatives.

34 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

AQR INTERNATIONAL CORE EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2013 AQR INTERNATIONAL CORE EQUITY FUND
	Since Inception (3/26/2013)
Fund - Class L: QICLX		12.80%
Fund - Class N: QICNX		12.70%
MSCI World ex-USA Index		9.52%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N shares are 1.01% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL CORE EQUITY FUND VS. MSCI WORLD ex-USA (NET) INDEX

VALUE OF $10,000 INVESTED ON 1/27/12

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

AQR Funds Annual Report September 2013 35

Shareholder Letter (Unaudited)

PRINCIPAL RISKS:

AQR Global Equity Fund, AQR International Equity Fund: Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The AQR Global Equity Fund and the AQR International Equity Fund use derivatives to manage their country and currency exposures. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Foreign investing involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.

AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund: Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The use of derivatives exposes the Funds to additional risks, including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Emerging market and foreign investing by the AQR Emerging Defensive Equity Fund and AQR International Defensive Equity Fund involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.

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: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Investments in small cap companies by the AQR Small Cap Momentum Fund and AQR Tax-Managed Small Cap Momentum Funds involve higher risks in some respects than do investments in stocks of larger companies and generally will experience greater price volatility. The performance of the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund (each, a “Tax-Managed Fund”) may deviate from that of non-tax-managed funds and may not provide as high a return before consideration of federal income tax consequences. Each Tax-Managed Fund will balance investment considerations with tax consequences and can realize capital gains. Foreign investing by the AQR International Momentum Fund and AQR Tax-Managed International Momentum Fund involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. The Funds are not suitable for all investors.

AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund: Securities with positive momentum generally will be more volatile than a broad cross-section of securities.

36 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Investing in or having exposure to value stocks presents the risk that the stocks may never reach what the Adviser believes are their full market values. In addition, value stocks may fall out of favor with investors and underperform growth stocks during given periods. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Investments in small cap companies by the AQR Small Cap Core Equity Fund involve higher risks in some respects than do investments in stocks of larger companies and generally will experience greater price volatility. Foreign investing by the AQR International Core Equity Fund involves risks not associated with investing in U.S. securities such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. The Funds are not suitable for all investors.

An investment in any of the AQR Funds listed above (the “Funds”) involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. The Funds from time to time employ various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

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

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

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

DEFINITIONS:

Arbitrage: The simultaneous purchase and sale of an asset or two related assets in order to profit from a difference in price.

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

Beta is a measure of the volatility of a security or portfolio in comparison to an index or the market as a whole, where a security with a beta of 1.0 has equivalent volatility to the index or market it is compared to.

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

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

Cheapness: A measure of the discount a security price relative to its fundamental value.

AQR Funds Annual Report September 2013 37

Shareholder Letter (Unaudited)

Closed-end fund arbitrage is the practice of buying (selling) closed-end funds that trade at abnormally wide discounts (or premiums) to their underlying net asset values. Positions are unwound when the discount or premium converges to expected levels.

Convertible Bonds: Fixed-income securities that are convertible into common stock.

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

Delta: The ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative.

Dovish: A monetary policy that involves the maintenance of low interest rates in the belief that inflation and its negative effects will have a minimal impact on society.

Dual-Class Arbitrage: An investment strategy that takes advantage of inefficiencies in the prices at which different classes of a publicly traded company’s stock are trading.

E-Mini: An electronically traded futures contract on the Chicago Mercantile Exchange that represents a portion of the normal futures contracts.

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

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

PIPEs: Private investments in public companies whose stocks are quoted on stock exchanges or which trade in the over-the-counter securities market, a type of investment commonly referred to as a “PIPE” transaction. PIPE transactions generally result in the Fund acquiring either restricted stock or an instrument convertible into restricted stock. As with investments in other types of restricted securities, such an investment may be illiquid.

Price to Book: A valuation ratio of a company’s current share price compared to its book value.

Price Pressure: This strategy captures a risk premium by providing liquidity around different types of securities issues and restructuring events. The Fund may employ additional arbitrage and alternative strategies as they arise.

Quantitative Easing: The term quantitative easing describes an extreme form of monetary policy used to stimulate an economy when the interbank interest rate (which in the US is called the federal funds rate) is either at, or close to zero.

Richness: A measure of the premium of a security price relative to its fundamental value.

Sharpe Ratio: a ratio which measures risk-adjusted performance

Sovereign Risk: The probability that the government of a country will refuse to comply with the terms of a loan agreement during economically difficult or politically volatile times.

38 AQR Funds Annual Report September 2013

Shareholder Letter (Unaudited)

Special Purpose Acquisition Companies (SPACs): SPACs, often called “blank check” companies, are publicly traded companies whose primary asset is a trust invested in short-term high-grade securities. The Fund seeks to capture a liquidity premium when these securities, which are typically thinly traded, are selling at a discount.

Spread: The percentage difference between two related securities.

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

The Morgan Stanley Capital International EAFE Index 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. Indexes are unmanaged and one cannot invest directly in an index.

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

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure the performance of equities in 26 global emerging markets. Indexes are unmanaged and one cannot invest directly in an index.

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

The Russell 1000^® Index measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.

The Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000^® Index is a subset of the Russell 3000^® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.

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

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

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

AQR Funds Annual Report September 2013 39

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

COMMON STOCKS - 89.8%	SHARES		VALUE (Note 2)
Australia - 3.0%
Alumina Ltd. †		37,995	$	36,308
Amcor Ltd.		2,022		19,728
Arrium Ltd.		17,266		19,708
ASX Ltd.		1,555		50,073
Aurizon Holdings Ltd.		7,462		32,603
Australia & New Zealand Banking Group Ltd.		21,546		619,498
BHP Billiton Ltd.		18,956		630,718
BlueScope Steel Ltd. †		12,645		55,250
CFS Retail Property Trust Group REIT		17,337		32,420
Challenger Ltd.		5,982		30,722
Commonwealth Bank of Australia		11,947		793,999
Computershare Ltd.		3,819		35,376
CSL Ltd.		6,471		386,241
Dexus Property Group REIT		40,875		38,263
Downer EDI Ltd.		49,320		207,022
Flight Centre Ltd.		292		13,168
Fortescue Metals Group Ltd.		12,017		53,522
Goodman Group REIT		14,552		66,310
GPT Group REIT		14,949		48,503
GPT Group REIT (Escrow) (3)†(a)		96,388		—
Incitec Pivot Ltd.		11,814		29,663
Insurance Australia Group Ltd.		20,824		114,154
JB Hi-Fi Ltd.		3,953		77,283
Leighton Holdings Ltd.		1,177		21,159
Lend Lease Group		4,308		40,855
Macquarie Group Ltd.		6,551		293,493
Mirvac Group REIT		30,051		48,854
Myer Holdings Ltd.		52,034		126,799
National Australia Bank Ltd.		21,440		686,963
Newcrest Mining Ltd.		6,113		67,231
Primary Health Care Ltd.		5,195		23,359
Qantas Airways Ltd. †		112,891		155,625
Rio Tinto Ltd.		2,347		135,853
Santos Ltd.		107		1,508
Sims Metal Management Ltd. †		5,167		45,912
Stockland REIT		18,057		65,270
Suncorp Group Ltd.		11,019		134,758
Tatts Group Ltd.		22,856		66,110
Telecom Corp of New Zealand Ltd.		13,223		25,294
Telstra Corp. Ltd.		96,094		445,895
Transfield Services Ltd.		148,120		155,121
Wesfarmers Ltd.		8,056		309,483
Westfield Group REIT		17,761		182,518
Westfield Retail Trust REIT		25,427		70,486
Westpac Banking Corp.		21,807		666,571
Woodside Petroleum Ltd.		4,110		147,071
Woolworths Ltd.		11,935		390,014
				7,696,734
Belgium - 0.3%
Anheuser-Busch InBev NV		67		6,646
Delhaize Group SA		14,124		890,146
				896,792
Canada - 3.7%
Agrium, Inc. (1)		200		16,809
Alimentation Couche Tard, Inc., Class B (1)		1,000		62,346

	SHARES		VALUE (Note 2)
Canada - 3.7% (continued)
Bank of Montreal (1)		10,180	$	679,457
Bank of Nova Scotia (1)		5,599		320,704
Blackberry Ltd. (1)†		7,000		55,046
Bombardier, Inc., Class B (1)		36,400		169,269
Brookfield Asset Management, Inc., Class A (1)		4,602		172,187
Brookfield Office Properties, Inc. (1)		2,845		54,522
Canadian Imperial Bank of Commerce (1)		3,200		254,931
Canadian National Railway Co. (1)		3,300		334,373
Canadian Natural Resources Ltd. (1)		16,900		531,094
Canadian Oil Sands Ltd. (1)		4,700		91,075
Canadian Pacific Railway Ltd. (1)		900		111,044
Cenovus Energy, Inc. (1)		1,200		35,812
CI Financial Corp. (1)		1,200		36,278
Crescent Point Energy Corp. (1)		3,000		113,587
Dollarama, Inc. (1)		1,700		138,155
Empire Co., Ltd., Class A (1)		2,700		194,941
Enerplus Corp. (1)		8,551		141,541
Goldcorp, Inc. (1)		7,488		194,824
Great-West Lifeco, Inc. (1)		2,245		65,407
Husky Energy, Inc. (1)		11,700		336,444
IGM Financial, Inc. (1)		800		37,326
Imperial Oil Ltd. (1)		3,700		162,469
Industrial Alliance Insurance & Financial Services, Inc. (1)		8,600		363,353
Keyera Corp. (1)		1,300		73,882
Magna International, Inc. (1)		5,534		456,399
Manulife Financial Corp. (1)		11,800		195,206
National Bank of Canada (1)		800		66,071
Onex Corp. (1)		4,300		225,843
Open Text Corp. (1)		2,400		179,339
Potash Corp of Saskatchewan, Inc. (1)		8,100		253,290
Power Corp. of Canada (1)		2,746		77,577
RioCan Real Estate Investment Trust REIT (1)		2,100		49,541
Rogers Communications, Inc., Class B (1)		4,300		184,891
Royal Bank of Canada (1)		13,024		834,507
Shaw Communications, Inc., Class B (1)		6,000		139,333
Shoppers Drug Mart Corp. (1)		1,600		92,143
Sun Life Financial, Inc. (1)		5,400		172,477
Suncor Energy, Inc. (1)		21,882		782,403
Teck Resources Ltd., Class B (1)		11,793		316,907
Toronto-Dominion Bank/The (1)		4,312		388,229
TransCanada Corp. (1)		3,800		166,934
Vermilion Energy, Inc. (1)		700		38,478
Yamana Gold, Inc. (1)		14,300		148,685
				9,515,129
China - 0.0% (b)
FIH Mobile Ltd. †		101		63
Colombia - 0.0% (b)
Pacific Rubiales Energy Corp. (1)		3,500		69,113

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

40 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 2)
Denmark - 0.2%
Danske Bank A/S †		10,597	$	228,522
Novo Nordisk A/S, Class B		2,172		367,860
				596,382
Finland - 0.5%
Metso OYJ		7,371		289,679
Orion OYJ, Class B		18,712		472,169
Sampo, A Shares		3,607		155,160
Wartsila OYJ		11,610		525,197
				1,442,205
France - 3.4%
AXA SA		14,426		334,811
BNP Paribas SA		7,774		525,868
Christian Dior SA		242		47,496
Cie Generale des Etablissements Michelin		7,584		841,079
Danone SA		18,203		1,370,572
Electricite de France SA		5,477		173,248
European Aeronautic Defence and Space Co. NV		23,640		1,506,393
Gecina SA REIT		612		78,268
ICADE REIT		655		59,799
Kering		849		190,262
Klepierre REIT		1,740		75,461
Lagardere SCA		23,306		756,940
L’Oreal SA		979		168,043
Renault SA		3,509		279,841
Sanofi		11,754		1,190,409
Societe BIC SA		1,303		151,532
Societe Generale SA		5,543		276,148
Thales SA		8,348		458,780
Total SA		2,880		166,933
				8,651,883
Germany - 3.0%
Adidas AG		11,299		1,225,622
BASF SE		502		48,142
Celesio AG		7,369		165,825
Continental AG		4,552		771,680
Deutsche Boerse AG		3,692		277,855
Deutsche Lufthansa AG †		44,742		872,830
Deutsche Post AG		36,769		1,219,556
Fresenius SE & Co. KGaA		1,761		218,616
HeidelbergCement AG		10,931		844,639
Merck KGaA		7,933		1,238,202
Muenchener Rueckversicherungs AG		2,227		435,338
United Internet AG		8,724		330,569
				7,648,874
Hong Kong - 1.2%
AAC Technologies Holdings, Inc.		6,000		27,355
AIA Group Ltd.		93,600		440,441
ASM Pacific Technology Ltd.		1,882		19,119
BOC Hong Kong Holdings Ltd.		10,500		33,736
Cheung Kong Holdings Ltd.		8,201		124,846
Cheung Kong Infrastructure Holdings Ltd.		4,749		32,939

	SHARES		VALUE (Note 2)
Hong Kong - 1.2% (continued)
CLP Holdings Ltd.		11,011	$	89,677
First Pacific Co., Ltd.		18,000		19,896
Galaxy Entertainment Group Ltd. †		27,000		189,730
Hang Lung Group Ltd.		791		4,228
Hang Seng Bank Ltd.		8,157		133,026
Henderson Land Development Co., Ltd.		500		3,085
HKT Trust/HKT Ltd.		842		792
Hong Kong & China Gas Co., Ltd.		28,020		67,450
Hong Kong Exchanges and Clearing Ltd.		8,869		142,295
Hopewell Holdings Ltd.		4,695		15,728
Hutchison Whampoa Ltd.		12,489		149,787
Hysan Development Co., Ltd.		24,823		110,822
Li & Fung Ltd.		33,468		48,750
Link REIT/The REIT		18,829		92,058
MGM China Holdings Ltd.		15,600		51,884
Mongolia Energy Corp. Ltd. †		885		27
New World Development Co., Ltd.		30,173		45,347
NWS Holdings Ltd.		12,500		19,431
PCCW Ltd.		32,406		14,338
Power Assets Holdings Ltd.		12,000		107,438
Sands China Ltd.		14,400		89,144
Sino Land Co., Ltd.		78,000		114,916
SJM Holdings Ltd.		63,000		177,518
Sun Hung Kai Properties Ltd.		12,022		163,630
Swire Pacific Ltd., Class A		5,318		63,792
Swire Properties Ltd.		72		202
Television Broadcasts Ltd.		42		265
Wharf Holdings Ltd.		17,604		152,536
Wheelock & Co., Ltd.		29,844		158,320
Wynn Macau Ltd.		15,600		53,324
Yue Yuen Industrial Holdings Ltd.		16,623		46,406
				3,004,278
Italy - 0.5%
Assicurazioni Generali SpA		9,349		187,052
Eni SpA		9,206		211,629
Intesa Sanpaolo SpA		92,711		191,776
Prysmian SpA		8,580		210,383
Telecom Italia SpA		239,187		196,800
UniCredit SpA		34,120		217,885
				1,215,525
Japan - 8.4%
Asahi Glass Co., Ltd.		236		1,466
Astellas Pharma, Inc.		8,700		444,396
Bank of Yokohama Ltd./The		13,000		74,556
Canon, Inc.		445		14,249
Central Japan Railway Co.		3,400		436,406
Chiba Bank Ltd./The		45,000		329,555
Chubu Electric Power Co., Inc.		14,554		199,918
Chugai Pharmaceutical Co., Ltd.		13,500		277,616
Credit Saison Co., Ltd.		75		2,042
Dai Nippon Printing Co., Ltd.		16,000		169,635
Daicel Corp.		32,000		289,483
Daito Trust Construction Co., Ltd.		686		68,650
Daiwa House Industry Co., Ltd.		4,151		78,416
Daiwa Securities Group, Inc.		13,000		117,321
Dena Co., Ltd.		2,800		56,992

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

AQR Funds Annual Report September 2013 41

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 2)
Japan - 8.4% (continued)
Denki Kagaku Kogyo KK		48,000	$	187,343
DIC Corp.		495		1,372
East Japan Railway Co.		5,612		483,669
Fuji Electric Co., Ltd.		68,000		278,163
Fuji Heavy Industries Ltd.		14,733		410,544
FUJIFILM Holdings Corp.		44		1,060
Fujitsu Ltd. †		115		430
Fukuoka Financial Group, Inc.		3,000		13,584
Hino Motors Ltd.		17,975		266,397
Hitachi High-Technologies Corp.		58		1,306
Honda Motor Co., Ltd.		5,397		206,289
Hoya Corp.		6		142
Isuzu Motors Ltd.		25,000		165,723
ITOCHU Corp.		17,988		221,598
J Front Retailing Co., Ltd.		37,000		300,536
Japan Real Estate Investment Corp. REIT		5		58,296
Japan Retail Fund Investment Corp. REIT		38		78,243
Japan Tobacco, Inc.		10,900		392,943
JFE Holdings, Inc.		12,600		328,522
JGC Corp.		7,000		253,434
JSR Corp.		11,400		212,106
JTEKT Corp.		88		1,210
JX Holdings, Inc.		14		73
Kaneka Corp.		354		2,316
Kansai Electric Power Co., Inc./The †		9,500		122,209
Kao Corp.		2,800		87,441
Keisei Electric Railway Co., Ltd.		18,461		192,734
Kinden Corp.		284		3,065
Kirin Holdings Co., Ltd.		21,000		306,604
Kobe Steel Ltd. †		759		1,415
Koito Manufacturing Co., Ltd.		12,000		228,839
Konica Minolta, Inc.		15,500		130,569
Kubota Corp.		343		4,985
Makita Corp.		46		2,680
Marubeni Corp.		35,000		276,794
Marui Group Co., Ltd.		11,500		108,052
Mazda Motor Corp. †		22,000		98,898
Medipal Holdings Corp.		19,800		244,611
Miraca Holdings, Inc.		28		1,251
Mitsubishi Corp.		36		731
Mitsubishi Estate Co., Ltd.		9,764		289,363
Mitsubishi Heavy Industries, Ltd.		66,000		380,607
Mitsubishi UFJ Financial Group, Inc.		145,549		933,603
Mitsubishi UFJ Lease & Finance Co., Ltd.		80		425
Mitsui & Co., Ltd.		3,489		50,876
Mitsui Fudosan Co., Ltd.		7,598		256,580
Mitsumi Electric Co., Ltd. †		40		284
Mizuho Financial Group, Inc.		195,241		424,445
MS&AD Insurance Group Holdings		9,800		256,864
Namco Bandai Holdings, Inc.		15,500		289,838
NEC Corp.		137,000		318,287
Nippon Building Fund, Inc. REIT		6		74,445
Nippon Kayaku Co., Ltd.		546		7,880
Nippon Meat Packers, Inc.		97		1,392
Nippon Steel & Sumitomo Metal Corp.		822		2,800
Nippon Telegraph & Telephone Corp.		3,448		179,471
Nishi-Nippon City Bank Ltd./The		363		991

	SHARES		VALUE (Note 2)
Japan - 8.4% (continued)
Nitto Denko Corp.		94	$	6,130
NKSJ Holdings, Inc.		10,900		281,173
Nomura Holdings, Inc.		28,700		224,483
Nomura Real Estate Holdings, Inc.		1,700		41,973
North Pacific Bank Ltd.		68		287
NTT DOCOMO, Inc.		14,200		230,099
Oji Holdings Corp.		682		3,207
Omron Corp.		9,531		345,249
ORIX Corp.		9,990		163,316
Osaka Gas Co., Ltd.		1,446		6,164
Pacific Metals Co., Ltd.		720		2,975
Panasonic Corp.		9,600		92,935
Rengo Co., Ltd.		884		4,882
Resona Holdings, Inc.		70,900		364,001
Ricoh Co., Ltd.		14,000		162,224
Rohm Co., Ltd.		2,800		115,463
Secom Co., Ltd.		2,200		137,892
Seino Holdings Co., Ltd.		100		1,024
Sekisui Chemical Co., Ltd.		27,000		275,404
Sekisui House Ltd.		5,000		67,447
Seven & I Holdings Co., Ltd.		5,130		188,066
Shimamura Co., Ltd.		1,800		179,217
Shinsei Bank Ltd.		107,000		261,150
Shionogi & Co., Ltd.		15,400		324,190
Softbank Corp.		11,000		763,923
Sojitz Corp.		16		31
Sony Corp.		10,117		217,160
Sumitomo Metal Mining Co., Ltd.		6,000		85,261
Sumitomo Mitsui Financial Group, Inc.		11,249		544,738
Sumitomo Mitsui Trust Holdings, Inc.		13,000		64,611
Sumitomo Realty & Development Co., Ltd.		3,624		172,729
Suzuken Co., Ltd.		5,000		164,685
Suzuki Motor Corp.		9,800		236,198
Taisei Corp.		70,000		344,534
Takashimaya Co., Ltd.		30,000		282,131
Takeda Pharmaceutical Co., Ltd.		669		31,597
Tohoku Electric Power Co., Inc. †		6,900		84,998
Tokai Rika Co., Ltd.		65		1,383
Tokio Marine Holdings, Inc.		8,800		288,508
Tokyo Electric Power Co., Inc †		11,670		72,702
Tokyo Gas Co., Ltd.		37,000		202,942
Tokyu Corp.		17,000		121,498
Tokyu Land Corp.		5,000		52,029
TOTO Ltd.		11,000		154,306
Toyota Motor Corp.		24,241		1,554,758
Ushio, Inc.		19,100		237,882
USS Co., Ltd.		50		724
West Japan Railway Co.		6,300		270,110
Yahoo Japan Corp.		66,100		376,094
				21,509,512
Netherlands - 1.4%
Aegon NV		39,974		295,777
Akzo Nobel NV		3,817		250,779
Corio NV REIT		1,041		44,844
Heineken Holding NV		1,148		72,583
ING Groep NV CVA †		34,347		389,735

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

42 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 2)
Netherlands - 1.4% (continued)
Koninklijke Ahold NV		28,312	$	490,511
Koninklijke Philips NV		45,010		1,452,069
Randstad Holding NV		5,643		318,274
Unilever NV CVA		5,171		197,360
				3,511,932
New Zealand - 0.0% (b)
Fletcher Building Ltd.		13,501		106,488
Singapore - 0.6%
Ascendas Real Estate Investment Trust REIT		16,478		29,982
CapitaCommercial Trust REIT		16,000		18,473
CapitaMall Trust REIT		19,494		30,458
ComfortDelGro Corp. Ltd.		77,000		121,166
DBS Group Holdings Ltd.		21,054		275,610
Global Logistic Properties Ltd.		17,000		39,134
Jardine Cycle & Carriage Ltd.		291		8,862
Keppel Land Ltd.		38,000		107,266
Keppel REIT		400		392
Noble Group Ltd.		53,000		39,345
Oversea-Chinese Banking Corp. Ltd.		13,422		110,299
Sembcorp Industries Ltd.		7,777		32,836
SembCorp Marine Ltd.		11,000		39,766
Singapore Exchange Ltd.		6,967		40,356
Singapore Technologies Engineering Ltd.		12,103		40,285
Singapore Telecommunications Ltd.		67,635		201,423
StarHub Ltd.		476		1,629
United Overseas Bank Ltd.		13,201		217,749
UOL Group Ltd.		3,340		16,398
Wilmar International Ltd.		28,000		70,780
Yangzijiang Shipbuilding Holdings Ltd.		38,404		33,556
				1,475,765
Spain - 1.2%
ACS Actividades de Construccion y Servicios SA		18,001		573,218
Banco Bilbao Vizcaya Argentaria SA		43,645		488,056
Banco Santander SA		88,012		717,574
Gas Natural SDG SA		44,375		927,754
Iberdrola SA		66,771		388,120
				3,094,722
Sweden - 1.6%
Electrolux AB, Series B		37,894		981,248
Investor AB, B Shares		9,034		273,979
Scania AB, B Shares		8,043		172,429
Svenska Cellulosa AB SCA, B Shares		39,749		1,001,645
Swedish Match AB		27,781		980,105
Telefonaktiebolaget LM Ericsson, B Shares		26,472		352,574
TeliaSonera AB		34,247		262,022
				4,024,002
Switzerland - 3.7%
Baloise Holding AG		1,455		160,943
Credit Suisse Group AG †		14,263		436,190
Givaudan SA †		174		254,315
Nestle SA		8,904		620,913

	SHARES		VALUE (Note 2)
Switzerland - 3.7% (continued)
Novartis AG		32,348	$	2,488,149
Roche Holding AG		9,977		2,692,527
Sika AG		106		309,288
STMicroelectronics NV		72,394		668,350
Sulzer AG		5,752		890,567
Swiss Prime Site AG †		1,485		114,910
Transocean Ltd.		2,910		129,330
Wolseley PLC		13,567		701,925
				9,467,407
United Kingdom - 8.8%
3i Group PLC		128,463		756,018
Antofagasta PLC		4,244		56,207
ARM Holdings PLC		72,339		1,157,857
Associated British Foods PLC		40,656		1,233,906
Babcock International Group PLC		30,595		592,011
Barclays PLC		179,879		768,745
BHP Billiton PLC		17,149		504,460
BP PLC		101,864		714,152
British Land Co. PLC REIT		13,261		123,881
British Sky Broadcasting Group PLC		56,676		798,084
BT Group PLC		293,582		1,625,486
Centrica PLC		87,334		522,686
Glencore Xstrata PLC †		79,645		433,691
Hammerson PLC REIT		10,329		83,738
HSBC Holdings PLC		156,098		1,689,504
Intu Properties PLC REIT		6,502		33,776
Invensys PLC		5,295		42,709
Investec PLC		82,731		535,737
Land Securities Group PLC REIT		12,541		186,413
Lloyds Banking Group PLC †		735,086		875,231
Marks & Spencer Group PLC		59,816		480,631
Next PLC		9,007		752,569
Randgold Resources Ltd.		1,514		108,532
Reckitt Benckiser Group PLC		19,006		1,389,624
Reed Elsevier PLC		20,306		273,714
Resolution Ltd.		107,900		554,600
Rio Tinto PLC		10,392		507,265
Royal Dutch Shell PLC, A Shares		30,307		999,086
Royal Dutch Shell PLC, B Shares		14,719		507,847
Segro PLC REIT		13,080		65,607
Smith & Nephew PLC		77,215		963,334
Smiths Group PLC		15,158		342,835
Standard Life PLC		84,218		470,620
TUI Travel PLC		118,566		705,602
Tullow Oil PLC		14,217		235,701
Unilever PLC		10,377		403,461
Vodafone Group PLC		250,556		879,408
				22,374,728
United States - 48.3%
Abbott Laboratories (1)		43,884		1,456,510
Accenture PLC, Class A (1)		4,274		314,737
ACE Ltd. (1)		1,196		111,898
Activision Blizzard, Inc. (1)		81,700		1,361,939
Allstate Corp./The (1)		6,800		343,740
Altria Group, Inc. (1)		22,796		783,043
American Electric Power Co., Inc. (1)		6,900		299,115

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

AQR Funds Annual Report September 2013 43

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 2)
United States - 48.3% (continued)
American International Group, Inc. (1)		11,200	$	544,656
American Tower Corp. REIT (1)		4,100		303,933
Ameriprise Financial, Inc. (1)		3,500		318,780
AmerisourceBergen Corp. (1)		23,200		1,417,520
Amgen, Inc. (1)		14,849		1,662,197
Anadarko Petroleum Corp. (1)		5,600		520,744
Annaly Capital Management, Inc. REIT (1)		14,918		172,750
Aon PLC (1)		4,000		297,760
Apple, Inc. (1)		4,628		2,206,399
Archer-Daniels-Midland Co. (1)		42,400		1,562,016
Assurant, Inc. (1)		18,400		995,440
AT&T, Inc. (1)		44,397		1,501,507
AvalonBay Communities, Inc. REIT (1)		1,311		166,615
Avery Dennison Corp. (1)		21,700		944,384
Avnet, Inc. (1)		1,900		79,249
Axis Capital Holdings Ltd. (1)		10,400		450,424
Bank of America Corp. (1)		108,138		1,492,304
Baxter International, Inc. (1)		8,400		551,796
Berkshire Hathaway, Inc., Class B (1)†		8,550		970,510
Best Buy Co., Inc. (1)		22,100		828,750
Boeing Co./The (1)		9,400		1,104,500
Boston Properties, Inc. REIT (1)		2,763		295,365
Boston Scientific Corp. (1)†		92,000		1,080,080
Broadcom Corp., Class A (1)		11,300		293,913
Bunge Ltd. (1)		3,300		250,503
CA, Inc. (1)		22,200		658,674
CareFusion Corp. (1)†		31,200		1,151,280
Catamaran Corp. (1)†		1,600		73,503
CBRE Group, Inc., Class A (1)†		6,700		154,971
Celgene Corp. (1)†		6,600		1,015,938
CF Industries Holdings, Inc. (1)		2,800		590,324
Chevron Corp. (1)		16,000		1,944,000
Cimarex Energy Co. (1)		6,700		645,880
Cisco Systems, Inc. (1)		59,489		1,393,232
Citigroup, Inc. (1)		38,819		1,883,110
Coca-Cola Co./The (1)		31,760		1,203,069
Cognizant Technology Solutions Corp., Class A (1)†		3,200		262,784
Colgate-Palmolive Co. (1)		3,656		216,801
Comcast Corp., Class A (1)		9,700		437,955
Comerica, Inc. (1)		24,500		963,095
Computer Sciences Corp. (1)		27,800		1,438,372
Cummins, Inc. (1)		4,900		651,063
CVS Caremark Corp. (1)		28,000		1,589,000
Deere & Co. (1)		2,900		236,031
DIRECTV (1)†		4,369		261,048
Discover Financial Services (1)		5,300		267,862
DISH Network Corp., Class A (1)		13,074		588,461
DTE Energy Co. (1)		11,600		765,368
Duke Energy Corp. (1)		5,600		373,968
Edison International (1)		10,456		481,603
Electronic Arts, Inc. (1)†		8,200		209,510
Eli Lilly & Co. (1)		29,900		1,504,867
Emerson Electric Co. (1)		5,700		368,790
Equity Residential REIT (1)		3,548		190,066
Everest Re Group Ltd. (1)		5,500		799,755

	SHARES		VALUE (Note 2)
United States - 48.3% (continued)
Express Scripts Holding Co. (1)†		22,200	$	1,371,516
Exxon Mobil Corp. (1)		30,789		2,649,086
Fidelity National Information Services, Inc. (1)		29,400		1,365,336
Fifth Third Bancorp (1)		13,500		243,540
Ford Motor Co. (1)		28,200		475,734
GameStop Corp., Class A (1)		18,800		933,420
Gap, Inc./The (1)		5,519		222,305
General Electric Co. (1)		82,102		1,961,417
Goldman Sachs Group, Inc./The (1)		10,500		1,661,205
Google, Inc., Class A (1)†		2,502		2,191,527
H&R Block, Inc. (1)		25,400		677,164
HCP, Inc. REIT (1)		4,772		195,413
Health Care REIT, Inc. REIT (1)		3,000		187,140
Hershey Co./The (1)		5,600		518,000
Hess Corp. (1)		17,200		1,330,248
Hewlett-Packard Co. (1)		17,300		362,954
Home Depot, Inc./The (1)		23,006		1,745,005
Honeywell International, Inc. (1)		4,100		340,464
Host Hotels & Resorts, Inc. REIT (1)		9,300		164,331
Ingersoll-Rand PLC (1)		6,000		389,640
International Business Machines Corp. (1)		6,423		1,189,411
International Paper Co. (1)		3,300		147,840
JM Smucker Co./The (1)		10,600		1,113,424
Johnson & Johnson (1)		24,816		2,151,299
JPMorgan Chase & Co. (1)		42,073		2,174,753
KeyCorp (1)		103,700		1,182,180
Kimberly-Clark Corp. (1)		7,263		684,320
Kimco Realty Corp. REIT (1)		6,500		131,170
Leucadia National Corp. (1)		20,400		555,696
Life Technologies Corp. (1)†		5,200		389,116
Lowe’s Cos., Inc. (1)		1,800		85,698
LSI Corp. (1)		37,500		293,250
LyondellBasell Industries NV, Class A (1)		22,200		1,625,706
M&T Bank Corp. (1)		300		33,576
Macerich Co./The REIT (1)		2,100		118,524
Macy’s, Inc. (1)		15,900		687,993
Manpowergroup, Inc. (1)		4,800		349,152
Marathon Oil Corp. (1)		19,729		688,147
Marvell Technology Group Ltd. (1)		81,800		940,700
Maxim Integrated Products, Inc. (1)		9,000		268,200
McKesson Corp. (1)		9,800		1,257,340
Medtronic, Inc. (1)		33,082		1,761,616
Merck & Co., Inc. (1)		16,619		791,231
MetLife, Inc. (1)		20,700		971,865
Microsoft Corp. (1)		81,750		2,723,092
Monsanto Co. (1)		3,400		354,858
Newell Rubbermaid, Inc. (1)		7,900		217,250
Newmont Mining Corp. (1)		5,161		145,024
Northrop Grumman Corp. (1)		13,379		1,274,484
NVIDIA Corp. (1)		21,100		328,316
Occidental Petroleum Corp. (1)		11,090		1,037,359
Omnicare, Inc. (1)		4,100		227,550
Oracle Corp. (1)		14,700		487,599
Owens-Illinois, Inc. (1)†		22,400		672,448
PepsiCo, Inc. (1)		12,272		975,624

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

44 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 2)
United States - 48.3% (continued)
PetSmart, Inc. (1)		7,200	$	549,072
Pfizer, Inc. (1)		75,794		2,176,046
Pinnacle West Capital Corp. (1)		1,200		65,688
PNC Financial Services Group, Inc./The (1)		2,200		159,390
PPG Industries, Inc. (1)		7,097		1,185,625
Procter & Gamble Co./The (1)		27,208		2,056,653
Prologis, Inc. REIT (1)		5,080		191,110
Prudential Financial, Inc. (1)		10,300		803,194
Public Storage REIT (1)		1,569		251,903
Raytheon Co. (1)		267		20,578
Seagate Technology PLC (1)		1,200		52,488
Simon Property Group, Inc. REIT (1)		3,242		480,562
SLM Corp. (1)		15,200		378,480
Southwest Airlines Co. (1)		19,200		279,552
Sprint Corp. (1)†		25,048		155,548
SPX Corp. (1)		8,600		727,904
Starbucks Corp. (1)		2,100		161,637
Stryker Corp. (1)		10,400		702,936
Symantec Corp. (1)		36,400		900,900
TE Connectivity Ltd. (1)		19,700		1,020,066
Time Warner, Inc. (1)		13,500		888,435
Travelers Cos., Inc./The (1)		18,301		1,551,376
TRW Automotive Holdings Corp. (1)†		1,800		128,358
Twenty-First Century Fox, Inc. (1)		4,700		157,450
Tyson Foods, Inc., Class A (1)		47,900		1,354,612
Union Pacific Corp. (1)		1,700		264,078
United States Steel Corp. (1)		28,400		584,756
Unum Group (1)		31,500		958,860
Valeant Pharmaceuticals International, Inc. (1)†		2,474		257,956
Ventas, Inc. REIT (1)		4,800		295,200
Verizon Communications, Inc. (1)		22,512		1,050,410
Viacom, Inc., Class B (1)		5,837		487,856
Vornado Realty Trust REIT (1)		2,748		230,997
Walgreen Co. (1)		4,500		242,100
Wal-Mart Stores, Inc. (1)		29,105		2,152,606
Walt Disney Co./The (1)		7,500		483,675
Waste Management, Inc. (1)		2,373		97,862
WellPoint, Inc. (1)		13,400		1,120,374
Wells Fargo & Co. (1)		55,970		2,312,680
Western Digital Corp. (1)		21,700		1,375,780
Xerox Corp. (1)		22,400		230,496
Yahoo!, Inc. (1)†		48,400		1,604,944
Zimmer Holdings, Inc. (1)		1,700		139,638
				124,314,544
TOTAL COMMON STOCKS (cost $172,661,223)				230,616,078
PREFERRED STOCKS - 0.9%
Germany - 0.9%
Henkel AG & Co. KGaA		9,441		972,970
Porsche Automobil Holding SE		13,994		1,221,587
TOTAL PREFERRED STOCKS (cost $1,731,522)				2,194,557

	SHARES		VALUE (Note 2)
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Banco Bilbao Vizcaya Argentaria SA †		43,645	$	5,964
TOTAL RIGHTS (cost $— )				5,964
MONEY MARKET FUNDS - 7.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)
(cost $19,077,627)		19,077,627		19,077,627
TOTAL INVESTMENTS - 98.1% (cost $193,470,372)				251,894,226
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9% (e)				4,803,488
NET ASSETS - 100.0%			$	256,697,714

† Non income-producing security.

(a) Security fair valued at $0 as of September 30, 2013 using procedures approved by the Board of Trustees.

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

(c) Represents annualized seven-day yield as of September 30, 2013.

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

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

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

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

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

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	$	25,742,828		10.0	%
Consumer Staples		26,596,406		10.4
Energy		14,471,651		5.6
Financials		54,254,961		21.2
Health Care		33,955,347		13.2
Industrials		24,355,749		9.5
Information Technology		27,901,865		10.9
Materials		12,834,870		5.0
Telecommunication Services		7,718,935		3.0
Utilities		4,983,987		1.9
Money Market Funds		19,077,627		7.4
Total Investments		251,894,226		98.1
Other Assets in Excess of Liabilities (e)		4,803,488		1.9
Net Assets	$	256,697,714		100.0	%

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

AQR Funds Annual Report September 2013 45

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

Total return swap contract outstanding as of September 30, 2013:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Swiss Market Index Futures	12/20/2013	CHF		(4,821,791)		$10,895

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
141	Barclays Capital	CAC40 10 Euro Futures		October 18, 2013		$7,910,850		$7,908,572		$(2,278)
7	Barclays Capital	DAX Index Futures		December 20, 2013		2,039,545		2,033,435		(6,110)
48	Barclays Capital	FTSE 100 Index Futures		December 20, 2013		5,095,765		4,996,185		(99,580)
44	Barclays Capital	Hang Seng Index Futures		October 30, 2013		6,579,222		6,490,878		(88,344)
61	Barclays Capital	IBEX 35 Index Futures		October 18, 2013		7,390,074		7,538,223		148,149
4	Barclays Capital	MSCI Singapore Index Futures		October 30, 2013		233,871		230,776		(3,095)
49	Barclays Capital	S&P 500 E-Mini Futures		December 20, 2013		4,130,952		4,102,035		(28,917)
100	Barclays Capital	TOPIX Index Futures		December 12, 2013		12,058,018		12,172,542		114,524
						45,438,297		45,472,646		34,349
Short Contracts:
23	Barclays Capital	Amsterdam Index Futures		October 18, 2013		(2,366,031)		(2,334,289)		31,742
10	Barclays Capital	FTSE/MIB Index Futures		December 20, 2013		(1,188,458)		(1,178,197)		10,261
277	Barclays Capital	OMXS30 Index Futures		October 18, 2013		(5,504,942)		(5,431,859)		73,083
52	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		December 19, 2013		(7,365,679)		(7,375,564)		(9,885)
42	Barclays Capital	SPI 200 Index Futures		December 19, 2013		(5,145,056)		(5,116,163)		28,893
						(21,570,166)		(21,436,072)		134,094
						$23,868,131		$24,036,574		$168,443

Cash held as collateral with Barclays Capital for futures contracts was $3,354,668 at September 30, 2013.

Forward foreign currency exchange contracts outstanding as of September 30, 2013:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	AUD		2,602,000		$2,418,200		$2,415,087		$(3,113)
Canadian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	CAD		13,022,000		12,463,186		12,617,330		154,144
Swiss Franc, Expiring 12/18/13	The Royal Bank of Scotland	CHF		9,079,000		9,662,083		10,046,000		383,917

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

46 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Danish Krone, Expiring 12/18/13	The Royal Bank of Scotland	DKK		3,704,000		$659,663		$672,357		$12,694
Euro, Expiring 12/18/13	The Royal Bank of Scotland	EUR		16,186,000		21,375,080		21,901,673		526,593
British Pound, Expiring 12/18/13	The Royal Bank of Scotland	GBP		4,447,000		7,018,396		7,195,148		176,752
Hong Kong Dollar, Expiring 12/18/13	The Royal Bank of Scotland	HKD		2,343,000		302,189		302,144		(45)
Israeli Shekel, Expiring 12/18/13	The Royal Bank of Scotland	ILS		1,750,000		485,725		495,880		10,155
Japanese Yen, Expiring 12/18/13	The Royal Bank of Scotland	JPY		2,349,376,000		23,568,189		23,914,054		345,865
Norwegian Krone, Expiring 12/18/13	The Royal Bank of Scotland	NOK		86,340,000		14,491,075		14,316,401		(174,674)
New Zealand Dollar, Expiring 12/18/13	The Royal Bank of Scotland	NZD		23,462,000		18,668,545		19,381,256		712,711
Swedish Krona, Expiring 12/18/13	The Royal Bank of Scotland	SEK		52,480,000		7,861,757		8,151,221		289,464
Singapore Dollar, Expiring 12/18/13	The Royal Bank of Scotland	SGD		337,000		264,861		268,648		3,787
						$119,238,949		$121,677,199		$2,438,250
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	AUD		(4,075,000)		$(3,717,912)		$(3,782,276)		$(64,364)
Canadian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	CAD		(23,525,000)		(22,528,069)		(22,793,941)		(265,872)
Swiss Franc, Expiring 12/18/13	The Royal Bank of Scotland	CHF		(3,886,000)		(4,148,170)		(4,299,896)		(151,726)
Danish Krone, Expiring 12/18/13	The Royal Bank of Scotland	DKK		(245,000)		(43,306)		(44,473)		(1,167)
Euro, Expiring 12/18/13	The Royal Bank of Scotland	EUR		(8,289,000)		(10,979,777)		(11,216,049)		(236,272)
British Pound, Expiring 12/18/13	The Royal Bank of Scotland	GBP		(16,341,000)		(25,517,127)		(26,439,378)		(922,251)
Hong Kong Dollar, Expiring 12/18/13	The Royal Bank of Scotland	HKD		(625,000)		(80,606)		(80,597)		9
Israeli Shekel, Expiring 12/18/13	The Royal Bank of Scotland	ILS		(57,000)		(15,621)		(16,151)		(530)
Japanese Yen, Expiring 12/18/13	The Royal Bank of Scotland	JPY		(671,036,000)		$(6,730,874)		$(6,830,406)		$(99,532)
Norwegian Krone, Expiring 12/18/13	The Royal Bank of Scotland	NOK		(46,033,000)		(7,536,470)		(7,632,927)		(96,457)
New Zealand Dollar, Expiring 12/18/13	The Royal Bank of Scotland	NZD		(19,242,000)		(15,192,801)		(15,895,240)		(702,439)
Swedish Krona, Expiring 12/18/13	The Royal Bank of Scotland	SEK		(43,085,000)		(6,597,164)		(6,691,985)		(94,821)
Singapore Dollar, Expiring 12/18/13	The Royal Bank of Scotland	SGD		(75,000)		(58,778)		(59,788)		(1,010)
						$(103,146,675)		$(105,783,107)		$(2,636,432)
						$16,092,274		$15,894,092		$(198,182)

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $250,092.

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

AQR Funds Annual Report September 2013 47

Schedule of Investments September 30, 2013

AQR GLOBAL EQUITY FUND

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

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

48 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

COMMON STOCKS - 90.2%	SHARES		VALUE (Note 2)
Australia - 7.3%
AMP Ltd.		147,555	$	635,184
ASX Ltd.		10,285		331,187
Australia & New Zealand Banking Group Ltd.		148,683		4,274,988
Bendigo and Adelaide Bank Ltd.		44,112		412,732
BHP Billiton Ltd.		182,535		6,073,435
Brambles Ltd.		16,262		138,290
Caltex Australia Ltd.		1,237		21,372
CFS Retail Property Trust Group REIT		134,550		251,607
Commonwealth Bank of Australia		96,243		6,396,324
Computershare Ltd.		15,439		143,015
CSL Ltd.		46,664		2,785,283
Dexus Property Group REIT		283,799		265,663
Downer EDI Ltd.		446,119		1,872,595
Federation Centres Ltd. REIT		83,291		177,635
Flight Centre Ltd.		22,038		993,812
Goodman Group REIT		110,663		504,264
GPT Group REIT (Escrow) (3)†(a)		143,427		—
GPT Group REIT		113,631		368,683
Incitec Pivot Ltd.		201,777		506,625
Leighton Holdings Ltd.		59,906		1,076,931
Macquarie Group Ltd.		56,135		2,514,919
Mirvac Group REIT		214,560		348,808
Myer Holdings Ltd.		176,489		430,079
National Australia Bank Ltd.		134,424		4,307,104
Newcrest Mining Ltd.		41,734		458,993
Qantas Airways Ltd. †		785,420		1,082,734
Rio Tinto Ltd.		39,447		2,283,343
Sims Metal Management Ltd. †		6,923		61,515
Sonic Healthcare Ltd.		14,046		212,159
Stockland REIT		127,919		462,386
Suncorp Group Ltd.		135,901		1,662,010
Tatts Group Ltd.		193,422		559,464
Telecom Corp of New Zealand Ltd.		425,914		814,733
Telstra Corp. Ltd.		852,729		3,956,830
Transfield Services Ltd.		145,604		152,486
Wesfarmers Ltd.		36,677		1,408,999
Westfield Group REIT		128,208		1,317,510
Westfield Retail Trust REIT		194,481		539,116
Westpac Banking Corp.		153,286		4,685,468
Woodside Petroleum Ltd.		58,413		2,090,227
Woolworths Ltd.		99,879		3,263,864
				59,842,372
Belgium - 0.9%
Ageas		25,591		1,036,980
Anheuser-Busch InBev NV		12,614		1,251,280
Colruyt SA		8,239		457,036
Delhaize Group SA		74,001		4,663,813
Groupe Bruxelles Lambert SA		2,641		224,835
				7,633,944
China - 0.0% (b)
FIH Mobile Ltd. †		406		252
Denmark - 1.0%
Coloplast A/S, Class B		50,284		2,864,015
DSV A/S		27,819		789,405

	SHARES		VALUE (Note 2)
Denmark - 1.0% (continued)
Novo Nordisk A/S, Class B		19,251	$	3,260,434
TDC A/S		162,473		1,375,582
				8,289,436
Finland - 1.2%
Metso OYJ		66,752		2,623,341
Orion OYJ, Class B		34,844		879,235
Sampo, A Shares		90,197		3,879,954
Wartsila OYJ		47,964		2,169,728
				9,552,258
France - 8.3%
Aeroports de Paris		3,330		348,674
AXA SA		106,753		2,477,612
Christian Dior SA		9,854		1,933,981
Cie Generale des Etablissements Michelin		82,937		9,197,861
CNP Assurances		20,814		375,096
Danone SA		128,557		9,679,536
Dassault Systemes SA		8,002		1,068,052
Electricite de France SA		144,422		4,568,342
European Aeronautic Defence and Space Co. NV		126,706		8,073,986
Kering		18,624		4,173,668
Klepierre REIT		3,675		159,379
Lagardere SCA		43,664		1,418,133
Renault SA		37,493		2,990,051
Safran SA		33,233		2,046,841
Sanofi		95,921		9,714,581
Societe BIC SA		16,433		1,911,077
Societe Generale SA		42,309		2,107,802
Suez Environnement Co.		22,383		363,309
Thales SA		29,024		1,595,070
Total SA		59,037		3,421,952
				67,625,003
Germany - 7.6%
Adidas AG		70,089		7,602,673
BASF SE		54,079		5,186,196
Bayer AG		25,455		3,001,930
Celesio AG		30,614		688,909
Continental AG		40,268		6,826,457
Deutsche Boerse AG		12,335		928,315
Deutsche Lufthansa AG †		356,469		6,954,021
Deutsche Post AG		230,151		7,633,659
E.ON SE		78,132		1,390,388
GEA Group AG		21,815		896,582
Hannover Rueck SE		5,342		392,564
HeidelbergCement AG		50,858		3,929,800
Merck KGaA		55,080		8,597,024
Muenchener Rueckversicherungs AG		34,561		6,756,046
United Internet AG		41,853		1,585,890
				62,370,454
Hong Kong - 2.7%
AAC Technologies Holdings, Inc.		48,000		218,843
AIA Group Ltd.		672,000		3,162,143
ASM Pacific Technology Ltd.		14,204		144,292

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

AQR Funds Annual Report September 2013 49

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 2)
Hong Kong - 2.7% (continued)
BOC Hong Kong Holdings Ltd.		27,053	$	86,921
Cathay Pacific Airways Ltd.		171,000		335,432
Cheung Kong Holdings Ltd.		69,278		1,054,641
Cheung Kong Infrastructure Holdings Ltd.		37,827		262,364
CLP Holdings Ltd.		46,509		378,785
First Pacific Co., Ltd.		144,000		159,164
Galaxy Entertainment Group Ltd. †		214,000		1,503,785
Hang Lung Group Ltd.		276		1,475
Hang Seng Bank Ltd.		66,935		1,091,592
Henderson Land Development Co., Ltd.		108,900		671,930
HKT Trust/HKT Ltd.		694		653
Hong Kong & China Gas Co., Ltd.		260		626
Hong Kong Exchanges and Clearing Ltd.		66,154		1,061,384
Hopewell Holdings Ltd.		34,500		115,576
Hutchison Whampoa Ltd.		61,832		741,584
Hysan Development Co., Ltd.		157,000		700,923
Kerry Properties Ltd.		62,000		264,824
Li & Fung Ltd.		295,336		430,189
Link REIT/The REIT		139,382		681,457
MGM China Holdings Ltd.		221,200		735,692
Mongolia Energy Corp. Ltd. †		406		12
New World Development Co., Ltd.		221,896		333,487
NWS Holdings Ltd.		86,000		133,686
PCCW Ltd.		131,000		57,961
Power Assets Holdings Ltd.		91,000		814,737
Sands China Ltd.		53,600		331,812
Shanghai Industrial Urban Development Group Ltd. †		8		2
Sino Land Co., Ltd.		790,000		1,163,895
SJM Holdings Ltd.		492,000		1,386,334
Sun Hung Kai Properties Ltd.		49,046		667,559
Swire Pacific Ltd., Class A		41,030		492,176
Swire Properties Ltd.		71		199
Television Broadcasts Ltd.		3		19
Wharf Holdings Ltd.		185,243		1,605,106
Wheelock & Co., Ltd.		236,621		1,255,252
Wynn Macau Ltd.		6,400		21,876
Yue Yuen Industrial Holdings Ltd.		154,609		431,621
				22,500,009
Italy - 1.5%
Pirelli & C. SpA		93,747		1,220,706
Prysmian SpA		190,332		4,666,969
UniCredit SpA		735,979		4,699,834
Unione di Banche Italiane SCPA		378,970		1,920,219
				12,507,728
Japan - 19.9%
Ajinomoto Co., Inc.		67,000		881,530
Alfresa Holdings Corp.		14,500		748,684
Asahi Glass Co., Ltd.		413		2,566
Astellas Pharma, Inc.		41,300		2,109,604
Azbil Corp.		37		861
Bank of Yokohama Ltd./The		73,000		418,662
Bridgestone Corp.		11,200		410,463
Brother Industries Ltd.		98,500		1,115,245
Canon, Inc.		33,815		1,082,734

	SHARES		VALUE (Note 2)
Japan - 19.9% (continued)
Central Japan Railway Co.		28,500	$	3,658,111
Chiyoda Corp.		30,000		362,010
Chubu Electric Power Co., Inc.		75,497		1,037,048
Chugai Pharmaceutical Co., Ltd.		103,900		2,136,615
Credit Saison Co., Ltd.		12		327
Daicel Corp.		193,000		1,745,946
Daihatsu Motor Co., Ltd.		57,000		1,107,715
Daiichi Sankyo Co., Ltd.		62,300		1,131,460
Daito Trust Construction Co., Ltd.		5,187		519,080
Daiwa House Industry Co., Ltd.		17,295		326,718
Daiwa Securities Group, Inc.		87,000		785,145
Dena Co., Ltd.		40,100		816,208
Denki Kagaku Kogyo KK		278,000		1,085,027
East Japan Railway Co.		50,313		4,336,213
Fuji Electric Co., Ltd.		669,000		2,736,633
Fuji Heavy Industries Ltd.		130,721		3,642,624
FUJIFILM Holdings Corp.		43		1,036
Fukuoka Financial Group, Inc.		125,046		566,207
Hakuhodo DY Holdings, Inc.		23,200		172,878
Hino Motors Ltd.		78,000		1,155,994
Honda Motor Co., Ltd.		33,697		1,287,994
ITOCHU Corp.		38,144		469,903
J Front Retailing Co., Ltd.		194,000		1,575,782
Japan Airlines Co., Ltd.		15,300		927,088
Japan Real Estate Investment Corp. REIT		42		489,690
Japan Retail Fund Investment Corp. REIT		149		306,794
Japan Steel Works Ltd./The		72,000		419,235
Japan Tobacco, Inc.		115,600		4,167,354
JFE Holdings, Inc.		42,000		1,095,072
JGC Corp.		86,000		3,113,613
JSR Corp.		16,400		305,134
JTEKT Corp.		70		963
JX Holdings, Inc.		95		494
Kajima Corp.		284,000		1,156,793
Kaneka Corp.		625		4,089
Kansai Electric Power Co., Inc./The †		164,632		2,117,840
Kao Corp.		8,185		255,608
Keisei Electric Railway Co., Ltd.		100,000		1,044,004
Kinden Corp.		564		6,087
Kirin Holdings Co., Ltd.		23,000		335,804
Koito Manufacturing Co., Ltd.		133,000		2,536,295
Komatsu Ltd.		38		949
Konica Minolta, Inc.		303,000		2,552,409
Kurita Water Industries Ltd.		18,800		399,475
Marubeni Corp.		56,974		450,573
Mazda Motor Corp. †		258,000		1,159,799
Medipal Holdings Corp.		111,500		1,377,483
Miraca Holdings, Inc.		6		268
Mitsubishi Estate Co., Ltd.		77,020		2,282,543
Mitsubishi Heavy Industries, Ltd.		605,000		3,488,895
Mitsubishi Tanabe Pharma Corp.		30,900		433,670
Mitsubishi UFJ Financial Group, Inc.		960,491		6,160,933
Mitsubishi UFJ Lease & Finance Co., Ltd.		112,100		595,940
Mitsui & Co., Ltd.		7,943		115,824
Mitsui Fudosan Co., Ltd.		59,205		1,999,316
Mitsumi Electric Co., Ltd. †		89		631
Mizuho Financial Group, Inc.		1,476,910		3,210,733
MS&AD Insurance Group Holdings		117,500		3,079,749

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

50 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 2)
Japan - 19.9% (continued)
Namco Bandai Holdings, Inc.		116,600	$	2,180,328
NEC Corp.		721,000		1,675,073
Nintendo Co., Ltd.		11,900		1,347,842
Nippon Building Fund, Inc. REIT		42		521,118
Nippon Steel & Sumitomo Metal Corp.		405		1,379
Nippon Telegraph & Telephone Corp.		19,019		989,952
Nippon Yusen KK		225,000		713,531
Nishi-Nippon City Bank Ltd./The		737		2,012
Nisshin Seifun Group, Inc.		22,092		223,303
Nitto Denko Corp.		83		5,413
NKSJ Holdings, Inc.		24,300		626,835
Nomura Holdings, Inc.		191,200		1,495,513
Nomura Real Estate Holdings, Inc.		8,000		197,519
NTT DOCOMO, Inc.		110,800		1,795,420
Obayashi Corp.		148,000		885,628
Omron Corp.		29,600		1,072,225
ORIX Corp.		76,990		1,258,627
Osaka Gas Co., Ltd.		389,802		1,661,685
Otsuka Holdings Co., Ltd.		23,600		684,297
Panasonic Corp.		50,500		488,877
Rengo Co., Ltd.		299		1,651
Resona Holdings, Inc.		591,200		3,035,226
Seino Holdings Co., Ltd.		837		8,568
Sekisui Chemical Co., Ltd.		144,000		1,468,822
Sekisui House Ltd.		32,000		431,664
Seven & I Holdings Co., Ltd.		54,239		1,988,401
Sharp Corp. †		245		904
Shimamura Co., Ltd.		10,400		1,035,478
Shinsei Bank Ltd.		823,000		2,008,658
Shionogi & Co., Ltd.		124,900		2,629,306
Softbank Corp.		63,800		4,430,751
Sojitz Corp.		62		122
Sony Corp.		142,271		3,053,828
Sumitomo Heavy Industries Ltd.		161,000		734,228
Sumitomo Metal Mining Co., Ltd.		140,000		1,989,431
Sumitomo Mitsui Financial Group, Inc.		122,636		5,938,704
Sumitomo Mitsui Trust Holdings, Inc.		157,341		781,995
Sumitomo Realty & Development Co., Ltd.		24,261		1,156,338
Suzuken Co., Ltd.		36,300		1,195,615
Suzuki Motor Corp.		34,700		836,335
T&D Holdings, Inc.		112,300		1,394,449
Taisei Corp.		436,000		2,145,956
Takashimaya Co., Ltd.		213,000		2,003,130
Takeda Pharmaceutical Co., Ltd.		81		3,826
Toho Co., Ltd.		16,800		350,786
Tohoku Electric Power Co., Inc. †		15,700		193,401
Tokai Rika Co., Ltd.		99		2,106
Tokio Marine Holdings, Inc.		32,500		1,065,514
Tokyo Electric Power Co., Inc †		338,373		2,108,014
Tokyo Gas Co., Ltd.		252,071		1,382,589
Tokyu Corp.		99,000		707,549
Tokyu Land Corp.		26,483		275,575
TOTO Ltd.		82,000		1,150,282
Toyo Seikan Kaisha Ltd.		28,400		559,688
Toyo Suisan Kaisha Ltd.		11,000		322,970
Toyota Boshoku Corp.		104,500		1,404,234
Toyota Motor Corp.		125,678		8,060,679

	SHARES		VALUE (Note 2)
Japan - 19.9% (continued)
Ushio, Inc.		12,500	$	155,682
USS Co., Ltd.		69,540		1,006,891
West Japan Railway Co.		48,900		2,096,571
Yahoo Japan Corp.		440,400		2,505,776
Yamaha Corp.		4,900		70,207
				162,536,647
Netherlands - 3.5%
Akzo Nobel NV		40,297		2,647,538
DE Master Blenders 1753 NV †		71,725		1,206,604
ING Groep NV CVA †		247,726		2,810,941
Koninklijke Ahold NV		460,028		7,970,082
Koninklijke Philips NV		322,136		10,392,438
Randstad Holding NV		12,497		704,850
Reed Elsevier NV		64,505		1,297,126
Wolters Kluwer NV		48,642		1,254,107
				28,283,686
New Zealand - 0.1%
Fletcher Building Ltd.		59,093		466,092
Singapore - 1.4%
Ascendas Real Estate Investment Trust REIT		123,637		224,956
CapitaCommercial Trust REIT		120,000		138,547
CapitaMall Trust REIT		145,994		228,105
ComfortDelGro Corp. Ltd.		507,000		797,808
DBS Group Holdings Ltd.		171,128		2,240,174
Global Logistic Properties Ltd.		67,000		154,235
Hutchison Port Holdings Trust, Class U		30,000		23,415
Jardine Cycle & Carriage Ltd.		66		2,010
Keppel Corp. Ltd.		95,728		795,834
Keppel Land Ltd.		125,000		352,850
Keppel REIT		803		786
Noble Group Ltd.		319,000		236,814
Oversea-Chinese Banking Corp. Ltd.		143,479		1,179,077
Sembcorp Industries Ltd.		60,017		253,404
Singapore Airlines Ltd.		34,000		283,118
Singapore Exchange Ltd.		52,472		303,943
Singapore Technologies Engineering Ltd.		93,265		310,435
Singapore Telecommunications Ltd.		481,524		1,434,023
StarHub Ltd.		23,988		82,077
United Overseas Bank Ltd.		83,097		1,370,676
UOL Group Ltd.		28,000		137,464
Wilmar International Ltd.		68,000		171,893
Yangzijiang Shipbuilding Holdings Ltd.		610,319		533,274
				11,254,918
Spain - 3.5%
ACS Actividades de Construccion y Servicios SA		68,870		2,193,075
Banco Bilbao Vizcaya Argentaria SA		335,937		3,756,585
Banco Santander SA		652,898		5,323,164
Distribuidora Internacional de Alimentacion SA		102,472		888,396
Gas Natural SDG SA		403,336		8,432,602
Iberdrola SA		621,077		3,610,134
Telefonica SA		287,568		4,470,564
				28,674,520

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

AQR Funds Annual Report September 2013 51

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 2)
Sweden - 4.0%
Electrolux AB, Series B		254,072	$	6,579,079
Investor AB, B Shares		19,364		587,262
Nordea Bank AB		430,860		5,199,226
Skandinaviska Enskilda Banken AB, Class A		111,738		1,184,451
SKF AB, B Shares		85,600		2,382,665
Svenska Cellulosa AB SCA, B Shares		344,916		8,691,628
Swedish Match AB		167,104		5,895,378
Telefonaktiebolaget LM Ericsson, B Shares		134,333		1,789,147
TeliaSonera AB		90,089		689,266
				32,998,102
Switzerland - 8.8%
Actelion Ltd. †		17,606		1,250,054
Adecco SA †		27,929		1,992,344
Aryzta AG †		7,955		531,685
Baloise Holding AG		12,816		1,417,624
Credit Suisse Group AG †		121,381		3,712,065
EMS-Chemie Holding AG		1,196		423,223
Givaudan SA †		4,853		7,093,042
Nestle SA		113,491		7,914,195
Novartis AG		189,305		14,560,995
Roche Holding AG		75,812		20,459,641
Schindler Holding AG		9,488		1,425,661
Sika AG		323		942,454
STMicroelectronics NV		283,311		2,614,626
Sulzer AG		19,840		3,071,776
Transocean Ltd.		11,824		525,495
UBS AG †		13,294		272,467
Wolseley PLC		69,017		3,570,778
				71,778,125
United Kingdom - 18.5%
3i Group PLC		380,386		2,238,610
AMEC PLC		39,348		683,606
Antofagasta PLC		119,972		1,588,905
ARM Holdings PLC		621,489		9,947,541
Associated British Foods PLC		146,586		4,448,873
AstraZeneca PLC		15,504		805,976
Babcock International Group PLC		48,590		940,213
BAE Systems PLC		442,521		3,252,449
Barclays PLC		1,774,915		7,585,411
BHP Billiton PLC		124,552		3,663,860
BP PLC		947,404		6,642,100
British Land Co. PLC REIT		91,783		857,411
British Sky Broadcasting Group PLC		210,761		2,967,834
BT Group PLC		1,511,481		8,368,672
Centrica PLC		198,410		1,187,467
easyJet PLC		71,532		1,478,112
GKN PLC		159,668		883,368
GlaxoSmithKline PLC		156,645		3,938,485
Hammerson PLC REIT		28,872		234,068
HSBC Holdings PLC		1,119,430		12,115,987
IMI PLC		40,236		947,314
Invensys PLC		143,902		1,160,702
Investec PLC		139,590		903,937
ITV PLC		1,842,919		5,229,401

	SHARES		VALUE (Note 2)
United Kingdom - 18.5% (continued)
Land Securities Group PLC REIT		51,528	$	765,926
Legal & General Group PLC		853,654		2,708,777
Lloyds Banking Group PLC †		3,396,161		4,043,642
Marks & Spencer Group PLC		457,072		3,672,648
Next PLC		57,753		4,825,484
Persimmon PLC †		84,642		1,487,604
Randgold Resources Ltd.		3,761		269,609
Reckitt Benckiser Group PLC		45,801		3,348,742
Reed Elsevier PLC		49,673		669,564
Resolution Ltd.		385,283		1,980,335
Rio Tinto PLC		74,884		3,655,314
Royal Dutch Shell PLC, A Shares		224,457		7,399,345
Royal Dutch Shell PLC, B Shares		114,217		3,940,808
RSA Insurance Group PLC		1,325,063		2,592,113
Schroders PLC		28,345		1,181,760
Serco Group PLC		81,275		719,080
Smith & Nephew PLC		245,173		3,058,777
Smiths Group PLC		96,439		2,181,203
Standard Life PLC		8,973		50,142
Tate & Lyle PLC		98,319		1,171,598
Travis Perkins PLC		38,080		1,017,327
TUI Travel PLC		624,394		3,715,850
Tullow Oil PLC		33,537		556,004
Unilever PLC		76,998		2,993,703
Vedanta Resources PLC		38,196		668,266
Vodafone Group PLC		2,871,675		10,079,078
				150,823,001
TOTAL COMMON STOCKS (cost $614,416,386)				737,136,547
PREFERRED STOCKS - 1.6%
Germany - 1.6%
Henkel AG & Co. KGaA		50,844		5,239,876
Porsche Automobil Holding SE		86,428		7,544,615
TOTAL PREFERRED STOCKS (cost $10,910,099)				12,784,491
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Banco Bilbao Vizcaya Argentaria SA, †		335,937		45,902
TOTAL RIGHTS (cost $—)				45,902
MONEY MARKET FUNDS - 7.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)
(cost $64,123,529)		64,123,529		64,123,529
TOTAL INVESTMENTS - 99.6% (cost $689,450,014)				814,090,469
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% (e)				3,069,644
NET ASSETS - 100.0%			$	817,160,113

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

52 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

† Non income-producing security.

(a) Security fair valued at $0 as of September 30, 2013 using procedures approved by the Board of Trustees.

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

(c) Represents annualized seven-day yield as of September 30, 2013.

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

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

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

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

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	$	116,604,718		14.3	%
Consumer Staples		79,372,150		9.7
Energy		25,281,417		3.1
Financials		177,266,891		21.8
Health Care		88,528,327		10.8
Industrials		118,465,802		14.5
Information Technology		29,681,697		3.6
Materials		46,711,043		5.7
Telecommunication Services		38,545,562		4.7
Utilities		29,509,333		3.6
Money Market Funds		64,123,529		7.8
Total Investments		814,090,469		99.6
Other Assets in Excess of Liabilities (e)		3,069,644		0.4
Net Assets	$	817,160,113		100.0	%

Total return swap contract outstanding as of September 30, 2013:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Swiss Market Index Futures	12/20/2013		CHF		(19,609,953)		$45,780

Money Market Fund is pledged as collateral for total return swap contract in the amount of $4,370,000.

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
694	Barclays Capital	CAC40 10 Euro Futures		October 18, 2013		$39,040,457		$38,925,878		$(114,579)
23	Barclays Capital	DAX Index Futures		December 20, 2013		6,713,186		6,681,287		(31,899)
212	Barclays Capital	FTSE 100 Index Futures		December 20, 2013		22,498,345		22,066,481		(431,864)
196	Barclays Capital	Hang Seng Index Futures		October 30, 2013		29,309,667		28,913,911		(395,756)
99	Barclays Capital	IBEX 35 Index Futures		October 18, 2013		11,994,560		12,234,166		239,606
29	Barclays Capital	MSCI Singapore Index Futures		October 30, 2013		1,695,423		1,673,125		(22,298)
506	Barclays Capital	TOPIX Index Futures		December 12, 2013		61,042,758		61,593,061		550,303
						172,294,396		172,087,909		(206,487)
Short Contracts:
92	Barclays Capital	Amsterdam Index Futures		October 18, 2013		(9,464,123)		(9,337,154)		126,969
1	Barclays Capital	FTSE/MIB Index Futures		December 20, 2013		(121,762)		(117,819)		3,943
1,610	Barclays Capital	OMXS30 Index Futures		October 18, 2013		(31,996,657)		(31,571,452)		425,205
352	Barclays Capital	SPI 200 Index Futures		December 19, 2013		(43,118,972)		(42,878,321)		240,651
						(84,701,514)		(83,904,746)		796,768
						$87,592,882		$88,183,163		$590,281

Cash held as collateral with Barclays Capital for futures contracts was $12,490,873 at September 30, 2013.

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

AQR Funds Annual Report September 2013 53

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

Forward foreign currency exchange contracts outstanding as of September 30, 2013:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	AUD		38,696,000		$35,533,348		$35,916,303		$382,955
Swiss Franc, Expiring 12/18/13	The Royal Bank of Scotland	CHF		17,958,200		19,296,065		19,870,919		574,854
Danish Krone, Expiring 12/18/13	The Royal Bank of Scotland	DKK		14,777,000		2,670,490		2,682,347		11,857
Euro, Expiring 12/18/13	The Royal Bank of Scotland	EUR		61,175,400		80,896,509		82,777,932		1,881,423
British Pound, Expiring 12/18/13	The Royal Bank of Scotland	GBP		16,538,000		25,964,458		26,758,120		793,662
Hong Kong Dollar, Expiring 12/18/13	The Royal Bank of Scotland	HKD		20,340,000		2,623,345		2,622,967		(378)
Israeli Shekel, Expiring 12/18/13	The Royal Bank of Scotland	ILS		13,473,000		3,739,859		3,817,706		77,847
Japanese Yen, Expiring 12/18/13	The Royal Bank of Scotland	JPY		10,538,614,800		105,775,321		107,271,464		1,496,143
Norwegian Krone, Expiring 12/18/13	The Royal Bank of Scotland	NOK		193,549,000		32,494,550		32,093,180		(401,370)
New Zealand Dollar, Expiring 12/18/13	The Royal Bank of Scotland	NZD		10,276,000		8,475,060		8,488,696		13,636
Swedish Krona, Expiring 12/18/13	The Royal Bank of Scotland	SEK		93,196,000		14,040,879		14,475,251		434,372
Singapore Dollar, Expiring 12/18/13	The Royal Bank of Scotland	SGD		2,601,300		2,045,380		2,073,689		28,309
						$333,555,264		$338,848,574		$5,293,310
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/18/13	The Royal Bank of Scotland	AUD		(57,243,900)		$(51,959,716)		$(53,131,830)		$(1,172,114)
Swiss Franc, Expiring 12/18/13	The Royal Bank of Scotland	CHF		(5,377,000)		(5,772,591)		(5,949,701)		(177,110)
Danish Krone, Expiring 12/18/13	The Royal Bank of Scotland	DKK		(8,991,000)		(1,600,107)		(1,632,062)		(31,955)
Euro, Expiring 12/18/13	The Royal Bank of Scotland	EUR		(20,179,000)		(26,677,160)		(27,304,699)		(627,539)
British Pound, Expiring 12/18/13	The Royal Bank of Scotland	GBP		(60,163,700)		(93,969,788)		(97,343,542)		(3,373,754)
Hong Kong Dollar, Expiring 12/18/13	The Royal Bank of Scotland	HKD		(3,457,000)		(445,857)		(445,801)		56
Israeli Shekel, Expiring 12/18/13	The Royal Bank of Scotland	ILS		(504,000)		(138,239)		(142,813)		(4,574)
Japanese Yen, Expiring 12/18/13	The Royal Bank of Scotland	JPY		(3,066,668,000)		(30,762,457)		(31,215,295)		(452,838)
Norwegian Krone, Expiring 12/18/13	The Royal Bank of Scotland	NOK		(112,295,000)		(18,481,288)		(18,620,110)		(138,822)
Swedish Krona, Expiring 12/18/13	The Royal Bank of Scotland	SEK		(174,160,000)		(26,826,592)		(27,050,622)		(224,030)

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

54 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 12/18/13	The Royal Bank of Scotland	SGD		(545,000)		$(427,319)		$(434,460)		$(7,141)
						(257,061,114)		(263,270,935)		(6,209,821)
						$76,494,150		$75,577,639		$(916,511)

Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $880,063.

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

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

AQR Funds Annual Report September 2013 55

Schedule of Investments September 30, 2013

AQR EMERGING DEFENSIVE EQUITY FUND

COMMON STOCKS - 88.1%	SHARES		VALUE (Note 2)
Brazil - 12.3%
CCR SA (1)		51,000	$	402,008
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (1)		6,281		289,052
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1)		11,442		113,962
Cia Energetica de Minas Gerais ADR (1)		31,363		270,976
Cia Hering (1)		3,199		48,744
Cia Paranaense de Energia ADR (1)		1,118		15,607
Cielo SA (1)		2,140		57,944
CPFL Energia SA ADR (1)		18,084		311,949
Diagnosticos da America SA (1)		22,900		120,684
EcoRodovias Infraestrutura e Logistica SA (1)		24,200		166,625
EDP - Energias do Brasil SA (1)		86,300		467,265
Light SA (1)		14,300		121,947
Localiza Rent a Car SA (1)		6,910		103,511
Lojas Renner SA (1)		900		25,957
Natura Cosmeticos SA (1)		12,100		271,613
Souza Cruz SA (1)		36,000		430,610
Telefonica Brasil SA ADR (1)		10,035		225,185
Tim Participacoes SA ADR (1)		1,544		36,392
Tractebel Energia SA (1)		26,900		447,868
Ultrapar Participacoes SA ADR (1)		800		19,672
				3,947,571
Chile - 5.5%
Banco Santander Chile ADR (1)		15,693		412,569
Cencosud SA (1)		87,856		392,328
Enersis SA ADR (1)		25,747		413,497
SACI Falabella (1)		42,478		407,317
Sociedad Quimica y Minera de Chile SA ADR (1)		4,778		145,968
				1,771,679
China - 2.0%
China Petroleum & Chemical Corp. ADR (1)		175		13,701
China Telecom Corp. Ltd., H Shares		46,000		22,715
PetroChina Co., Ltd. ADR (1)		576		63,331
Sun Art Retail Group Ltd.		219,000		314,271
Tencent Holdings Ltd.		200		10,518
Tingyi Cayman Islands Holding Corp.		8,000		21,220
Tsingtao Brewery Co., Ltd., H Shares		22,000		167,520
Want Want China Holdings Ltd.		5,000		7,603
ZHuzhou CSR Times Electric Co., Ltd., H Shares		3,000		9,776
				630,655
Hong Kong - 1.3%
Belle International Holdings Ltd.		54,000		78,514
China Mengniu Dairy Co., Ltd.		8,000		35,886
China Merchants Holdings International Co., Ltd.		4,000		14,569
China Mobile Ltd. ADR (1)		2,932		165,453
China Resources Power Holdings Co., Ltd.		2,000		4,759
China Unicom Hong Kong Ltd. ADR (1)		1,261		19,445
GOME Electrical Appliances Holding Ltd.		656,000		83,853
				402,479

	SHARES		VALUE (Note 2)
India - 0.9%
Dr Reddy’s Laboratories Ltd. ADR (1)		6,993	$	264,266
Infosys Ltd. ADR (1)		600		28,866
				293,132
Indonesia - 3.5%
Bank Central Asia Tbk PT		209,500		181,024
Bank Mandiri Persero Tbk PT		35,500		24,377
Bank Negara Indonesia Persero Tbk PT		17,000		5,977
Gudang Garam Tbk PT		79,500		240,258
Indo Tambangraya Megah Tbk PT		37,000		84,034
Perusahaan Gas Negara Persero Tbk PT		375,000		168,485
Semen Indonesia Persero Tbk PT		73,000		82,064
Telekomunikasi Indonesia Persero Tbk PT ADR (1)		9,239		335,468
				1,121,687
Korea, Republic of - 13.0%
Amorepacific Corp.		101		85,093
Cheil Industries, Inc.		4,633		395,165
Daelim Industrial Co., Ltd.		270		24,370
Daewoo International Corp.		530		18,683
E-Mart Co., Ltd.		170		38,305
Hyundai Department Store Co., Ltd.		195		29,236
Hyundai Glovis Co., Ltd.		1,558		305,181
Hyundai Marine & Fire Insurance Co., Ltd.		7,070		192,369
Hyundai Mobis		765		203,507
Hyundai Wia Corp.		467		73,566
Kangwon Land, Inc.		3,550		94,116
Kia Motors Corp.		938		56,943
Korea Aerospace Industries Ltd.		6,420		160,139
KT Corp. ADR (1)		25,421		426,310
KT&G Corp.		5,561		398,312
LG Chem Ltd.		160		45,753
LG Display Co., Ltd. †		2,700		65,012
LG Household & Health Care Ltd.		92		46,695
LG Uplus Corp. †		20,480		220,147
Lotte Shopping Co., Ltd.		246		87,072
NAVER Corp.		512		265,216
Orion Corp.		143		126,767
POSCO ADR (1)		133		9,794
Samsung C&T Corp.		181		10,506
Samsung Electronics Co., Ltd. GDR		357		227,054
Samsung Fire & Marine Insurance Co., Ltd.		453		104,000
Samsung Life Insurance Co., Ltd.		1,728		168,062
Samsung Techwin Co., Ltd.		122		6,918
SK Telecom Co., Ltd. ADR (1)		12,728		288,926
				4,173,217
Malaysia - 13.4%
AMMB Holdings Bhd		72,200		164,275
Axiata Group Bhd		112,700		237,960
CIMB Group Holdings Bhd		42,600		98,163
DiGi.Com Bhd		168,800		251,693
Kuala Lumpur Kepong Bhd		42,800		296,802
Malayan Banking Bhd		132,700		400,367
Maxis Bhd		194,800		418,292
Petronas Chemicals Group Bhd		208,200		437,589
Public Bank Bhd		79,000		429,270

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

56 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR EMERGING DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
Malaysia - 13.4% (continued)
Sime Darby Bhd		147,300	$	429,505
Telekom Malaysia Bhd		260,300		418,492
Tenaga Nasional Bhd		155,400		430,695
UMW Holdings Bhd		76,700		278,104
				4,291,207
Mexico - 4.3%
Alfa SAB de CV, Class A (1)		100,500		270,877
America Movil SAB de CV, Series L ADR (1)		476		9,430
Coca-Cola Femsa SAB de CV ADR (1)		3,152		397,089
Grupo Televisa SAB ADR (1)		9,609		268,571
Wal-Mart de Mexico SAB de CV, Series V (1)		160,200		421,260
				1,367,227
Poland - 3.2%
PGE SA		63,570		338,659
Powszechna Kasa Oszczednosci Bank Polski SA		11,544		137,167
Powszechny Zaklad Ubezpieczen SA		2,983		404,655
Telekomunikacja Polska SA		57,138		151,948
				1,032,429
Russia - 1.5%
Lukoil OAO ADR (1)		2,008		127,628
Magnit OJSC GDR		1,485		91,667
MMC Norilsk Nickel OJSC ADR (1)		3,815		54,745
Mobile Telesystems OJSC ADR (1)		1,800		40,068
Rosneft OAO GDR (1)		17,243		143,979
Tatneft OAO ADR		751		29,339
				487,426
South Africa - 13.5%
AngloGold Ashanti Ltd. ADR (1)		1,044		13,864
Aspen Pharmacare Holdings Ltd. †		4,372		114,429
Barclays Africa Group Ltd.		2,086		30,603
Bidvest Group Ltd.		5,211		130,660
FirstRand Ltd.		96,858		323,062
Gold Fields Ltd. ADR (1)		32		146
Kumba Iron Ore Ltd.		1,210		55,892
Life Healthcare Group Holdings Ltd.		118,186		420,681
Mr Price Group Ltd.		4,933		68,285
MTN Group Ltd.		8,597		167,885
Naspers Ltd., N Shares		3,464		320,704
Nedbank Group Ltd.		21,619		440,426
Remgro Ltd.		14,326		276,797
Sanlam Ltd.		34,051		158,641
Sasol Ltd. ADR (1)		6,199		296,250
Shoprite Holdings Ltd.		19,439		320,442
Standard Bank Group Ltd.		37,304		445,372
Steinhoff International Holdings Ltd. †		3,829		13,626
Tiger Brands Ltd.		3,914		116,617
Vodacom Group Ltd.		18,737		232,440
Woolworths Holdings Ltd.		52,510		388,244
				4,335,066
Taiwan - 8.6%
Acer, Inc. †		13,000		9,038
Asustek Computer, Inc.		2,000		15,944

	SHARES		VALUE (Note 2)
Taiwan - 8.6% (continued)
Cheng UEI Precision Industry Co., Ltd.		6,059	$	12,134
China Petrochemical Development Corp.		60,400		29,699
China Steel Corp.		129,764		113,863
Chunghwa Telecom Co., Ltd. ADR (1)		13,363		422,004
Evergreen Marine Corp. Taiwan Ltd. †		39,000		23,079
Everlight Electronics Co., Ltd.		5,000		9,152
Far Eastern Department Stores Co., Ltd.		24,720		26,006
Far EasTone Telecommunications Co., Ltd.		172,000		428,534
First Financial Holding Co., Ltd.		36,000		21,541
Foxconn Technology Co., Ltd.		35,017		90,925
Hon Hai Precision Industry Co., Ltd.		60,500		155,264
HTC Corp.		32,000		142,847
Kinsus Interconnect Technology Corp.		2,000		7,040
Powertech Technology, Inc. †		10,000		18,810
Radiant Opto-Electronics Corp.		2,060		7,347
Realtek Semiconductor Corp.		24,442		59,711
Richtek Technology Corp.		13,000		62,262
Taiwan Cement Corp.		16,000		23,167
Taiwan Mobile Co., Ltd.		120,000		425,630
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		24,556		416,470
Uni-President Enterprises Corp.		108,583		202,310
Wistron Corp.		34,282		33,246
				2,756,023
Thailand - 3.1%
Advanced Info Service PCL NVDR		48,000		392,219
Bangkok Bank PCL NVDR		1,500		9,405
CP ALL PCL NVDR		224,900		253,640
PTT Global Chemical PCL NVDR		27,200		64,919
PTT PCL NVDR		25,500		257,927
				978,110
Turkey - 2.0%
KOC Holding AS		22,234		102,657
Turk Hava Yollari		5,773		22,014
Turk Telekomunikasyon AS		113,027		393,518
Turkcell Iletisim Hizmetleri AS †		23,106		135,775
				653,964
TOTAL COMMON STOCKS (cost $27,752,539)				28,241,872
PREFERRED STOCKS - 1.5%
Brazil - 1.5%
Cia de Bebidas das Americas ADR (1)		9,961		382,004
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA (1)		22,000		85,169
Lojas Americanas SA (1)		3,100		22,841
TOTAL PREFERRED STOCKS (cost $480,804)				490,014
EXCHANGE-TRADED FUNDS - 8.5%
iShares MSCI Emerging Markets Index ETF (1)
(cost $2,719,749)		66,598		2,715,201

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

AQR Funds Annual Report September 2013 57

Schedule of Investments September 30, 2013

AQR EMERGING DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
MONEY MARKET FUNDS - 1.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)
(cost $519,708)		519,708	$	519,708
TOTAL INVESTMENTS - 99.7% (cost $31,472,800)				31,966,795
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%				98,453
NET ASSETS - 100.0%			$	32,065,248

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	2,575,206		8.0	%
Consumer Staples		5,347,362		16.7
Energy		1,035,861		3.2
Exchange Traded Fund		2,715,201		8.5
Financials		4,428,122		13.8
Health Care		920,060		2.9
Industrials		2,201,078		6.9
Information Technology		1,694,800		5.3
Materials		1,472,630		4.6
Telecommunication Services		5,865,928		18.3
Utilities		3,190,839		9.9
Money Market Funds		519,708		1.6
Total Investments		31,966,795		99.7
Other Assets in Excess of Liabilities		98,453		0.3
Net Assets	$	32,065,248		100.0	%

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

58 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

COMMON STOCKS - 95.3%	SHARES		VALUE (Note 2)
Australia - 16.0%
AGL Energy Ltd.		7,299	$	105,142
ALS Ltd.		4,075		39,918
Amcor Ltd.		11,547		112,659
APA Group		14,271		79,512
ASX Ltd.		2,400		77,282
Aurizon Holdings Ltd.		18,076		78,979
Australia & New Zealand Banking Group Ltd.		311		8,942
BHP Billiton Ltd.		1,722		57,296
Boral Ltd.		14,636		65,685
Brambles Ltd.		8,265		70,285
Caltex Australia Ltd.		1,180		20,387
Coca-Cola Amatil Ltd.		11,302		129,433
Cochlear Ltd.		2,349		132,675
Commonwealth Bank of Australia		753		50,044
Computershare Ltd.		222		2,056
Crown Ltd.		2,043		29,662
CSL Ltd.		2,120		126,539
Echo Entertainment Group Ltd.		13,363		34,626
Incitec Pivot Ltd.		27,818		69,846
Insurance Australia Group Ltd.		8,050		44,129
Metcash Ltd.		44,154		131,918
Newcrest Mining Ltd.		1,208		13,286
Orica Ltd.		2,718		50,925
Sonic Healthcare Ltd.		7,743		116,955
Sydney Airport		18,501		67,864
Tabcorp Holdings Ltd.		12,534		38,371
Tatts Group Ltd.		43,152		124,815
Telstra Corp. Ltd.		58,563		271,744
Transurban Group		20,147		127,900
Wesfarmers Ltd.		7,018		269,606
Woodside Petroleum Ltd.		3,386		121,163
Woolworths Ltd.		8,306		271,425
WorleyParsons Ltd.		2,482		56,426
				2,997,495
Belgium - 1.1%
Anheuser-Busch InBev NV		75		7,440
Belgacom SA		5,258		139,847
Delhaize Group SA		827		52,120
Umicore SA		225		10,926
				210,333
Canada - 16.7%
Agnico Eagle Mines Ltd. (1)		129		3,416
Alimentation Couche Tard, Inc., Class B (1)		2,097		130,741
Bank of Montreal (1)		2,403		160,387
Bank of Nova Scotia (1)		3,780		216,514
Barrick Gold Corp. (1)		433		8,063
BCE, Inc. (1)		6,246		266,928
Canadian Imperial Bank of Commerce (1)		1,983		157,978
Canadian National Railway Co. (1)		1,211		122,705
Canadian Tire Corp. Ltd., Class A (1)		588		52,078
Eldorado Gold Corp. (1)		7,459		50,328
Enbridge, Inc. (1)		1,242		51,872
Franco-Nevada Corp. (1)		2,055		93,229
Goldcorp, Inc. (1)		1,369		35,619
Husky Energy, Inc. (1)		2,100		60,387
IAMGOLD Corp. (1)		19,247		91,933

	SHARES		VALUE (Note 2)
Canada - 16.7% (continued)
Imperial Oil Ltd. (1)		3,071	$	134,849
Intact Financial Corp. (1)		3,004		180,173
Kinross Gold Corp. (1)		7,291		36,736
Loblaw Cos., Ltd. (1)		2,096		92,606
Metro, Inc. (1)		1,674		104,709
National Bank of Canada (1)		1,773		146,429
Pembina Pipeline Corp. (1)		1,360		45,076
Potash Corp of Saskatchewan, Inc. (1)		2,340		73,172
Rogers Communications, Inc., Class B (1)		1,637		70,387
Royal Bank of Canada (1)		1,202		77,018
Shaw Communications, Inc., Class B (1)		1,604		37,248
Silver Wheaton Corp. (1)		2,452		60,749
Tim Hortons, Inc. (1)		4,123		239,122
Toronto-Dominion Bank/The (1)		1,499		134,962
TransCanada Corp. (1)		1,897		83,335
Yamana Gold, Inc. (1)		11,671		121,350
				3,140,099
Colombia - 0.2%
Pacific Rubiales Energy Corp. (1)		1,756		34,675
Denmark - 1.9%
Coloplast A/S, Class B		2,779		158,283
Novo Nordisk A/S, Class B		877		148,532
Novozymes A/S, B Shares		1,537		58,825
				365,640
Finland - 0.1%
Kone OYJ, Class B		261		23,313
France - 4.0%
Air Liquide SA		34		4,738
Danone SA		2,307		173,703
Dassault Systemes SA		819		109,315
Essilor International SA		827		88,944
Iliad SA		118		27,525
L’Oreal SA		848		145,557
Pernod Ricard SA		245		30,423
SES SA FDR		361		10,330
Sodexo		341		31,821
Total SA		2,064		119,635
				741,991
Germany - 3.3%
Adidas AG		637		69,096
Bayer AG		834		98,354
Beiersdorf AG		2,408		213,800
Fresenius Medical Care AG & Co. KGaA		860		55,913
Fresenius SE & Co. KGaA		403		50,030
Merck KGaA		117		18,262
Metro AG		1,044		41,459
SAP AG		1,098		81,203
				628,117
Hong Kong - 3.8%
CLP Holdings Ltd.		21,000		171,031
Hang Seng Bank Ltd.		6,700		109,265
Hong Kong & China Gas Co., Ltd.		65,900		158,635

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

AQR Funds Annual Report September 2013 59

Schedule of Investments September 30, 2013

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
Hong Kong - 3.8% (continued)
Power Assets Holdings Ltd.		18,500	$	165,633
SJM Holdings Ltd.		35,000		98,621
Wynn Macau Ltd.		4,800		16,408
				719,593
Italy - 0.6%
Luxottica Group SpA		2,084		110,435
Japan - 16.5%
Aeon Co., Ltd.		200		2,761
Ajinomoto Co., Inc.		2,000		26,314
Asahi Group Holdings Ltd.		1,400		36,856
Astellas Pharma, Inc.		1,800		91,944
Bank of Yokohama Ltd./The		2,000		11,470
Brother Industries Ltd.		5,700		64,537
Canon, Inc.		2,500		80,048
Central Japan Railway Co.		500		64,177
Chiba Bank Ltd./The		4,000		29,294
Chugai Pharmaceutical Co., Ltd.		6,500		133,667
Dai Nippon Printing Co., Ltd.		1,000		10,602
Daiichi Sankyo Co., Ltd.		1,800		32,691
Dentsu, Inc.		300		11,444
East Japan Railway Co.		300		25,855
Eisai Co., Ltd.		1,200		48,836
FamilyMart Co., Ltd.		1,600		69,302
Fast Retailing Co., Ltd.		200		75,430
FUJIFILM Holdings Corp.		800		19,280
Hoya Corp.		3,100		73,330
Inpex Corp.		4,000		47,274
Japan Tobacco, Inc.		500		18,025
JSR Corp.		400		7,442
JX Holdings, Inc.		1,100		5,717
Kao Corp.		3,100		96,809
Kawasaki Kisen Kaisha Ltd.		20,000		47,115
KDDI Corp.		400		20,556
Konica Minolta, Inc.		3,500		29,483
Kuraray Co., Ltd.		1,300		15,625
Lawson, Inc.		700		54,883
Mitsubishi Tanabe Pharma Corp.		300		4,210
Namco Bandai Holdings, Inc.		2,800		52,358
Nikon Corp.		500		8,764
Nippon Express Co., Ltd.		12,000		60,299
Nippon Meat Packers, Inc.		4,000		57,411
Nippon Yusen KK		3,000		9,514
Nitori Holdings Co., Ltd.		150		13,736
NTT DOCOMO, Inc.		10,100		163,662
Odakyu Electric Railway Co., Ltd.		2,000		19,909
Omron Corp.		1,400		50,713
Oriental Land Co., Ltd.		200		33,073
Osaka Gas Co., Ltd.		33,000		140,676
Otsuka Holdings Co., Ltd.		3,900		113,083
Secom Co., Ltd.		1,400		87,749
Sekisui Chemical Co., Ltd.		2,000		20,400
Seven & I Holdings Co., Ltd.		2,600		95,316
Shimamura Co., Ltd.		1,200		119,478
Shin-Etsu Chemical Co., Ltd.		200		12,271
Shionogi & Co., Ltd.		100		2,105
Shiseido Co., Ltd.		600		10,807

	SHARES		VALUE (Note 2)
Japan - 16.5% (continued)
Shizuoka Bank Ltd./The		4,000	$	45,630
Suzuki Motor Corp.		900		21,692
Sysmex Corp.		200		12,790
Takeda Pharmaceutical Co., Ltd.		1,000		47,230
Tokyo Gas Co., Ltd.		22,000		120,668
Toppan Printing Co., Ltd.		1,000		8,082
Toyo Suisan Kaisha Ltd.		4,000		117,444
Trend Micro, Inc.		1,800		67,264
Unicharm Corp.		1,300		76,078
West Japan Railway Co.		800		34,300
Yamato Holdings Co., Ltd.		7,200		162,609
Yaskawa Electric Corp.		4,000		56,508
				3,096,596
Netherlands - 2.2%
Gemalto NV		55		5,904
Koninklijke Ahold NV		13,948		241,652
Unilever NV CVA		4,299		164,078
				411,634
Norway - 1.3%
Orkla ASA		1,139		8,298
Statoil ASA		4,496		102,118
Telenor ASA		6,161		140,800
				251,216
Singapore - 2.3%
DBS Group Holdings Ltd.		2,000		26,181
Golden Agri-Resources Ltd.		139,000		57,645
Oversea-Chinese Banking Corp. Ltd.		6,000		49,307
Singapore Telecommunications Ltd.		85,000		253,138
United Overseas Bank Ltd.		1,000		16,495
Wilmar International Ltd.		15,000		37,917
				440,683
Spain - 1.0%
Enagas SA		415		10,170
Inditex SA		878		135,434
Telefonica SA		2,233		34,715
				180,319
Sweden - 3.1%
Elekta AB, B Shares		1,214		19,574
Hennes & Mauritz AB, B Shares		5,244		227,833
Svenska Cellulosa AB SCA, B Shares		474		11,945
Swedish Match AB		3,264		115,153
Tele2 AB, B Shares		15,711		200,847
				575,352
Switzerland - 5.1%
Kuehne + Nagel International AG		1,032		135,361
Nestle SA		3,921		273,428
Novartis AG		3,246		249,676
Roche Holding AG		303		81,772
SGS SA		41		97,986
Swisscom AG		229		110,040
Syngenta AG		36		14,714
				962,977

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

60 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
United Kingdom - 15.7%
Associated British Foods PLC		6,170	$	187,259
AstraZeneca PLC		5,280		274,481
British American Tobacco PLC		2,384		125,468
British Sky Broadcasting Group PLC		4,156		58,523
Burberry Group PLC		821		21,725
Centrica PLC		37,383		223,734
Compass Group PLC		9,298		127,903
Diageo PLC		396		12,588
Experian PLC		561		10,681
Fresnillo PLC		267		4,204
GlaxoSmithKline PLC		3,421		86,013
Imperial Tobacco Group PLC		2,019		74,637
J Sainsbury PLC		7,461		47,286
Marks & Spencer Group PLC		4,636		37,251
National Grid PLC		19,332		228,361
Next PLC		481		40,189
Pearson PLC		795		16,179
Randgold Resources Ltd.		394		28,244
Reckitt Benckiser Group PLC		2,935		214,593
Rexam PLC		3,950		30,781
Royal Dutch Shell PLC, B Shares		2,950		101,783
SABMiller PLC		623		31,687
Sage Group PLC/The		3,363		17,958
Shire PLC		4,086		163,459
Smith & Nephew PLC		9,399		117,262
SSE PLC		9,272		221,133
Tesco PLC		2,518		14,639
Unilever PLC		3,861		150,117
United Utilities Group PLC		552		6,174
Whitbread PLC		1,298		62,263
WM Morrison Supermarkets PLC		44,777		203,018
				2,939,593
United States - 0.4%
Thomson Reuters Corp. (1)		2,138		74,764
TOTAL COMMON STOCKS (cost $16,994,869)				17,904,825
PREFERRED STOCKS - 0.8%
Germany - 0.8%
Henkel AG & Co. KGaA (cost $133,153)		1,444		148,816
EXCHANGE-TRADED FUNDS - 2.6%
iShares MSCI EAFE ETF (1)
(cost $436,055)		7,689		490,481
MONEY MARKET FUNDS - 1.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)
(cost $224,877)		224,877		224,877
TOTAL INVESTMENTS - 99.9% (cost $17,788,954)				18,768,999
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1%				14,495
NET ASSETS - 100.0%			$	18,783,494

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

FDR - Fiduciary Depositary Receipt

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	2,051,075		10.9	%
Consumer Staples		4,577,168		24.4
Energy		984,699		5.2
Financials		1,541,499		8.2
Health Care		2,532,105		13.5
Industrials		1,305,202		6.9
Information Technology		657,598		3.5
Materials		1,073,237		5.7
Mutual Fund		490,481		2.6
Telecommunication Services		1,700,189		9.1
Utilities		1,630,869		8.7
Money Market Funds		224,877		1.2
Total Investments		18,768,999		99.9
Other Assets in Excess of Liabilities		14,495		0.1
Net Assets	$	18,783,494		100.0	%

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

AQR Funds Annual Report September 2013 61

Schedule of Investments September 30, 2013

AQR U.S. DEFENSIVE EQUITY FUND

COMMON STOCKS - 89.6%	SHARES		VALUE (Note 2)
Consumer Discretionary - 13.0%
Advance Auto Parts, Inc.		4,262	$	352,382
Amazon.com, Inc. †		7,512		2,348,552
AutoZone, Inc. †		3,160		1,335,827
Bed Bath & Beyond, Inc. †		11,108		859,315
Best Buy Co., Inc.		3,500		131,250
Big Lots, Inc. †		6,849		254,029
Buckle, Inc./The		7,278		393,376
Carnival Corp.		8,921		291,181
Chipotle Mexican Grill, Inc. †		2,159		925,563
Discovery Communications, Inc., Class A †		300		25,326
Dollar Tree, Inc. †		21,270		1,215,793
Family Dollar Stores, Inc.		7,616		548,504
Gap, Inc./The		3,679		148,190
Home Depot, Inc./The		23,683		1,796,356
Lowe’s Cos., Inc.		6,800		323,748
McDonald’s Corp.		20,051		1,929,107
NIKE, Inc., Class B		2,958		214,869
O’Reilly Automotive, Inc. †		5,249		669,720
Panera Bread Co., Class A †		3,450		546,928
PetSmart, Inc.		14,869		1,133,910
priceline.com, Inc. †		1,268		1,281,885
Ralph Lauren Corp.		876		144,303
Scripps Networks Interactive, Inc., Class A		10,866		848,743
Starbucks Corp.		12,810		985,986
Target Corp.		17,798		1,138,716
Time Warner, Inc.		10,567		695,414
TJX Cos., Inc.		10,540		594,351
Tractor Supply Co.		6,596		443,053
Tupperware Brands Corp.		3,334		287,958
Viacom, Inc., Class B		1,413		118,099
Yum! Brands, Inc.		14,063		1,003,958
				22,986,392
Consumer Staples - 19.1%
Altria Group, Inc.		67,827		2,329,857
Archer-Daniels-Midland Co.		17,155		631,990
Brown-Forman Corp., Class B		8,555		582,852
Church & Dwight Co., Inc.		21,971		1,319,359
Clorox Co./The		6,979		570,324
Coca-Cola Co./The		24,055		911,203
Colgate-Palmolive Co.		40,370		2,393,941
Costco Wholesale Corp.		20,323		2,339,584
CVS Caremark Corp.		1,019		57,828
Estee Lauder Cos., Inc./The, Class A		7,956		556,124
General Mills, Inc.		17,154		822,020
Hershey Co./The		22,851		2,113,717
Hormel Foods Corp.		10,249		431,688
JM Smucker Co./The		1,585		166,488
Kellogg Co.		6,276		368,589
Kimberly-Clark Corp.		24,450		2,303,679
Kroger Co./The		4,101		165,434
Lorillard, Inc.		9,933		444,800
McCormick & Co., Inc.		16,680		1,079,196
Monster Beverage Corp. †		10,603		554,007
PepsiCo, Inc.		27,102		2,154,609
Philip Morris International, Inc.		24,508		2,122,148

	SHARES		VALUE (Note 2)
Consumer Staples - 19.1% (continued)
Procter & Gamble Co./The		25,321	$	1,914,014
Reynolds American, Inc.		44,134		2,152,857
Sysco Corp.		42,544		1,354,176
Walgreen Co.		15,755		847,619
Wal-Mart Stores, Inc.		32,011		2,367,534
Whole Foods Market, Inc.		11,265		659,003
				33,714,640
Energy - 1.4%
CARBO Ceramics, Inc.		4,139		410,216
Chevron Corp.		5,030		611,145
Diamond Offshore Drilling, Inc.		900		56,088
EOG Resources, Inc.		900		152,352
Exxon Mobil Corp.		10,632		914,777
Occidental Petroleum Corp.		2,594		242,643
				2,387,221
Financials - 10.3%
ACE Ltd. (Switzerland)		10,264		960,300
Aon PLC (United Kingdom)		9,000		669,960
Bank of Hawaii Corp.		23,363		1,272,115
BB&T Corp.		3,286		110,902
Chubb Corp./The		22,545		2,012,367
City National Corp.		5,231		348,698
Cullen/Frost Bankers, Inc.		21,776		1,536,297
Everest Re Group Ltd.		11,770		1,711,476
First Niagara Financial Group, Inc.		1,561		16,187
M&T Bank Corp.		13,451		1,505,436
Marsh & McLennan Cos., Inc.		12,307		535,970
New York Community Bancorp, Inc.		76,278		1,152,561
Northern Trust Corp.		19,974		1,086,386
People’s United Financial, Inc.		131,916		1,896,952
Progressive Corp./The		23,226		632,444
SVB Financial Group †		533		46,035
Travelers Cos., Inc./The		14,343		1,215,856
US Bancorp		26,216		958,981
WR Berkley Corp.		12,360		529,750
				18,198,673
Health Care - 15.5%
Abbott Laboratories		35,102		1,165,035
Aetna, Inc.		11,432		731,877
Allergan, Inc.		8,976		811,879
AmerisourceBergen Corp.		22,423		1,370,045
Amgen, Inc.		293		32,798
Baxter International, Inc.		5,285		347,172
Becton Dickinson and Co.		13,502		1,350,470
Biogen Idec, Inc. †		4,277		1,029,731
Bristol-Myers Squibb Co.		11,757		544,114
Cardinal Health, Inc.		13,224		689,632
Celgene Corp. †		493		75,888
Cerner Corp. †		11,197		588,402
CR Bard, Inc.		7,504		864,461
DENTSPLY International, Inc.		800		34,728
Edwards Lifesciences Corp. †		4,769		332,065
Eli Lilly & Co.		32,528		1,637,134
Forest Laboratories, Inc. †		6,131		262,345
Gilead Sciences, Inc. †		800		50,272

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

62 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR U.S. DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
Health Care - 15.5% (continued)
Henry Schein, Inc. †		4,938	$	512,071
IDEXX Laboratories, Inc. †		11,483		1,144,281
Johnson & Johnson		24,793		2,149,305
Laboratory Corp of America Holdings †		14,617		1,449,129
McKesson Corp.		14,261		1,829,686
MEDNAX, Inc. †		3,472		348,589
Medtronic, Inc.		13,531		720,526
Merck & Co., Inc.		31,385		1,494,240
Mettler-Toledo International, Inc. †		2,848		683,776
Myriad Genetics, Inc. †		13,946		327,731
Omnicare, Inc.		7,300		405,150
Patterson Cos., Inc.		16,133		648,547
Pfizer, Inc.		19,470		558,984
Quest Diagnostics, Inc.		589		36,394
ResMed, Inc.		3,300		174,306
Stryker Corp.		19,409		1,311,854
UnitedHealth Group, Inc.		10,578		757,491
Vertex Pharmaceuticals, Inc. †		4,600		348,772
Waters Corp. †		300		31,863
Zimmer Holdings, Inc.		5,177		425,239
				27,275,982
Industrials - 5.0%
3M Co.		9,246		1,104,065
Cintas Corp.		16,782		859,238
Danaher Corp.		1,749		121,241
Dun & Bradstreet Corp./The		2,441		253,498
Equifax, Inc.		2,815		168,478
Fastenal Co.		2,400		120,600
FedEx Corp.		1,800		205,398
General Dynamics Corp.		1,185		103,711
Honeywell International, Inc.		1,169		97,074
Jacobs Engineering Group, Inc. †		401		23,330
Knight Transportation, Inc.		7,433		122,793
Landstar System, Inc.		3,641		203,823
MSC Industrial Direct Co., Inc., Class A		7,535		612,972
Northrop Grumman Corp.		1,954		186,138
Raytheon Co.		8,745		673,977
Republic Services, Inc.		6,994		233,320
Stericycle, Inc. †		14,806		1,708,612
United Parcel Service, Inc., Class B		4,339		396,455
United Technologies Corp.		837		90,245
Waste Management, Inc.		30,390		1,253,284
Werner Enterprises, Inc.		1,986		46,333
WW Grainger, Inc.		945		247,316
				8,831,901
Information Technology - 13.2%
Accenture PLC, Class A (Ireland)		5,360		394,710
Adobe Systems, Inc. †		8,871		460,760
ADTRAN, Inc.		13,206		351,808
Akamai Technologies, Inc. †		4,600		237,820
Analog Devices, Inc.		14,334		674,415
Atmel Corp. †		16,071		119,568
Autodesk, Inc. †		11,991		493,669
Automatic Data Processing, Inc.		29,271		2,118,635
Broadcom Corp., Class A		11,443		297,632
Citrix Systems, Inc. †		854		60,301

	SHARES		VALUE (Note 2)
Information Technology - 13.2% (continued)
Cognizant Technology Solutions Corp., Class A †		3,200	$	262,784
Dell, Inc.		22,407		308,544
F5 Networks, Inc. †		7,418		636,168
FactSet Research Systems, Inc.		8,820		962,262
FLIR Systems, Inc.		10,300		323,420
Google, Inc., Class A †		1,948		1,706,273
Harris Corp.		2,898		171,851
IAC/InterActiveCorp		400		21,868
Informatica Corp. †		1,073		41,815
Intel Corp.		24,088		552,097
International Business Machines Corp.		11,330		2,098,089
Intuit, Inc.		24,613		1,632,088
KLA-Tencor Corp.		9,474		576,493
Leidos Holdings, Inc.		2,075		94,454
Linear Technology Corp.		28,366		1,124,996
Marvell Technology Group Ltd.		9,507		109,331
Mastercard, Inc., Class A		1,906		1,282,319
Maxim Integrated Products, Inc.		6,300		187,740
Microchip Technology, Inc.		989		39,847
Microsoft Corp.		4,865		162,053
NetApp, Inc.		3,328		141,839
Paychex, Inc.		35,450		1,440,688
QLogic Corp. †		9,500		103,930
Red Hat, Inc. †		9,664		445,897
Science Applications International Corp. †		1,186		40,018
Sohu.com, Inc. (China) †		5,811		458,081
Synopsys, Inc. †		5,672		213,834
Teradata Corp. †		6,329		350,880
Texas Instruments, Inc.		4,334		174,530
Total System Services, Inc.		11,650		342,743
VeriSign, Inc. †		2,300		117,047
Visa, Inc., Class A		6,849		1,308,844
VMware, Inc., Class A †		3,533		285,820
Xilinx, Inc.		7,404		346,951
				23,274,912
Materials - 1.2%
International Flavors & Fragrances, Inc.		1,627		133,902
Intrepid Potash, Inc.		9,600		150,528
Nucor Corp.		1,000		49,020
PPG Industries, Inc.		1,500		250,590
Sherwin-Williams Co./The		3,170		577,511
Sigma-Aldrich Corp.		10,748		916,804
				2,078,355
Telecommunication Services - 1.5%
AT&T, Inc.		38,564		1,304,235
tw telecom, Inc. †		15,225		454,695
Verizon Communications, Inc.		19,802		923,961
				2,682,891
Utilities - 9.4%
Alliant Energy Corp.		6,766		335,255
American Electric Power Co., Inc.		12,279		532,295
American Water Works Co., Inc.		17,732		731,977
CenterPoint Energy, Inc.		10,092		241,905
Consolidated Edison, Inc.		16,830		928,006

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

AQR Funds Annual Report September 2013 63

Schedule of Investments September 30, 2013

AQR U.S. DEFENSIVE EQUITY FUND

	SHARES		VALUE (Note 2)
Utilities - 9.4% (continued)
Dominion Resources, Inc.		29,426	$	1,838,536
DTE Energy Co.		23,010		1,518,200
Duke Energy Corp.		10,744		717,484
Exelon Corp.		5,183		153,624
National Fuel Gas Co.		7,400		508,824
NextEra Energy, Inc.		6,575		527,052
NiSource, Inc.		4,921		152,010
Northeast Utilities		1,558		64,267
OGE Energy Corp.		14,221		513,236
PG&E Corp.		23,688		969,313
Pinnacle West Capital Corp.		3,094		169,366
Public Service Enterprise Group, Inc.		27,575		908,045
Questar Corp.		38,258		860,422
SCANA Corp.		7,584		349,167
Sempra Energy		18,021		1,542,598
Southern Co.		33,737		1,389,290
TECO Energy, Inc.		4,209		69,617
UGI Corp.		12,875		503,799
Westar Energy, Inc.		600		18,390
Wisconsin Energy Corp.		20,766		838,531
Xcel Energy, Inc.		7,791		215,110
				16,596,319
TOTAL COMMON STOCKS (cost $156,252,115)				158,027,286

	SHARES		VALUE (Note 2)
MONEY MARKET FUNDS - 6.7%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $11,807,889)		11,807,889	$	11,807,889
TOTAL INVESTMENTS - 96.3% (cost $168,060,004)				169,835,175
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.7% (b)				6,561,092
NET ASSETS - 100.0%			$	176,396,267

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

(b) 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 4).

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

64 AQR Funds Annual Report September 2013

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED DEPRECIATION
Long Contracts:
121	Goldman Sachs	S&P 500 E-Mini Futures		December 20, 2013		$10,200,579		$10,129,515		$(71,064)

Cash held as collateral with Goldman Sachs for futures contracts was $385,071 at September 30, 2013.

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

COMMON STOCKS - 97.9%	SHARES		VALUE (Note 2)
Consumer Discretionary - 22.3%
Advance Auto Parts, Inc.		2,300	$	190,164
American Eagle Outfitters, Inc.		22,900		320,371
AutoNation, Inc. †		14,700		766,899
AutoZone, Inc. †		1,400		591,822
Bed Bath & Beyond, Inc. †		2,300		177,928
Best Buy Co., Inc.		41,900		1,571,250
Big Lots, Inc. †		7,800		289,302
Brinker International, Inc.		12,400		502,572
Brunswick Corp.		20,700		826,137
Buckle, Inc./The		7,400		399,970
Cabela’s, Inc. †		11,000		693,330
Carter’s, Inc.		7,700		584,353
CBS Corp., Class B		73,900		4,076,324
Chico’s FAS, Inc.		25,500		424,830
Chipotle Mexican Grill, Inc. †		1,900		814,530
Cinemark Holdings, Inc.		15,800		501,492
Clear Channel Outdoor Holdings, Inc., Class A †		1,300		10,660
Comcast Corp., Class A		40,500		1,828,575
CST Brands, Inc.		7,300		217,540
Dana Holding Corp.		34,800		794,832
Dick’s Sporting Goods, Inc.		4,600		245,548
Dillard’s, Inc., Class A		10,500		822,150
Discovery Communications, Inc., Class A †		45,266		3,821,356
DISH Network Corp., Class A		43,800		1,971,438
Dollar General Corp. †		19,200		1,084,032
Dollar Tree, Inc. †		17,900		1,023,164
Domino’s Pizza, Inc.		10,800		733,860
DR Horton, Inc.		34,900		678,107
DSW, Inc., Class A		6,600		563,112
Expedia, Inc.		20,700		1,072,053
Family Dollar Stores, Inc.		4,900		352,898
Foot Locker, Inc.		24,400		828,136
Ford Motor Co.		581,500		9,809,905
Fossil Group, Inc. †		6,900		802,056
GameStop Corp., Class A		31,300		1,554,045
Gannett Co., Inc.		56,300		1,508,277
Gap, Inc./The		30,400		1,224,512
General Motors Co. †		210,800		7,582,476
Gentex Corp.		13,000		332,670
Genuine Parts Co.		16,500		1,334,685
GNC Holdings, Inc., Class A		12,900		704,727
Groupon, Inc. †		64,800		726,408
H&R Block, Inc.		25,400		677,164
Harley-Davidson, Inc.		13,200		847,968
Hasbro, Inc.		3,200		150,848
Home Depot, Inc./The		129,400		9,814,990
HSN, Inc.		8,000		428,960
Hyatt Hotels Corp., Class A †		10,100		433,896
Jarden Corp. †		13,800		667,920
Johnson Controls, Inc.		69,700		2,892,550
L Brands, Inc.		15,600		953,160
Lamar Advertising Co., Class A †		12,300		578,469
Las Vegas Sands Corp.		93,400		6,203,628
Lennar Corp., Class A		38,200		1,352,280
Liberty Global PLC, Class A (United Kingdom) †		9,000		714,150

	SHARES		VALUE (Note 2)
Consumer Discretionary - 22.3% (continued)
Liberty Interactive Corp., Series A †		25,100	$	589,097
LKQ Corp. †		47,000		1,497,420
Lowe’s Cos., Inc.		124,900		5,946,489
Macy’s, Inc.		12,600		545,202
Madison Square Garden Co./The, Class A †		11,000		638,770
Marriott International, Inc., Class A		9,100		382,746
Mattel, Inc.		48,600		2,034,396
MGM Resorts International †		96,100		1,964,284
Mohawk Industries, Inc. †		11,600		1,510,900
Netflix, Inc. †		19,500		6,029,595
News Corp., Class A †		74,725		1,200,083
O’Reilly Automotive, Inc. †		7,200		918,648
Panera Bread Co., Class A †		2,400		380,472
PetSmart, Inc.		9,200		701,592
Pier 1 Imports, Inc.		24,000		468,480
Polaris Industries, Inc.		10,200		1,317,636
priceline.com, Inc. †		4,900		4,953,655
PulteGroup, Inc.		148,900		2,456,850
PVH Corp.		9,800		1,163,162
Rent-A-Center, Inc.		8,000		304,800
Sally Beauty Holdings, Inc. †		22,600		591,216
Signet Jewelers Ltd. (Bermuda)		3,900		279,435
Sinclair Broadcast Group, Inc., Class A		25,000		838,000
Sirius XM Radio, Inc.		933,500		3,612,645
Six Flags Entertainment Corp.		32,600		1,101,554
Standard Pacific Corp. †		136,800		1,082,088
Starbucks Corp.		71,834		5,529,063
Starz, Class A †		20,900		587,917
Tempur Sealy International, Inc. †		2,600		114,296
Tenneco, Inc. †		3,100		156,550
Tesla Motors, Inc. †		32,700		6,324,834
Time Warner Cable, Inc.		12,300		1,372,680
Time Warner, Inc.		113,300		7,456,273
TJX Cos., Inc.		1,700		95,863
Toll Brothers, Inc. †		43,000		1,394,490
Tractor Supply Co.		16,000		1,074,720
TripAdvisor, Inc. †		35,000		2,654,400
TRW Automotive Holdings Corp. †		42,500		3,030,675
Tupperware Brands Corp.		4,600		397,302
Twenty-First Century Fox, Inc.		275,700		9,235,950
Ulta Salon Cosmetics & Fragrance, Inc. †		8,300		991,518
Under Armour, Inc., Class A †		13,800		1,096,410
Urban Outfitters, Inc. †		12,700		466,979
VF Corp.		4,600		915,630
Viacom, Inc., Class B		42,800		3,577,224
Walt Disney Co./The		12,800		825,472
Whirlpool Corp.		21,900		3,207,036
Wolverine World Wide, Inc.		8,400		489,132
Wyndham Worldwide Corp.		26,300		1,603,511
Wynn Resorts Ltd.		3,900		616,239
				175,797,858
Consumer Staples - 3.8%
Beam, Inc.		5,400		349,110
Brown-Forman Corp., Class B		14,700		1,001,511
Casey’s General Stores, Inc.		5,900		433,650
Church & Dwight Co., Inc.		12,500		750,625

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

AQR Funds Annual Report September 2013 65

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

	SHARES		VALUE (Note 2)
Consumer Staples - 3.8% (continued)
Coca-Cola Enterprises, Inc.		23,723	$	953,902
ConAgra Foods, Inc.		17,800		540,052
Constellation Brands, Inc., Class A †		32,500		1,865,500
CVS Caremark Corp.		6,100		346,175
Darling International, Inc. †		15,500		327,980
Dean Foods Co. †		15,900		306,870
Estee Lauder Cos., Inc./The, Class A		24,500		1,712,550
Green Mountain Coffee Roasters, Inc. †		45,900		3,457,647
Hain Celestial Group, Inc./The †		7,600		586,112
Hershey Co./The		16,700		1,544,750
Hillshire Brands Co.		8,960		275,430
Hormel Foods Corp.		19,500		821,340
Ingredion, Inc.		4,600		304,382
JM Smucker Co./The		6,800		714,272
Kimberly-Clark Corp.		5,600		527,632
Kroger Co./The		39,200		1,581,328
McCormick & Co., Inc.		12,000		776,400
Monster Beverage Corp. †		11,200		585,200
Nu Skin Enterprises, Inc., Class A		5,900		564,866
Pricesmart, Inc.		7,900		752,396
Rite Aid Corp. †		378,900		1,803,564
TreeHouse Foods, Inc. †		4,700		314,101
Tyson Foods, Inc., Class A		22,700		641,956
Walgreen Co.		81,200		4,368,560
WhiteWave Foods Co., Class A †		11,568		231,013
Whole Foods Market, Inc.		30,000		1,755,000
				30,193,874
Energy - 6.0%
Atwood Oceanics, Inc. †		7,100		390,784
Cabot Oil & Gas Corp.		115,900		4,325,388
Cameron International Corp. †		24,100		1,406,717
CARBO Ceramics, Inc.		3,900		386,529
Cheniere Energy, Inc. †		24,100		822,774
Cobalt International Energy, Inc. †		28,800		715,968
Continental Resources, Inc. †		9,100		976,066
CVR Energy, Inc.		12,300		473,796
Dresser-Rand Group, Inc. †		3,600		224,640
Energen Corp.		2,800		213,892
Energy XXI Bermuda Ltd. (Bermuda)		4,500		135,900
EOG Resources, Inc.		21,800		3,690,304
EQT Corp.		8,600		762,992
Golar LNG Ltd. (Bermuda)		10,300		388,001
Gulfport Energy Corp. †		41,600		2,676,544
Halliburton Co.		57,680		2,777,292
Hess Corp.		40,700		3,147,738
HollyFrontier Corp.		27,100		1,141,181
Kodiak Oil & Gas Corp. †		51,900		625,914
Marathon Oil Corp.		43,500		1,517,280
Marathon Petroleum Corp.		45,000		2,894,400
Noble Energy, Inc.		23,600		1,581,436
Oceaneering International, Inc.		7,300		593,052
Patterson-UTI Energy, Inc.		32,200		688,436
Phillips 66		53,900		3,116,498
Pioneer Natural Resources Co.		22,500		4,248,000
Rosetta Resources, Inc. †		10,000		544,600
Seadrill Ltd. (Bermuda)		20,500		924,140
SM Energy Co.		8,300		640,677

	SHARES		VALUE (Note 2)
Energy - 6.0% (continued)
Targa Resources Corp.		9,600	$	700,416
Tesoro Corp.		20,700		910,386
Tidewater, Inc.		2,900		171,941
Valero Energy Corp.		57,800		1,973,870
Western Refining, Inc.		37,700		1,132,508
World Fuel Services Corp.		7,000		261,170
				47,181,230
Financials - 20.5%
Allstate Corp./The		65,400		3,305,970
American Capital Ltd. †		144,100		1,981,375
American Express Co.		8,500		641,920
American Financial Group, Inc.		8,200		443,292
American International Group, Inc.		189,600		9,220,248
American Realty Capital Properties, Inc. REIT		44,100		538,020
Aon PLC (United Kingdom)		11,400		848,616
Arch Capital Group Ltd. (Bermuda) †		13,000		703,690
Bank of America Corp.		1,356,600		18,721,080
Bank of New York Mellon Corp./The		41,300		1,246,847
BB&T Corp.		32,600		1,100,250
Berkshire Hathaway, Inc., Class B †		700		79,457
BlackRock, Inc.		2,800		757,736
Capital One Financial Corp.		7,100		488,054
Capitol Federal Financial, Inc.		26,600		330,638
CBL & Associates Properties, Inc. REIT		22,000		420,200
Charles Schwab Corp./The		164,200		3,471,188
Chubb Corp./The		10,500		937,230
Cincinnati Financial Corp.		26,000		1,226,160
Citigroup, Inc.		373,200		18,103,932
CME Group, Inc.		20,500		1,514,540
Corrections Corp of America REIT		18,552		640,972
Discover Financial Services		51,400		2,597,756
Douglas Emmett, Inc. REIT		8,500		199,495
Erie Indemnity Co., Class A		2,000		144,940
Everest Re Group Ltd.		4,800		697,968
Extra Space Storage, Inc. REIT		11,900		544,425
Fidelity National Financial, Inc., Class A		47,700		1,268,820
Fifth Third Bancorp		103,800		1,872,552
Franklin Resources, Inc.		56,700		2,866,185
General Growth Properties, Inc. REIT		109,100		2,104,539
Genworth Financial, Inc., Class A †		250,400		3,202,616
Goldman Sachs Group, Inc./The		64,700		10,236,187
Hartford Financial Services Group, Inc.		116,200		3,616,144
Huntington Bancshares, Inc.		70,400		581,504
Invesco Ltd.		39,300		1,253,670
JPMorgan Chase & Co.		334,900		17,310,981
KeyCorp		59,300		676,020
Lincoln National Corp.		76,600		3,216,434
M&T Bank Corp.		4,900		548,408
Macerich Co./The REIT		7,100		400,724
McGraw Hill Financial, Inc.		24,400		1,600,396
MetLife, Inc.		95,700		4,493,115
MGIC Investment Corp. †		106,300		773,864
Moody’s Corp.		18,400		1,294,072
Morgan Stanley		331,800		8,942,010
NASDAQ OMX Group, Inc./The		5,000		160,450
Nationstar Mortgage Holdings, Inc. †		18,900		1,062,747

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

66 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

	SHARES		VALUE (Note 2)
Financials - 20.5% (continued)
Ocwen Financial Corp. †		48,900	$	2,727,153
PartnerRe Ltd. (Bermuda)		6,800		622,472
Post Properties, Inc. REIT		5,900		265,618
Principal Financial Group, Inc.		35,700		1,528,674
Prudential Financial, Inc.		54,400		4,242,112
Rayonier, Inc. REIT		13,850		770,752
Regions Financial Corp.		174,400		1,614,944
RenaissanceRe Holdings Ltd.		4,100		371,173
Rouse Properties, Inc. REIT		303		6,236
Signature Bank †		5,800		530,816
SLM Corp.		29,600		737,040
State Street Corp.		64,100		4,214,575
SunTrust Banks, Inc.		72,900		2,363,418
Torchmark Corp.		9,400		680,090
Travelers Cos., Inc./The		13,600		1,152,872
Weingarten Realty Investors REIT		5,400		158,382
Weyerhaeuser Co. REIT		38,400		1,099,392
WR Berkley Corp.		13,700		587,182
				162,060,338
Health Care - 12.4%
Actavis, Inc. †		19,600		2,822,400
Aegerion Pharmaceuticals, Inc. †		9,200		788,532
Aetna, Inc.		48,300		3,092,166
Alexion Pharmaceuticals, Inc. †		13,600		1,579,776
Align Technology, Inc. †		13,100		630,372
AmerisourceBergen Corp.		12,400		757,640
Amgen, Inc.		26,000		2,910,440
Arena Pharmaceuticals, Inc. †		120,400		634,508
Ariad Pharmaceuticals, Inc. †		47,800		879,520
athenahealth, Inc. †		6,800		738,208
Baxter International, Inc.		12,700		834,263
Biogen Idec, Inc. †		27,500		6,620,900
BioMarin Pharmaceutical, Inc. †		13,400		967,748
Boston Scientific Corp. †		207,300		2,433,702
Brookdale Senior Living, Inc. †		19,500		512,850
Catamaran Corp. †		43,600		2,003,420
Celgene Corp. †		50,800		7,819,644
Cepheid, Inc. †		11,200		437,248
Cerner Corp. †		31,000		1,629,050
Cigna Corp.		40,200		3,089,772
Community Health Systems, Inc.		16,800		697,200
Cooper Cos., Inc./The		7,400		959,706
Cubist Pharmaceuticals, Inc. †		8,600		546,530
DaVita HealthCare Partners, Inc. †		28,200		1,604,580
Edwards Lifesciences Corp. †		10,500		731,115
Express Scripts Holding Co. †		9,700		599,266
Gilead Sciences, Inc. †		194,100		12,197,244
HCA Holdings, Inc.		66,900		2,859,975
Henry Schein, Inc. †		4,600		477,020
Hill-Rom Holdings, Inc.		3,500		125,405
HMS Holdings Corp. †		5,700		122,607
IDEXX Laboratories, Inc. †		4,000		398,600
Illumina, Inc. †		19,300		1,560,019
Intuitive Surgical, Inc. †		1,100		413,897
Isis Pharmaceuticals, Inc. †		20,100		754,554
Jazz Pharmaceuticals PLC (Ireland) †		8,000		735,760
McKesson Corp.		6,600		846,780

	SHARES		VALUE (Note 2)
Health Care - 12.4% (continued)
Medivation, Inc. †		39,600	$	2,373,624
Medtronic, Inc.		25,400		1,352,550
Mylan, Inc. †		37,500		1,431,375
Omnicare, Inc.		8,700		482,850
Perrigo Co.		9,300		1,147,434
Pharmacyclics, Inc. †		23,900		3,308,238
Questcor Pharmaceuticals, Inc.		23,500		1,363,000
Regeneron Pharmaceuticals, Inc. †		19,000		5,944,530
ResMed, Inc.		13,000		686,660
Tenet Healthcare Corp. †		33,600		1,383,984
Thermo Fisher Scientific, Inc.		39,200		3,612,280
UnitedHealth Group, Inc.		12,300		880,803
Vertex Pharmaceuticals, Inc. †		23,500		1,781,770
ViroPharma, Inc. †		10,700		420,510
Vivus, Inc. †		37,700		351,364
WellCare Health Plans, Inc. †		10,500		732,270
WellPoint, Inc.		20,000		1,672,200
Zimmer Holdings, Inc.		8,000		657,120
Zoetis, Inc.		64,356		2,002,759
				98,397,738
Industrials - 11.5%
A. O. Smith Corp.		16,200		732,240
Acacia Research Corp.		8,700		200,622
ACCO Brands Corp. †		1,715		11,388
Acuity Brands, Inc.		2,600		239,252
Alaska Air Group, Inc.		17,800		1,114,636
AMERCO		1,900		349,847
AMETEK, Inc.		6,900		317,538
Avis Budget Group, Inc. †		49,800		1,435,734
B/E Aerospace, Inc. †		21,700		1,601,894
Boeing Co./The		88,100		10,351,750
Chart Industries, Inc. †		5,200		639,808
Clean Harbors, Inc. †		4,800		281,568
Copa Holdings SA, Class A (Panama)		16,100		2,232,587
Copart, Inc. †		14,400		457,776
Cummins, Inc.		5,800		770,646
Delta Air Lines, Inc.		194,700		4,592,973
Donaldson Co., Inc.		8,800		335,544
Dover Corp.		17,100		1,536,093
Fastenal Co.		21,700		1,090,425
Flowserve Corp.		21,600		1,347,624
Fluor Corp.		2,700		191,592
Fortune Brands Home & Security, Inc.		83,500		3,476,105
Generac Holdings, Inc.		17,900		763,256
Genesee & Wyoming, Inc., Class A †		9,100		846,027
Hertz Global Holdings, Inc. †		118,000		2,614,880
Hexcel Corp. †		15,700		609,160
Honeywell International, Inc.		81,600		6,776,064
Hubbell, Inc., Class B		3,700		387,538
IHS, Inc., Class A †		4,100		468,138
Illinois Tool Works, Inc.		38,100		2,905,887
Iron Mountain, Inc.		18,945		511,894
JB Hunt Transport Services, Inc.		14,400		1,050,192
Kansas City Southern		19,900		2,176,264
KBR, Inc.		3,900		127,296
Kennametal, Inc.		7,500		342,000
Kirby Corp. †		4,600		398,130

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

AQR Funds Annual Report September 2013 67

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

	SHARES		VALUE (Note 2)
Industrials - 11.5% (continued)
Lockheed Martin Corp.		6,400	$	816,320
Manitowoc Co., Inc./The		38,300		749,914
Masco Corp.		61,500		1,308,720
Mueller Industries, Inc.		6,500		361,855
Nordson Corp.		3,200		235,616
Northrop Grumman Corp.		8,300		790,658
Old Dominion Freight Line, Inc. †		11,100		510,489
Oshkosh Corp. †		16,100		788,578
Owens Corning †		19,000		721,620
PACCAR, Inc.		13,500		751,410
Pall Corp.		7,000		539,280
Polypore International, Inc. †		10,200		417,894
Precision Castparts Corp.		11,700		2,658,708
Raytheon Co.		18,200		1,402,674
Rockwell Automation, Inc.		7,200		769,968
Roper Industries, Inc.		9,300		1,235,691
Southwest Airlines Co.		97,700		1,422,512
SPX Corp.		4,900		414,736
Stericycle, Inc. †		7,700		888,580
Swift Transportation Co. †		39,100		789,429
Terex Corp. †		69,000		2,318,400
Textron, Inc.		18,300		505,263
Timken Co.		3,700		223,480
Towers Watson & Co., Class A		5,000		534,800
TransDigm Group, Inc.		9,000		1,248,300
Triumph Group, Inc.		6,300		442,386
Union Pacific Corp.		25,400		3,945,636
United Continental Holdings, Inc. †		67,200		2,063,712
United Rentals, Inc. †		24,700		1,439,763
USG Corp. †		39,400		1,126,052
Verisk Analytics, Inc., Class A †		18,500		1,201,760
WABCO Holdings, Inc. †		2,900		244,354
Wabtec Corp.		8,800		553,256
Waste Connections, Inc.		8,300		376,903
Werner Enterprises, Inc.		10,900		254,297
WESCO International, Inc. †		7,500		573,975
Woodward, Inc.		3,200		130,656
WW Grainger, Inc.		9,500		2,486,245
				90,528,258
Information Technology - 16.0%
3D Systems Corp. †		50,800		2,742,692
Activision Blizzard, Inc.		80,100		1,335,267
Adobe Systems, Inc. †		49,100		2,550,254
Akamai Technologies, Inc. †		12,800		661,760
Alliance Data Systems Corp. †		4,600		972,762
Amphenol Corp., Class A		8,600		665,468
ANSYS, Inc. †		5,600		484,512
AOL, Inc. †		32,400		1,120,392
Applied Materials, Inc.		152,800		2,680,112
Arrow Electronics, Inc. †		8,600		417,358
Automatic Data Processing, Inc.		19,700		1,425,886
CA, Inc.		16,500		489,555
Cadence Design Systems, Inc. †		23,600		318,600
Cirrus Logic, Inc. †		28,800		653,184
Cisco Systems, Inc.		532,800		12,478,176
Citrix Systems, Inc. †		7,700		543,697
CommVault Systems, Inc. †		8,200		720,206

	SHARES		VALUE (Note 2)
Information Technology - 16.0% (continued)
Computer Sciences Corp.		13,600	$	703,664
Concur Technologies, Inc. †		6,600		729,300
CoreLogic, Inc. †		18,100		489,605
Cree, Inc. †		49,700		2,991,443
eBay, Inc. †		4,700		262,213
Electronic Arts, Inc. †		56,500		1,443,575
Equinix, Inc. †		4,100		752,965
F5 Networks, Inc. †		6,500		557,440
Facebook, Inc., Class A †		185,400		9,314,496
FactSet Research Systems, Inc.		1,300		141,830
Fairchild Semiconductor International, Inc. †		7,700		106,953
Fidelity National Information Services, Inc.		18,200		845,208
First Solar, Inc. †		66,200		2,661,902
Fiserv, Inc. †		14,600		1,475,330
FleetCor Technologies, Inc. †		16,800		1,850,688
Fortinet, Inc. †		19,300		391,018
Gartner, Inc. †		6,200		372,000
Google, Inc., Class A †		14,300		12,525,513
Hewlett-Packard Co.		205,200		4,305,096
IAC/InterActiveCorp		16,100		880,187
InterDigital, Inc.		6,200		231,446
Intuit, Inc.		8,200		543,742
IPG Photonics Corp.		3,700		208,347
Jabil Circuit, Inc.		15,000		325,200
Jack Henry & Associates, Inc.		8,800		454,168
KLA-Tencor Corp.		11,300		687,605
LinkedIn Corp., Class A †		18,100		4,453,686
Mastercard, Inc., Class A		4,000		2,691,120
Maxim Integrated Products, Inc.		21,200		631,760
Micron Technology, Inc. †		276,500		4,830,455
Motorola Solutions, Inc.		10,300		611,614
NCR Corp. †		8,300		328,763
NetSuite, Inc. †		8,500		917,490
NeuStar, Inc., Class A †		8,700		430,476
Pandora Media, Inc. †		39,900		1,002,687
Rackspace Hosting, Inc. †		17,600		928,576
Red Hat, Inc. †		7,400		341,436
Salesforce.com, Inc. †		14,900		773,459
SanDisk Corp.		42,700		2,541,077
ServiceNow, Inc. †		14,900		774,055
SolarWinds, Inc. †		12,600		441,756
Solera Holdings, Inc.		5,700		301,359
Splunk, Inc. †		12,700		762,508
SunPower Corp. †		32,800		858,048
Symantec Corp.		86,600		2,143,350
Teradata Corp. †		3,100		171,864
Texas Instruments, Inc.		57,100		2,299,417
TIBCO Software, Inc. †		20,000		511,800
Total System Services, Inc.		15,100		444,242
Trimble Navigation Ltd. †		6,800		202,028
Universal Display Corp. †		8,600		275,458
VeriSign, Inc. †		22,700		1,155,203
Visa, Inc., Class A		57,300		10,950,030
Vishay Intertechnology, Inc. †		8,200		105,698
Western Digital Corp.		41,900		2,656,460

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

68 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

	SHARES		VALUE (Note 2)
Information Technology - 16.0% (continued)
Xilinx, Inc.		9,300	$	435,798
Yahoo!, Inc. †		141,500		4,692,140
Yelp, Inc. †		11,700		774,306
Zebra Technologies Corp., Class A †		3,200		145,696
				126,094,630
Materials - 3.7%
Airgas, Inc.		4,900		519,645
Albemarle Corp.		4,000		251,760
Allied Nevada Gold Corp. †		15,600		65,208
Ashland, Inc.		6,600		610,368
Axiall Corp.		8,150		307,988
Ball Corp.		5,200		233,376
Carpenter Technology Corp.		5,700		331,227
Celanese Corp., Series A		7,000		369,530
Eagle Materials, Inc.		18,800		1,363,940
Eastman Chemical Co.		18,900		1,472,310
Ecolab, Inc.		26,400		2,607,264
FMC Corp.		8,000		573,760
Huntsman Corp.		30,500		628,605
International Flavors & Fragrances, Inc.		6,500		534,950
International Paper Co.		64,700		2,898,560
Louisiana-Pacific Corp. †		71,200		1,252,408
MeadWestvaco Corp.		5,200		199,576
Monsanto Co.		17,200		1,795,164
NewMarket Corp.		1,600		460,656
Packaging Corp. of America		14,500		827,805
PPG Industries, Inc.		20,797		3,474,347
Praxair, Inc.		6,900		829,449
Rock Tenn Co., Class A		7,000		708,890
Rockwood Holdings, Inc.		5,700		381,330
Royal Gold, Inc.		4,300		209,238
Sherwin-Williams Co./The		20,100		3,661,818
SunCoke Energy, Inc. †		2,334		39,678
Valspar Corp./The		8,500		539,155
Vulcan Materials Co.		9,800		507,738
Westlake Chemical Corp.		12,800		1,339,648
WR Grace & Co. †		3,700		323,380
				29,318,771
Telecommunication Services - 0.4%
Crown Castle International Corp. †		8,300		606,149
Level 3 Communications, Inc. †		21,386		570,792
SBA Communications Corp., Class A †		23,400		1,882,764
				3,059,705
Utilities - 1.3%
AGL Resources, Inc.		7,100		326,813
American Water Works Co., Inc.		20,500		846,240

	SHARES		VALUE (Note 2)
Utilities - 1.3% (continued)
Atmos Energy Corp.		9,100	$	387,569
Calpine Corp. †		27,100		526,553
Cleco Corp.		8,100		363,204
CMS Energy Corp.		23,000		605,360
DTE Energy Co.		18,200		1,200,836
Hawaiian Electric Industries, Inc.		11,500		288,650
ITC Holdings Corp.		7,500		703,950
National Fuel Gas Co.		5,400		371,304
NiSource, Inc.		5,300		163,717
OGE Energy Corp.		14,600		526,914
ONEOK, Inc.		22,400		1,194,368
Portland General Electric Co.		12,000		338,760
Questar Corp.		15,300		344,097
Sempra Energy		11,900		1,018,640
UIL Holdings Corp.		7,700		286,286
WGL Holdings, Inc.		6,900		294,699
Wisconsin Energy Corp.		15,100		609,738
				10,397,698
TOTAL COMMON STOCKS (cost $623,279,617)				773,030,100
MONEY MARKET FUNDS - 2.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $16,152,037)		16,152,037		16,152,037
TOTAL INVESTMENTS - 99.9% (cost $639,431,654)				789,182,137
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (b)				471,308
NET ASSETS - 100.0%			$	789,653,445

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

(b) 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 4).

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report September 2013 69

Schedule of Investments September 30, 2013

AQR MOMENTUM FUND

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED DEPRECIATION
Long Contracts:
197	Barclays Capital	S&P 500 E-Mini Futures		December 20, 2013		$16,690,532		$16,491,855		$(198,677)

Cash held as collateral with Barclays Capital for futures contracts was $769,083 at September 30, 2013.

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

70 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

COMMON STOCKS - 99.4%	SHARES		VALUE (Note 2)
Consumer Discretionary - 18.3%
1-800-Flowers.com, Inc., Class A †		24,900	$	122,757
AFC Enterprises, Inc. †		10,200		444,618
American Axle & Manufacturing Holdings, Inc. †		32,900		648,788
America’s Car-Mart, Inc. †		3,100		139,841
Arctic Cat, Inc.		7,800		444,990
Asbury Automotive Group, Inc. †		17,000		904,400
Ascent Capital Group, Inc., Class A †		4,800		386,976
Beazer Homes USA, Inc. †		7,380		132,840
Big 5 Sporting Goods Corp.		19,800		318,384
Black Diamond, Inc. †		2,900		35,264
Bob Evans Farms, Inc.		5,300		303,531
Bon-Ton Stores, Inc./The		16,900		178,295
Boyd Gaming Corp. †		42,100		595,715
Bridgepoint Education, Inc. †		7,900		142,516
Brown Shoe Co., Inc.		25,100		589,097
Caesars Entertainment Corp. †		34,200		674,082
Capella Education Co. †		3,000		169,680
Carmike Cinemas, Inc. †		14,400		317,952
Carriage Services, Inc.		20,100		389,940
Cavco Industries, Inc. †		1,300		74,035
Charles & Colvard Ltd. †		5,900		41,359
Christopher & Banks Corp. †		48,200		347,522
Churchill Downs, Inc.		3,600		311,472
Conn’s, Inc. †		14,900		745,596
Core-Mark Holding Co., Inc.		2,900		192,676
Cracker Barrel Old Country Store, Inc.		3,700		381,988
Cumulus Media, Inc., Class A †		26,100		138,330
Denny’s Corp. †		18,100		110,772
Destination Maternity Corp.		1,700		54,060
Destination XL Group, Inc. †		17,600		113,872
DeVry, Inc.		15,500		473,680
Dex Media, Inc. †		42,000		341,460
DineEquity, Inc.		6,900		476,100
Dixie Group, Inc./The †		2,100		23,394
Dorman Products, Inc.		19,964		989,216
Drew Industries, Inc.		5,900		268,686
Einstein Noah Restaurant Group, Inc.		3,600		62,352
Entercom Communications Corp., Class A †		4,700		41,266
Entravision Communications Corp., Class A		91,000		536,900
Ethan Allen Interiors, Inc.		4,400		122,628
EW Scripps Co., Class A †		23,500		431,225
Federal-Mogul Corp. †		26,100		438,219
Fiesta Restaurant Group, Inc. †		12,700		478,282
Fifth & Pacific Cos., Inc. †		10,000		251,300
Fred’s, Inc., Class A		7,400		115,810
Gentherm, Inc. †		8,800		167,904
G-III Apparel Group Ltd. †		10,800		589,572
Grand Canyon Education, Inc. †		13,600		547,808
Gray Television, Inc. †		62,600		491,410
Haverty Furniture Cos., Inc.		7,500		183,975
Helen of Troy Ltd. (Bermuda) †		2,700		119,340
hhgregg, Inc. †		17,400		311,634
Hovnanian Enterprises, Inc., Class A †		89,200		466,516
Iconix Brand Group, Inc. †		22,500		747,450

	SHARES		VALUE (Note 2)
Consumer Discretionary - 18.3% (continued)
Interval Leisure Group, Inc.		14,500	$	342,635
iRobot Corp. †		6,600		248,622
Jack in the Box, Inc. †		10,800		432,000
Jamba, Inc. †		11,680		156,279
Joe’s Jeans, Inc. †		28,200		30,174
Jones Group, Inc./The		14,500		217,645
Journal Communications, Inc., Class A †		7,300		62,415
K12, Inc. †		7,600		234,688
KB Home		30,600		551,412
Kirkland’s, Inc. †		5,000		92,200
Krispy Kreme Doughnuts, Inc. †		37,200		719,448
La-Z-Boy, Inc.		22,300		506,433
LeapFrog Enterprises, Inc. †		5,700		53,694
Lee Enterprises, Inc. †		38,600		101,904
Libbey, Inc. †		4,300		102,254
Lithia Motors, Inc., Class A		15,000		1,094,400
Loral Space & Communications, Inc.		9,000		609,570
Lumber Liquidators Holdings, Inc. †		10,400		1,109,160
M/I Homes, Inc. †		16,300		336,106
MarineMax, Inc. †		2,700		32,940
Marriott Vacations Worldwide Corp. †		18,200		800,800
McClatchy Co./The, Class A †		19,300		57,900
MDC Partners, Inc., Class A		12,600		352,548
Meredith Corp.		9,400		447,628
Meritage Homes Corp. †		2,000		85,900
Modine Manufacturing Co. †		20,700		302,841
Monarch Casino & Resort, Inc. †		8,700		165,126
Motorcar Parts of America, Inc. †		5,300		67,151
Movado Group, Inc.		10,800		472,500
Multimedia Games Holding Co., Inc. †		17,500		604,625
NACCO Industries, Inc., Class A		5,100		282,642
Nathan’s Famous, Inc. †		600		31,668
Nautilus, Inc. †		35,800		258,476
New York & Co., Inc. †		11,200		64,736
New York Times Co./The, Class A †		45,200		568,164
Nexstar Broadcasting Group, Inc., Class A		21,200		943,506
Office Depot, Inc. †		51,700		249,711
Orbitz Worldwide, Inc. †		55,500		534,465
Orient-Express Hotels Ltd., Class A (Bermuda) †		15,100		195,998
Overstock.com, Inc. †		16,800		498,456
Oxford Industries, Inc.		4,300		292,314
Pacific Sunwear of California, Inc. †		53,500		160,500
Papa John’s International, Inc.		4,100		286,508
Perry Ellis International, Inc.		10,100		190,284
Pinnacle Entertainment, Inc. †		20,900		523,545
Pool Corp.		2,900		162,777
Quiksilver, Inc. †		78,900		554,667
Red Robin Gourmet Burgers, Inc. †		4,100		291,510
Ruth’s Hospitality Group, Inc.		17,300		205,178
Ryland Group, Inc./The		17,100		693,234
Scholastic Corp.		3,800		108,870
Scientific Games Corp., Class A †		15,000		242,550
Select Comfort Corp. †		1,900		46,265
Shoe Carnival, Inc.		4,200		113,442
Shutterfly, Inc. †		18,600		1,039,368

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

AQR Funds Annual Report September 2013 71

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Consumer Discretionary - 18.3% (continued)
Sinclair Broadcast Group, Inc., Class A		5,700	$	191,064
Skechers U.S.A., Inc., Class A †		5,700		177,327
Smith & Wesson Holding Corp. †		25,100		275,849
Sonic Automotive, Inc., Class A		13,200		314,160
Sonic Corp. †		28,000		497,000
Speed Commerce, Inc. †		25,500		83,640
Stage Stores, Inc.		6,800		130,560
Standard Motor Products, Inc.		18,100		582,096
Stein Mart, Inc.		18,700		256,564
Steiner Leisure Ltd. (Bahamas) †		1,700		99,331
Stoneridge, Inc. †		13,000		140,530
Sturm, Ruger & Co., Inc.		1,900		118,997
Texas Roadhouse, Inc.		12,500		328,500
Thor Industries, Inc.		20,000		1,160,800
Tile Shop Holdings, Inc. †		7,200		212,328
Tower International, Inc. †		18,300		365,817
Town Sports International Holdings, Inc.		5,300		68,794
Tuesday Morning Corp. †		34,500		526,815
Unifi, Inc. †		11,200		261,632
Universal Electronics, Inc. †		9,000		324,270
Valassis Communications, Inc.		10,000		288,800
ValueVision Media, Inc., Class A †		69,300		301,455
VOXX International Corp. †		6,800		93,160
Winnebago Industries, Inc. †		14,300		371,228
Zale Corp. †		28,400		431,680
				44,659,704
Consumer Staples - 3.1%
Andersons, Inc./The		3,500		244,650
B&G Foods, Inc.		6,500		224,575
Boston Beer Co., Inc./The, Class A †		3,100		757,051
Boulder Brands, Inc. †		22,400		359,296
Calavo Growers, Inc.		4,000		120,960
Cal-Maine Foods, Inc.		5,200		250,120
Chiquita Brands International, Inc. †		13,500		170,910
Coca-Cola Bottling Co. Consolidated		1,200		75,144
Dean Foods Co. †		10,050		193,965
Elizabeth Arden, Inc. †		5,000		184,600
Harbinger Group, Inc. †		20,700		214,659
Ingles Markets, Inc., Class A		1,900		54,587
Inter Parfums, Inc.		6,600		197,934
J&J Snack Foods Corp.		3,500		282,520
Medifast, Inc. †		11,500		309,235
Natural Grocers by Vitamin Cottage, Inc. †		4,100		162,770
Omega Protein Corp. †		13,000		132,210
Prestige Brands Holdings, Inc. †		23,700		713,844
Revlon, Inc., Class A †		5,000		138,850
Rite Aid Corp. †		56,500		268,940
Sanderson Farms, Inc.		3,500		228,340
Spartan Stores, Inc.		6,500		143,390
Star Scientific, Inc. †		64,200		122,622
SUPERVALU, Inc. †		105,400		867,442
Susser Holdings Corp. †		7,900		419,885
USANA Health Sciences, Inc. †		3,300		286,407
WD-40 Co.		4,600		298,540
Weis Markets, Inc.		2,000		97,880
				7,521,326

	SHARES		VALUE (Note 2)
Energy - 4.3%
Alon USA Energy, Inc.		5,600	$	57,176
Approach Resources, Inc. †		500		13,140
Bonanza Creek Energy, Inc. †		17,000		820,420
Cheniere Energy, Inc. †		3,800		129,732
Crosstex Energy, Inc.		12,400		259,036
Dawson Geophysical Co. †		6,000		194,820
Delek US Holdings, Inc.		15,500		326,895
EPL Oil & Gas, Inc. †		19,600		727,356
Exterran Holdings, Inc. †		35,700		984,249
Geospace Technologies Corp. †		6,100		514,230
Green Plains Renewable Energy, Inc.		22,200		356,310
Gulf Island Fabrication, Inc.		3,100		75,981
Hercules Offshore, Inc. †		77,900		574,123
Hornbeck Offshore Services, Inc. †		3,600		206,784
Matador Resources Co. †		14,500		236,785
Mitcham Industries, Inc. †		5,800		88,682
Natural Gas Services Group, Inc. †		5,200		139,464
Newpark Resources, Inc. †		46,600		589,956
Parker Drilling Co. †		29,100		165,870
PDC Energy, Inc. †		14,900		887,146
PHI, Inc. †		1,900		71,649
Renewable Energy Group, Inc. †		14,400		218,160
Rentech, Inc.		52,300		103,554
REX American Resources Corp. †		4,300		132,182
Rex Energy Corp. †		23,600		526,280
RigNet, Inc. †		9,500		344,090
SemGroup Corp., Class A		13,300		758,366
Tesco Corp. †		6,000		99,420
TETRA Technologies, Inc. †		35,900		449,827
VAALCO Energy, Inc. †		13,800		77,004
Willbros Group, Inc. †		37,800		347,004
				10,475,691
Financials - 15.3%
1st Source Corp.		900		24,228
Agree Realty Corp. REIT		2,100		63,378
Alexander & Baldwin, Inc. †		3,900		140,478
American Equity Investment Life Holding Co.		13,500		286,470
Ameris Bancorp †		4,601		84,566
AMERISAFE, Inc.		4,000		142,040
Amtrust Financial Services, Inc.		13,000		507,780
Argo Group International Holdings Ltd. (Bermuda)		3,200		137,216
Arlington Asset Investment Corp., Class A		2,800		66,584
Ashford Hospitality Trust, Inc. REIT		28,900		356,626
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		8,600		214,312
Bancorp, Inc. †		9,100		161,252
Bank of the Ozarks, Inc.		17,000		815,830
Banner Corp.		12,000		457,920
BBCN Bancorp, Inc.		22,400		308,224
Beneficial Mutual Bancorp, Inc. †		2,600		25,922
Berkshire Hills Bancorp, Inc.		5,000		125,550
BlackRock Kelso Capital Corp.		15,700		148,993
BofI Holding, Inc. †		12,300		797,778
Boston Private Financial Holdings, Inc.		32,500		360,750
Cardinal Financial Corp.		6,300		104,139

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

72 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Financials - 15.3% (continued)
Chemical Financial Corp.		1,500	$	41,880
City Holding Co.		1,300		56,212
CNO Financial Group, Inc.		12,500		180,000
Cohen & Steers, Inc.		3,000		105,930
Community Trust Bancorp, Inc.		3,300		133,947
Consumer Portfolio Services, Inc. †		39,700		235,421
CoreSite Realty Corp. REIT		9,200		312,248
Credit Acceptance Corp. †		318		35,238
CubeSmart REIT		8,400		149,856
Eagle Bancorp, Inc. †		8,439		238,739
eHealth, Inc. †		4,600		148,396
Employers Holdings, Inc.		3,300		98,142
Encore Capital Group, Inc. †		7,274		333,586
Enstar Group Ltd. (Bermuda) †		2,500		341,500
Evercore Partners, Inc., Class A		14,800		728,604
Farmers Capital Bank Corp. †		600		13,116
FBL Financial Group, Inc., Class A		7,100		318,790
FBR & Co. †		10,700		286,867
Federal Agricultural Mortgage Corp., Class C		7,100		236,998
FelCor Lodging Trust, Inc. REIT †		33,500		206,360
Fidelity Southern Corp.		7,300		111,982
Financial Engines, Inc.		18,500		1,099,640
First Busey Corp.		1,100		5,731
First Cash Financial Services, Inc. †		8,800		509,960
First Commonwealth Financial Corp.		18,100		137,379
First Financial Bancorp		1,700		25,789
First Financial Bankshares, Inc.		4,400		258,808
First Industrial Realty Trust, Inc. REIT		12,300		200,121
First Interstate Bancsystem, Inc.		4,500		108,675
First Merchants Corp.		9,200		159,436
First Midwest Bancorp, Inc.		10,800		163,188
Flagstar Bancorp, Inc. †		30,100		444,276
Forestar Group, Inc. †		13,900		299,267
FXCM, Inc., Class A		12,800		252,800
Geo Group, Inc./The REIT		7,526		250,240
Glacier Bancorp, Inc.		16,000		395,360
Gladstone Capital Corp.		7,300		63,729
Gladstone Commercial Corp. REIT		5,400		96,984
Gladstone Investment Corp.		9,900		69,795
Gramercy Property Trust, Inc. REIT †		20,400		84,660
Hanmi Financial Corp.		9,600		159,072
Hanover Insurance Group, Inc./The		4,400		243,408
HCI Group, Inc.		14,300		584,012
Hercules Technology Growth Capital, Inc.		14,300		218,075
HFF, Inc., Class A		13,000		325,650
Hilltop Holdings, Inc. †		17,700		327,450
Home BancShares, Inc.		21,200		643,844
Home Loan Servicing Solutions Ltd. (Cayman Islands)		15,300		336,753
HomeStreet, Inc.		7,500		144,750
Horace Mann Educators Corp.		8,000		227,040
Horizon Technology Finance Corp.		900		11,988
Independent Bank Corp.		1,500		53,550
Infinity Property & Casualty Corp.		3,300		213,180
International Bancshares Corp.		14,900		322,287
INTL FCStone, Inc. †		3,000		61,350

	SHARES		VALUE (Note 2)
Financials - 15.3% (continued)
Investment Technology Group, Inc. †		10,100	$	158,772
Investors Bancorp, Inc.		13,700		299,756
KCAP Financial, Inc.		23,900		214,622
Kemper Corp.		7,000		235,200
Lakeland Financial Corp.		7,600		248,140
Maiden Holdings Ltd. (Bermuda)		15,800		186,598
Main Street Capital Corp.		6,600		197,538
MarketAxess Holdings, Inc.		10,282		617,331
Marlin Business Services Corp.		100		2,496
MB Financial, Inc.		7,700		217,448
Medallion Financial Corp.		7,700		114,576
Medical Properties Trust, Inc. REIT		27,700		337,109
Medley Capital Corp.		15,600		215,124
MGIC Investment Corp. †		138,500		1,008,280
Monmouth Real Estate Investment Corp., Class A REIT		8,600		78,002
Montpelier Re Holdings Ltd. (Bermuda)		14,200		369,910
MVC Capital, Inc.		4,300		56,158
National Health Investors, Inc. REIT		1,900		108,091
Nelnet, Inc., Class A		12,800		492,160
New Mountain Finance Corp.		14,200		204,622
One Liberty Properties, Inc. REIT		1,300		26,364
OneBeacon Insurance Group Ltd., Class A		14,400		212,544
Oritani Financial Corp.		10,200		167,892
PacWest Bancorp		6,400		219,904
Parkway Properties, Inc. REIT		23,100		410,487
Pennsylvania Real Estate Investment Trust REIT		12,000		224,400
Pinnacle Financial Partners, Inc. †		11,500		342,815
Piper Jaffray Cos. †		9,700		332,613
Platinum Underwriters Holdings Ltd. (Bermuda)		9,600		573,408
Portfolio Recovery Associates, Inc. †		4,100		245,754
Primerica, Inc.		10,100		407,434
Radian Group, Inc.		105,700		1,472,401
RAIT Financial Trust REIT		50,100		354,708
Ramco-Gershenson Properties Trust REIT		19,800		305,118
Regional Management Corp. †		2,200		69,960
Retail Opportunity Investments Corp. REIT		18,200		251,524
Rockville Financial, Inc.		2,700		35,100
Sabra Health Care REIT, Inc. REIT		16,000		368,160
Safeguard Scientifics, Inc. †		4,700		73,743
Safety Insurance Group, Inc.		1,900		100,643
Security National Financial Corp., Class A †		12,500		75,750
Southside Bancshares, Inc.		7,387		198,119
STAG Industrial, Inc. REIT		25,000		503,000
StanCorp Financial Group, Inc.		4,700		258,594
Stewart Information Services Corp.		16,100		515,039
Strategic Hotels & Resorts, Inc. REIT †		25,000		217,000
Symetra Financial Corp.		19,200		342,144
Synovus Financial Corp.		215,900		712,470
THL Credit, Inc.		10,700		167,134
TICC Capital Corp.		21,800		212,550
Tompkins Financial Corp.		1,500		69,330
Tree.com, Inc.		1,700		44,642

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

AQR Funds Annual Report September 2013 73

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Financials - 15.3% (continued)
Triangle Capital Corp.		13,700	$	402,369
United Community Banks, Inc. †		14,700		220,500
Universal Health Realty Income Trust REIT		4,100		171,667
ViewPoint Financial Group, Inc.		21,200		438,204
Virtus Investment Partners, Inc. †		5,100		829,464
Walker & Dunlop, Inc. †		7,900		125,689
Walter Investment Management Corp. †		8,420		332,927
Washington Trust Bancorp, Inc.		2,400		75,432
WesBanco, Inc.		9,200		273,516
Western Alliance Bancorp †		27,400		518,682
WisdomTree Investments, Inc. †		65,500		760,455
World Acceptance Corp. †		400		35,968
WSFS Financial Corp.		2,000		120,500
				37,320,145
Health Care - 15.9%
Abaxis, Inc.		6,100		256,810
Acadia Healthcare Co., Inc. †		24,700		973,921
ACADIA Pharmaceuticals, Inc. †		51,600		1,417,452
Accuray, Inc. †		10,900		80,551
AcelRx Pharmaceuticals, Inc. †		44,900		483,573
Achillion Pharmaceuticals, Inc. †		5,000		15,100
Acorda Therapeutics, Inc. †		6,000		205,680
Addus HomeCare Corp. †		15,400		446,138
Aegerion Pharmaceuticals, Inc. †		11,100		951,381
Air Methods Corp.		500		21,300
Albany Molecular Research, Inc. †		26,900		346,741
Alliance HealthCare Services, Inc. †		7,300		202,137
Alnylam Pharmaceuticals, Inc. †		21,600		1,382,616
AMN Healthcare Services, Inc. †		26,000		357,760
Amsurg Corp. †		4,500		178,650
Anacor Pharmaceuticals, Inc. †		6,400		67,968
Analogic Corp.		4,000		330,560
AngioDynamics, Inc. †		3,100		40,920
Antares Pharma, Inc. †		62,000		251,720
Array BioPharma, Inc. †		4,800		29,856
ArthroCare Corp. †		5,000		177,900
AVANIR Pharmaceuticals, Inc., Class A †		43,800		185,712
Biolase, Inc. †		30,072		57,437
Bio-Reference Labs, Inc. †		2,500		74,700
BioScrip, Inc. †		31,000		272,180
BioTelemetry, Inc. †		41,000		406,310
Cadence Pharmaceuticals, Inc. †		21,500		135,665
Cambrex Corp. †		8,300		109,560
Cantel Medical Corp.		14,923		475,298
Capital Senior Living Corp. †		23,700		501,255
Cardiovascular Systems, Inc. †		14,500		290,725
Celldex Therapeutics, Inc. †		38,500		1,364,055
Celsion Corp. †		63,300		72,795
Cerus Corp. †		15,400		103,334
Chelsea Therapeutics International Ltd. †		52,600		158,326
Clovis Oncology, Inc. †		16,200		984,636
CONMED Corp.		3,700		125,763
Corvel Corp. †		3,200		118,304
Curis, Inc. †		40,700		181,522
Cynosure, Inc., Class A †		8,100		184,761
Cytokinetics, Inc. †		16,400		124,476

	SHARES		VALUE (Note 2)
Health Care - 15.9% (continued)
DexCom, Inc. †		33,500	$	945,705
Dyax Corp. †		24,300		166,698
Endocyte, Inc. †		15,900		211,947
Endologix, Inc. †		6,400		103,232
Ensign Group, Inc./The		3,500		143,885
Exact Sciences Corp. †		6,200		73,222
ExamWorks Group, Inc. †		6,800		176,732
Five Star Quality Care, Inc. †		27,400		141,658
Furiex Pharmaceuticals, Inc. †		7,600		334,324
Galena Biopharma, Inc. †		85,900		194,993
GenMark Diagnostics, Inc. †		6,900		83,835
Gentiva Health Services, Inc. †		18,200		219,128
GTx, Inc. †		25,100		50,451
Hanger, Inc. †		4,800		162,048
HealthStream, Inc. †		14,300		541,684
Healthways, Inc. †		10,700		198,057
Hyperion Therapeutics, Inc. †		1,000		26,130
ICU Medical, Inc. †		1,700		115,481
Immunomedics, Inc. †		45,200		279,788
Insmed, Inc. †		34,700		541,667
Insulet Corp. †		15,700		568,968
Insys Therapeutics, Inc. †		4,700		164,453
InterMune, Inc. †		17,400		267,438
Jazz Pharmaceuticals PLC (Ireland) †		2,300		211,531
Keryx Biopharmaceuticals, Inc. †		81,100		819,110
Ligand Pharmaceuticals, Inc., Class B †		8,400		363,552
MannKind Corp. †		165,800		945,060
MedAssets, Inc. †		13,100		333,002
MedCath Corp. (3)†(a)		10,300		14,729
Medical Action Industries, Inc. †		4,600		30,544
Medicines Co./The †		1,000		33,520
Medidata Solutions, Inc. †		12,900		1,276,197
Merge Healthcare, Inc. †		30,200		78,822
Merit Medical Systems, Inc. †		7,600		92,188
MiMedx Group, Inc. †		49,600		206,832
Molina Healthcare, Inc. †		5,400		192,240
MWI Veterinary Supply, Inc. †		2,000		298,720
National Research Corp., Class B		4,000		119,440
Navidea Biopharmaceuticals, Inc. †		46,100		122,165
Nektar Therapeutics †		12,200		127,490
Neogen Corp. †		5,900		358,248
Neurocrine Biosciences, Inc. †		42,800		484,496
Novavax, Inc. †		71,700		226,572
NPS Pharmaceuticals, Inc. †		33,000		1,049,730
Omnicell, Inc. †		7,100		168,128
OPKO Health, Inc. †		91,400		805,234
Orexigen Therapeutics, Inc. †		47,600		292,264
Osiris Therapeutics, Inc. †		7,000		116,480
Pacific Biosciences of California, Inc. †		8,500		47,005
Pacira Pharmaceuticals, Inc. †		23,100		1,110,879
PAREXEL International Corp. †		5,200		261,196
Peregrine Pharmaceuticals, Inc. †		181,400		255,774
Pharmacyclics, Inc. †		1,000		138,420
Providence Service Corp./The †		9,600		275,424
Puma Biotechnology, Inc. †		13,100		702,946
Questcor Pharmaceuticals, Inc.		7,300		423,400
Quidel Corp. †		9,600		272,640

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

74 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Health Care - 15.9% (continued)
Raptor Pharmaceutical Corp. †		33,800	$	504,972
Repligen Corp. †		7,200		79,848
Repros Therapeutics, Inc. †		21,900		586,920
RTI Surgical, Inc. †		21,000		78,540
Sangamo Biosciences, Inc. †		31,800		333,264
Santarus, Inc. †		42,400		956,968
Sarepta Therapeutics, Inc. †		18,800		887,924
SciClone Pharmaceuticals, Inc. †		20,600		104,442
Spectranetics Corp. †		17,500		293,650
Staar Surgical Co. †		18,400		249,136
Sunesis Pharmaceuticals, Inc. †		50,800		251,968
Synageva BioPharma Corp. †		1,800		113,958
Synergy Pharmaceuticals, Inc. †		14,000		63,980
Synta Pharmaceuticals Corp. †		10,200		64,362
TearLab Corp. †		40,800		451,248
TESARO, Inc. †		18,600		720,564
TG Therapeutics, Inc. †		5,700		29,013
Threshold Pharmaceuticals, Inc. †		35,800		166,470
Universal American Corp.		19,100		145,542
US Physical Therapy, Inc.		3,000		93,240
Vanda Pharmaceuticals, Inc. †		19,600		215,012
Vascular Solutions, Inc. †		2,200		36,960
Verastem, Inc. †		3,500		43,540
Vical, Inc. †		32,800		41,000
Wright Medical Group, Inc. †		7,600		198,208
XenoPort, Inc. †		17,600		99,968
ZIOPHARM Oncology, Inc. †		15,300		60,435
				38,982,182
Industrials - 16.0%
AAON, Inc.		12,849		341,269
AAR Corp.		8,700		237,771
Aceto Corp.		7,400		115,588
Advisory Board Co./The †		4,100		243,868
Aegion Corp. †		6,800		161,364
Air Transport Services Group, Inc. †		6,600		49,434
Aircastle Ltd.		17,900		311,639
Alamo Group, Inc.		1,900		92,929
Albany International Corp., Class A		6,000		215,220
Allegiant Travel Co.		7,400		779,664
Altra Holdings, Inc.		6,500		174,915
AMERCO		1,100		202,543
American Railcar Industries, Inc.		11,000		431,530
American Woodmark Corp. †		7,600		263,340
Apogee Enterprises, Inc.		15,600		463,008
Argan, Inc.		2,300		50,531
Arkansas Best Corp.		19,200		492,864
Astec Industries, Inc.		4,900		176,204
Astronics Corp. †		7,700		382,767
Avis Budget Group, Inc. †		6,100		175,863
AZZ, Inc.		8,900		372,554
Barrett Business Services, Inc.		7,300		491,363
Beacon Roofing Supply, Inc. †		16,300		600,981
Briggs & Stratton Corp.		6,700		134,804
Builders FirstSource, Inc. †		37,900		222,852
CAI International, Inc. †		6,100		141,947
CBIZ, Inc. †		10,400		77,376
Ceco Environmental Corp.		3,000		42,240

	SHARES		VALUE (Note 2)
Industrials - 16.0% (continued)
Celadon Group, Inc.		3,900	$	72,813
Chart Industries, Inc. †		2,400		295,296
CIRCOR International, Inc.		5,800		360,644
Coleman Cable, Inc.		10,300		217,433
Consolidated Graphics, Inc. †		4,100		229,846
Corporate Executive Board Co./The		5,800		421,196
Deluxe Corp.		9,700		404,102
DigitalGlobe, Inc. †		10,300		325,686
Douglas Dynamics, Inc.		6,500		95,745
Ducommun, Inc. †		5,400		154,872
DXP Enterprises, Inc. †		6,600		521,202
Dynamic Materials Corp.		1,400		32,452
Echo Global Logistics, Inc. †		4,100		85,854
Encore Wire Corp.		2,900		114,376
Energy Recovery, Inc. †		21,200		153,700
EnerNOC, Inc. †		20,200		302,798
EnerSys, Inc.		10,000		606,300
Engility Holdings, Inc. †		2,600		82,498
Erickson Air-Crane, Inc. †		12,400		194,184
Exponent, Inc.		4,900		352,016
Federal Signal Corp. †		22,100		284,427
Forward Air Corp.		2,500		100,875
Franklin Electric Co., Inc.		10,600		417,640
Furmanite Corp. †		4,000		39,600
G&K Services, Inc., Class A		5,900		356,301
GenCorp, Inc. †		36,200		580,286
Generac Holdings, Inc.		6,500		277,160
Gibraltar Industries, Inc. †		14,000		199,640
Global Power Equipment Group, Inc.		2,400		48,264
Gorman-Rupp Co./The		1,600		64,192
GP Strategies Corp. †		5,000		131,100
Granite Construction, Inc.		5,000		153,000
Great Lakes Dredge & Dock Corp.		33,500		248,570
H&E Equipment Services, Inc. †		15,800		419,648
Healthcare Services Group, Inc.		13,300		342,608
Herman Miller, Inc.		13,700		399,766
HNI Corp.		5,300		191,754
ICF International, Inc. †		1,700		60,197
InnerWorkings, Inc. †		12,900		126,678
Insteel Industries, Inc.		3,700		59,570
Interface, Inc.		18,400		365,056
JetBlue Airways Corp. †		26,600		177,156
John Bean Technologies Corp.		3,300		82,104
Kadant, Inc.		3,300		110,847
Kaman Corp.		5,100		193,086
Kelly Services, Inc., Class A		7,800		151,866
KEYW Holding Corp./The †		22,100		297,245
Kforce, Inc.		3,000		53,070
Lydall, Inc. †		6,000		103,020
Macquarie Infrastructure Co. LLC		2,800		149,912
Manitex International, Inc. †		2,400		26,232
MasTec, Inc. †		8,400		254,520
McGrath RentCorp.		4,400		157,080
Meritor, Inc. †		32,800		257,808
Middleby Corp./The †		1,100		229,801
Mistras Group, Inc. †		8,900		151,300
Mobile Mini, Inc. †		25,000		851,500

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

AQR Funds Annual Report September 2013 75

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Industrials - 16.0% (continued)
Mueller Industries, Inc.		2,700	$	150,309
Mueller Water Products, Inc., Class A		76,900		614,431
Multi-Color Corp.		6,200		210,366
Navigant Consulting, Inc. †		7,300		112,858
NN, Inc.		3,700		57,572
Odyssey Marine Exploration, Inc. †		26,100		78,561
On Assignment, Inc. †		27,700		914,100
Orion Marine Group, Inc. †		4,800		49,968
Park-Ohio Holdings Corp. †		4,600		176,732
Patrick Industries, Inc. †		19,800		594,990
Pendrell Corp. †		72,500		140,650
PGT, Inc. †		50,400		499,464
Pike Electric Corp.		11,800		133,576
Powell Industries, Inc. †		1,200		73,548
PowerSecure International, Inc. †		31,900		511,995
Primoris Services Corp.		13,000		331,110
Proto Labs, Inc. †		15,500		1,184,045
Quad/Graphics, Inc.		14,800		449,328
Quality Distribution, Inc. †		12,000		110,880
Quanex Building Products Corp.		9,800		184,534
Raven Industries, Inc.		6,400		209,344
RBC Bearings, Inc. †		2,800		184,492
Real Goods Solar, Inc., Class A †		52,700		147,560
Republic Airways Holdings, Inc. †		35,800		426,020
Revolution Lighting Technologies, Inc. †		158,400		405,504
Roadrunner Transportation Systems, Inc. †		7,600		214,624
Rush Enterprises, Inc., Class A †		5,900		156,409
Saia, Inc. †		15,300		477,054
Seaspan Corp. (Hong Kong)		3,700		90,539
SkyWest, Inc.		13,600		197,472
Sparton Corp. †		5,600		142,800
Spirit Airlines, Inc. †		29,000		993,830
Standex International Corp.		3,500		207,900
Steelcase, Inc., Class A		45,900		762,858
Sun Hydraulics Corp.		6,700		242,875
Swift Transportation Co. †		27,500		555,225
Taser International, Inc. †		43,800		653,058
Team, Inc. †		6,600		262,350
Tecumseh Products Co., Class A †		14,700		131,565
Tennant Co.		5,000		310,000
Thermon Group Holdings, Inc. †		10,600		244,966
Trex Co., Inc. †		9,700		480,441
TriMas Corp. †		17,600		656,480
TrueBlue, Inc. †		14,700		352,947
Tutor Perini Corp. †		10,900		232,388
Twin Disc, Inc.		2,000		52,260
UniFirst Corp.		4,100		428,122
United Stationers, Inc.		4,600		200,100
Universal Forest Products, Inc.		7,000		294,700
Universal Truckload Services, Inc.		2,800		74,648
US Ecology, Inc.		5,300		159,689
Viad Corp.		5,800		144,710
Wabash National Corp. †		23,600		275,176
WageWorks, Inc. †		19,900		1,003,955
Xerium Technologies, Inc. †		11,800		136,762
XPO Logistics, Inc. †		11,600		251,372
YRC Worldwide, Inc. †		7,400		124,912
				39,046,444

	SHARES		VALUE (Note 2)
Information Technology - 20.2%
3D Systems Corp. †		600	$	32,394
Accelrys, Inc. †		7,200		70,992
ACI Worldwide, Inc. †		2,700		145,962
Actuate Corp. †		14,700		108,045
Acxiom Corp. †		21,500		610,385
Advanced Energy Industries, Inc. †		9,200		161,184
Advent Software, Inc.		9,200		292,100
Alliance Fiber Optic Products, Inc.		28,600		585,442
ANADIGICS, Inc. †		42,600		83,922
Angie’s List, Inc. †		31,300		704,250
Applied Micro Circuits Corp. †		35,800		461,820
ARRIS Group, Inc. †		14,300		243,958
Aspen Technology, Inc. †		4,000		138,200
ATMI, Inc. †		11,000		291,720
Axcelis Technologies, Inc. †		118,100		249,191
Badger Meter, Inc.		3,300		153,450
Blucora, Inc. †		19,000		436,620
Booz Allen Hamilton Holding Corp.		24,000		463,680
BroadSoft, Inc. †		5,700		205,371
Brooks Automation, Inc.		11,100		103,341
CalAmp Corp. †		31,400		553,582
Calix, Inc. †		27,100		344,983
Callidus Software, Inc. †		16,900		154,973
Carbonite, Inc. †		5,200		78,000
Cardtronics, Inc. †		5,400		200,340
CEVA, Inc. †		3,300		56,925
Checkpoint Systems, Inc. †		20,600		344,020
CIBER, Inc. †		10,100		33,330
Ciena Corp. †		22,600		564,548
Clearfield, Inc. †		13,900		186,677
Cognex Corp.		14,400		451,584
Computer Task Group, Inc.		4,100		66,256
comScore, Inc. †		13,300		385,301
Comtech Telecommunications Corp.		4,000		97,280
Concurrent Computer Corp.		9,100		65,702
Convergys Corp.		19,600		367,500
Cornerstone OnDemand, Inc. †		24,100		1,239,704
Cray, Inc. †		28,000		673,960
CSG Systems International, Inc.		7,000		175,350
CTS Corp.		2,000		31,540
Datalink Corp. †		6,400		86,528
Datawatch Corp. †		1,000		27,900
Dealertrack Technologies, Inc. †		1,300		55,692
Demandware, Inc. †		9,600		444,768
Diodes, Inc. †		6,200		151,900
E2open, Inc. †		3,400		76,160
eGain Corp. †		15,600		235,404
Electronics For Imaging, Inc. †		12,300		389,664
Ellie Mae, Inc. †		15,400		492,954
Entegris, Inc. †		9,600		97,440
Envestnet, Inc. †		14,000		434,000
EPAM Systems, Inc. †		17,000		586,500
Epiq Systems, Inc.		4,100		54,202
ePlus, Inc.		4,100		211,888
Euronet Worldwide, Inc. †		15,700		624,860
Exar Corp. †		16,200		217,242
ExlService Holdings, Inc. †		4,000		113,920

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

76 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Information Technology - 20.2% (continued)
Fair Isaac Corp.		6,200	$	342,736
FEI Co.		1,900		166,820
Finisar Corp. †		10,800		244,404
Forrester Research, Inc.		3,800		139,688
Global Cash Access Holdings, Inc. †		38,500		300,685
Glu Mobile, Inc. †		38,000		106,020
Guidewire Software, Inc. †		7,600		358,036
Harmonic, Inc. †		30,200		232,238
Hutchinson Technology, Inc. †		57,200		199,056
Immersion Corp. †		33,900		447,141
Imperva, Inc. †		5,500		231,110
Infinera Corp. †		59,600		674,076
Infoblox, Inc. †		9,500		397,290
Information Services Group, Inc. †		12,800		52,992
Insight Enterprises, Inc. †		11,200		211,904
Integrated Device Technology, Inc. †		52,100		490,782
Integrated Silicon Solution, Inc. †		7,500		81,675
Interactive Intelligence Group, Inc. †		9,000		571,410
InterDigital, Inc.		11,800		440,494
Internap Network Services Corp. †		7,800		54,210
IntraLinks Holdings, Inc. †		11,800		103,840
Ixia †		10,800		169,236
j2 Global, Inc.		16,700		826,984
Kulicke & Soffa Industries, Inc. (Singapore) †		17,100		197,505
Lexmark International, Inc., Class A		23,600		778,800
Littelfuse, Inc.		2,900		226,838
LivePerson, Inc. †		20,251		191,169
Manhattan Associates, Inc. †		8,300		792,235
Mattson Technology, Inc. †		45,400		108,506
MAXIMUS, Inc.		8,400		378,336
Measurement Specialties, Inc. †		5,000		271,200
Mentor Graphics Corp.		8,000		186,960
Mercury Systems, Inc. †		4,500		44,955
Meru Networks, Inc. †		19,700		64,419
Methode Electronics, Inc.		21,400		599,200
Mitek Systems, Inc. †		30,400		157,472
Monolithic Power Systems, Inc.		12,700		384,556
Monotype Imaging Holdings, Inc.		15,000		429,900
Move, Inc. †		14,400		244,080
MTS Systems Corp.		2,200		141,570
Nanometrics, Inc. †		8,800		141,856
Netlist, Inc. †		13,900		11,190
Netscout Systems, Inc. †		14,200		363,094
NetSol Technologies, Inc. †		14,600		146,438
NIC, Inc.		25,600		591,616
Novatel Wireless, Inc. †		18,600		48,546
NVE Corp. †		1,200		61,248
OpenTable, Inc. †		10,000		699,800
Parkervision, Inc. †		91,700		307,195
PC Connection, Inc.		1,300		19,617
PDF Solutions, Inc. †		17,700		376,125
Perficient, Inc. †		4,500		82,620
Power Integrations, Inc.		4,700		254,505
Procera Networks, Inc. †		9,600		148,704
Proofpoint, Inc. †		16,300		523,556
PROS Holdings, Inc. †		12,600		430,794
Rambus, Inc. †		70,200		659,880

	SHARES		VALUE (Note 2)
Information Technology - 20.2% (continued)
Rogers Corp. †		3,100	$	184,388
Rudolph Technologies, Inc. †		15,000		171,000
Sanmina Corp. †		30,400		531,696
SciQuest, Inc. †		2,000		44,920
Seachange International, Inc. †		4,300		49,321
Silicon Graphics International Corp. †		27,200		442,000
Sonus Networks, Inc. †		123,400		417,092
SPS Commerce, Inc. †		8,300		555,436
SS&C Technologies Holdings, Inc. †		8,500		323,850
Stamps.com, Inc. †		8,700		399,591
Stratasys Ltd. †		2,600		263,276
SunEdison, Inc. †		125,200		997,844
SunPower Corp. †		45,400		1,187,664
Super Micro Computer, Inc. †		9,400		127,276
Supertex, Inc.		1,000		25,340
support.com, Inc. †		22,100		120,445
Synaptics, Inc. †		5,700		252,396
Synchronoss Technologies, Inc. †		12,700		483,362
SYNNEX Corp. †		6,600		405,570
Take-Two Interactive Software, Inc. †		39,200		711,872
TeleCommunication Systems, Inc., Class A †		17,900		44,034
Telenav, Inc. †		9,300		54,312
TeleTech Holdings, Inc. †		2,500		62,725
Tessco Technologies, Inc.		2,900		97,730
TriQuint Semiconductor, Inc. †		29,900		243,087
Trulia, Inc. †		5,100		239,853
Tyler Technologies, Inc. †		11,700		1,023,399
Ubiquiti Networks, Inc.		20,800		698,672
Ultimate Software Group, Inc./The †		800		117,920
Ultratech, Inc. †		9,500		287,850
Uni-Pixel, Inc. †		14,600		258,858
United Online, Inc.		28,600		228,228
ValueClick, Inc. †		34,500		719,325
Veeco Instruments, Inc. †		6,400		238,272
Virtusa Corp. †		7,600		220,856
Vishay Intertechnology, Inc. †		28,200		363,498
Web.com Group, Inc. †		22,300		721,182
WebMD Health Corp. †		25,823		738,538
Yelp, Inc. †		19,900		1,316,982
Zhone Technologies, Inc. †		26,200		82,530
Zillow, Inc., Class A †		12,600		1,063,062
Zix Corp. †		25,400		124,206
				49,461,374
Materials - 4.6%
A Schulman, Inc.		9,100		268,086
A.M. Castle & Co. †		11,100		178,710
Advanced Emissions Solutions, Inc. †		6,000		256,320
AEP Industries, Inc. †		2,400		178,344
American Pacific Corp. †		9,000		492,840
American Vanguard Corp.		6,300		169,596
Balchem Corp.		4,800		248,400
Chemtura Corp. †		1,600		36,784
Clearwater Paper Corp. †		7,300		348,721
Deltic Timber Corp.		1,900		123,766
Flotek Industries, Inc. †		16,900		388,700
FutureFuel Corp.		3,800		68,248

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

AQR Funds Annual Report September 2013 77

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Materials - 4.6% (continued)
Graphic Packaging Holding Co. †		19,900	$	170,344
H.B. Fuller Co.		4,100		185,279
Hawkins, Inc.		600		22,644
Haynes International, Inc.		1,400		63,462
Headwaters, Inc. †		42,400		381,176
Innophos Holdings, Inc.		3,500		184,730
Innospec, Inc.		6,700		312,622
Kaiser Aluminum Corp.		6,100		434,625
KapStone Paper and Packaging Corp.		23,100		988,680
Koppers Holdings, Inc.		3,700		157,805
Landec Corp. †		2,900		35,380
Material Sciences Corp. †		700		6,566
Minerals Technologies, Inc.		7,900		390,023
Myers Industries, Inc.		10,900		219,199
Neenah Paper, Inc.		4,000		157,240
Olympic Steel, Inc.		1,000		27,780
OM Group, Inc. †		5,000		168,900
PH Glatfelter Co.		5,400		146,178
PolyOne Corp.		14,500		445,295
Quaker Chemical Corp.		5,200		379,860
RTI International Metals, Inc. †		5,500		176,220
Schweitzer-Mauduit International, Inc.		8,200		496,346
Stepan Co.		7,500		432,975
Texas Industries, Inc. †		9,900		656,469
Tredegar Corp.		12,200		317,200
US Concrete, Inc. †		10,900		218,654
US Silica Holdings, Inc.		21,900		545,310
Worthington Industries, Inc.		16,200		557,766
Zoltek Cos., Inc. †		11,900		198,611
				11,235,854
Telecommunication Services - 1.1%
8x8, Inc. †		64,800		652,536
Atlantic Tele-Network, Inc.		2,200		114,686
Cincinnati Bell, Inc. †		39,600		107,712
Cogent Communications Group, Inc.		19,100		615,975
General Communication, Inc., Class A †		4,600		43,792
IDT Corp., Class B		20,400		362,100
inContact, Inc. †		14,500		119,915
Lumos Networks Corp.		9,100		197,197
NTELOS Holdings Corp.		6,450		121,260
Premiere Global Services, Inc. †		10,600		105,576
Straight Path Communications, Inc., Class B †		5,700		29,982
Vonage Holdings Corp. †		70,600		221,684
				2,692,415
Utilities - 0.6%
American States Water Co.		12,600		347,256
Chesapeake Utilities Corp.		7,400		388,426
Connecticut Water Service, Inc.		2,900		93,264
Consolidated Water Co., Ltd. (Cayman Islands)		2,900		43,413
MGE Energy, Inc.		3,600		196,380
Middlesex Water Co.		3,200		68,448

	SHARES		VALUE (Note 2)
Utilities - 0.6% (continued)
Otter Tail Corp.		5,700	$	157,320
Unitil Corp.		4,200		122,934
				1,417,441
TOTAL COMMON STOCKS (cost $186,121,338)				242,812,576
PREFERRED STOCKS - 0.0% (b)
Utilities - 0.0% (b)
Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A †, 7.50%, 11/15/16 (c)
(cost $53,422)		5,900		46,964
RIGHTS - 0.0%(b)
Information Technology - 0.0% (b)
Gerber Scientific, Inc., (3)†(a) (cost $—)		4,000		—
WARRANTS - 0.0% (b)
Energy - 0.0% (b)
Magnum Hunter Resources Corp. † (cost $—)		2,980		21
MONEY MARKET FUNDS - 5.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(d)
(cost $12,359,705)		12,359,705		12,359,705
TOTAL INVESTMENTS - 104.5% (cost $198,534,465)				255,219,266
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.5%) (e)				(10,875,483)
NET ASSETS - 100.0%			$	244,343,783

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

† Non income-producing security.

(a) Security fair valued as of September 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $14,729 or 0.0% of total net assets.

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

(c) Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2013.

(d) Represents annualized seven-day yield as of September 30, 2013.

(e) 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 4).

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

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

78 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP MOMENTUM FUND

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED APPRECIATION
Long Contracts:
15	Barclays Capital	E-Mini Russell 2000 Futures		December 20, 2013		$1,594,044		$1,607,100		$13,056

Cash held as collateral with Barclays Capital for futures contracts was $35,095 at September 30, 2013.

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

AQR Funds Annual Report September 2013 79

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

COMMON STOCKS - 98.1%	SHARES		VALUE (Note 2)
Australia - 9.2%
ALS Ltd.		11,725	$	114,856
Amcor Ltd.		130,557		1,273,792
AMP Ltd.		37,576		161,754
Atlas Iron Ltd.		18,245		14,872
Aurizon Holdings Ltd.		27,946		122,103
Australia & New Zealand Banking Group Ltd.		27,610		793,853
Brambles Ltd.		77,311		657,443
Caltex Australia Ltd.		4,085		70,577
CFS Retail Property Trust Group REIT		41,469		77,547
Coca-Cola Amatil Ltd.		10,216		116,996
Cochlear Ltd.		3,817		215,589
Commonwealth Bank of Australia		33,805		2,246,685
Commonwealth Property Office Fund REIT		75,980		80,936
Crown Ltd.		42,866		622,375
CSL Ltd.		73,161		4,366,837
Dexus Property Group REIT		90,954		85,142
Goodman Group REIT		53,923		245,714
GPT Group REIT		38,389		124,555
Insurance Australia Group Ltd.		152,959		838,498
Macquarie Group Ltd.		14,246		638,239
Mesoblast Ltd. †		10,394		55,321
Mirvac Group REIT		60,599		98,515
National Australia Bank Ltd.		30,459		975,942
New Hope Corp. Ltd.		3,113		11,308
OZ Minerals Ltd.		4,289		17,792
Paladin Energy Ltd. †		12,165		5,541
Ramsay Health Care Ltd.		29,250		987,957
Shopping Centres Australasia Property Group REIT		3,776		5,395
Sonic Healthcare Ltd.		6,491		98,044
Suncorp Group Ltd.		66,225		809,903
Telecom Corp of New Zealand Ltd.		36,210		69,266
Telstra Corp. Ltd.		375,951		1,744,487
Wesfarmers Ltd.		32,711		1,256,639
Westfield Group REIT		93,579		961,651
Westfield Retail Trust REIT		145,956		404,601
Westpac Banking Corp.		79,227		2,421,719
Woolworths Ltd.		37,837		1,236,444
WorleyParsons Ltd.		2,954		67,156
				24,096,044
Austria - 0.5%
Andritz AG		3,800		223,629
Erste Group Bank AG		14,518		458,793
Immofinanz AG NPV †		63,665		277,933
Lenzing AG		606		45,009
OMV AG		4,423		218,404
Raiffeisen Bank International AG		3,673		120,238
				1,344,006
Belgium - 1.1%
Ageas		11,340		459,511
Anheuser-Busch InBev NV		17,502		1,736,159
Belgacom SA		2,566		68,248
RTL Group SA		766		77,687
UCB SA		6,382		388,402
Umicore SA		2,884		140,044
				2,870,051

	SHARES		VALUE (Note 2)
Canada - 8.2%
Alimentation Couche Tard, Inc., Class B (1)		13,400	$	835,443
Atco Ltd., Class I (1)		2,000		86,772
Boardwalk Real Estate Investment Trust REIT (1)		1,500		83,894
Brookfield Office Properties, Inc. (1)		7,200		137,982
Calloway Real Estate Investment Trust REIT (1)		3,200		75,647
Canadian National Railway Co. (1)		7,800		790,336
Canadian Pacific Railway Ltd. (1)		27,400		3,380,677
Canadian Utilities Ltd., Class A (1)		3,400		116,948
CGI Group, Inc., Class A (1)†		10,200		357,973
CI Financial Corp. (1)		7,700		232,783
Constellation Software, Inc. (1)		2,000		352,624
Dollarama, Inc. (1)		4,000		325,072
Domtar Corp. (1)		900		71,498
Emera, Inc. (1)		2,100		60,734
Empire Co., Ltd., Class A (1)		1,100		79,420
First Capital Realty, Inc. (1)		3,800		62,457
Gildan Activewear, Inc. (1)		18,200		844,580
Husky Energy, Inc. (1)		8,100		232,923
Industrial Alliance Insurance & Financial Services, Inc. (1)		7,800		329,553
Keyera Corp. (1)		1,700		96,615
Loblaw Cos., Ltd. (1)		70,100		3,097,181
Magna International, Inc. (1)		30,500		2,515,388
Manulife Financial Corp. (1)		101,600		1,680,757
Methanex Corp. (1)		7,100		364,495
Metro, Inc. (1)		4,200		262,711
Onex Corp. (1)		2,400		126,052
Paramount Resources Ltd., Class A (1)†		2,400		83,809
Rogers Communications, Inc., Class B (1)		32,300		1,388,833
Sun Life Financial, Inc. (1)		67,400		2,152,769
Tourmaline Oil Corp. (1)†		23,100		938,532
West Fraser Timber Co., Ltd. (1)		2,300		206,968
				21,371,426
Denmark - 1.3%
Carlsberg A/S, Class B		3,117		321,247
Coloplast A/S, Class B		33,945		1,933,398
Danske Bank A/S †		11,758		253,559
DSV A/S		2,710		76,900
Novo Nordisk A/S, Class B		2,415		409,015
Tryg A/S		5,116		471,292
				3,465,411
Finland - 1.4%
Kone OYJ, Class B		7,497		669,650
Konecranes OYJ		3,800		127,993
Nokia OYJ †		94,969		621,280
Orion OYJ, Class B		4,687		118,269
Sampo, A Shares		38,512		1,656,649
Wartsila OYJ		8,465		382,928
				3,576,769
France - 5.9%
Air Liquide SA		3,601		501,754
AXA SA		25,427		590,131

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

80 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
France - 5.9% (continued)
BNP Paribas SA		23,026	$	1,557,582
Bureau Veritas SA		2,364		74,619
Christian Dior SA		1,623		318,536
Cie Generale des Etablissements Michelin		1,933		214,373
Credit Agricole SA †		76,413		842,581
Dassault Systemes SA		1,844		246,124
Edenred		3,620		117,609
Essilor International SA		3,545		381,266
European Aeronautic Defence and Space Co. NV		14,060		895,934
Eutelsat Communications SA		3,108		98,231
Hermes International		1,274		458,706
Iliad SA		3,202		746,908
Kering		2,717		608,884
Lafarge SA		5,316		370,931
L’Oreal SA		7,307		1,254,228
LVMH Moet Hennessy Louis Vuitton SA		971		191,350
Natixis		99,537		476,613
Pernod Ricard SA		4,394		545,628
Publicis Groupe SA		5,534		440,220
Rexel SA		4,367		111,105
Safran SA		2,192		135,007
Sanofi		27,404		2,775,392
Schneider Electric SA		4,553		385,264
SCOR SE		2,421		80,234
SEB SA		592		51,915
Sodexo		1,964		183,275
Technip SA		1,542		181,034
Total SA		6,227		360,935
Unibail-Rodamco SE REIT		1,155		286,543
				15,482,912
Germany - 4.0%
Bayer AG		27,455		3,237,792
Beiersdorf AG		12,384		1,099,543
Deutsche Lufthansa AG †		26,823		523,265
Deutsche Post AG		63,837		2,117,349
GEA Group AG		2,796		114,914
Hannover Rueck SE		4,457		327,528
MAN SE		1,150		137,111
Merck KGaA		8,876		1,385,388
Muenchener Rueckversicherungs AG		6,099		1,192,243
SAP AG		2,925		216,319
Suedzucker AG		6,605		194,483
				10,545,935
Hong Kong - 4.5%
AAC Technologies Holdings, Inc.		35,500		161,853
AIA Group Ltd.		19,400		91,288
ASM Pacific Technology Ltd.		9,700		98,538
BOC Hong Kong Holdings Ltd.		123,000		395,198
Cheung Kong Holdings Ltd.		13,000		197,903
Cheung Kong Infrastructure Holdings Ltd.		10,000		69,359
CLP Holdings Ltd.		1,500		12,217
First Pacific Co., Ltd.		72,000		79,582
Galaxy Entertainment Group Ltd. †		248,000		1,742,704
Giordano International Ltd.		64,000		58,404
Hang Seng Bank Ltd.		22,500		366,935

	SHARES		VALUE (Note 2)
Hong Kong - 4.5% (continued)
Henderson Land Development Co., Ltd.		64,900	$	400,443
Hong Kong & China Gas Co., Ltd.		193,600		466,034
Hongkong Land Holdings Ltd.		84,000		553,502
Hopewell Holdings Ltd.		32,000		107,201
Hutchison Whampoa Ltd.		11,000		131,929
Hysan Development Co., Ltd.		25,000		111,612
Lifestyle International Holdings Ltd.		33,500		71,288
Lifestyle Properties Development Ltd. †		1,675		400
Link REIT/The REIT		59,500		290,903
Melco International Development Ltd.		103,000		276,818
MGM China Holdings Ltd.		147,600		490,905
MTR Corp. Ltd.		60,500		239,538
New World Development Co., Ltd.		196,000		294,568
NWS Holdings Ltd.		61,000		94,824
Orient Overseas International Ltd.		19,000		111,716
Sands China Ltd.		400,800		2,481,158
Shangri-La Asia Ltd.		24,000		39,760
Sino Land Co., Ltd.		168,000		247,512
SJM Holdings Ltd.		79,000		222,602
SmarTone Telecommunications Holdings Ltd.		31,500		41,743
Stella International Holdings Ltd.		32,500		83,466
Swire Properties Ltd.		50		140
Techtronic Industries Co.		70,000		182,478
Television Broadcasts Ltd.		10,000		63,088
Wharf Holdings Ltd.		136,000		1,178,422
Wheelock & Co., Ltd.		41,000		217,501
				11,673,532
Israel - 0.9%
Bank Hapoalim BM		75,018		379,605
Bezeq The Israeli Telecommunication Corp. Ltd.		502,277		923,345
Frutarom Industries Ltd.		2,840		51,835
Harel Insurance Investments & Financial Services Ltd.		6,075		34,845
Israel Chemicals Ltd.		25,004		211,142
Israel Corp. Ltd./The †		62		32,757
Israel Discount Bank Ltd., Class A †		89,515		161,364
Mellanox Technologies Ltd. (1)†		1,786		67,797
Osem Investments Ltd.		1,716		38,359
Partner Communications Co., Ltd. †		9,437		75,579
Shikun & Binui Ltd.		42,765		100,212
Strauss Group Ltd.		1,924		33,886
Teva Pharmaceutical Industries Ltd.		5,105		192,913
				2,303,639
Italy - 0.9%
Davide Campari-Milano SpA		11,007		95,564
Exor SpA		4,986		187,616
Gtech Spa		13,558		387,946
Luxottica Group SpA		15,970		846,280
Pirelli & C. SpA		20,366		265,192
Prysmian SpA		14,955		366,699
Salvatore Ferragamo SpA		5,363		184,879
				2,334,176

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

AQR Funds Annual Report September 2013 81

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
Japan - 33.9%
77 Bank Ltd./The		35,000	$	172,739
Acom Co., Ltd. †		306,600		1,159,264
Advantest Corp.		5,300		61,511
Aeon Credit Service Co., Ltd.		12,200		384,287
Aeon Mall Co., Ltd.		16,390		487,883
Aiful Corp. †		564,900		2,890,755
Asics Corp.		16,000		276,517
Bank of Yokohama Ltd./The		34,000		194,993
Bridgestone Corp.		25,400		930,871
Calsonic Kansei Corp.		14,000		75,182
Casio Computer Co., Ltd.		53,700		498,555
Central Japan Railway Co.		2,000		256,710
Century Tokyo Leasing Corp.		4,800		151,105
Chiba Bank Ltd./The		27,000		197,733
Chugoku Bank Ltd./The		5,000		70,431
Cosmos Pharmaceutical Corp.		4,300		567,192
Credit Saison Co., Ltd.		3,800		103,480
Daido Steel Co., Ltd.		12,000		70,653
Dai-ichi Life Insurance Co., Ltd./The		23,100		330,814
Daikin Industries Ltd.		14,500		773,920
Dainippon Screen Manufacturing Co., Ltd. †		7,000		38,592
Dainippon Sumitomo Pharma Co., Ltd.		28,200		385,377
Daiwa House Industry Co., Ltd.		11,000		207,800
Daiwa Securities Group, Inc.		251,000		2,265,188
Denso Corp.		25,100		1,177,739
Fast Retailing Co., Ltd.		2,600		980,592
Fuji Heavy Industries Ltd.		59,000		1,644,073
Fukuoka Financial Group, Inc.		41,000		185,648
GungHo Online Entertainment, Inc. †		1,456		1,140,170
Hikari Tsushin, Inc.		2,600		163,508
Hino Motors Ltd.		50,000		741,022
Hirose Electric Co., Ltd.		1,400		215,502
Hisamitsu Pharmaceutical Co., Inc.		700		39,124
Hitachi Capital Corp.		8,600		207,824
Hitachi Ltd.		660		4,373
Hitachi Transport System Ltd.		3,200		44,577
Honda Motor Co., Ltd.		12,600		481,607
Hoshizaki Electric Co., Ltd.		3,200		110,578
Ichigo Group Holdings Co., Ltd.		179,800		857,393
IHI Corp.		27,000		114,173
Industrial & Infrastructure Fund Investment Corp. REIT		9		85,440
Isetan Mitsukoshi Holdings Ltd.		12,900		191,784
Isuzu Motors Ltd.		173,000		1,146,806
J Front Retailing Co., Ltd.		27,000		219,310
Jafco Co., Ltd.		10,900		524,919
Japan Prime Realty Investment Corp. REIT		56		196,699
Japan Tobacco, Inc.		19,700		710,181
Joyo Bank Ltd./The		53,000		285,111
Kakaku.com, Inc.		25,000		584,443
Kansai Electric Power Co., Inc./The		38,400		493,981
Keyence Corp.		840		319,615
Kintetsu Corp.		14,000		52,273
Kubota Corp.		54,000		784,840
Kyushu Electric Power Co., Inc. †		29,000		414,942
M3, Inc.		69		191,341

	SHARES		VALUE (Note 2)
Japan - 33.9% (continued)
Makita Corp.		7,300	$	425,322
Matsui Securities Co., Ltd.		84,500		937,702
Mazda Motor Corp. †		341,000		1,532,912
Mitsubishi Electric Corp.		22,000		232,142
Mitsubishi Estate Co., Ltd.		78,000		2,311,586
Mitsubishi Heavy Industries, Ltd.		97,000		559,377
Mitsubishi Logistics Corp.		21,000		318,422
Mitsubishi Motors Corp. †		113,500		1,261,021
Mitsubishi UFJ Financial Group, Inc.		586,700		3,763,304
Mitsui Fudosan Co., Ltd.		46,000		1,553,391
Mizuho Financial Group, Inc.		951,000		2,067,429
MS&AD Insurance Group Holdings		9,300		243,759
Murata Manufacturing Co., Ltd.		4,200		321,737
NEC Corp.		142,000		329,903
NHK Spring Co., Ltd.		12,500		128,417
Nippon Express Co., Ltd.		39,000		195,970
Nippon Television Holdings, Inc.		5,100		94,647
Nishi-Nippon City Bank Ltd./The		21,000		57,317
Nissan Motor Co., Ltd.		31,100		313,884
Nitto Denko Corp.		9,200		599,967
Nomura Holdings, Inc.		422,600		3,305,458
Nomura Real Estate Holdings, Inc.		16,900		417,260
Nomura Research Institute Ltd.		3,500		121,590
NSK Ltd.		22,000		225,672
NTT Urban Development Corp.		34,000		448,268
Obayashi Corp.		38,000		227,391
Odakyu Electric Railway Co., Ltd.		28,000		278,726
Okasan Securities Group, Inc.		101,000		934,247
Olympus Corp. †		14,400		439,866
Omron Corp.		6,800		246,322
Orient Corp. †		488,000		1,352,177
ORIX Corp.		107,600		1,759,037
Orix JREIT, Inc. REIT		34		43,196
Otsuka Corp.		2,000		255,920
Ricoh Co., Ltd.		13,000		150,637
Sekisui Chemical Co., Ltd.		27,000		275,404
Sekisui House Ltd.		31,000		418,174
Seven & I Holdings Co., Ltd.		1,200		43,992
Seven Bank Ltd.		56,100		187,929
Sharp Corp. †		83,000		306,095
Shimano, Inc.		4,000		357,723
Shin-Etsu Chemical Co., Ltd.		10,600		650,375
Shinsei Bank Ltd.		372,000		907,923
Shionogi & Co., Ltd.		18,000		378,923
SKY Perfect JSAT Holdings, Inc.		13,300		69,322
SMC Corp.		1,000		238,666
Softbank Corp.		34,700		2,409,829
Sony Corp.		28,200		605,309
Sugi Holdings Co., Ltd.		2,600		111,634
Sumitomo Forestry Co., Ltd.		9,300		101,126
Sumitomo Mitsui Financial Group, Inc.		66,700		3,229,978
Sumitomo Mitsui Trust Holdings, Inc.		140,000		695,809
Sumitomo Realty & Development Co., Ltd.		27,000		1,286,886
Sumitomo Rubber Industries Ltd.		10,900		168,714
Suruga Bank Ltd.		31,000		534,401
Suzuki Motor Corp.		5,800		139,791
Sysmex Corp.		2,300		147,085

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

82 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
Japan - 33.9% (continued)
Taiheiyo Cement Corp.		49,000	$	214,270
Takara Bio, Inc.		10,400		251,386
Toho Gas Co., Ltd.		17,000		89,109
Tohoku Electric Power Co., Inc. †		34,400		423,758
Tokai Tokyo Financial Holdings, Inc.		54,700		458,932
Tokio Marine Holdings, Inc.		11,400		373,749
Tokyo Electric Power Co., Inc †		635,800		3,960,940
Tokyo Tatemono Co., Ltd.		90,000		827,484
Tokyu Corp.		57,000		407,377
Tokyu Land Corp.		74,000		770,023
Toshiba Corp.		37,000		166,748
Toshiba TEC Corp.		25,000		154,355
Toyoda Gosei Co., Ltd.		6,000		148,334
Toyota Industries Corp.		11,600		502,281
Toyota Motor Corp.		133,500		8,562,363
Toyota Tsusho Corp.		18,400		482,470
Tsuruha Holdings, Inc.		3,500		308,803
USS Co., Ltd.		12,500		180,991
Wacom Co., Ltd.		18,400		176,998
Yahoo Japan Corp.		183,900		1,046,349
Yakult Honsha Co., Ltd.		5,200		261,079
Yamaha Motor Co., Ltd.		29,900		439,776
Yokogawa Electric Corp.		8,300		118,545
Yokohama Rubber Co., Ltd./The		30,000		297,127
				88,203,451
Netherlands - 1.7%
Akzo Nobel NV		2,823		185,473
ASML Holding NV		15,350		1,516,197
CNH Industrial NV †		11,479		147,218
Gemalto NV		3,241		347,893
Heineken Holding NV		9,229		583,505
Heineken NV		14,113		999,861
Koninklijke Philips NV		17,817		574,795
Koninklijke Vopak NV		762		43,670
				4,398,612
New Zealand - 0.1%
Fletcher Building Ltd.		26,324		207,629
Norway - 0.2%
Golar LNG Ltd.		2,009		75,235
Marine Harvest ASA		140,424		149,962
Telenor ASA		10,790		246,589
				471,786
Portugal - 0.1%
Jeronimo Martins SGPS SA		6,068		124,524
Portugal Telecom SGPS SA		7,413		33,424
				157,948
Singapore - 1.6%
Ascendas Real Estate Investment Trust REIT		206,000		374,815
CapitaCommercial Trust REIT		117,000		135,083
CapitaLand Ltd.		58,000		143,016
CapitaMall Trust REIT		149,000		232,802
CapitaMalls Asia Ltd.		92,000		143,521
Dairy Farm International Holdings, Ltd.		6,300		63,668

	SHARES		VALUE (Note 2)
Singapore - 1.6% (continued)
DBS Group Holdings Ltd.		17,000	$	222,541
Global Logistic Properties Ltd.		107,000		246,315
Jardine Cycle & Carriage Ltd.		6,000		182,726
Jardine Matheson Holdings Ltd.		18,000		988,580
Jardine Strategic Holdings Ltd.		7,000		236,996
Keppel REIT		200		196
Noble Group Ltd.		19,363		14,374
Sembcorp Industries Ltd.		13,000		54,889
Singapore Technologies Engineering Ltd.		155,000		515,922
Singapore Telecommunications Ltd.		40,000		119,124
StarHub Ltd.		33,000		112,912
Suntec Real Estate Investment Trust REIT		92,000		119,834
Super Group Ltd.		9,000		30,439
United Overseas Bank Ltd.		16,000		263,918
				4,201,671
Spain - 3.6%
Amadeus IT Holding SA, A Shares		63,915		2,266,245
Banco Bilbao Vizcaya Argentaria SA		4,255		47,581
Ferrovial SA		84,997		1,530,833
Gas Natural SDG SA		101,052		2,112,708
Grifols SA		14,812		608,243
Inditex SA		16,000		2,468,041
Repsol SA		17,770		440,583
				9,474,234
Sweden - 0.7%
Elekta AB, B Shares		6,724		108,416
Hennes & Mauritz AB, B Shares		367		15,945
Hexagon AB, B Shares		12,321		371,421
Investor AB, B Shares		22,948		695,956
Meda AB, A Shares		7,554		90,866
Skandinaviska Enskilda Banken AB, Class A		6,671		70,714
Svenska Handelsbanken AB, A Shares		12,588		538,573
				1,891,891
Switzerland - 8.2%
Actelion Ltd. †		6,152		436,802
Cie Financiere Richemont SA		23,295		2,334,062
Credit Suisse Group AG †		47,703		1,458,850
EMS-Chemie Holding AG		1,486		525,843
Geberit AG †		236		63,769
Givaudan SA †		546		798,022
Holcim Ltd. †		4,469		333,198
Novartis AG		59,642		4,587,554
Partners Group Holding AG		5,304		1,301,897
Schindler Holding AG		1,395		209,612
SGS SA		404		965,525
Swatch Group AG/The		2,589		1,667,373
Swiss Re AG †		14,143		1,171,754
Syngenta AG		1,901		776,952
UBS AG †		213,336		4,372,415
Wolseley PLC		4,864		251,652
Zurich Insurance Group AG †		146		37,637
				21,292,917
Thailand - 0.1%
Thai Beverage PCL		446,000		195,827

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

AQR Funds Annual Report September 2013 83

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
United Kingdom - 8.8%
Aberdeen Asset Management PLC		54,480	$	333,657
Aggreko PLC		7,624		197,843
ARM Holdings PLC		49,237		788,086
Associated British Foods PLC		9,388		284,925
AstraZeneca PLC		240		12,476
Barclays PLC		287,794		1,229,938
BG Group PLC		2,230		42,570
British American Tobacco PLC		482		25,367
BT Group PLC		130,732		723,829
Bunzl PLC		7,883		170,752
Carnival PLC		6,836		231,601
Compass Group PLC		41,470		570,460
Croda International PLC		3,164		135,856
Diageo PLC		46,529		1,479,037
easyJet PLC		20,601		425,692
Experian PLC		34,548		657,786
Fresnillo PLC		1,715		27,000
G4S PLC		22,026		90,734
GlaxoSmithKline PLC		913		22,955
Hargreaves Lansdown PLC		13,845		219,511
HSBC Holdings PLC		401,189		4,342,210
IMI PLC		4,267		100,462
Imperial Tobacco Group PLC		8,078		298,624
InterContinental Hotels Group PLC		11,899		347,348
Intertek Group PLC		2,171		116,263
ITV PLC		212,597		603,258
Johnson Matthey PLC		2,582		117,328
Kingfisher PLC		42,770		267,177
Legal & General Group PLC		62,913		199,633
Lloyds Banking Group PLC †		252,352		300,463
Meggitt PLC		17,966		159,570
Mondi PLC		7,018		118,418
National Grid PLC		13,628		160,982
Next PLC		6,383		533,324
Old Mutual PLC		139,415		423,191
Pearson PLC		15,946		324,522
Petrofac Ltd.		14,632		332,396
Prudential PLC		52,638		979,288
Randgold Resources Ltd.		303		21,721
Reckitt Benckiser Group PLC		3,848		281,347
Reed Elsevier PLC		9,377		126,397
Rexam PLC		11,373		88,625
Rolls-Royce Holdings PLC †		35,118		631,838
Royal Bank of Scotland Group PLC †		149,501		867,686
SABMiller PLC		32,301		1,642,907
Sage Group PLC/The		13,549		72,348
Severn Trent PLC		3,568		101,752
Smith & Nephew PLC		5,401		67,383
SSE PLC		8,866		211,450
Standard Life PLC		68,289		381,607
Tate & Lyle PLC		14,485		172,607
Tullow Oil PLC		11,125		184,439
United Utilities Group PLC		13,217		147,830
Whitbread PLC		10,735		514,943
WPP PLC		7,612		156,427
				23,065,839

	SHARES		VALUE (Note 2)
United States - 1.2%
Valeant Pharmaceuticals International, Inc. (1)†		29,200	$	3,044,590
TOTAL COMMON STOCKS (cost $220,955,098)				255,670,296
RIGHTS - 0.0% (a)
Spain - 0.0% (a)
Banco Bilbao Vizcaya Argentaria SA †		4,255		581
TOTAL RIGHTS (cost $—)				581
MONEY MARKET FUNDS - 1.3%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)
(cost $3,353,529)		3,353,529		3,353,529
TOTAL INVESTMENTS - 99.4% (cost $224,308,627)				259,024,406
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% (c)				1,480,138
NET ASSETS - 100.0%			$	260,504,544

† Non income-producing security.

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

(b) Represents annualized seven-day yield as of September 30, 2013.

(c) Includes depreciation on futures contracts.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	48,381,122		18.6	%
Consumer Staples		20,539,414		7.9
Energy		3,342,058		1.3
Financials		90,375,246		34.7
Health Care		27,357,971		10.5
Industrials		27,095,958		10.4
Information Technology		12,771,259		4.9
Materials		8,174,221		3.1
Telecommunication Services		8,704,114		3.3
Utilities		8,929,514		3.4
Money Market Funds		3,353,529		1.3
Total Investments		259,024,406		99.4
Other Assets in Excess of Liabilities (c)		1,480,138		0.6
Net Assets	$	260,504,544		100.0	%

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

84 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL MOMENTUM FUND

Open futures contracts outstanding at September 30, 2013:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2013		UNREALIZED DEPRECIATION
Long Contracts:
35	Barclays Capital	MSCI EAFE Mini Index Futures		December 20, 2013		$3,196,957		$3,176,600		$(20,357)

Cash held as collateral with Barclays Capital for futures contracts was $178,677 at September 30, 2013.

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

AQR Funds Annual Report September 2013 85

Schedule of Investments September 30, 2013

AQR TAX-MANAGED MOMENTUM FUND

COMMON STOCKS - 90.1%	SHARES		VALUE (Note 2)
Consumer Discretionary - 21.0%
Aaron’s, Inc.		93	$	2,576
Amazon.com, Inc. †		53		16,570
Apollo Group, Inc., Class A †		71		1,478
AutoNation, Inc. †		274		14,295
AutoZone, Inc. †		16		6,764
Bed Bath & Beyond, Inc. †		101		7,813
Best Buy Co., Inc.		1,312		49,200
Brunswick Corp.		669		26,700
Caesars Entertainment Corp. †		900		17,739
Carter’s, Inc.		181		13,736
CBS Corp., Class B		2,049		113,023
Chipotle Mexican Grill, Inc. †		49		21,006
Cinemark Holdings, Inc.		322		10,220
Coach, Inc.		66		3,599
Comcast Corp., Class A		1,351		60,998
CST Brands, Inc.		118		3,516
Dana Holding Corp.		884		20,191
Deckers Outdoor Corp. †		28		1,846
Dillard’s, Inc., Class A		148		11,588
DIRECTV †		86		5,138
Discovery Communications, Inc., Class A †		526		44,405
DISH Network Corp., Class A		1,337		60,178
Dollar General Corp. †		490		27,665
Dollar Tree, Inc. †		295		16,862
DR Horton, Inc.		1,478		28,718
DSW, Inc., Class A		165		14,078
Expedia, Inc.		167		8,649
Express, Inc. †		194		4,576
Family Dollar Stores, Inc.		63		4,537
Ford Motor Co.		18,169		306,511
GameStop Corp., Class A		307		15,243
Gannett Co., Inc.		894		23,950
Gap, Inc./The		868		34,963
General Motors Co. †		7,622		274,163
Genuine Parts Co.		74		5,986
GNC Holdings, Inc., Class A		104		5,682
Groupon, Inc. †		3,300		36,993
H&R Block, Inc.		635		16,929
Home Depot, Inc./The		5,086		385,773
HSN, Inc.		187		10,027
Johnson Controls, Inc.		3,096		128,484
L Brands, Inc.		139		8,493
Las Vegas Sands Corp.		3,090		205,238
Lennar Corp., Class A		1,112		39,365
Liberty Global PLC, Class A (United Kingdom) †		258		20,472
LKQ Corp. †		1,100		35,046
Lowe’s Cos., Inc.		4,028		191,773
Macy’s, Inc.		524		22,673
Madison Square Garden Co./The, Class A †		191		11,091
Mattel, Inc.		402		16,828
MGM Resorts International †		2,730		55,801
Mohawk Industries, Inc. †		580		75,545
Netflix, Inc. †		493		152,441
NIKE, Inc., Class B		248		18,015
O’Reilly Automotive, Inc. †		160		20,414
Panera Bread Co., Class A †		24		3,805

	SHARES		VALUE (Note 2)
Consumer Discretionary - 21.0% (continued)
PetSmart, Inc.		64	$	4,881
Polaris Industries, Inc.		180		23,252
priceline.com, Inc. †		131		132,434
PulteGroup, Inc.		2,843		46,910
Ralph Lauren Corp.		40		6,589
Rent-A-Center, Inc.		182		6,934
Ross Stores, Inc.		256		18,637
Sally Beauty Holdings, Inc. †		147		3,846
Service Corp. International		660		12,289
Sirius XM Radio, Inc.		26,035		100,755
Standard Pacific Corp. †		4,289		33,926
Starbucks Corp.		3,262		251,076
Starz, Class A †		200		5,626
Tesla Motors, Inc. †		851		164,600
Time Warner Cable, Inc.		305		34,038
Time Warner, Inc.		2,737		180,122
TJX Cos., Inc.		1,203		67,837
Tractor Supply Co.		98		6,583
TripAdvisor, Inc. †		932		70,683
TRW Automotive Holdings Corp. †		739		52,698
Tupperware Brands Corp.		134		11,574
Twenty-First Century Fox, Inc.		7,472		250,312
Ulta Salon Cosmetics & Fragrance, Inc. †		50		5,973
Under Armour, Inc., Class A †		82		6,515
VF Corp.		51		10,152
Viacom, Inc., Class B		1,448		121,024
Visteon Corp. †		210		15,884
Walt Disney Co./The		858		55,332
Weight Watchers International, Inc.		51		1,906
Whirlpool Corp.		644		94,307
Wolverine World Wide, Inc.		151		8,793
Wyndham Worldwide Corp.		277		16,889
Yum! Brands, Inc.		243		17,348
				4,579,093
Consumer Staples - 3.3%
Altria Group, Inc.		445		15,286
Casey’s General Stores, Inc.		44		3,234
Church & Dwight Co., Inc.		85		5,104
Coca-Cola Co./The		102		3,864
Colgate-Palmolive Co.		310		18,383
ConAgra Foods, Inc.		549		16,657
Constellation Brands, Inc., Class A †		480		27,552
Costco Wholesale Corp.		485		55,833
Estee Lauder Cos., Inc./The, Class A		151		10,555
Flowers Foods, Inc.		510		10,934
General Mills, Inc.		150		7,188
Green Mountain Coffee Roasters, Inc. †		1,158		87,232
Herbalife Ltd. (Cayman Islands)		71		4,954
Hershey Co./The		95		8,787
JM Smucker Co./The		179		18,802
Kimberly-Clark Corp.		408		38,442
Kroger Co./The		1,500		60,510
Lorillard, Inc.		183		8,195
Mead Johnson Nutrition Co.		82		6,089
Mondelez International, Inc., Class A		535		16,810
Monster Beverage Corp. †		364		19,019

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

86 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 2)
Consumer Staples - 3.3% (continued)
Nu Skin Enterprises, Inc., Class A		225	$	21,542
Philip Morris International, Inc.		37		3,204
Pilgrim’s Pride Corp. †		2,246		37,710
Pricesmart, Inc.		119		11,334
Reynolds American, Inc.		232		11,317
Rite Aid Corp. †		6,673		31,763
TreeHouse Foods, Inc. †		39		2,606
Walgreen Co.		2,774		149,241
Whole Foods Market, Inc.		270		15,795
				727,942
Energy - 6.3%
Anadarko Petroleum Corp.		60		5,579
Cabot Oil & Gas Corp.		2,844		106,138
Cameron International Corp. †		587		34,263
CARBO Ceramics, Inc.		17		1,685
Chesapeake Energy Corp.		102		2,640
Chevron Corp.		66		8,019
Cobalt International Energy, Inc. †		1,208		30,031
ConocoPhillips		135		9,384
EOG Resources, Inc.		1,106		187,224
EQT Corp.		247		21,914
FMC Technologies, Inc. †		64		3,547
Golar LNG Ltd. (Bermuda)		71		2,675
Gulfport Energy Corp. †		606		38,990
Halliburton Co.		2,835		136,505
Helix Energy Solutions Group, Inc. †		469		11,899
Hess Corp.		988		76,412
HollyFrontier Corp.		304		12,801
Key Energy Services, Inc. †		134		977
Kinder Morgan, Inc.		607		21,591
Kodiak Oil & Gas Corp. †		1,503		18,126
Marathon Oil Corp.		1,840		64,179
Marathon Petroleum Corp.		1,522		97,895
Noble Energy, Inc.		1,000		67,010
Oasis Petroleum, Inc. †		609		29,920
Phillips 66		1,910		110,436
Pioneer Natural Resources Co.		755		142,544
Range Resources Corp.		261		19,807
Rosetta Resources, Inc. †		40		2,178
Seadrill Ltd. (Bermuda)		528		23,802
SM Energy Co.		42		3,242
Spectra Energy Corp.		227		7,770
Targa Resources Corp.		313		22,837
Tesoro Corp.		112		4,926
Valero Energy Corp.		1,350		46,103
Williams Cos., Inc./The		269		9,781
World Fuel Services Corp.		52		1,940
				1,384,770
Financials - 18.2%
American Campus Communities, Inc. REIT		63		2,151
American Express Co.		240		18,125
American Financial Group, Inc.		332		17,948
American International Group, Inc.		5,428		263,964
American Tower Corp. REIT		508		37,658
Arch Capital Group Ltd. (Bermuda) †		267		14,453
AvalonBay Communities, Inc. REIT		37		4,702

	SHARES		VALUE (Note 2)
Financials - 18.2% (continued)
Bank of America Corp.		39,408	$	543,830
BB&T Corp.		375		12,656
Berkshire Hathaway, Inc., Class B †		223		25,313
BlackRock, Inc.		200		54,124
Boston Properties, Inc. REIT		39		4,169
BRE Properties, Inc. REIT		50		2,538
Capital One Financial Corp.		817		56,161
CBOE Holdings, Inc.		277		12,529
Charles Schwab Corp./The		4,387		92,741
Chubb Corp./The		190		16,959
Citigroup, Inc.		10,655		516,874
Digital Realty Trust, Inc. REIT		55		2,921
Discover Financial Services		739		37,349
Equity Lifestyle Properties, Inc. REIT		62		2,119
Erie Indemnity Co., Class A		32		2,319
Essex Property Trust, Inc. REIT		22		3,249
Extra Space Storage, Inc. REIT		331		15,143
Federal Realty Investment Trust REIT		34		3,449
Fidelity National Financial, Inc., Class A		450		11,970
Franklin Resources, Inc.		999		50,499
General Growth Properties, Inc. REIT		1,839		35,474
Genworth Financial, Inc., Class A †		5,110		65,357
Goldman Sachs Group, Inc./The		1,864		294,903
Hartford Financial Services Group, Inc.		1,615		50,259
HCP, Inc. REIT		443		18,141
Howard Hughes Corp./The †		282		31,688
JPMorgan Chase & Co.		11,846		612,320
Lincoln National Corp.		1,222		51,312
Marsh & McLennan Cos., Inc.		196		8,536
McGraw Hill Financial, Inc.		120		7,871
MetLife, Inc.		3,958		185,828
Moody’s Corp.		413		29,046
Morgan Stanley		8,947		241,122
Nationstar Mortgage Holdings, Inc. †		470		26,428
Ocwen Financial Corp. †		242		13,496
Principal Financial Group, Inc.		725		31,045
ProAssurance Corp.		66		2,974
Prologis, Inc. REIT		233		8,766
Prudential Financial, Inc.		1,555		121,259
Public Storage REIT		117		18,784
Regions Financial Corp.		1,356		12,557
Simon Property Group, Inc. REIT		94		13,934
State Street Corp.		1,503		98,822
SunTrust Banks, Inc.		695		22,532
Tanger Factory Outlet Centers REIT		263		8,587
Taubman Centers, Inc. REIT		130		8,750
Travelers Cos., Inc./The		301		25,516
US Bancorp		1,669		61,052
Ventas, Inc. REIT		229		14,084
Wells Fargo & Co.		110		4,545
Weyerhaeuser Co. REIT		768		21,988
WR Berkley Corp.		97		4,157
				3,977,046
Health Care - 11.1%
Abbott Laboratories		1,321		43,844
AbbVie, Inc.		447		19,994
Accretive Health, Inc. †		106		967

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

AQR Funds Annual Report September 2013 87

Schedule of Investments September 30, 2013

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 2)
Health Care - 11.1% (continued)
Actavis, Inc. †		300	$	43,200
Aegerion Pharmaceuticals, Inc. †		200		17,142
Aetna, Inc.		1,744		111,651
Alexion Pharmaceuticals, Inc. †		280		32,525
Allergan, Inc.		105		9,497
AmerisourceBergen Corp.		190		11,609
Amgen, Inc.		1,177		131,753
Arena Pharmaceuticals, Inc. †		1,886		9,939
athenahealth, Inc. †		131		14,221
Biogen Idec, Inc. †		797		191,886
Boston Scientific Corp. †		6,712		78,799
Bristol-Myers Squibb Co.		165		7,636
Cardinal Health, Inc.		99		5,163
Catamaran Corp. †		375		17,231
Celgene Corp. †		1,593		245,211
Cepheid, Inc. †		65		2,538
Cerner Corp. †		156		8,198
Cigna Corp.		1,319		101,378
Eli Lilly & Co.		1,047		52,696
Express Scripts Holding Co. †		773		47,756
Gilead Sciences, Inc. †		5,812		365,226
HCA Holdings, Inc.		2,651		113,330
Humana, Inc.		72		6,720
Illumina, Inc. †		400		32,332
Intuitive Surgical, Inc. †		26		9,783
Isis Pharmaceuticals, Inc. †		500		18,770
Jazz Pharmaceuticals PLC (Ireland) †		22		2,023
Medidata Solutions, Inc. †		200		19,786
Medivation, Inc. †		360		21,579
Medtronic, Inc.		1,000		53,250
Omnicare, Inc.		290		16,095
Perrigo Co.		47		5,799
Pfizer, Inc.		759		21,791
Pharmacyclics, Inc. †		502		69,487
Regeneron Pharmaceuticals, Inc. †		424		132,657
Tenet Healthcare Corp. †		605		24,920
Thermo Fisher Scientific, Inc.		1,342		123,665
UnitedHealth Group, Inc.		330		23,631
Vertex Pharmaceuticals, Inc. †		722		54,742
WellCare Health Plans, Inc. †		53		3,696
WellPoint, Inc.		1,046		87,456
				2,411,572
Industrials - 11.4%
A. O. Smith Corp.		698		31,550
Alaska Air Group, Inc.		406		25,424
Avis Budget Group, Inc. †		1,191		34,336
B/E Aerospace, Inc. †		412		30,414
Boeing Co./The		3,200		376,000
Chart Industries, Inc. †		99		12,181
CLARCOR, Inc.		41		2,277
Clean Harbors, Inc. †		45		2,640
Copart, Inc. †		321		10,205
Cummins, Inc.		500		66,435
Delta Air Lines, Inc.		6,218		146,683
Donaldson Co., Inc.		84		3,203
Dover Corp.		877		78,781
Fastenal Co.		131		6,583

	SHARES		VALUE (Note 2)
Industrials - 11.4% (continued)
Flowserve Corp.		478	$	29,822
Fortune Brands Home & Security, Inc.		2,129		88,630
Generac Holdings, Inc.		1,589		67,755
General Electric Co.		2,095		50,049
Hertz Global Holdings, Inc. †		3,292		72,951
Hexcel Corp. †		497		19,284
Honeywell International, Inc.		3,465		287,734
Illinois Tool Works, Inc.		571		43,550
Iron Mountain, Inc.		381		10,295
Kansas City Southern		173		18,919
Kirby Corp. †		166		14,367
Lincoln Electric Holdings, Inc.		197		13,124
Lockheed Martin Corp.		339		43,239
Manitowoc Co., Inc./The		893		17,485
Masco Corp.		1,831		38,964
Norfolk Southern Corp.		121		9,359
Northrop Grumman Corp.		400		38,104
Old Dominion Freight Line, Inc. †		256		11,773
Owens Corning †		565		21,459
Precision Castparts Corp.		589		133,844
Raytheon Co.		500		38,535
Rockwell Automation, Inc.		400		42,776
Rollins, Inc.		380		10,074
Ryder System, Inc.		169		10,089
Southwest Airlines Co.		2,822		41,088
Swift Transportation Co. †		4,040		81,568
Teledyne Technologies, Inc. †		41		3,482
Terex Corp. †		1,248		41,933
Towers Watson & Co., Class A		202		21,606
Triumph Group, Inc.		44		3,090
Union Pacific Corp.		658		102,214
United Continental Holdings, Inc. †		2,286		70,203
United Parcel Service, Inc., Class B		166		15,167
United Rentals, Inc. †		643		37,480
USG Corp. †		586		16,748
Verisk Analytics, Inc., Class A †		448		29,102
Wabtec Corp.		250		15,717
Waste Connections, Inc.		407		18,482
WESCO International, Inc. †		423		32,372
				2,489,145
Information Technology - 16.1%
3D Systems Corp. †		1,160		62,628
Activision Blizzard, Inc.		2,500		41,675
Adobe Systems, Inc. †		1,800		93,492
Alliance Data Systems Corp. †		103		21,781
AOL, Inc. †		358		12,380
Apple, Inc.		22		10,489
Applied Materials, Inc.		4,694		82,333
Automatic Data Processing, Inc.		159		11,508
Cadence Design Systems, Inc. †		803		10,841
Cisco Systems, Inc.		18,841		441,256
CommVault Systems, Inc. †		125		10,979
Cree, Inc. †		795		47,851
Dell, Inc.		2,406		33,131
eBay, Inc. †		698		38,941
Electronic Arts, Inc. †		1,898		48,494
Equinix, Inc. †		116		21,303

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

88 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 2)
Information Technology - 16.1% (continued)
Facebook, Inc., Class A †		5,236	$	263,057
First Solar, Inc. †		1,121		45,075
FleetCor Technologies, Inc. †		550		60,588
Fortinet, Inc. †		124		2,512
Freescale Semiconductor Ltd. (Bermuda) †		907		15,102
Fusion-io, Inc. †		135		1,808
Google, Inc., Class A †		313		274,160
Guidewire Software, Inc. †		400		18,844
Hewlett-Packard Co.		6,896		144,678
IAC/InterActiveCorp		82		4,483
Intel Corp.		648		14,852
International Business Machines Corp.		24		4,444
Intuit, Inc.		74		4,907
IPG Photonics Corp.		133		7,489
Jack Henry & Associates, Inc.		216		11,148
KLA-Tencor Corp.		80		4,868
LinkedIn Corp., Class A †		535		131,642
Mastercard, Inc., Class A		235		158,103
Micron Technology, Inc. †		5,948		103,912
Microsoft Corp.		300		9,993
Motorola Solutions, Inc.		138		8,194
NCR Corp. †		290		11,487
NetSuite, Inc. †		217		23,423
NeuStar, Inc., Class A †		209		10,341
Nuance Communications, Inc. †		155		2,898
Oracle Corp.		621		20,599
Pandora Media, Inc. †		2,103		52,848
Qlik Technologies, Inc. †		416		14,244
QUALCOMM, Inc.		171		11,519
Rackspace Hosting, Inc. †		257		13,559
Salesforce.com, Inc. †		215		11,161
SanDisk Corp.		1,092		64,985
ServiceNow, Inc. †		1,009		52,418
SolarWinds, Inc. †		320		11,219
Splunk, Inc. †		874		52,475
SunPower Corp. †		800		20,928
Symantec Corp.		1,519		37,595
Teradata Corp. †		80		4,435
Texas Instruments, Inc.		3,000		120,810
TIBCO Software, Inc. †		93		2,380
Total System Services, Inc.		143		4,207
Ubiquiti Networks, Inc.		600		20,154
Ultimate Software Group, Inc./The †		87		12,824
Universal Display Corp. †		41		1,313
VeriFone Systems, Inc. †		48		1,097
Visa, Inc., Class A		2,110		403,221
VMware, Inc., Class A †		140		11,326
Western Digital Corp.		1,340		84,956
Xilinx, Inc.		413		19,353
Yahoo!, Inc. †		3,002		99,546
Yelp, Inc. †		300		19,854
Zillow, Inc., Class A †		200		16,874
				3,512,990
Materials - 1.9%
Airgas, Inc.		30		3,181
Allied Nevada Gold Corp. †		73		305
Axiall Corp.		400		15,116

	SHARES		VALUE (Note 2)
Materials - 1.9% (continued)
Carpenter Technology Corp.		51	$	2,964
Celanese Corp., Series A		24		1,267
CF Industries Holdings, Inc.		82		17,288
Chemtura Corp. †		890		20,461
Ecolab, Inc.		508		50,170
International Paper Co.		1,925		86,240
Monsanto Co.		721		75,251
NewMarket Corp.		42		12,092
Newmont Mining Corp.		60		1,686
PPG Industries, Inc.		318		53,125
Praxair, Inc.		34		4,087
Royal Gold, Inc.		48		2,336
Sherwin-Williams Co./The		270		49,189
WR Grace & Co. †		153		13,372
				408,130
Telecommunication Services - 0.1%
Crown Castle International Corp. †		380		27,752
Utilities - 0.7%
AGL Resources, Inc.		62		2,854
Ameren Corp.		110		3,832
American Electric Power Co., Inc.		418		18,120
American Water Works Co., Inc.		122		5,036
Calpine Corp. †		225		4,372
CenterPoint Energy, Inc.		247		5,921
Cleco Corp.		70		3,139
Consolidated Edison, Inc.		120		6,617
Dominion Resources, Inc.		205		12,808
DTE Energy Co.		87		5,740
FirstEnergy Corp.		177		6,452
ITC Holdings Corp.		37		3,473
NextEra Energy, Inc.		56		4,489
NiSource, Inc.		195		6,023
OGE Energy Corp.		396		14,292
ONEOK, Inc.		108		5,759
Pinnacle West Capital Corp.		73		3,996
Portland General Electric Co.		345		9,739
PPL Corp.		242		7,352
Questar Corp.		410		9,221
UIL Holdings Corp.		72		2,677
WGL Holdings, Inc.		68		2,904
Wisconsin Energy Corp.		89		3,594
Xcel Energy, Inc.		158		4,362
				152,772
TOTAL COMMON STOCKS (cost $17,910,616)				19,671,212
EXCHANGE-TRADED FUNDS - 5.8%
SPDR S&P 500 ETF Trust     (cost $1,271,253)		7,590		1,275,879

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

AQR Funds Annual Report September 2013 89

Schedule of Investments September 30, 2013

AQR TAX-MANAGED MOMENTUM FUND

	SHARES		VALUE (Note 2)
MONEY MARKET FUNDS - 3.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $777,926)		777,926	$	777,926
TOTAL INVESTMENTS - 99.5% (cost $19,959,795)				21,725,017
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5%				99,608
NET ASSETS - 100.0%			$	21,824,625

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

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

90 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

COMMON STOCKS - 98.2%	SHARES		VALUE (Note 2)
Consumer Discretionary - 17.6%
AFC Enterprises, Inc. †		273	$	11,900
American Axle & Manufacturing Holdings, Inc. †		1,038		20,469
American Public Education, Inc. †		58		2,192
America’s Car-Mart, Inc. †		61		2,752
ANN, Inc. †		88		3,187
Arctic Cat, Inc.		166		9,470
Asbury Automotive Group, Inc. †		376		20,003
Ascent Capital Group, Inc., Class A †		63		5,079
Beazer Homes USA, Inc. †		314		5,652
bebe stores, inc.		410		2,497
Big 5 Sporting Goods Corp.		448		7,204
BJ’s Restaurants, Inc. †		57		1,637
Black Diamond, Inc. †		382		4,645
Bob Evans Farms, Inc.		192		10,996
Bon-Ton Stores, Inc./The		543		5,729
Boyd Gaming Corp. †		773		10,938
Brown Shoe Co., Inc.		531		12,463
Brunswick Corp.		116		4,630
Buffalo Wild Wings, Inc. †		66		7,340
Cabela’s, Inc. †		102		6,429
Caesars Entertainment Corp. †		800		15,768
Capella Education Co. †		200		11,312
Carriage Services, Inc.		352		6,829
Charles & Colvard Ltd. †		1,300		9,113
Children’s Place Retail Stores, Inc./The †		73		4,224
Christopher & Banks Corp. †		1,379		9,943
Churchill Downs, Inc.		75		6,489
Conn’s, Inc. †		463		23,168
Cracker Barrel Old Country Store, Inc.		222		22,919
Dex Media, Inc. †		1,228		9,984
DineEquity, Inc.		99		6,831
Dixie Group, Inc./The †		600		6,684
Domino’s Pizza, Inc.		176		11,959
Dorman Products, Inc.		316		15,658
Drew Industries, Inc.		234		10,656
Einstein Noah Restaurant Group, Inc.		366		6,339
Entravision Communications Corp., Class A		2,467		14,555
EW Scripps Co., Class A †		758		13,909
Federal-Mogul Corp. †		1,000		16,790
Fiesta Restaurant Group, Inc. †		461		17,361
Fifth & Pacific Cos., Inc. †		513		12,892
Finish Line, Inc./The, Class A		238		5,919
Genesco, Inc. †		38		2,492
G-III Apparel Group Ltd. †		239		13,047
Grand Canyon Education, Inc. †		268		10,795
Gray Television, Inc. †		2,635		20,685
Group 1 Automotive, Inc.		93		7,224
Helen of Troy Ltd. (Bermuda) †		96		4,243
hhgregg, Inc. †		300		5,373
Hibbett Sports, Inc. †		72		4,043
Hillenbrand, Inc.		264		7,226
Hovnanian Enterprises, Inc., Class A †		2,515		13,153
Iconix Brand Group, Inc. †		430		14,285
iRobot Corp. †		130		4,897
Jos. A. Bank Clothiers, Inc. †		118		5,187
Journal Communications, Inc., Class A †		1,008		8,618

	SHARES		VALUE (Note 2)
Consumer Discretionary - 17.6% (continued)
KB Home		696	$	12,542
Kirkland’s, Inc. †		600		11,064
Krispy Kreme Doughnuts, Inc. †		925		17,889
La-Z-Boy, Inc.		430		9,765
LeapFrog Enterprises, Inc. †		701		6,603
Lions Gate Entertainment Corp. †		298		10,445
Lithia Motors, Inc., Class A		369		26,922
Loral Space & Communications, Inc.		167		11,311
Lumber Liquidators Holdings, Inc. †		278		29,649
M/I Homes, Inc. †		386		7,959
Marriott Vacations Worldwide Corp. †		734		32,296
MDC Holdings, Inc.		97		2,911
MDC Partners, Inc., Class A		407		11,388
Men’s Wearhouse, Inc./The		77		2,622
Meritage Homes Corp. †		248		10,652
Modine Manufacturing Co. †		900		13,167
Monro Muffler Brake, Inc.		114		5,300
Movado Group, Inc.		246		10,762
Multimedia Games Holding Co., Inc. †		490		16,929
NACCO Industries, Inc., Class A		143		7,925
Nautilus, Inc. †		1,157		8,354
New York Times Co./The, Class A †		552		6,939
Nexstar Broadcasting Group, Inc., Class A		479		21,318
Orbitz Worldwide, Inc. †		1,814		17,469
Orient-Express Hotels Ltd., Class A (Bermuda) †		546		7,087
Outerwall, Inc. †		52		2,599
Overstock.com, Inc. †		485		14,390
Oxford Industries, Inc.		75		5,098
Pacific Sunwear of California, Inc. †		1,884		5,652
Papa John’s International, Inc.		112		7,827
Penske Automotive Group, Inc.		131		5,598
Pier 1 Imports, Inc.		221		4,314
Pinnacle Entertainment, Inc. †		500		12,525
Pool Corp.		199		11,170
Quiksilver, Inc. †		2,126		14,946
ReachLocal, Inc. †		262		3,120
Red Robin Gourmet Burgers, Inc. †		87		6,186
Ryland Group, Inc./The		603		24,446
Shutterfly, Inc. †		404		22,576
Sinclair Broadcast Group, Inc., Class A		303		10,157
Skechers U.S.A., Inc., Class A †		234		7,280
Smith & Wesson Holding Corp. †		1,136		12,485
Sonic Automotive, Inc., Class A		237		5,641
Stage Stores, Inc.		411		7,891
Standard Motor Products, Inc.		641		20,615
Standard Pacific Corp. †		722		5,711
Steven Madden Ltd. †		109		5,867
Stoneridge, Inc. †		664		7,178
Sturm, Ruger & Co., Inc.		220		13,779
Thor Industries, Inc.		654		37,958
Tile Shop Holdings, Inc. †		200		5,898
Tower International, Inc. †		753		15,052
Tuesday Morning Corp. †		1,155		17,637
Universal Electronics, Inc. †		400		14,412
ValueVision Media, Inc., Class A †		1,392		6,055
Winnebago Industries, Inc. †		504		13,084

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

AQR Funds Annual Report September 2013 91

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Consumer Discretionary - 17.6% (continued)
Zale Corp. †		736	$	11,187
				1,213,384
Consumer Staples - 3.6%
Andersons, Inc./The		86		6,011
B&G Foods, Inc.		336		11,609
Boston Beer Co., Inc./The, Class A †		72		17,583
Boulder Brands, Inc. †		962		15,431
Calavo Growers, Inc.		67		2,026
Cal-Maine Foods, Inc.		101		4,858
Chiquita Brands International, Inc. †		500		6,330
Coca-Cola Bottling Co. Consolidated		37		2,317
Dean Foods Co. †		353		6,813
Elizabeth Arden, Inc. †		131		4,837
Fresh Del Monte Produce, Inc.		157		4,660
Hain Celestial Group, Inc./The †		80		6,170
Harbinger Group, Inc. †		1,228		12,734
J&J Snack Foods Corp.		84		6,780
Lancaster Colony Corp.		40		3,132
Lifevantage Corp. †		3,107		7,395
Medifast, Inc. †		203		5,459
Natural Grocers by Vitamin Cottage, Inc. †		200		7,940
Post Holdings, Inc. †		339		13,685
Prestige Brands Holdings, Inc. †		333		10,030
Revlon, Inc., Class A †		233		6,470
Rite Aid Corp. †		1,984		9,444
Sanderson Farms, Inc.		65		4,241
Snyders-Lance, Inc.		152		4,385
Spartan Stores, Inc.		107		2,360
Spectrum Brands Holdings, Inc.		123		8,098
Star Scientific, Inc. †		1,901		3,631
SUPERVALU, Inc. †		2,561		21,077
Susser Holdings Corp. †		195		10,364
Universal Corp.		72		3,667
USANA Health Sciences, Inc. †		100		8,679
WD-40 Co.		78		5,062
Weis Markets, Inc.		80		3,915
WhiteWave Foods Co., Class A †		136		2,716
				249,909
Energy - 4.5%
Alon USA Energy, Inc.		541		5,524
Bonanza Creek Energy, Inc. †		606		29,246
Bristow Group, Inc.		51		3,711
Cheniere Energy, Inc. †		188		6,418
Crosstex Energy, Inc.		243		5,076
Dawson Geophysical Co. †		173		5,617
Delek US Holdings, Inc.		505		10,650
Enbridge Energy Management LLC		109		3,137
EPL Oil & Gas, Inc. †		761		28,241
Exterran Holdings, Inc. †		523		14,419
Geospace Technologies Corp. †		120		10,116
Green Plains Renewable Energy, Inc.		916		14,702
Gulf Island Fabrication, Inc.		61		1,495
Halcon Resources Corp. †		354		1,568
Hercules Offshore, Inc. †		2,014		14,843
Hornbeck Offshore Services, Inc. †		60		3,446
Kodiak Oil & Gas Corp. †		259		3,124

	SHARES		VALUE (Note 2)
Energy - 4.5% (continued)
Matador Resources Co. †		400	$	6,532
Natural Gas Services Group, Inc. †		400		10,728
Newpark Resources, Inc. †		1,331		16,851
PDC Energy, Inc. †		284		16,909
PHI, Inc. †		89		3,356
Renewable Energy Group, Inc. †		781		11,832
Rentech, Inc.		1,324		2,622
Rex Energy Corp. †		535		11,931
RigNet, Inc. †		451		16,335
SemGroup Corp., Class A		440		25,089
Ship Finance International Ltd. (Norway)		197		3,008
TETRA Technologies, Inc. †		1,000		12,530
Western Refining, Inc.		170		5,107
Willbros Group, Inc. †		758		6,958
				311,121
Financials - 15.3%
Acadia Realty Trust REIT		188		4,640
Alexander & Baldwin, Inc. †		121		4,358
American Assets Trust, Inc. REIT		205		6,255
AMERISAFE, Inc.		115		4,084
Amtrust Financial Services, Inc.		198		7,734
Associated Estates Realty Corp. REIT		200		2,982
Bank of the Ozarks, Inc.		413		19,820
Banner Corp.		212		8,090
BBCN Bancorp, Inc.		497		6,839
BofI Holding, Inc. †		288		18,680
Boston Private Financial Holdings, Inc.		425		4,717
Cash America International, Inc.		26		1,177
Cedar Realty Trust, Inc. REIT		989		5,123
Chatham Lodging Trust REIT		230		4,108
Chesapeake Lodging Trust REIT		227		5,344
CNO Financial Group, Inc.		725		10,440
Cohen & Steers, Inc.		106		3,743
Community Trust Bancorp, Inc.		85		3,450
Consumer Portfolio Services, Inc. †		1,224		7,258
CoreSite Realty Corp. REIT		334		11,336
CubeSmart REIT		492		8,777
CVB Financial Corp.		482		6,517
DFC Global Corp. †		70		769
Eagle Bancorp, Inc. †		123		3,480
EastGroup Properties, Inc. REIT		4		237
Education Realty Trust, Inc. REIT		244		2,220
eHealth, Inc. †		349		11,259
Employers Holdings, Inc.		119		3,539
Enstar Group Ltd. (Bermuda) †		55		7,513
EverBank Financial Corp.		1,190		17,826
Evercore Partners, Inc., Class A		300		14,769
Excel Trust, Inc. REIT		95		1,140
Ezcorp, Inc., Class A †		144		2,431
FBL Financial Group, Inc., Class A		141		6,331
FBR & Co. †		566		15,174
Federal Agricultural Mortgage Corp., Class C		183		6,109
FelCor Lodging Trust, Inc. REIT †		1,903		11,722
Fidus Investment Corp.		866		16,800
Financial Engines, Inc.		682		40,538
First Cash Financial Services, Inc. †		128		7,418
First Industrial Realty Trust, Inc. REIT		254		4,133

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

92 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Financials - 15.3% (continued)
First Interstate Bancsystem, Inc.		1,083	$	26,154
Flagstar Bancorp, Inc. †		387		5,712
FXCM, Inc., Class A		276		5,451
Geo Group, Inc./The REIT		357		11,870
Gladstone Investment Corp.		220		1,551
Golub Capital BDC, Inc.		236		4,092
Green Dot Corp., Class A †		300		7,899
HCI Group, Inc.		513		20,951
HFF, Inc., Class A		152		3,808
Home BancShares, Inc.		574		17,432
Home Loan Servicing Solutions Ltd. (Cayman Islands)		760		16,728
HomeStreet, Inc.		265		5,114
Hudson Pacific Properties, Inc. REIT		351		6,827
International Bancshares Corp.		362		7,830
Investors Bancorp, Inc.		291		6,367
Kemper Corp.		236		7,930
Lakeland Financial Corp.		116		3,787
LTC Properties, Inc. REIT		138		5,241
Maiden Holdings Ltd. (Bermuda)		347		4,098
Main Street Capital Corp.		317		9,488
Manning & Napier, Inc.		250		4,170
MarketAxess Holdings, Inc.		166		9,967
MBIA, Inc. †		175		1,790
Meadowbrook Insurance Group, Inc.		279		1,813
Medley Capital Corp.		626		8,633
MGIC Investment Corp. †		4,392		31,974
National Penn Bancshares, Inc.		380		3,819
Nelnet, Inc., Class A		400		15,380
New Mountain Finance Corp.		721		10,390
Old National Bancorp		280		3,976
OneBeacon Insurance Group Ltd., Class A		661		9,756
Oritani Financial Corp.		260		4,280
Pacific Premier Bancorp, Inc. †		458		6,155
PacWest Bancorp		303		10,411
Pennsylvania Real Estate Investment Trust REIT		303		5,666
PHH Corp. †		493		11,704
Pinnacle Financial Partners, Inc. †		181		5,396
Platinum Underwriters Holdings Ltd. (Bermuda)		224		13,379
Portfolio Recovery Associates, Inc. †		36		2,158
Primerica, Inc.		444		17,911
PrivateBancorp, Inc.		381		8,153
PS Business Parks, Inc. REIT		43		3,209
Radian Group, Inc.		2,902		40,425
RAIT Financial Trust REIT		853		6,039
Ramco-Gershenson Properties Trust REIT		567		8,737
Regional Management Corp. †		200		6,360
Retail Opportunity Investments Corp. REIT		228		3,151
Rockville Financial, Inc.		141		1,833
Rouse Properties, Inc. REIT		525		10,804
Sabra Health Care REIT, Inc. REIT		393		9,043
Selective Insurance Group, Inc.		315		7,717
Sovran Self Storage, Inc. REIT		110		8,325
STAG Industrial, Inc. REIT		988		19,879
Stewart Information Services Corp.		227		7,262

	SHARES		VALUE (Note 2)
Financials - 15.3% (continued)
Strategic Hotels & Resorts, Inc. REIT †		1,142	$	9,913
Sun Communities, Inc. REIT		184		7,842
Sunstone Hotel Investors, Inc. REIT		238		3,032
Susquehanna Bancshares, Inc.		548		6,877
Symetra Financial Corp.		671		11,957
Synovus Financial Corp.		5,006		16,520
Texas Capital Bancshares, Inc. †		146		6,712
THL Credit, Inc.		680		10,622
Triangle Capital Corp.		324		9,516
Trustmark Corp.		208		5,325
UMB Financial Corp.		34		1,848
Umpqua Holdings Corp.		478		7,753
United Bankshares, Inc.		73		2,116
United Community Banks, Inc./GA †		1,200		18,000
Universal Health Realty Income Trust REIT		73		3,056
ViewPoint Financial Group, Inc.		492		10,170
Virtus Investment Partners, Inc. †		149		24,233
Walker & Dunlop, Inc. †		462		7,350
Walter Investment Management Corp. †		238		9,410
Webster Financial Corp.		223		5,693
WesBanco, Inc.		152		4,519
Western Alliance Bancorp †		525		9,938
Whitestone REIT REIT		253		3,727
WisdomTree Investments, Inc. †		1,947		22,605
World Acceptance Corp. †		66		5,935
				1,051,544
Health Care - 16.5%
Abaxis, Inc.		257		10,820
ABIOMED, Inc. †		235		4,481
Acadia Healthcare Co., Inc. †		876		34,541
ACADIA Pharmaceuticals, Inc. †		1,474		40,491
Accelerate Diagnostics, Inc. †		400		5,364
AcelRx Pharmaceuticals, Inc. †		1,155		12,439
Achillion Pharmaceuticals, Inc. †		345		1,042
Acorda Therapeutics, Inc. †		209		7,164
Addus HomeCare Corp. †		800		23,176
Aegerion Pharmaceuticals, Inc. †		334		28,627
Akorn, Inc. †		262		5,156
Albany Molecular Research, Inc. †		622		8,018
Align Technology, Inc. †		105		5,053
Alkermes PLC (Ireland) †		155		5,211
Alnylam Pharmaceuticals, Inc. †		683		43,719
AMN Healthcare Services, Inc. †		743		10,224
Amsurg Corp. †		151		5,995
Analogic Corp.		62		5,124
Anika Therapeutics, Inc. †		394		9,440
Antares Pharma, Inc. †		931		3,780
Arena Pharmaceuticals, Inc. †		475		2,503
Ariad Pharmaceuticals, Inc. †		118		2,171
Array BioPharma, Inc. †		1,518		9,442
Biolase, Inc. †		2,045		3,906
Bio-Reference Labs, Inc. †		414		12,370
BioScrip, Inc. †		757		6,646
BioTelemetry, Inc. †		600		5,946
Cambrex Corp. †		263		3,472
Cantel Medical Corp.		420		13,377
Capital Senior Living Corp. †		432		9,137

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

AQR Funds Annual Report September 2013 93

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Health Care - 16.5% (continued)
Celldex Therapeutics, Inc. †		715	$	25,332
Celsion Corp. †		3,294		3,788
Centene Corp. †		61		3,902
Clovis Oncology, Inc. †		437		26,561
Curis, Inc. †		447		1,994
Cynosure, Inc., Class A †		245		5,588
Cytokinetics, Inc. †		693		5,260
DexCom, Inc. †		511		14,426
Dyax Corp. †		1,187		8,143
Endocyte, Inc. †		780		10,397
Endologix, Inc. †		490		7,904
Exact Sciences Corp. †		307		3,626
ExamWorks Group, Inc. †		253		6,575
Exelixis, Inc. †		177		1,030
Furiex Pharmaceuticals, Inc. †		316		13,901
GenMark Diagnostics, Inc. †		694		8,432
Genomic Health, Inc. †		224		6,850
Gentiva Health Services, Inc. †		402		4,840
Hanger, Inc. †		261		8,811
HealthStream, Inc. †		255		9,659
ICU Medical, Inc. †		259		17,594
Idenix Pharmaceuticals, Inc. †		334		1,740
ImmunoGen, Inc. †		127		2,162
Infinity Pharmaceuticals, Inc. †		209		3,647
Insmed, Inc. †		690		10,771
Insulet Corp. †		205		7,429
IPC The Hospitalist Co., Inc. †		27		1,377
Isis Pharmaceuticals, Inc. †		272		10,211
Jazz Pharmaceuticals PLC (Ireland) †		72		6,622
Keryx Biopharmaceuticals, Inc. †		1,979		19,988
Lexicon Pharmaceuticals, Inc. †		4,198		9,949
Ligand Pharmaceuticals, Inc., Class B †		179		7,747
Luminex Corp. †		195		3,900
Magellan Health Services, Inc. †		46		2,758
MannKind Corp. †		4,253		24,242
MedAssets, Inc. †		339		8,617
Medicines Co./The †		172		5,765
Medidata Solutions, Inc. †		359		35,516
Merge Healthcare, Inc. †		546		1,425
Merit Medical Systems, Inc. †		161		1,953
MiMedx Group, Inc. †		2,091		8,719
Momenta Pharmaceuticals, Inc. †		100		1,439
MWI Veterinary Supply, Inc. †		55		8,215
Nanosphere, Inc. †		1,970		3,940
National Research Corp., Class B		280		8,361
Navidea Biopharmaceuticals, Inc. †		438		1,161
Nektar Therapeutics †		348		3,637
Neurocrine Biosciences, Inc. †		500		5,660
NewLink Genetics Corp. †		309		5,803
NPS Pharmaceuticals, Inc. †		1,089		34,641
Omeros Corp. †		547		5,333
Omnicell, Inc. †		488		11,556
Oncothyreon, Inc. †		759		1,564
OPKO Health, Inc. †		1,845		16,254
Orexigen Therapeutics, Inc. †		1,467		9,007
Pacira Pharmaceuticals, Inc. †		707		34,000
PAREXEL International Corp. †		228		11,452

	SHARES		VALUE (Note 2)
Health Care - 16.5% (continued)
Peregrine Pharmaceuticals, Inc. †		3,139	$	4,426
Pharmacyclics, Inc. †		104		14,396
Providence Service Corp./The †		400		11,476
Puma Biotechnology, Inc. †		416		22,323
Questcor Pharmaceuticals, Inc.		200		11,600
Quidel Corp. †		203		5,765
Raptor Pharmaceutical Corp. †		400		5,976
Repros Therapeutics, Inc. †		959		25,701
RTI Surgical, Inc. †		1,546		5,782
Santarus, Inc. †		731		16,499
Sarepta Therapeutics, Inc. †		473		22,340
Skilled Healthcare Group, Inc., Class A †		623		2,716
Spectranetics Corp. †		556		9,330
Spectrum Pharmaceuticals, Inc.		151		1,267
Sunesis Pharmaceuticals, Inc. †		1,476		7,321
Synergy Pharmaceuticals, Inc. †		711		3,249
Synta Pharmaceuticals Corp. †		981		6,190
TearLab Corp. †		1,163		12,863
TESARO, Inc. †		556		21,539
TG Therapeutics, Inc. †		1,200		6,108
Threshold Pharmaceuticals, Inc. †		1,495		6,952
Universal American Corp.		417		3,178
Vanda Pharmaceuticals, Inc. †		600		6,582
Vivus, Inc. †		199		1,855
West Pharmaceutical Services, Inc.		216		8,888
Wright Medical Group, Inc. †		352		9,180
XenoPort, Inc. †		1,277		7,253
ZIOPHARM Oncology, Inc. †		300		1,185
				1,131,949
Industrials - 15.0%
AAON, Inc.		196		5,206
AAR Corp.		300		8,199
Aceto Corp.		644		10,059
Advisory Board Co./The †		101		6,008
Aerovironment, Inc. †		107		2,472
Aircastle Ltd.		713		12,413
Albany International Corp., Class A		105		3,766
Allegiant Travel Co.		229		24,127
AMERCO		85		15,651
American Railcar Industries, Inc.		113		4,433
American Woodmark Corp. †		270		9,356
Apogee Enterprises, Inc.		271		8,043
Applied Industrial Technologies, Inc.		164		8,446
Argan, Inc.		130		2,856
Arkansas Best Corp.		300		7,701
Astec Industries, Inc.		103		3,704
Astronics Corp. †		275		13,670
Avis Budget Group, Inc. †		469		13,521
AZZ, Inc.		116		4,856
Barnes Group, Inc.		224		7,822
Barrett Business Services, Inc.		211		14,202
Beacon Roofing Supply, Inc. †		535		19,725
Brink’s Co./The		68		1,924
Builders FirstSource, Inc.		1,259		7,403
Capstone Turbine Corp. †		1,193		1,408
Chart Industries, Inc. †		43		5,291
Coleman Cable, Inc.		471		9,943

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

94 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Industrials - 15.0% (continued)
Colfax Corp. †		113	$	6,383
Corporate Executive Board Co./The		53		3,849
Deluxe Corp.		367		15,289
DigitalGlobe, Inc. †		275		8,696
Douglas Dynamics, Inc.		179		2,637
Ducommun, Inc. †		394		11,300
DXP Enterprises, Inc. †		198		15,636
Dycom Industries, Inc. †		159		4,450
Echo Global Logistics, Inc. †		134		2,806
Encore Wire Corp.		111		4,378
Energy Recovery, Inc. †		1,600		11,600
EnerNOC, Inc. †		398		5,966
EnerSys, Inc.		213		12,914
Engility Holdings, Inc. †		300		9,519
Erickson Air-Crane, Inc. †		537		8,409
Exponent, Inc.		69		4,957
Federal Signal Corp. †		900		11,583
Forward Air Corp.		130		5,246
Franklin Electric Co., Inc.		202		7,959
FTI Consulting, Inc. †		53		2,003
G&K Services, Inc., Class A		300		18,117
GATX Corp.		58		2,756
GenCorp, Inc. †		588		9,426
Generac Holdings, Inc.		415		17,696
Gibraltar Industries, Inc. †		498		7,101
GP Strategies Corp. †		152		3,985
H&E Equipment Services, Inc. †		289		7,676
Healthcare Services Group, Inc.		518		13,344
Huron Consulting Group, Inc. †		102		5,366
Hyster-Yale Materials Handling, Inc.		124		11,119
InnerWorkings, Inc. †		264		2,592
Kaman Corp.		93		3,521
KEYW Holding Corp./The †		419		5,636
Kimball International, Inc., Class B		371		4,114
Lydall, Inc. †		499		8,568
Macquarie Infrastructure Co. LLC		173		9,262
Manitex International, Inc. †		495		5,410
Manitowoc Co., Inc./The		444		8,694
MasTec, Inc. †		395		11,969
Matson, Inc.		121		3,174
McGrath RentCorp.		83		2,963
Meritor, Inc. †		1,000		7,860
Middleby Corp./The †		56		11,699
Mine Safety Appliances Co.		161		8,309
Mobile Mini, Inc. †		427		14,544
Mueller Industries, Inc.		166		9,241
Mueller Water Products, Inc., Class A		2,456		19,623
Multi-Color Corp.		103		3,495
Navigant Consulting, Inc. †		256		3,958
Nortek, Inc. †		210		14,429
On Assignment, Inc. †		426		14,058
Patrick Industries, Inc. †		922		27,706
PGT, Inc. †		1,116		11,060
PowerSecure International, Inc. †		946		15,183
Primoris Services Corp.		239		6,087
Proto Labs, Inc. †		519		39,646
Quad/Graphics, Inc.		555		16,850

	SHARES		VALUE (Note 2)
Industrials - 15.0% (continued)
Quality Distribution, Inc. †		153	$	1,414
RBC Bearings, Inc. †		66		4,349
Republic Airways Holdings, Inc. †		642		7,640
Revolution Lighting Technologies, Inc. †		2,703		6,920
Roadrunner Transportation Systems, Inc. †		302		8,528
Saia, Inc. †		343		10,695
Simpson Manufacturing Co., Inc.		89		2,899
Spirit Airlines, Inc. †		821		28,136
Standex International Corp.		60		3,564
Steelcase, Inc., Class A		547		9,091
Swift Transportation Co. †		680		13,729
Taser International, Inc. †		964		14,373
Team, Inc. †		99		3,935
Tecumseh Products Co., Class A †		489		4,377
Tennant Co.		62		3,844
Textainer Group Holdings Ltd.		231		8,748
Thermon Group Holdings, Inc. †		117		2,704
Titan International, Inc.		137		2,006
Trex Co., Inc. †		201		9,956
TriMas Corp. †		313		11,675
TrueBlue, Inc. †		500		12,005
UniFirst Corp.		100		10,442
United Rentals, Inc. †		89		5,188
United Stationers, Inc.		120		5,220
US Ecology, Inc.		115		3,465
USG Corp. †		223		6,373
Wabash National Corp. †		826		9,631
WageWorks, Inc. †		651		32,843
Werner Enterprises, Inc.		267		6,229
XPO Logistics, Inc. †		226		4,897
YRC Worldwide, Inc. †		268		4,524
				1,033,422
Information Technology - 20.0%
3D Systems Corp. †		133		7,181
ACI Worldwide, Inc. †		147		7,947
Actuate Corp. †		330		2,425
Acxiom Corp. †		400		11,356
Advanced Energy Industries, Inc. †		300		5,256
Advent Software, Inc.		300		9,525
Alliance Fiber Optic Products, Inc.		966		19,774
Angie’s List, Inc. †		802		18,045
Applied Micro Circuits Corp. †		1,291		16,654
ARRIS Group, Inc. †		436		7,438
Aspen Technology, Inc. †		281		9,709
ATMI, Inc. †		113		2,997
Axcelis Technologies, Inc. †		2,288		4,828
Blackbaud, Inc.		186		7,261
Blucora, Inc. †		397		9,123
Booz Allen Hamilton Holding Corp.		459		8,868
Brooks Automation, Inc.		216		2,011
CACI International, Inc., Class A †		39		2,695
CalAmp Corp. †		717		12,641
Calix, Inc. †		798		10,159
Carbonite, Inc. †		500		7,500
Cardtronics, Inc. †		192		7,123
Cass Information Systems, Inc.		62		3,309
Checkpoint Systems, Inc. †		800		13,360

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

AQR Funds Annual Report September 2013 95

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Information Technology - 20.0% (continued)
Ciena Corp. †		300	$	7,494
Cirrus Logic, Inc. †		157		3,561
Clearfield, Inc. †		661		8,877
Cognex Corp.		218		6,836
Coherent, Inc.		68		4,179
CommVault Systems, Inc. †		72		6,324
comScore, Inc. †		500		14,485
Comtech Telecommunications Corp.		107		2,602
Cornerstone OnDemand, Inc. †		597		30,710
CoStar Group, Inc. †		108		18,133
Cray, Inc. †		618		14,875
Datalink Corp. †		600		8,112
Dealertrack Technologies, Inc. †		171		7,326
Demandware, Inc. †		400		18,532
eGain Corp. †		1,177		17,761
Electronics For Imaging, Inc. †		383		12,133
Ellie Mae, Inc. †		597		19,110
Entegris, Inc. †		550		5,582
Envestnet, Inc. †		492		15,252
EPAM Systems, Inc. †		619		21,355
ePlus, Inc.		90		4,651
Euronet Worldwide, Inc. †		343		13,651
Exar Corp. †		1,200		16,092
ExlService Holdings, Inc. †		162		4,614
Fair Isaac Corp.		165		9,121
FARO Technologies, Inc. †		79		3,331
FEI Co.		87		7,639
Global Cash Access Holdings, Inc. †		470		3,671
Glu Mobile, Inc. †		1,754		4,894
GT Advanced Technologies, Inc. †		207		1,762
Guidewire Software, Inc. †		212		9,987
Harmonic, Inc. †		600		4,614
Heartland Payment Systems, Inc.		174		6,911
Hutchinson Technology, Inc. †		1,615		5,620
Immersion Corp. †		870		11,475
Imperva, Inc. †		300		12,606
Infinera Corp. †		1,581		17,881
Infoblox, Inc. †		200		8,364
Information Services Group, Inc. †		2,600		10,764
Insight Enterprises, Inc. †		194		3,670
Integrated Device Technology, Inc. †		1,700		16,014
Integrated Silicon Solution, Inc. †		174		1,895
Interactive Intelligence Group, Inc. †		216		13,714
Intermolecular, Inc. †		459		2,529
IntraLinks Holdings, Inc. †		1,161		10,217
Ixia †		225		3,526
j2 Global, Inc.		328		16,243
Kulicke & Soffa Industries, Inc. (Singapore) †		235		2,714
Lattice Semiconductor Corp. †		450		2,007
Lexmark International, Inc., Class A		600		19,800
Liquidity Services, Inc. †		81		2,718
LivePerson, Inc. †		246		2,322
Manhattan Associates, Inc. †		104		9,927
Mattson Technology, Inc. †		2,700		6,453
MAXIMUS, Inc.		274		12,341
Measurement Specialties, Inc. †		178		9,655
Mentor Graphics Corp.		559		13,064

	SHARES		VALUE (Note 2)
Information Technology - 20.0% (continued)
Meru Networks, Inc. †		1,189	$	3,888
Methode Electronics, Inc.		612		17,136
MicroStrategy, Inc., Class A †		10		1,038
Mitek Systems, Inc. †		1,203		6,232
MKS Instruments, Inc.		143		3,802
Monolithic Power Systems, Inc.		276		8,357
Monotype Imaging Holdings, Inc.		488		13,986
Move, Inc. †		700		11,865
MTS Systems Corp.		53		3,411
Nanometrics, Inc. †		125		2,015
NeoPhotonics Corp. †		1,354		10,006
Netscout Systems, Inc. †		276		7,057
NetSol Technologies, Inc. †		781		7,833
NIC, Inc.		574		13,265
OpenTable, Inc. †		200		13,996
OSI Systems, Inc. †		155		11,543
Parkervision, Inc. †		2,090		7,002
PDF Solutions, Inc. †		254		5,398
Power Integrations, Inc.		200		10,830
Proofpoint, Inc. †		631		20,268
PROS Holdings, Inc. †		171		5,846
Rambus, Inc. †		1,805		16,967
Rogers Corp. †		60		3,569
Sanmina Corp. †		991		17,333
Sapient Corp. †		247		3,846
ScanSource, Inc. †		78		2,699
SciQuest, Inc. †		382		8,580
Semtech Corp. †		117		3,509
Silicon Graphics International Corp. †		702		11,408
Sonus Networks, Inc. †		4,001		13,523
Spansion, Inc., Class A †		279		2,815
SPS Commerce, Inc. †		477		31,921
SS&C Technologies Holdings, Inc. †		374		14,249
Stamps.com, Inc. †		380		17,453
Stratasys Ltd. †		59		5,974
SunEdison, Inc. †		3,409		27,170
SunPower Corp. †		1,245		32,569
Super Micro Computer, Inc. †		181		2,451
Synchronoss Technologies, Inc. †		200		7,612
Take-Two Interactive Software, Inc. †		508		9,225
TiVo, Inc. †		368		4,578
Tyler Technologies, Inc. †		137		11,983
Ubiquiti Networks, Inc.		500		16,795
Ultimate Software Group, Inc./The †		83		12,234
Ultratech, Inc. †		112		3,394
Uni-Pixel, Inc. †		629		11,152
United Online, Inc.		1,323		10,558
ValueClick, Inc. †		771		16,075
VirnetX Holding Corp. †		80		1,632
Vishay Intertechnology, Inc. †		607		7,824
Web.com Group, Inc. †		429		13,874
WebMD Health Corp. †		546		15,616
Yelp, Inc. †		641		42,421
Zhone Technologies, Inc. †		2,700		8,505
Zillow, Inc., Class A †		320		26,998
				1,378,167

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

96 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 2)
Materials - 4.5%
Advanced Emissions Solutions, Inc. †		275	$	11,748
AEP Industries, Inc. †		90		6,688
AMCOL International Corp.		59		1,928
American Pacific Corp. †		425		23,273
American Vanguard Corp.		323		8,695
Balchem Corp.		182		9,418
Calgon Carbon Corp. †		158		3,000
Century Aluminum Co. †		800		6,440
Chemtura Corp. †		320		7,357
Deltic Timber Corp.		41		2,671
Eagle Materials, Inc.		154		11,173
Flotek Industries, Inc. †		574		13,202
FutureFuel Corp.		387		6,951
Graphic Packaging Holding Co. †		551		4,717
H.B. Fuller Co.		215		9,716
Haynes International, Inc.		62		2,810
Headwaters, Inc. †		1,216		10,932
Innophos Holdings, Inc.		147		7,759
Innospec, Inc.		119		5,553
KapStone Paper and Packaging Corp.		475		20,330
Louisiana-Pacific Corp. †		209		3,676
LSB Industries, Inc. †		79		2,649
Myers Industries, Inc.		203		4,082
Olin Corp.		256		5,906
OM Group, Inc. †		200		6,756
Paramount Gold and Silver Corp. †		449		579
PH Glatfelter Co.		228		6,172
PolyOne Corp.		556		17,075
RTI International Metals, Inc. †		181		5,799
Schweitzer-Mauduit International, Inc.		200		12,106
Stepan Co.		84		4,849
Texas Industries, Inc. †		211		13,991
Tredegar Corp.		203		5,278
US Concrete, Inc. †		611		12,257
US Silica Holdings, Inc.		764		19,024
Worthington Industries, Inc.		377		12,980
Zoltek Cos., Inc. †		200		3,338
				310,878
Telecommunication Services - 0.7%
8x8, Inc. †		1,152		11,601
Atlantic Tele-Network, Inc.		74		3,858
Cincinnati Bell, Inc. †		883		2,402
Cogent Communications Group, Inc.		214		6,901
Consolidated Communications Holdings, Inc.		147		2,534
IDT Corp., Class B		555		9,851
Lumos Networks Corp.		321		6,956
Premiere Global Services, Inc. †		278		2,769
				46,872
Utilities - 0.5%
ALLETE, Inc.		35		1,690
American States Water Co.		164		4,520
Black Hills Corp.		75		3,740
Chesapeake Utilities Corp.		72		3,779
El Paso Electric Co.		44		1,470
MGE Energy, Inc.		78		4,255
Otter Tail Corp.		366		10,102

	SHARES		VALUE (Note 2)
Utilities - 0.5% (continued)
South Jersey Industries, Inc.		37	$	2,167
Unitil Corp.		94		2,751
				34,474
TOTAL COMMON STOCKS (cost $5,280,157)				6,761,720
EXCHANGE-TRADED FUNDS - 1.3%
iShares Russell 2000 Index Fund
(cost $82,818)		841		89,667
MONEY MARKET FUNDS - 1.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $126,302)		126,302		126,302
TOTAL INVESTMENTS - 101.3% (cost $5,489,277)				6,977,689
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.3%)				(91,470)
NET ASSETS - 100.0%			$	6,886,219

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report September 2013 97

Schedule of Investments September 30, 2013

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

COMMON STOCKS - 86.0%	SHARES		VALUE (Note 2)
Australia - 6.2%
ALS Ltd.		295	$	2,890
Amcor Ltd.		9,314		90,873
Aurizon Holdings Ltd.		3,392		14,821
Australia & New Zealand Banking Group Ltd.		1,377		39,592
Coca-Cola Amatil Ltd.		386		4,421
Commonwealth Bank of Australia		815		54,165
CSL Ltd.		8,253		492,605
Dexus Property Group REIT		4,204		3,935
Federation Centres Ltd. REIT		6,256		13,342
GPT Group REIT		1,253		4,066
National Australia Bank Ltd.		1,442		46,203
Orica Ltd.		113		2,117
Santos Ltd.		278		3,918
Telecom Corp of New Zealand Ltd.		1,966		3,761
Telstra Corp. Ltd.		16,142		74,902
Wesfarmers Ltd.		1,172		45,024
Westfield Retail Trust REIT		16,763		46,468
Westpac Banking Corp.		3,086		94,329
Woolworths Ltd.		1,566		51,174
				1,088,606
Austria - 0.4%
Andritz AG		416		24,481
Erste Group Bank AG		785		24,807
Raiffeisen Bank International AG		448		14,666
				63,954
Belgium - 0.5%
Ageas		619		25,083
Anheuser-Busch InBev NV		318		31,545
Belgacom SA		94		2,500
KBC Groep NV		457		22,485
RTL Group SA		62		6,288
UCB SA		98		5,964
				93,865
Bermuda - 0.1%
Gulf Keystone Petroleum Ltd.†		2,240		7,010
Seadrill Ltd.		77		3,458
				10,468
Canada - 12.3%
Alimentation Couche Tard, Inc., Class B (1)		1,246		77,684
AltaGas Ltd. (1)		100		3,554
Bank of Montreal (1)		100		6,674
BCE, Inc. (1)		136		5,812
Boardwalk Real Estate Investment Trust REIT (1)		100		5,593
Brookfield Asset Management, Inc., Class A (1)		509		19,045
Brookfield Office Properties, Inc. (1)		100		1,916
Calloway Real Estate Investment Trust REIT (1)		100		2,364
Canadian Pacific Railway Ltd. (1)		2,223		274,279
CGI Group, Inc., Class A (1)†		676		23,725
CI Financial Corp. (1)		800		24,185
Constellation Software, Inc. (1)		708		124,829

	SHARES		VALUE (Note 2)
Canada - 12.3% (continued)
Dollarama, Inc. (1)		109	$	8,858
Empire Co., Ltd., Class A (1)		100		7,220
Ensign Energy Services, Inc. (1)		100		1,713
First Majestic Silver Corp. (1)†		100		1,184
Fortis, Inc. (1)		100		3,038
Gildan Activewear, Inc. (1)		1,656		76,848
IGM Financial, Inc. (1)		100		4,666
Industrial Alliance Insurance & Financial Services, Inc. (1)		800		33,800
Intact Financial Corp. (1)		100		5,998
Jean Coutu Group PJC, Inc./The, Class A (1)		200		3,532
Loblaw Cos., Ltd. (1)		10,365		457,950
Magna International, Inc. (1)		3,044		251,044
Manulife Financial Corp. (1)		8,752		144,783
Metro, Inc. (1)		100		6,255
National Bank of Canada (1)		100		8,259
Onex Corp. (1)		100		5,252
Open Text Corp. (1)		100		7,472
Paramount Resources Ltd., Class A (1)†		100		3,492
Pembina Pipeline Corp. (1)		100		3,314
Precision Drilling Corp. (1)		200		1,984
RioCan Real Estate Investment Trust REIT (1)		242		5,709
Rogers Communications, Inc., Class B (1)		3,763		161,801
Royal Bank of Canada (1)		79		5,062
Shaw Communications, Inc., Class B (1)		100		2,322
Sun Life Financial, Inc. (1)		7,850		250,731
Tim Hortons, Inc. (1)		100		5,800
Tourmaline Oil Corp. (1)†		2,645		107,464
TransAlta Corp. (1)		100		1,299
Trilogy Energy Corp. (1)		100		2,847
Vermilion Energy, Inc. (1)		100		5,497
Yamana Gold, Inc. (1)		300		3,119
				2,157,973
Denmark - 1.7%
Coloplast A/S, Class B		4,207		239,617
Danske Bank A/S †		918		19,796
Novo Nordisk A/S, Class B		206		34,889
Novozymes A/S, B Shares		153		5,856
William Demant Holding A/S †		39		3,606
				303,764
Finland - 1.2%
Kone OYJ, Class B		305		27,244
Metso OYJ		434		17,056
Sampo, A Shares		3,850		165,613
				209,913
France - 2.5%
Air Liquide SA		161		22,433
AXA SA		1,176		27,294
BNP Paribas SA		957		64,736
Danone SA		363		27,332
Dassault Systemes SA		53		7,074
Edenred		323		10,494
Essilor International SA		243		26,135
European Aeronautic Defence and Space Co. NV		496		31,606

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

98 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
France - 2.5% (continued)
Eutelsat Communications SA		106	$	3,350
Hermes International		35		12,602
L’Oreal SA		257		44,113
LVMH Moet Hennessy Louis Vuitton SA		196		38,625
Pernod Ricard SA		92		11,424
Sanofi		811		82,135
Societe Generale SA		493		24,561
Sodexo		65		6,066
Technip SA		46		5,400
				445,380
Germany - 4.5%
Adidas AG		160		17,356
BASF SE		106		10,165
Bayer AG		1,970		232,324
Beiersdorf AG		64		5,682
Continental AG		125		21,191
Deutsche Bank AG		67		3,075
Deutsche Lufthansa AG †		730		14,241
Deutsche Post AG		8,416		279,142
Fresenius Medical Care AG & Co. KGaA		109		7,087
Fresenius SE & Co. KGaA		61		7,573
GEA Group AG		93		3,822
Hannover Rueck SE		53		3,895
Merck KGaA		699		109,102
Muenchener Rueckversicherungs AG		264		51,607
RWE AG		83		2,824
SAP AG		171		12,646
				781,732
Hong Kong - 2.5%
AIA Group Ltd.		3,800		17,881
BOC Hong Kong Holdings Ltd.		10,500		33,736
Cheung Kong Infrastructure Holdings Ltd.		1,000		6,936
CLP Holdings Ltd.		1,000		8,144
First Pacific Co., Ltd.		12,000		13,264
Galaxy Entertainment Group Ltd. †		6,000		42,162
Giordano International Ltd.		2,000		1,825
Hang Seng Bank Ltd.		1,200		19,570
Henderson Land Development Co., Ltd.		3,300		20,362
Hong Kong & China Gas Co., Ltd.		2,420		5,825
Link REIT/The REIT		3,500		17,112
Luk Fook Holdings International Ltd.		1,000		3,126
Melco International Development Ltd.		12,000		32,251
New World Development Co., Ltd.		9,000		13,526
Power Assets Holdings Ltd.		1,000		8,953
Sands China Ltd.		22,800		141,144
SJM Holdings Ltd.		6,000		16,906
SmarTone Telecommunications Holdings Ltd.		1,500		1,988
Stella International Holdings Ltd.		1,000		2,568
Wharf Holdings Ltd.		2,000		17,330
Wheelock & Co., Ltd.		3,000		15,915
				440,524
Israel - 1.4%
Bank Hapoalim BM		4,981		25,205
Bezeq The Israeli Telecommunication Corp. Ltd.		107,381		197,400

	SHARES		VALUE (Note 2)
Israel - 1.4% (continued)
EZchip Semiconductor Ltd. †		308	$	7,626
Shikun & Binui Ltd.		5,830		13,662
				243,893
Italy - 0.4%
Davide Campari-Milano SpA		430		3,733
Gtech Spa		157		4,493
Luxottica Group SpA		512		27,132
Pirelli & C. SpA		343		4,466
Saipem SpA		71		1,542
Salvatore Ferragamo SpA		534		18,409
Tenaris SA		152		3,556
				63,331
Japan - 29.7%
Acom Co., Ltd. †		30,500		115,321
Aeon Co., Ltd.		1,800		24,845
Aiful Corp. †		36,600		187,293
Autobacs Seven Co., Ltd.		300		4,599
Bridgestone Corp.		900		32,984
Central Japan Railway Co.		200		25,671
Chugai Pharmaceutical Co., Ltd.		800		16,451
Cosmos Pharmaceutical Corp.		200		26,381
CyberAgent, Inc.		100		2,770
Dai-ichi Life Insurance Co., Ltd./The		1,000		14,321
Daikin Industries Ltd.		500		26,687
Dainippon Sumitomo Pharma Co., Ltd.		2,000		27,332
Daiwa House Industry Co., Ltd.		1,000		18,891
Daiwa Securities Group, Inc.		21,000		189,518
Denso Corp.		1,100		51,614
Eisai Co., Ltd.		100		4,070
FamilyMart Co., Ltd.		100		4,331
Fast Retailing Co., Ltd.		100		37,715
Fuji Heavy Industries Ltd.		2,000		55,731
GungHo Online Entertainment, Inc. †		59		46,202
Haseko Corp. †		3,200		23,041
Hino Motors Ltd.		6,000		88,923
Hiroshima Bank Ltd./The		6,000		25,605
Hitachi Ltd.		2,000		13,253
Hitachi Transport System Ltd.		200		2,786
Honda Motor Co., Ltd.		1,300		49,690
House Foods Corp.		100		1,555
Ichigo Group Holdings Co., Ltd.		12,400		59,131
Isuzu Motors Ltd.		19,000		125,950
Itochu Techno-Solutions Corp.		100		3,559
J Trust Co., Ltd.		1,100		19,843
Jafco Co., Ltd.		600		28,895
Japan Retail Fund Investment Corp. REIT		6		12,354
Kajima Corp.		6,000		24,439
Kakaku.com, Inc.		400		9,351
Kansai Electric Power Co., Inc./The †		5,700		73,325
Keihan Electric Railway Co., Ltd.		1,000		4,075
Keyence Corp.		100		38,049
Kintetsu Corp.		3,000		11,201
Kobayashi Pharmaceutical Co., Ltd.		100		5,728
Komeri Co., Ltd.		100		2,454
Kubota Corp.		2,000		29,068
Kyushu Electric Power Co., Inc. †		1,900		27,186

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

AQR Funds Annual Report September 2013 99

Schedule of Investments September 30, 2013

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
Japan - 29.7% (continued)
Matsui Securities Co., Ltd.		1,700	$	18,865
Mazda Motor Corp. †		26,000		116,879
Mitsubishi Estate Co., Ltd.		4,000		118,543
Mitsubishi Heavy Industries, Ltd.		4,000		23,067
Mitsubishi Motors Corp. †		10,400		115,547
Mitsubishi UFJ Financial Group, Inc.		49,400		316,869
Mitsui Fudosan Co., Ltd.		2,000		67,539
Mizuho Financial Group, Inc.		27,000		58,697
MS&AD Insurance Group Holdings		1,300		34,074
Nikon Corp.		600		10,517
Nippon Telegraph & Telephone Corp.		100		5,205
Nissan Motor Co., Ltd.		1,200		12,111
Nitori Holdings Co., Ltd.		50		4,579
Nitto Denko Corp.		500		32,607
Nomura Holdings, Inc.		34,200		267,503
Nomura Real Estate Holdings, Inc.		1,000		24,690
Nomura Research Institute Ltd.		700		24,318
NTT Urban Development Corp.		1,200		15,821
Okasan Securities Group, Inc.		6,000		55,500
Olympus Corp. †		1,000		30,546
Ono Pharmaceutical Co., Ltd.		100		6,144
Orient Corp. †		25,500		70,657
Oriental Land Co., Ltd.		100		16,536
ORIX Corp.		9,200		150,401
Rakuten, Inc.		600		9,108
Santen Pharmaceutical Co., Ltd.		100		4,856
Sega Sammy Holdings, Inc.		700		20,198
Sharp Corp. †		6,000		22,127
Shin-Etsu Chemical Co., Ltd.		400		24,542
Shinsei Bank Ltd.		24,000		58,576
Shionogi & Co., Ltd.		700		14,736
Softbank Corp.		3,100		215,287
Sony Corp.		1,600		34,344
Sumitomo Corp.		200		2,703
Sumitomo Mitsui Financial Group, Inc.		3,600		174,332
Sumitomo Mitsui Trust Holdings, Inc.		8,000		39,761
Sumitomo Realty & Development Co., Ltd.		1,000		47,662
Suruga Bank Ltd.		3,000		51,716
Taiheiyo Cement Corp.		4,000		17,491
Taisei Corp.		6,000		29,532
Takara Bio, Inc.		500		12,086
Takeda Pharmaceutical Co., Ltd.		200		9,446
Toho Co., Ltd.		1,300		27,144
Toho Gas Co., Ltd.		1,000		5,242
Tohoku Electric Power Co., Inc. †		1,800		22,173
Tokai Tokyo Financial Holdings, Inc.		4,200		35,238
Tokyo Electric Power Co., Inc †		40,700		253,555
Tokyo Gas Co., Ltd.		3,000		16,455
Tokyo Tatemono Co., Ltd.		2,000		18,389
Tokyu Corp.		3,000		21,441
Tokyu Land Corp.		3,000		31,217
Toyota Motor Corp.		11,100		711,927
Yahoo Japan Corp.		7,400		42,104
Yakult Honsha Co., Ltd.		100		5,021
Yamada Denki Co., Ltd.		400		1,183
Yamaha Motor Co., Ltd.		1,900		27,946
Yokohama Rubber Co., Ltd./The		1,000		9,904
Zensho Holdings Co., Ltd.		200		2,321
				5,209,166

	SHARES		VALUE (Note 2)
Netherlands - 1.6%
Akzo Nobel NV		301	$	19,776
ASML Holding NV		1,606		158,633
CNH Industrial NV †		878		11,261
Heineken NV		422		29,897
Koninklijke Ahold NV		658		11,400
Koninklijke Philips NV		1,024		33,035
Unilever NV CVA		377		14,389
				278,391
Norway - 0.2%
Aker Solutions ASA		867		12,175
Gjensidige Forsikring ASA		719		10,854
Golar LNG Ltd.		70		2,621
Telenor ASA		565		12,912
				38,562
Portugal - 0.1%
Galp Energia SGPS SA		140		2,329
Jeronimo Martins SGPS SA		313		6,423
				8,752
Singapore - 1.1%
CapitaLand Ltd.		9,000		22,192
CapitaMalls Asia Ltd.		8,000		12,480
DBS Group Holdings Ltd.		2,000		26,181
Jardine Matheson Holdings Ltd.		400		21,968
Jardine Strategic Holdings Ltd.		500		16,928
Keppel Corp. Ltd.		3,000		24,941
Keppel REIT		23,840		23,345
Mapletree Commercial Trust REIT		20,000		19,382
Singapore Telecommunications Ltd.		10,000		29,781
				197,198
Spain - 4.2%
Abertis Infraestructuras SA		340		6,608
Amadeus IT Holding SA, A Shares		7,801		276,601
Banco Bilbao Vizcaya Argentaria SA		11,199		125,232
CaixaBank		381		1,674
Endesa SA †		148		3,852
Ferrovial SA		5,563		100,192
Gas Natural SDG SA		6,733		140,768
Inditex SA		505		77,898
				732,825
Sweden - 0.6%
Getinge AB, B Shares		138		4,934
Hennes & Mauritz AB, B Shares		383		16,640
Investor AB, B Shares		780		23,655
Skandinaviska Enskilda Banken AB, Class A		1,535		16,271
Svenska Handelsbanken AB, A Shares		392		16,772
Swedbank AB, A Shares		1,066		24,830
Swedish Match AB		114		4,022
Tele2 AB, B Shares		227		2,902
				110,026
Switzerland - 9.0%
Cie Financiere Richemont SA		2,366		237,063
Credit Suisse Group AG †		5,036		154,011
Givaudan SA †		95		138,850

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

100 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 2)
Switzerland - 9.0% (continued)
Lindt & Spruengli AG		1	$	4,102
Novartis AG		584		44,920
Partners Group Holding AG		1,060		260,183
Roche Holding AG		156		42,100
Schindler Holding AG		32		4,808
SGS SA		12		28,679
Swatch Group AG/The		296		190,631
Swiss Re AG †		841		69,677
Syngenta AG		94		38,419
UBS AG †		17,381		356,231
Wolseley PLC		78		4,036
				1,573,710
Thailand - 0.2%
Thai Beverage PCL		59,000		25,905
United Kingdom - 4.4%
Aggreko PLC		133		3,451
ARM Holdings PLC		1,727		27,642
AstraZeneca PLC		50		2,599
Barclays PLC		13,606		58,148
BG Group PLC		687		13,115
BP PLC		740		5,188
British American Tobacco PLC		941		49,524
British Sky Broadcasting Group PLC		451		6,351
BT Group PLC		5,048		27,949
Bunzl PLC		221		4,787
Burberry Group PLC		203		5,372
Compass Group PLC		1,417		19,492
Croda International PLC		111		4,766
Diageo PLC		1,887		59,983
Experian PLC		1,092		20,791
Fresnillo PLC		272		4,282
G4S PLC		681		2,805
GlaxoSmithKline PLC		126		3,168
HSBC Holdings PLC		10,509		113,743
Imperial Tobacco Group PLC		538		19,889
Intertek Group PLC		94		5,034
Land Securities Group PLC REIT		307		4,563
Meggitt PLC		501		4,450
National Grid PLC		2,270		26,815
Next PLC		241		20,136
Pearson PLC		343		6,980
Randgold Resources Ltd.		40		2,867
Reckitt Benckiser Group PLC		500		36,557
Rexam PLC		474		3,694
Rolls-Royce Holdings PLC †		1,309		23,551
Royal Bank of Scotland Group PLC †		6,019		34,934
SABMiller PLC		977		49,693
Sage Group PLC/The		662		3,535
Severn Trent PLC		173		4,934
Shire PLC		214		8,561
SSE PLC		372		8,872
Standard Life PLC		4,679		26,147
Tate & Lyle PLC		322		3,837
Tesco PLC		1,089		6,331
Tullow Oil PLC		321		5,322
United Utilities Group PLC		372		4,161

	SHARES		VALUE (Note 2)
United Kingdom - 4.4% (continued)
Weir Group PLC/The		778	$	29,326
WM Morrison Supermarkets PLC		1,127		5,110
				778,455
United States - 1.2%
Valeant Pharmaceuticals International, Inc. (1)†		2,073		216,145
TOTAL COMMON STOCKS (cost $13,788,768)				15,072,538
EXCHANGE-TRADED FUNDS - 5.9%
iShares MSCI EAFE Index Fund (1)      (cost $1,031,736)		16,226		1,035,057
RIGHTS - 0.0% (a)
Spain - 0.0% (a)
Abertis Infraestructuras SA †		340		331
Banco Bilbao Vizcaya Argentaria SA †		11,199		1,530
TOTAL RIGHTS (cost $—)				1,861
MONEY MARKET FUNDS - 3.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)
(cost $558,681)		558,681		558,681
TOTAL INVESTMENTS - 95.1% (cost $15,379,185)				16,668,137
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9%				861,124
NET ASSETS - 100.0%			$	17,529,261

† Non income-producing security.

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

(b) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report September 2013 101

Schedule of Investments September 30, 2013

AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	2,854,313		16.3	%
Consumer Staples		1,172,013		6.7
Energy		195,499		1.1
Financials		5,196,909		29.6
Health Care		1,694,987		9.7
Industrials		1,350,313		7.7
Information Technology		826,620		4.7
Materials		417,187		2.4
Mutual Fund		1,035,057		5.9
Telecommunication Services		742,201		4.2
Utilities		624,357		3.6
Money Market Funds		558,681		3.2
Total Investments		16,668,137		95.1
Other Assets in Excess of Liabilities		861,124		4.9
Net Assets	$	17,529,261		100.0	%

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

102 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR CORE EQUITY FUND

COMMON STOCKS - 94.3%	SHARES		VALUE (Note 2)
Consumer Discretionary - 16.2%
Aaron’s, Inc.		273	$	7,562
Abercrombie & Fitch Co., Class A		1,126		39,827
AMC Networks, Inc., Class A †		262		17,942
American Eagle Outfitters, Inc.		625		8,744
Best Buy Co., Inc.		2,166		81,225
Brunswick Corp.		887		35,400
Buckle, Inc./The		268		14,485
CBS Corp., Class B		546		30,117
Chico’s FAS, Inc.		1,086		18,093
Choice Hotels International, Inc.		183		7,904
Cinemark Holdings, Inc.		404		12,823
Comcast Corp., Class A		167		7,540
Cracker Barrel Old Country Store, Inc.		375		38,715
CST Brands, Inc.		36		1,073
Dana Holding Corp.		1,874		42,802
Dillard’s, Inc., Class A		481		37,662
DIRECTV †		1,874		111,972
DISH Network Corp., Class A		588		26,466
Domino’s Pizza, Inc.		549		37,305
DR Horton, Inc.		1,367		26,561
DSW, Inc., Class A		75		6,399
Expedia, Inc.		363		18,800
Fifth & Pacific Cos., Inc. †		549		13,796
Foot Locker, Inc.		493		16,732
Ford Motor Co.		13,425		226,480
Fossil Group, Inc. †		474		55,098
GameStop Corp., Class A		1,153		57,246
Gannett Co., Inc.		2,431		65,127
Gap, Inc./The		1,789		72,061
General Motors Co. †		5,323		191,468
Gentex Corp.		620		15,866
Genuine Parts Co.		219		17,715
Goodyear Tire & Rubber Co./The †		2,296		51,545
H&R Block, Inc.		2,543		67,796
Hanesbrands, Inc.		960		59,818
Hasbro, Inc.		717		33,799
HSN, Inc.		156		8,365
International Game Technology		1,792		33,923
Jarden Corp. †		406		19,650
Johnson Controls, Inc.		1,656		68,724
L Brands, Inc.		612		37,393
Lear Corp.		729		52,175
Leggett & Platt, Inc.		536		16,160
Lennar Corp., Class A		419		14,833
Live Nation Entertainment, Inc. †		2,335		43,314
Lowe’s Cos., Inc.		3,588		170,825
Macy’s, Inc.		1,752		75,809
Mattel, Inc.		1,248		52,241
Mohawk Industries, Inc. †		298		38,815
Netflix, Inc. †		63		19,480
Newell Rubbermaid, Inc.		1,454		39,985
Penske Automotive Group, Inc.		291		12,434
PetSmart, Inc.		73		5,567
Pier 1 Imports, Inc.		1,336		26,079
PulteGroup, Inc.		2,968		48,972
PVH Corp.		147		17,447
Regal Entertainment Group, Class A		553		10,496

	SHARES		VALUE (Note 2)
Consumer Discretionary - 16.2% (continued)
Scripps Networks Interactive, Inc., Class A		79	$	6,171
Signet Jewelers Ltd. (Bermuda)		560		40,124
Sinclair Broadcast Group, Inc., Class A		1,283		43,006
Sirius XM Radio, Inc.		6,238		24,141
Six Flags Entertainment Corp.		222		7,501
Staples, Inc.		3,951		57,882
Target Corp.		131		8,381
Tenneco, Inc. †		677		34,189
Time Warner, Inc.		2,953		194,337
TRW Automotive Holdings Corp. †		943		67,245
Tupperware Brands Corp.		493		42,580
Twenty-First Century Fox, Inc.		612		20,502
Urban Outfitters, Inc. †		449		16,510
VF Corp.		172		34,237
Viacom, Inc., Class B		1,357		113,418
Visteon Corp. †		607		45,914
Washington Post Co./The, Class B		58		35,458
Whirlpool Corp.		541		79,224
Williams-Sonoma, Inc.		326		18,321
				3,275,792
Consumer Staples - 5.3%
Archer-Daniels-Midland Co.		2,490		91,732
Avon Products, Inc.		828		17,057
Coca-Cola Enterprises, Inc.		813		32,691
ConAgra Foods, Inc.		438		13,289
Constellation Brands, Inc., Class A †		279		16,015
CVS Caremark Corp.		1,901		107,882
Dean Foods Co. †		1,045		20,169
Energizer Holdings, Inc.		308		28,074
Flowers Foods, Inc.		932		19,982
Green Mountain Coffee Roasters, Inc. †		829		62,449
Herbalife Ltd. (Cayman Islands)		529		36,908
Ingredion, Inc.		267		17,667
Kroger Co./The		2,092		84,391
Nu Skin Enterprises, Inc., Class A		518		49,593
Pilgrim’s Pride Corp. †		2,998		50,336
Rite Aid Corp. †		17,236		82,043
Safeway, Inc.		2,094		66,987
Tyson Foods, Inc., Class A		2,491		70,446
Walgreen Co.		3,396		182,705
Wal-Mart Stores, Inc.		170		12,573
WhiteWave Foods Co., Class A †		53		1,058
				1,064,047
Energy - 6.0%
Bristow Group, Inc.		235		17,099
Cimarex Energy Co.		271		26,124
CVR Energy, Inc.		1,147		44,182
Delek US Holdings, Inc.		545		11,494
Denbury Resources, Inc. †		689		12,685
EOG Resources, Inc.		159		26,916
Helmerich & Payne, Inc.		955		65,847
Hess Corp.		1,476		114,154
HollyFrontier Corp.		1,262		53,143
Marathon Oil Corp.		4,004		139,660
Marathon Petroleum Corp.		1,593		102,462
Murphy Oil Corp.		1,132		68,282

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

AQR Funds Annual Report September 2013 103

Schedule of Investments September 30, 2013

AQR CORE EQUITY FUND

	SHARES		VALUE (Note 2)
Energy - 6.0% (continued)
Noble Energy, Inc.		1,099	$	73,644
Oasis Petroleum, Inc. †		813		39,943
Oil States International, Inc. †		346		35,797
Patterson-UTI Energy, Inc.		2,082		44,513
Phillips 66		2,359		136,397
RPC, Inc.		1,477		22,849
Superior Energy Services, Inc. †		1,328		33,253
Valero Energy Corp.		2,738		93,503
Western Refining, Inc.		1,134		34,065
WPX Energy, Inc. †		1,361		26,213
				1,222,225
Financials - 30.2%
Aflac, Inc.		1,729		107,181
Alleghany Corp. †		26		10,651
Allstate Corp./The		1,817		91,849
American Capital Ltd. †		1,510		20,762
American Financial Group, Inc.		402		21,732
American International Group, Inc.		5,065		246,311
American National Insurance Co.		103		10,098
Amtrust Financial Services, Inc.		422		16,483
Arch Capital Group Ltd. (Bermuda) †		388		21,002
Ares Capital Corp.		1,032		17,843
Aspen Insurance Holdings Ltd. (Bermuda)		573		20,794
Assurant, Inc.		776		41,982
Assured Guaranty Ltd. (Bermuda)		1,762		33,037
Axis Capital Holdings Ltd.		473		20,486
Bank of America Corp.		32,541		449,066
Bank of New York Mellon Corp./The		3,713		112,095
Berkshire Hathaway, Inc., Class B †		3,828		434,516
BlackRock, Inc.		100		27,062
Capital One Financial Corp.		1,068		73,414
Chubb Corp./The		84		7,498
Cincinnati Financial Corp.		372		17,543
Citigroup, Inc.		9,104		441,635
CNA Financial Corp.		537		20,503
CNO Financial Group, Inc.		4,099		59,026
Comerica, Inc.		922		36,244
Credit Acceptance Corp. †		134		14,849
Discover Financial Services		1,379		69,695
E*TRADE Financial Corp. †		1,542		25,443
East West Bancorp, Inc.		800		25,560
Everest Re Group Ltd.		289		42,023
Federated Investors, Inc., Class B		174		4,726
Fidelity National Financial, Inc., Class A		1,408		37,453
Fifth Third Bancorp		4,093		73,838
First American Financial Corp.		793		19,310
First Niagara Financial Group, Inc.		2,500		25,925
Franklin Resources, Inc.		505		25,528
Fulton Financial Corp.		915		10,687
Genworth Financial, Inc., Class A †		5,498		70,319
Goldman Sachs Group, Inc./The		1,290		204,091
Hartford Financial Services Group, Inc.		2,688		83,651
HCC Insurance Holdings, Inc.		457		20,026
Huntington Bancshares, Inc.		6,075		50,179
JPMorgan Chase & Co.		10,623		549,103
KeyCorp		5,353		61,024
Legg Mason, Inc.		391		13,075

	SHARES		VALUE (Note 2)
Financials - 30.2% (continued)
Leucadia National Corp.		952	$	25,932
Lincoln National Corp.		1,918		80,537
M&T Bank Corp.		416		46,559
MBIA, Inc. †		2,070		21,176
Medical Properties Trust, Inc. REIT		789		9,602
MetLife, Inc.		4,513		211,885
Morgan Stanley		6,169		166,255
NASDAQ OMX Group, Inc./The		646		20,730
Nationstar Mortgage Holdings, Inc. †		486		27,328
Ocwen Financial Corp. †		449		25,041
Old Republic International Corp.		2,989		46,031
PartnerRe Ltd. (Bermuda)		236		21,603
PNC Financial Services Group, Inc./The		1,648		119,398
Principal Financial Group, Inc.		1,336		57,207
ProAssurance Corp.		509		22,936
Progressive Corp./The		1,000		27,230
Protective Life Corp.		1,175		49,996
Prudential Financial, Inc.		1,711		133,424
Raymond James Financial, Inc.		224		9,334
Regions Financial Corp.		7,783		72,071
Reinsurance Group of America, Inc.		202		13,532
SLM Corp.		2,264		56,374
State Street Corp.		1,461		96,061
SunTrust Banks, Inc.		2,367		76,738
Susquehanna Bancshares, Inc.		820		10,291
Synovus Financial Corp.		6,947		22,925
Torchmark Corp.		309		22,356
Travelers Cos., Inc./The		1,167		98,927
Unum Group		2,166		65,933
Validus Holdings Ltd. (Bermuda)		525		19,414
Wells Fargo & Co.		14,126		583,686
White Mountains Insurance Group Ltd.		19		10,785
WR Berkley Corp.		245		10,501
Zions Bancorp.		1,434		39,320
				6,106,436
Health Care - 7.9%
Abbott Laboratories		2,220		73,682
Aetna, Inc.		1,685		107,874
AmerisourceBergen Corp.		238		14,542
Amgen, Inc.		367		41,082
Baxter International, Inc.		304		19,970
Becton Dickinson and Co.		165		16,503
Boston Scientific Corp. †		6,915		81,182
CareFusion Corp. †		870		32,103
Centene Corp. †		509		32,556
Cigna Corp.		1,306		100,379
Community Health Systems, Inc.		1,185		49,177
Cooper Cos., Inc./The		128		16,600
Eli Lilly & Co.		550		27,681
Gilead Sciences, Inc. †		138		8,672
HCA Holdings, Inc.		2,214		94,648
Health Net, Inc. †		466		14,772
Humana, Inc.		451		42,092
LifePoint Hospitals, Inc. †		288		13,429
McKesson Corp.		367		47,086
Medtronic, Inc.		3,303		175,885
Mylan, Inc. †		1,140		43,514

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

104 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR CORE EQUITY FUND

	SHARES		VALUE (Note 2)
Health Care - 7.9% (continued)
Omnicare, Inc.		789	$	43,790
Questcor Pharmaceuticals, Inc.		300		17,400
ResMed, Inc.		188		9,930
STERIS Corp.		600		25,776
Stryker Corp.		348		23,521
Team Health Holdings, Inc. †		204		7,740
Tenet Healthcare Corp. †		612		25,208
Thermo Fisher Scientific, Inc.		401		36,952
United Therapeutics Corp. †		284		22,393
UnitedHealth Group, Inc.		1,893		135,558
Universal Health Services, Inc., Class B		538		40,345
WellPoint, Inc.		1,232		103,008
West Pharmaceutical Services, Inc.		312		12,839
Zimmer Holdings, Inc.		278		22,835
Zoetis, Inc.		806		25,083
				1,605,807
Industrials - 13.0%
3M Co.		169		20,180
A. O. Smith Corp.		604		27,301
AECOM Technology Corp. †		1,687		52,752
AGCO Corp.		826		49,907
Alaska Air Group, Inc.		895		56,045
Alliant Techsystems, Inc.		408		39,804
AMERCO		297		54,687
Avis Budget Group, Inc. †		1,757		50,654
Boeing Co./The		2,276		267,430
Carlisle Cos., Inc.		289		20,314
Cintas Corp.		292		14,950
Copa Holdings SA (Panama), Class A		293		40,630
Crane Co.		578		35,645
Cummins, Inc.		524		69,624
Delta Air Lines, Inc.		5,215		123,022
Deluxe Corp.		516		21,497
Dover Corp.		852		76,535
Dun & Bradstreet Corp./The		146		15,162
EMCOR Group, Inc.		734		28,721
EnerSys, Inc.		672		40,743
Esterline Technologies Corp. †		177		14,141
Exelis, Inc.		2,830		44,459
FedEx Corp.		247		28,185
Flowserve Corp.		357		22,273
Generac Holdings, Inc.		831		35,434
Hertz Global Holdings, Inc. †		2,896		64,175
Huntington Ingalls Industries, Inc.		157		10,582
ITT Corp.		443		15,926
Jacobs Engineering Group, Inc. †		955		55,562
L-3 Communications Holdings, Inc.		580		54,810
Lennox International, Inc.		183		13,773
Lincoln Electric Holdings, Inc.		301		20,053
Manitowoc Co., Inc./The		1,344		26,316
Manpowergroup, Inc.		729		53,027
MasTec, Inc. †		556		16,847
MRC Global, Inc. †		705		18,894
Navistar International Corp. †		407		14,847
Northrop Grumman Corp.		1,216		115,836
Oshkosh Corp. †		1,154		56,523
Pitney Bowes, Inc.		1,372		24,957

	SHARES		VALUE (Note 2)
Industrials - 13.0% (continued)
Raytheon Co.		921	$	70,981
Regal-Beloit Corp.		121		8,220
Rockwell Automation, Inc.		616		65,875
RR Donnelley & Sons Co.		2,194		34,665
Ryder System, Inc.		936		55,879
Snap-on, Inc.		219		21,791
Southwest Airlines Co.		6,491		94,509
Swift Transportation Co. †		2,398		48,416
Terex Corp. †		1,095		36,792
Textainer Group Holdings Ltd.		298		11,285
Timken Co.		826		49,890
Toro Co./The		176		9,566
Towers Watson & Co., Class A		300		32,088
Trinity Industries, Inc.		1,039		47,119
Triumph Group, Inc.		183		12,850
United Continental Holdings, Inc. †		2,218		68,115
United Rentals, Inc. †		1,052		61,321
URS Corp.		726		39,023
Valmont Industries, Inc.		109		15,141
WABCO Holdings, Inc. †		180		15,167
WESCO International, Inc. †		142		10,867
				2,621,783
Information Technology - 11.7%
Activision Blizzard, Inc.		4,388		73,148
Amdocs Ltd.		572		20,958
AOL, Inc. †		555		19,192
Arrow Electronics, Inc. †		400		19,412
Aruba Networks, Inc. †		536		8,919
Booz Allen Hamilton Holding Corp.		893		17,253
Brocade Communications Systems, Inc. †		5,045		40,612
CA, Inc.		1,395		41,390
Cadence Design Systems, Inc. †		1,184		15,984
Cisco Systems, Inc.		16,906		395,939
Computer Sciences Corp.		1,035		53,551
CoreLogic, Inc. †		713		19,287
Corning, Inc.		6,755		98,555
Dell, Inc.		2,500		34,425
EchoStar Corp., Class A †		803		35,284
Electronic Arts, Inc. †		1,370		35,003
First Solar, Inc. †		1,457		58,586
FLIR Systems, Inc.		1,144		35,922
Freescale Semiconductor Ltd. (Bermuda) †		1,505		25,058
Harris Corp.		354		20,992
Hewlett-Packard Co.		6,803		142,727
Ingram Micro, Inc., Class A †		1,000		23,050
KLA-Tencor Corp.		103		6,268
Lam Research Corp. †		801		41,003
Leidos Holdings, Inc.		697		31,705
Marvell Technology Group Ltd.		1,340		15,410
Micron Technology, Inc. †		6,086		106,322
Microsoft Corp.		6,838		227,774
Motorola Solutions, Inc.		108		6,413
NetApp, Inc.		1,817		77,441
NeuStar, Inc., Class A †		348		17,219
NVIDIA Corp.		932		14,502
Oracle Corp.		264		8,757
Rovi Corp. †		755		14,473

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

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	SHARES		VALUE (Note 2)
Information Technology - 11.7% (continued)
SanDisk Corp.		1,454	$	86,528
Science Applications International Corp. †		398		13,432
SunPower Corp. †		800		20,928
Symantec Corp.		3,626		89,743
Teradyne, Inc. †		736		12,159
Western Digital Corp.		1,537		97,446
Xerox Corp.		8,650		89,008
Yahoo!, Inc. †		4,332		143,649
Zebra Technologies Corp., Class A †		240		10,927
				2,366,354
Materials - 3.8%
Ashland, Inc.		54		4,994
Avery Dennison Corp.		443		19,279
Axiall Corp.		566		21,389
CF Industries Holdings, Inc.		131		27,619
Chemtura Corp. †		457		10,506
Dow Chemical Co./The		800		30,720
Eastman Chemical Co.		466		36,301
Graphic Packaging Holding Co. †		2,256		19,311
Huntsman Corp.		1,049		21,620
International Paper Co.		2,412		108,058
Louisiana-Pacific Corp. †		2,214		38,944
NewMarket Corp.		40		11,516
Owens-Illinois, Inc. †		680		20,414
Packaging Corp. of America		380		21,694
PPG Industries, Inc.		542		90,547
Reliance Steel & Aluminum Co.		535		39,200
Rock Tenn Co., Class A		555		56,205
Sealed Air Corp.		498		13,541
Sherwin-Williams Co./The		94		17,125
Steel Dynamics, Inc.		1,383		23,110
Valspar Corp./The		188		11,925
Westlake Chemical Corp.		382		39,980
Worthington Industries, Inc.		1,059		36,461
WR Grace & Co. †		428		37,407
				757,866
Utilities - 0.2%
Portland General Electric Co.		195		5,505
UGI Corp.		720		28,173
				33,678
TOTAL COMMON STOCKS (cost $18,488,047)				19,053,988
EXCHANGE-TRADED FUNDS - 0.8%
SPDR S&P 500 ETF Trust (cost $164,536)		1,002		168,436
MONEY MARKET FUNDS - 1.7%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $336,437)		336,437		336,437
TOTAL INVESTMENTS - 96.8% (cost $18,989,020)				19,558,861
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.2%				655,304
NET ASSETS - 100.0%			$	20,214,165

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

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

106 AQR Funds Annual Report September 2013

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AQR SMALL CAP CORE EQUITY FUND

COMMON STOCKS - 93.8%	SHARES		VALUE (Note 2)
Consumer Discretionary - 23.0%
1-800-Flowers.com, Inc., Class A †		911	$	4,491
American Axle & Manufacturing Holdings, Inc. †		652		12,857
American Public Education, Inc. †		108		4,082
ANN, Inc. †		291		10,540
Asbury Automotive Group, Inc. †		243		12,928
Ascent Capital Group, Inc., Class A †		88		7,095
Big 5 Sporting Goods Corp.		255		4,100
Bon-Ton Stores, Inc./The		362		3,819
Bridgepoint Education, Inc. †		624		11,257
Brown Shoe Co., Inc.		411		9,646
Caesars Entertainment Corp. †		867		17,089
Callaway Golf Co.		740		5,269
Capella Education Co. †		130		7,353
Career Education Corp. †		1,158		3,196
Carmike Cinemas, Inc. †		269		5,940
Cato Corp./The, Class A		231		6,463
Children’s Place Retail Stores, Inc./The †		106		6,133
Christopher & Banks Corp. †		628		4,528
Columbia Sportswear Co.		177		10,661
Conn’s, Inc. †		259		12,960
Corinthian Colleges, Inc. †		1,230		2,694
Cracker Barrel Old Country Store, Inc.		105		10,840
Crocs, Inc. †		196		2,668
CSS Industries, Inc.		240		5,762
Denny’s Corp. †		799		4,890
Destination Maternity Corp.		213		6,773
Destination XL Group, Inc. †		934		6,043
DeVry, Inc.		509		15,555
Dex Media, Inc. †		758		6,163
Drew Industries, Inc.		166		7,560
Einstein Noah Restaurant Group, Inc.		302		5,231
Entercom Communications Corp., Class A †		358		3,143
Entravision Communications Corp., Class A		1,813		10,697
EW Scripps Co., Class A †		521		9,560
Express, Inc. †		568		13,399
G-III Apparel Group Ltd. †		237		12,938
Grand Canyon Education, Inc. †		324		13,051
Gray Television, Inc. †		1,054		8,274
Group 1 Automotive, Inc.		96		7,457
Harte-Hanks, Inc.		600		5,298
Haverty Furniture Cos., Inc.		275		6,746
Helen of Troy Ltd. (Bermuda) †		200		8,840
hhgregg, Inc. †		544		9,743
Iconix Brand Group, Inc. †		479		15,912
Jones Group, Inc./The		751		11,273
Journal Communications, Inc., Class A †		1,151		9,841
K12, Inc. †		100		3,088
Kirkland’s, Inc. †		259		4,776
La-Z-Boy, Inc.		441		10,015
LeapFrog Enterprises, Inc. †		702		6,613
Lee Enterprises, Inc. †		1,075		2,838
Lithia Motors, Inc., Class A		226		16,489
Lumber Liquidators Holdings, Inc. †		76		8,105
McClatchy Co./The, Class A †		990		2,970
MDC Partners, Inc., Class A		240		6,715
Men’s Wearhouse, Inc./The		268		9,125
Meredith Corp.		327		15,572

	SHARES		VALUE (Note 2)
Consumer Discretionary - 23.0% (continued)
Modine Manufacturing Co. †		480	$	7,022
Monarch Casino & Resort, Inc. †		327		6,206
Motorcar Parts of America, Inc. †		300		3,801
Movado Group, Inc.		192		8,400
Multimedia Games Holding Co., Inc. †		385		13,302
NACCO Industries, Inc., Class A		157		8,701
Nautilus, Inc. †		896		6,469
New York Times Co./The, Class A †		260		3,268
Nexstar Broadcasting Group, Inc., Class A		335		14,909
Orbitz Worldwide, Inc. †		1,294		12,461
Outerwall, Inc. †		169		8,448
Overstock.com, Inc. †		424		12,580
Pacific Sunwear of California, Inc. †		1,621		4,863
Papa John’s International, Inc.		87		6,080
Perry Ellis International, Inc.		218		4,107
PetMed Express, Inc.		512		8,340
Pinnacle Entertainment, Inc. †		352		8,818
Quiksilver, Inc. †		1,454		10,222
RadioShack Corp. †		1,119		3,816
Red Robin Gourmet Burgers, Inc. †		100		7,110
Ruth’s Hospitality Group, Inc.		429		5,088
Ryland Group, Inc./The		241		9,770
Scholastic Corp.		248		7,105
Shoe Carnival, Inc.		236		6,374
Shutterfly, Inc. †		79		4,415
Sinclair Broadcast Group, Inc., Class A		239		8,011
Skechers U.S.A., Inc., Class A †		362		11,262
Smith & Wesson Holding Corp. †		674		7,407
Sonic Automotive, Inc., Class A		236		5,617
Sonic Corp. †		404		7,171
Standard Motor Products, Inc.		311		10,002
Stein Mart, Inc.		472		6,476
Stoneridge, Inc. †		512		5,535
Sturm, Ruger & Co., Inc.		126		7,891
Superior Industries International, Inc.		254		4,529
Thor Industries, Inc.		170		9,867
Tower International, Inc. †		345		6,897
Tuesday Morning Corp. †		627		9,574
Unifi, Inc. †		281		6,564
Universal Electronics, Inc. †		259		9,332
Valassis Communications, Inc.		365		10,541
ValueVision Media, Inc., Class A †		931		4,050
VOXX International Corp. †		523		7,165
Winnebago Industries, Inc. †		332		8,619
Zale Corp. †		1,060		16,112
				821,361
Consumer Staples - 3.9%
Andersons, Inc./The		100		6,990
Chiquita Brands International, Inc. †		530		6,710
Dean Foods Co. †		100		1,930
Female Health Co./The		431		4,254
Fresh Del Monte Produce, Inc.		96		2,849
Harbinger Group, Inc. †		281		2,914
Ingles Markets, Inc., Class A		356		10,228
Inter Parfums, Inc.		370		11,096
Medifast, Inc. †		238		6,400
Omega Protein Corp. †		546		5,553

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

AQR Funds Annual Report September 2013 107

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	SHARES		VALUE (Note 2)
Consumer Staples - 3.9% (continued)
Prestige Brands Holdings, Inc. †		209	$	6,295
Revlon, Inc., Class A †		392		10,886
Rite Aid Corp. †		1,247		5,936
Roundy’s, Inc.		600		5,160
Sanderson Farms, Inc.		189		12,330
Spartan Stores, Inc.		200		4,412
SUPERVALU, Inc. †		2,059		16,946
Universal Corp.		95		4,838
USANA Health Sciences, Inc. †		132		11,456
				137,183
Energy - 3.4%
Basic Energy Services, Inc. †		279		3,527
Bonanza Creek Energy, Inc. †		274		13,223
Dawson Geophysical Co. †		159		5,163
Delek US Holdings, Inc.		376		7,930
EPL Oil & Gas, Inc. †		345		12,803
Exterran Holdings, Inc. †		340		9,374
Geospace Technologies Corp. †		118		9,947
Green Plains Renewable Energy, Inc.		506		8,121
Hercules Offshore, Inc. †		462		3,405
Matrix Service Co. †		193		3,787
Newpark Resources, Inc. †		1,111		14,065
Parker Drilling Co. †		700		3,990
Renewable Energy Group, Inc. †		583		8,832
REX American Resources Corp. †		179		5,502
Warren Resources, Inc. †		1,920		5,626
Willbros Group, Inc. †		426		3,911
				119,206
Financials - 19.7%
American Equity Investment Life Holding Co.		783		16,615
Amtrust Financial Services, Inc.		293		11,445
Argo Group International Holdings Ltd. (Bermuda)		206		8,833
Arlington Asset Investment Corp., Class A		224		5,327
Ashford Hospitality Trust, Inc. REIT		776		9,576
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		383		9,544
Banner Corp.		272		10,380
BBCN Bancorp, Inc.		501		6,894
BlackRock Kelso Capital Corp.		532		5,049
BofI Holding, Inc. †		149		9,664
C&F Financial Corp.		51		2,468
Capital Southwest Corp.		100		3,421
Cardinal Financial Corp.		327		5,405
Central Pacific Financial Corp.		224		3,965
Chemical Financial Corp.		178		4,970
CoBiz Financial, Inc.		304		2,937
Community Trust Bancorp, Inc.		134		5,439
Cowen Group, Inc., Class A †		1,305		4,502
Eagle Bancorp, Inc. †		220		6,224
Employers Holdings, Inc.		267		7,941
Encore Capital Group, Inc. †		297		13,620
Endurance Specialty Holdings Ltd. (Bermuda)		285		15,310
Enterprise Financial Services Corp.		200		3,356
EverBank Financial Corp.		408		6,112
FBL Financial Group, Inc., Class A		234		10,507

	SHARES		VALUE (Note 2)
Financials - 19.7% (continued)
FBR & Co. †		278	$	7,453
Federal Agricultural Mortgage Corp., Class C		148		4,940
Fidelity Southern Corp.		421		6,458
First Citizens BancShares, Inc., Class A		47		9,663
First Defiance Financial Corp.		100		2,339
First Interstate Bancsystem, Inc.		533		12,872
First Merchants Corp.		327		5,667
First Midwest Bancorp, Inc.		393		5,938
Flagstar Bancorp, Inc. †		717		10,583
Flushing Financial Corp.		290		5,350
GFI Group, Inc.		777		3,069
Hanmi Financial Corp.		380		6,297
Hanover Insurance Group, Inc./The		226		12,502
HCI Group, Inc.		212		8,658
Heartland Financial USA, Inc.		197		5,488
Hilltop Holdings, Inc. †		599		11,081
HomeStreet, Inc.		141		2,721
Horace Mann Educators Corp.		441		12,516
International Bancshares Corp.		200		4,326
Investment Technology Group, Inc. †		368		5,785
KCAP Financial, Inc.		301		2,703
Lakeland Bancorp, Inc.		338		3,802
Maiden Holdings Ltd. (Bermuda)		824		9,731
MB Financial, Inc.		200		5,648
MBIA, Inc. †		464		4,747
Medallion Financial Corp.		295		4,390
MGIC Investment Corp. †		1,275		9,282
Montpelier Re Holdings Ltd. (Bermuda)		460		11,983
National Western Life Insurance Co., Class A		28		5,650
Navigators Group, Inc./The †		106		6,124
Nelnet, Inc., Class A		351		13,496
New Mountain Finance Corp.		380		5,476
NGP Capital Resources Co. BDC		487		3,618
PennantPark Investment Corp. BDC		511		5,754
PHH Corp. †		397		9,425
Phoenix Cos., Inc./The †		163		6,303
Piper Jaffray Cos. †		250		8,572
Platinum Underwriters Holdings Ltd. (Bermuda)		203		12,125
Primerica, Inc.		480		19,363
PrivateBancorp, Inc.		200		4,280
Provident Financial Holdings, Inc.		289		4,800
Radian Group, Inc.		685		9,542
RAIT Financial Trust REIT		651		4,609
Regional Management Corp. †		100		3,180
Renasant Corp.		209		5,679
S&T Bancorp, Inc.		100		2,422
Safety Insurance Group, Inc.		125		6,621
Sandy Spring Bancorp, Inc.		100		2,326
Selective Insurance Group, Inc.		222		5,439
StanCorp Financial Group, Inc.		342		18,817
Stewart Information Services Corp.		257		8,221
Symetra Financial Corp.		1,136		20,244
Synovus Financial Corp.		6,165		20,344
Texas Capital Bancshares, Inc. †		162		7,447
THL Credit, Inc.		300		4,686
TICC Capital Corp.		559		5,450
Triangle Capital Corp.		199		5,845

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

108 AQR Funds Annual Report September 2013

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	SHARES		VALUE (Note 2)
Financials - 19.7% (continued)
Trico Bancshares		141	$	3,212
Umpqua Holdings Corp.		200		3,244
Union First Market Bankshares Corp.		269		6,287
United Community Banks, Inc. †		634		9,510
United Fire Group, Inc.		223		6,795
Walter Investment Management Corp. †		171		6,761
Webster Financial Corp.		120		3,064
WesBanco, Inc.		242		7,195
Western Alliance Bancorp †		683		12,929
Wilshire Bancorp, Inc.		833		6,814
World Acceptance Corp. †		117		10,521
WSFS Financial Corp.		88		5,302
				702,988
Health Care - 5.2%
Addus HomeCare Corp. †		382		11,067
Albany Molecular Research, Inc. †		637		8,211
Alere, Inc. †		221		6,756
Alliance HealthCare Services, Inc. †		100		2,769
AMN Healthcare Services, Inc. †		561		7,719
BioDelivery Sciences International, Inc. †		814		4,420
Bio-Reference Labs, Inc. †		90		2,689
BioTelemetry, Inc. †		871		8,632
Cambrex Corp. †		412		5,438
Cardiovascular Systems, Inc. †		131		2,627
Emergent Biosolutions, Inc. †		135		2,572
Endocyte, Inc. †		164		2,186
Five Star Quality Care, Inc. †		712		3,681
Gentiva Health Services, Inc. †		713		8,584
Greatbatch, Inc. †		81		2,756
Hill-Rom Holdings, Inc.		100		3,583
ICU Medical, Inc. †		100		6,793
Kindred Healthcare, Inc.		681		9,146
LHC Group, Inc. †		223		5,232
Magellan Health Services, Inc. †		128		7,675
MedAssets, Inc. †		132		3,355
Medical Action Industries, Inc. †		416		2,762
Molina Healthcare, Inc. †		321		11,428
PDL BioPharma, Inc.		1,120		8,926
PharMerica Corp. †		511		6,781
Providence Service Corp./The †		218		6,254
Questcor Pharmaceuticals, Inc.		123		7,134
Repligen Corp. †		647		7,175
Santarus, Inc. †		531		11,985
SciClone Pharmaceuticals, Inc. †		680		3,448
Vascular Solutions, Inc. †		227		3,814
				185,598
Industrials - 17.1%
AAR Corp.		376		10,276
Aegion Corp. †		137		3,251
Air Transport Services Group, Inc. †		915		6,853
Aircastle Ltd.		571		9,941
Alamo Group, Inc.		124		6,065
Albany International Corp., Class A		81		2,905
Allegiant Travel Co.		76		8,007
Altra Holdings, Inc.		169		4,548
American Railcar Industries, Inc.		157		6,159

	SHARES		VALUE (Note 2)
Industrials - 17.1% (continued)
Arkansas Best Corp.		297	$	7,624
Barrett Business Services, Inc.		136		9,154
Brink’s Co./The		165		4,670
Ceco Environmental Corp.		300		4,224
Celadon Group, Inc.		184		3,435
CIRCOR International, Inc.		123		7,648
Coleman Cable, Inc.		360		7,600
Columbus McKinnon Corp. †		368		8,843
Consolidated Graphics, Inc. †		123		6,895
Deluxe Corp.		307		12,790
Ducommun, Inc. †		350		10,038
DXP Enterprises, Inc. †		71		5,607
Eagle Bulk Shipping, Inc. †		796		5,715
EnerNOC, Inc. †		490		7,345
EnerSys, Inc.		259		15,703
Ennis, Inc.		200		3,608
Erickson Air-Crane, Inc. †		307		4,808
Federal Signal Corp. †		400		5,148
FTI Consulting, Inc. †		233		8,807
G&K Services, Inc., Class A		128		7,730
GenCorp, Inc. †		480		7,694
Gibraltar Industries, Inc. †		390		5,561
H&E Equipment Services, Inc. †		258		6,853
Hardinge, Inc.		462		7,138
Hawaiian Holdings, Inc. †		723		5,379
Herman Miller, Inc.		100		2,918
HNI Corp.		113		4,088
ICF International, Inc. †		274		9,702
International Shipholding Corp.		100		2,744
Intersections, Inc.		316		2,771
JetBlue Airways Corp. †		996		6,633
John Bean Technologies Corp.		230		5,722
Kadant, Inc.		170		5,710
Kelly Services, Inc., Class A		467		9,093
Kforce, Inc.		264		4,670
Kimball International, Inc., Class B		564		6,255
LB Foster Co., Class A		116		5,306
Lindsay Corp.		55		4,489
Lydall, Inc. †		307		5,271
Manitex International, Inc. †		277		3,028
Meritor, Inc. †		400		3,144
Multi-Color Corp.		100		3,393
MYR Group, Inc. †		222		5,395
National Presto Industries, Inc.		55		3,873
NN, Inc.		413		6,426
Nortek, Inc. †		91		6,253
Northwest Pipe Co. †		94		3,091
Orbital Sciences Corp. †		379		8,027
Orion Marine Group, Inc. †		241		2,509
Pacer International, Inc. †		500		3,095
Park-Ohio Holdings Corp. †		223		8,568
Patrick Industries, Inc. †		306		9,195
PGT, Inc. †		557		5,520
Pike Electric Corp.		589		6,668
Powell Industries, Inc. †		103		6,313
Quad/Graphics, Inc.		465		14,117
Republic Airways Holdings, Inc. †		843		10,032
RPX Corp. †		492		8,625

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

AQR Funds Annual Report September 2013 109

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	SHARES		VALUE (Note 2)
Industrials - 17.1% (continued)
RR Donnelley & Sons Co.		425	$	6,715
Rush Enterprises, Inc., Class A †		340		9,013
Saia, Inc. †		249		7,764
SkyWest, Inc.		629		9,133
Sparton Corp. †		100		2,550
Spirit Airlines, Inc. †		512		17,546
Standex International Corp.		106		6,296
Steelcase, Inc., Class A		918		15,257
Swift Transportation Co. †		404		8,157
TAL International Group, Inc.		197		9,206
Taser International, Inc. †		539		8,037
Tecumseh Products Co., Class A †		666		5,961
Tutor Perini Corp. †		464		9,893
UniFirst Corp.		143		14,932
United Stationers, Inc.		304		13,224
Universal Truckload Services, Inc.		220		5,865
Viad Corp.		197		4,915
VSE Corp.		100		4,695
Wabash National Corp. †		689		8,034
Xerium Technologies, Inc. †		526		6,096
YRC Worldwide, Inc. †		299		5,047
				609,002
Information Technology - 15.2%
Advanced Energy Industries, Inc. †		346		6,062
Alliance Fiber Optic Products, Inc.		72		1,474
ATMI, Inc. †		239		6,338
Audience, Inc. †		300		3,372
AVX Corp.		500		6,565
Axcelis Technologies, Inc. †		2,916		6,153
Benchmark Electronics, Inc. †		501		11,468
Black Box Corp.		100		3,064
Blucora, Inc. †		316		7,262
Booz Allen Hamilton Holding Corp.		613		11,843
CACI International, Inc., Class A †		173		11,956
CalAmp Corp. †		412		7,264
Calix, Inc. †		300		3,819
Checkpoint Systems, Inc. †		564		9,419
Clearfield, Inc. †		253		3,398
Concurrent Computer Corp.		330		2,383
Convergys Corp.		545		10,219
Cray, Inc. †		256		6,162
CSG Systems International, Inc.		441		11,047
Daktronic, Inc.		420		4,700
Electro Rent Corp.		118		2,141
Electronics For Imaging, Inc. †		390		12,355
Entegris, Inc. †		780		7,917
ePlus, Inc.		187		9,664
Global Cash Access Holdings, Inc. †		593		4,631
Harmonic, Inc. †		1,413		10,866
Hutchinson Technology, Inc. †		1,699		5,913
iGATE Corp. †		200		5,552
Insight Enterprises, Inc. †		158		2,989
InterDigital, Inc.		168		6,271
IntraLinks Holdings, Inc. †		547		4,814
j2 Global, Inc.		268		13,271
Kulicke & Soffa Industries, Inc. (Singapore) †		821		9,483
Lexmark International, Inc., Class A		513		16,929

	SHARES		VALUE (Note 2)
Information Technology - 15.2% (continued)
ManTech International Corp., Class A		211	$	6,068
Mattson Technology, Inc. †		1,382		3,303
Mentor Graphics Corp.		421		9,839
Methode Electronics, Inc.		388		10,864
MoneyGram International, Inc. †		507		9,927
Monotype Imaging Holdings, Inc.		91		2,608
NeoPhotonics Corp. †		500		3,695
Netscout Systems, Inc. †		255		6,520
NetSol Technologies, Inc. †		325		3,260
Newport Corp. †		267		4,173
Novatel Wireless, Inc. †		1,359		3,547
OmniVision Technologies, Inc. †		188		2,878
PC Connection, Inc.		327		4,934
PDF Solutions, Inc. †		133		2,826
Photronics, Inc. †		1,012		7,924
Plantronics, Inc.		304		13,999
Polycom, Inc. †		781		8,528
RF Micro Devices, Inc. †		600		3,384
Rosetta Stone, Inc. †		257		4,171
Rudolph Technologies, Inc. †		599		6,829
Sanmina Corp. †		894		15,636
Seachange International, Inc. †		228		2,615
Sigma Designs, Inc. †		567		3,170
Silicon Graphics International Corp. †		587		9,539
Stamps.com, Inc. †		184		8,451
SunPower Corp. †		334		8,737
Sykes Enterprises, Inc. †		339		6,071
Synaptics, Inc. †		300		13,284
SYNNEX Corp. †		307		18,865
Take-Two Interactive Software, Inc. †		164		2,978
Telenav, Inc. †		649		3,790
TeleTech Holdings, Inc. †		354		8,882
Tessco Technologies, Inc.		197		6,639
TiVo, Inc. †		600		7,464
Travelzoo, Inc. †		107		2,840
Ubiquiti Networks, Inc.		176		5,912
Ultratech, Inc. †		70		2,121
Unisys Corp. †		470		11,839
United Online, Inc.		965		7,701
ValueClick, Inc. †		615		12,823
Virtusa Corp. †		99		2,877
Vishay Intertechnology, Inc. †		1,142		14,720
				542,995
Materials - 4.4%
A Schulman, Inc.		96		2,828
A.M. Castle & Co. †		360		5,796
AEP Industries, Inc. †		4		297
American Pacific Corp. †		194		10,624
Clearwater Paper Corp. †		55		2,627
Flotek Industries, Inc. †		376		8,648
FutureFuel Corp.		454		8,154
Innospec, Inc.		159		7,419
KapStone Paper and Packaging Corp.		271		11,599
Koppers Holdings, Inc.		71		3,028
Landec Corp. †		359		4,380
Minerals Technologies, Inc.		259		12,787
Olympic Steel, Inc.		222		6,167

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

110 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR SMALL CAP CORE EQUITY FUND

	SHARES		VALUE (Note 2)
Materials - 4.4% (continued)
OM Group, Inc. †		291	$	9,830
OMNOVA Solutions, Inc. †		557		4,762
PH Glatfelter Co.		202		5,468
Quaker Chemical Corp.		141		10,300
Schweitzer-Mauduit International, Inc.		250		15,133
Tredegar Corp.		197		5,122
US Concrete, Inc. †		173		3,470
US Silica Holdings, Inc.		419		10,433
Worthington Industries, Inc.		215		7,403
				156,275
Telecommunication Services - 1.8%
8x8, Inc. †		750		7,553
Alaska Communications Systems Group, Inc. †		1,300		3,341
Atlantic Tele-Network, Inc.		119		6,203
Cbeyond, Inc. †		584		3,743
Hawaiian Telcom Holdco, Inc. †		82		2,181
IDT Corp., Class B		401		7,118
Inteliquent, Inc.		409		3,951
Lumos Networks Corp.		200		4,334
Premiere Global Services, Inc. †		432		4,303
Shenandoah Telecommunications Co.		268		6,459
Straight Path Communications, Inc., Class B †		200		1,052
USA Mobility, Inc.		339		4,800
Vonage Holdings Corp. †		3,171		9,957
				64,995
Utilities - 0.1%
Consolidated Water Co., Ltd. (Cayman Islands)		246		3,683
TOTAL COMMON STOCKS (cost $2,909,640)				3,343,286
EXCHANGE-TRADED FUNDS - 5.7%
iShares Russell 2000 Index Fund
(cost $196,404)		1,894		201,938
MONEY MARKET FUNDS - 7.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)
(cost $252,711)		252,711		252,711
TOTAL INVESTMENTS - 106.6% (cost $3,358,755)				3,797,935
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.6%)				(233,481)
NET ASSETS - 100.0%			$	3,564,454

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

† Non income-producing security.

(a) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

BDC - Business Development Company

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report September 2013 111

Schedule of Investments September 30, 2013

AQR INTERNATIONAL CORE EQUITY FUND

COMMON STOCKS - 97.8%	SHARES		VALUE (Note 2)
Australia - 2.5%
Insurance Australia Group Ltd.		10,056	$	55,125
National Australia Bank Ltd.		714		22,877
Suncorp Group Ltd.		3,725		45,555
Tatts Group Ltd.		823		2,380
Telstra Corp. Ltd.		60,905		282,611
Wesfarmers Ltd.		422		16,212
Westpac Banking Corp.		419		12,808
Woolworths Ltd.		511		16,699
				454,267
Austria - 1.9%
Andritz AG		484		28,483
Erste Group Bank AG		2,661		84,092
Oesterreichische Post AG		282		12,801
OMV AG		1,443		71,254
Raiffeisen Bank International AG		1,585		51,886
Vienna Insurance Group AG Wiener Versicherung Gruppe		892		45,811
Voestalpine AG		967		46,229
				340,556
Belgium - 0.8%
Colruyt SA		241		13,369
Delhaize Group SA		982		61,889
KBC Groep NV		1,361		66,964
Solvay SA		50		7,499
				149,721
Canada - 10.0%
Alimentation Couche Tard, Inc., Class B (1)		252		15,711
Blackberry Ltd. (1)†		8,051		63,311
Canadian Tire Corp. Ltd., Class A (1)		1,400		123,996
Empire Co., Ltd., Class A (1)		4,478		323,313
Gildan Activewear, Inc. (1)		90		4,177
Industrial Alliance Insurance & Financial Services, Inc. (1)		2,438		103,006
Loblaw Cos., Ltd. (1)		9,049		399,806
Magna International, Inc. (1)		3,508		289,311
Manulife Financial Corp. (1)		9,005		148,969
Rogers Communications, Inc., Class B (1)		565		24,294
Sun Life Financial, Inc. (1)		8,155		260,472
West Fraser Timber Co., Ltd. (1)		476		42,833
				1,799,199
China - 0.1%
China Hongqiao Group Ltd.		31,500		18,646
Denmark - 2.1%
Carlsberg A/S, Class B		119		12,265
TDC A/S		36,241		306,835
Tryg A/S		676		62,274
				381,374
Finland - 0.6%
Huhtamaki OYJ		1,511		32,379
Orion OYJ, Class B		162		4,088
Sampo, A Shares		1,584		68,138
				104,605

	SHARES		VALUE (Note 2)
France - 4.1%
AXA SA		784	$	18,196
BNP Paribas SA		2,269		153,485
Bouygues SA		1,362		49,855
Cap Gemini SA		1,530		90,988
Cie Generale des Etablissements Michelin		481		53,344
Credit Agricole SA †		5,900		65,057
Natixis		13,711		65,652
Safran SA		219		13,488
Sanofi		391		39,599
Societe Generale SA		1,567		78,067
Vivendi SA		4,911		112,969
				740,700
Germany - 3.9%
Bayer AG		377		44,460
Continental AG		885		150,030
Deutsche Lufthansa AG †		4,391		85,660
Deutsche Post AG		4,330		143,618
Hannover Rueck SE		1,033		75,911
HeidelbergCement AG		617		47,676
Merck KGaA		306		47,761
Muenchener Rueckversicherungs AG		516		100,868
Suedzucker AG		310		9,128
				705,112
Hong Kong - 3.3%
Cheung Kong Holdings Ltd.		1,000		15,223
Chinese Estates Holdings Ltd.		4,000		9,126
Galaxy Entertainment Group Ltd. †		11,000		77,297
Henderson Land Development Co., Ltd.		1,100		6,787
Hongkong Land Holdings Ltd.		2,000		13,179
Hysan Development Co., Ltd.		1,000		4,464
Kerry Properties Ltd.		1,000		4,271
Link REIT/The REIT		1,500		7,334
MGM China Holdings Ltd.		22,000		73,170
NWS Holdings Ltd.		18,000		27,981
PCCW Ltd.		81,000		35,839
SJM Holdings Ltd.		32,000		90,168
Swire Properties Ltd.		2,600		7,301
Techtronic Industries Co.		16,500		43,013
Wharf Holdings Ltd.		14,000		121,308
Wheelock & Co., Ltd.		9,000		47,744
				584,205
Israel - 4.4%
Alony Hetz Properties & Investments Ltd. REIT		2,443		15,740
Azrieli Group		1,652		52,506
Bank Hapoalim BM		26,392		133,548
Bezeq The Israeli Telecommunication Corp. Ltd.		128,099		235,487
Cellcom Israel Ltd. †		1,797		20,067
Delek Group Ltd.		160		52,217
First International Bank Of Israel Ltd.		736		12,083
Frutarom Industries Ltd.		1,484		27,086
Harel Insurance Investments & Financial Services Ltd.		3,120		17,896
Israel Discount Bank Ltd., Class A †		23,968		43,206

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

112 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL CORE EQUITY FUND

	SHARES		VALUE (Note 2)
Israel - 4.4% (continued)
Mizrahi Tefahot Bank Ltd.		11,633	$	128,084
Partner Communications Co., Ltd. †		2,949		23,618
Strauss Group Ltd.		1,570		27,651
				789,189
Italy - 1.5%
Gtech Spa		2,437		69,732
Intesa Sanpaolo SpA		29,869		61,785
Parmalat SpA		11,075		37,156
UniCredit SpA		8,277		52,855
Unione di Banche Italiane SCPA		9,615		48,719
				270,247
Japan - 33.9%
77 Bank Ltd./The		12,000		59,225
Acom Co., Ltd. †		26,400		99,819
Aiful Corp. †		29,100		148,913
Aisin Seiki Co., Ltd.		1,200		51,445
Bank of Yokohama Ltd./The		10,000		57,351
Bridgestone Corp.		2,300		84,292
Central Japan Railway Co.		200		25,671
Chiba Bank Ltd./The		7,000		51,264
Chugoku Bank Ltd./The		3,000		42,259
Credit Saison Co., Ltd.		1,300		35,401
Daicel Corp.		1,000		9,046
Daihatsu Motor Co., Ltd.		2,000		38,867
Dai-ichi Life Insurance Co., Ltd./The		3,000		42,963
Dainippon Sumitomo Pharma Co., Ltd.		2,900		39,631
Daiwa Securities Group, Inc.		16,000		144,394
Dena Co., Ltd.		1,800		36,638
Denso Corp.		2,400		112,612
DIC Corp.		17,000		47,106
Ebara Corp.		6,000		33,735
Fuji Electric Co., Ltd.		11,000		44,997
Fuji Heavy Industries Ltd.		4,000		111,463
Fuji Media Holdings, Inc.		2,700		59,465
FUJIFILM Holdings Corp.		2,300		55,430
Fukuoka Financial Group, Inc.		10,000		45,280
GungHo Online Entertainment, Inc. †		61		47,768
Gunma Bank Ltd./The		7,000		41,081
Hachijuni Bank Ltd./The		7,000		43,575
Hakuhodo DY Holdings, Inc.		5,800		43,219
Haseko Corp. †		5,400		38,882
Hino Motors Ltd.		4,000		59,282
Hiroshima Bank Ltd./The		11,000		46,943
Hitachi Capital Corp.		500		12,083
Hitachi Ltd.		11,000		72,889
Hokuhoku Financial Group, Inc.		22,000		46,286
Honda Motor Co., Ltd.		3,000		114,668
IHI Corp.		2,000		8,457
Isuzu Motors Ltd.		17,000		112,692
ITOCHU Corp.		700		8,623
Iyo Bank Ltd./The		4,000		42,002
JFE Holdings, Inc.		1,500		39,110
Joyo Bank Ltd./The		6,000		32,277
JSR Corp.		1,900		35,351
Juroku Bank Ltd./The		6,000		23,662
KDDI Corp.		400		20,556

	SHARES		VALUE (Note 2)
Japan - 33.9% (continued)
Keiyo Bank Ltd./The		5,000	$	26,361
Kobe Steel Ltd. †		40,000		74,561
Koito Manufacturing Co., Ltd.		2,000		38,140
Mazda Motor Corp. †		12,000		53,944
Mitsubishi Heavy Industries, Ltd.		14,000		80,735
Mitsubishi Motors Corp. †		15,800		175,543
Mitsubishi UFJ Financial Group, Inc.		33,600		215,522
Mitsubishi UFJ Lease & Finance Co., Ltd.		11,900		63,262
Mitsui OSK Lines Ltd. †		12,000		54,358
Mizuho Financial Group, Inc.		58,000		126,089
MS&AD Insurance Group Holdings		2,500		65,527
NEC Corp.		18,000		41,819
Nippo Corp.		1,000		17,144
Nippon Paint Co., Ltd.		1,000		16,010
Nippon Telegraph & Telephone Corp.		500		26,025
Nippon Television Holdings, Inc.		1,900		35,261
Nishi-Nippon City Bank Ltd./The		27,000		73,694
Nissan Shatai Co., Ltd.		1,000		17,444
Nomura Holdings, Inc.		29,200		228,394
NSK Ltd.		3,000		30,773
Okasan Securities Group, Inc.		12,000		111,000
Omron Corp.		1,400		50,713
Orient Corp. †		31,000		85,896
ORIX Corp.		6,100		99,722
Renesas Electronics Corp. †		4,400		21,091
Resona Holdings, Inc.		8,100		41,585
Ricoh Co., Ltd.		4,000		46,350
Seiko Epson Corp.		3,100		51,185
Seino Holdings Co., Ltd.		1,000		10,236
Sekisui Chemical Co., Ltd.		5,000		51,001
Shiga Bank Ltd./The		5,000		28,429
Shinsei Bank Ltd.		34,000		82,982
Shionogi & Co., Ltd.		3,100		65,259
Softbank Corp.		2,200		152,785
Sony Corp.		4,100		88,006
Sumitomo Metal Mining Co., Ltd.		1,000		14,210
Sumitomo Mitsui Financial Group, Inc.		4,600		222,757
Sumitomo Mitsui Trust Holdings, Inc.		17,000		84,491
Sumitomo Rubber Industries Ltd.		2,500		38,696
Suzuki Motor Corp.		3,700		89,177
T&D Holdings, Inc.		3,200		39,735
Takashimaya Co., Ltd.		5,000		47,022
Tokai Tokyo Financial Holdings, Inc.		7,400		62,086
Tokyo Electric Power Co., Inc †		34,200		213,061
Tokyo Gas Co., Ltd.		2,000		10,970
Toshiba Corp.		12,000		54,081
Tosoh Corp.		10,000		41,366
TOTO Ltd.		1,000		14,028
Toyota Boshoku Corp.		2,600		34,938
Toyota Industries Corp.		200		8,660
TS Tech Co., Ltd.		1,300		51,414
Wacom Co., Ltd.		4,600		44,249
Yamaguchi Financial Group, Inc.		5,000		49,194
Yamaha Motor Co., Ltd.		5,600		82,366
Yokohama Rubber Co., Ltd./The		4,000		39,617
Zeon Corp.		3,000		38,475
				6,094,112

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

AQR Funds Annual Report September 2013 113

Schedule of Investments September 30, 2013

AQR INTERNATIONAL CORE EQUITY FUND

	SHARES		VALUE (Note 2)
Netherlands - 3.7%
Heineken Holding NV		2,008	$	126,956
ING Groep NV CVA †		1,244		14,116
Koninklijke Ahold NV		27,463		475,802
Koninklijke Philips NV		1,615		52,102
				668,976
New Zealand - 0.0% (a)
Fletcher Building Ltd.		510		4,023
Norway - 0.1%
SpareBank 1 SR Bank ASA		1,082		8,583
Portugal - 0.3%
EDP - Energias de Portugal SA		15,567		56,871
Singapore - 1.4%
CapitaCommercial Trust REIT		3,000		3,463
ComfortDelGro Corp. Ltd.		8,000		12,589
Keppel Land Ltd.		20,000		56,456
Keppel REIT		43,000		42,107
Mapletree Commercial Trust REIT		51,000		49,424
StarHub Ltd.		4,000		13,686
Suntec Real Estate Investment Trust REIT		31,000		40,379
Yanlord Land Group Ltd.		31,000		30,283
				248,387
Spain - 5.4%
ACS Actividades de Construccion y Servicios SA		1,608		51,205
Amadeus IT Holding SA, A Shares		513		18,190
Banco Bilbao Vizcaya Argentaria SA		15,483		173,137
Endesa SA †		7,819		203,531
Ferrovial SA		6,840		123,191
Gas Natural SDG SA		4,937		103,219
Iberdrola SA		29,469		171,294
Mapfre SA		13,977		50,032
Repsol SA		3,281		81,348
				975,147
Sweden - 0.3%
Skandinaviska Enskilda Banken AB, Class A		4,332		45,920
Switzerland - 6.9%
Actelion Ltd. †		1,327		94,219
Credit Suisse Group AG †		7,546		230,772
STMicroelectronics NV		3,816		35,240
Swiss Re AG †		4,789		396,771
Zurich Insurance Group AG †		1,832		472,269
				1,229,271
United Kingdom - 10.6%
AstraZeneca PLC		5,053		262,680
BAE Systems PLC		15,044		110,571
Barclays PLC		17,633		75,358
British Sky Broadcasting Group PLC		5,946		83,729
BT Group PLC		30,058		166,423
easyJet PLC		2,185		45,150
GKN PLC		3,403		18,827

	SHARES		VALUE (Note 2)
United Kingdom - 10.6% (continued)
HSBC Holdings PLC		26,342	$	285,109
ITV PLC		15,886		45,077
J Sainsbury PLC		31,011		196,539
Legal & General Group PLC		16,108		51,113
London Stock Exchange Group PLC		218		5,423
Marks & Spencer Group PLC		6,666		53,562
Mondi PLC		3,791		63,968
Next PLC		942		78,708
Old Mutual PLC		2,260		6,860
Prudential PLC		2,999		55,794
Rexam PLC		10,747		83,747
RSA Insurance Group PLC		28,432		55,619
Travis Perkins PLC		1,527		40,795
TUI Travel PLC		7,587		45,151
Whitbread PLC		166		7,963
William Hill PLC		7,569		49,352
WPP PLC		572		11,755
				1,899,273
TOTAL COMMON STOCKS (cost $16,227,966)				17,568,384
EXCHANGE-TRADED FUNDS - 1.8%
iShares MSCI EAFE ETF (1)
(cost $288,268)		4,825		307,787
RIGHTS - 0.0% (a)
Spain - 0.0% (a)
Banco Bilbao Vizcaya Argentaria SA † (cost $—)		15,483		2,116
MONEY MARKET FUNDS - 1.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)
(cost $295,113)		295,113		295,113
TOTAL INVESTMENTS - 101.2% (cost $16,811,347)				18,173,400
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%)				(209,053)
NET ASSETS - 100.0%			$	17,964,347

† Non income-producing security.

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

(b) Represents annualized seven-day yield as of September 30, 2013.

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

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

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

114 AQR Funds Annual Report September 2013

Schedule of Investments September 30, 2013

AQR INTERNATIONAL CORE EQUITY FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	2,989,576		16.7	%
Consumer Staples		1,732,497		9.7
Energy		204,819		1.1
Financials		7,260,983		40.3
Health Care		597,698		3.3
Industrials		1,239,608		6.9
Information Technology		675,859		3.8
Materials		689,320		3.9
Mutual Fund		307,787		1.8
Telecommunication Services		1,421,195		7.9
Utilities		758,945		4.2
Money Market Funds		295,113		1.6
Total Investments		18,173,400		101.2
Liabilities in Excess of Other Assets		(209,053)		(1.2)
Net Assets	$	17,964,347		100.0	%

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

AQR Funds Annual Report September 2013 115

Statements of Assets and Liabilities September 30, 2013

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR EMERGING DEFENSIVE EQUITY FUND
ASSETS:
Investments in securities, at cost		$193,470,372		$689,450,014		$31,472,800
Investments in securities, at value		$251,894,226		$814,090,469		$31,966,795
Cash		—		1,444		—
Foreign currency, at value		578,146		2,809,926		84,351
Due from brokers		3,354,672		12,490,874		—
Swaps, at value		10,895		45,780		—
Unrealized appreciation on futures contracts		168,443		590,281		—
Receivables:
Foreign tax reclaim		665,668		1,392,629		—
Dividends and interest		445,580		2,129,130		77,487
Capital shares sold		263		144,761		201,856
Prepaid expenses		13,951		32,345		10,242
Total Assets		257,131,844		833,727,639		32,340,731
LIABILITIES:
Due to custodian		673		—		457
Unrealized depreciation on forward foreign currency exchange contracts		198,182		916,511		—
Payables:
Securities purchased		—		—		202,443
Accrued Investment advisory fees		114,484		320,052		2,273
Accrued Shareholder servicing fees		—		67,364		—
Accrued Distribution fees—Class N		141		6,409		501
Capital shares redeemed		—		15,062,782		—
Other accrued expenses and liabilities		120,650		194,408		69,809
Total Liabilities		434,130		16,567,526		275,483
Net Assets		$256,697,714		$817,160,113		$32,065,248
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$108,309,686		$631,470,662		$31,713,358
Undistributed (accumulated) net investment income (loss)		5,964,647		11,729,676		211,072
Undistributed (accumulated) net realized gain (loss)		83,663,134		49,494,393		(353,949)
Net unrealized appreciation (depreciation)		58,760,247		124,465,382		494,767
Net Assets		$256,697,714		$817,160,113		$32,065,248
NET ASSETS:
Class I		$1,262,602		$241,467,180		$29,471,066
Class N		712,114		32,010,505		2,594,182
Class Y		254,722,998		543,682,428		—
SHARES OUTSTANDING:
Class I		94,701		20,333,041		2,870,660
Class N		53,682		2,654,916		252,784
Class Y		19,044,183		43,655,846		—
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$13.33		$11.88		$10.27
Class N		$13.27		$12.06		$10.26
Class Y		$13.38		$12.45		—

Foreign currency at cost of $569,484, $2,789,511 and $83,650, respectively.

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

116 AQR Funds Annual Report September 2013

Statements of Assets and Liabilities September 30, 2013

	AQR INTERNATIONAL DEFENSIVE EQUITY FUND		AQR U.S. DEFENSIVE EQUITY FUND		AQR MOMENTUM FUND
ASSETS:
Investments in securities, at cost		$17,788,954		$168,060,004		$639,431,654
Investments in securities, at value		$18,768,999		$169,835,175		$789,182,137
Cash		—		37,912		—
Foreign currency, at value		61,085		—		474
Due from brokers		—		385,071		769,083
Receivables:
Foreign tax reclaim		6,308		—		—
Dividends and interest		58,238		249,018		458,006
Capital shares sold		35,336		6,135,695		611,993
Due from Investment Advisor		10,424		—		—
Prepaid expenses		10,442		11,044		35,636
Total Assets		18,950,832		176,653,915		791,057,329
LIABILITIES:
Due to custodian		648		—		13,655
Unrealized depreciation on futures contracts		—		71,064		198,677
Payables:
Securities purchased		95,543		—		—
Accrued Investment advisory fees		—		18,765		178,721
Accrued Shareholder servicing fees		—		—		94,761
Accrued Distribution fees—Class N		232		4,168		14,469
Capital shares redeemed		2,173		69,668		671,836
Other accrued expenses and liabilities		68,742		93,983		231,765
Total Liabilities		167,338		257,648		1,403,884
Net Assets		$18,783,494		$176,396,267		$789,653,445
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$17,392,329		$173,719,222		$609,043,314
Undistributed (accumulated) net investment income (loss)		254,572		602,661		4,344,313
Undistributed (accumulated) net realized gain (loss)		155,143		370,277		26,713,964
Net unrealized appreciation (depreciation)		981,450		1,704,107		149,551,854
Net Assets		$18,783,494		$176,396,267		$789,653,445
NET ASSETS:
Class I		$17,630,701		$155,660,499		$—
Class L		—		—		719,388,829
Class N		1,152,793		20,735,768		70,264,616
SHARES OUTSTANDING:
Class I		1,483,573		12,763,386		—
Class L		—		—		36,612,813
Class N		97,048		1,700,634		3,583,368
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$11.88		$12.20		—
Class L		—		—		$19.65
Class N		$11.88		$12.19		$19.61

Foreign currency at cost of $60,384, $—, and $426, respectively.

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

AQR Funds Annual Report September 2013 117

Statements of Assets and Liabilities September 30, 2013

	AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND		AQR TAX-MANAGED MOMENTUM FUND
ASSETS:
Investments in securities, at cost		$198,534,465		$224,308,627		$19,959,795
Investments in securities, at value		$255,219,266		$259,024,406		$21,725,017
Foreign currency, at value		—		786,616		—
Due from brokers		35,095		178,677		—
Unrealized appreciation on futures contracts		13,056		—		—
Receivables:
Securities sold		10,223,406		—		—
Foreign tax reclaim		—		179,786		—
Dividends and interest		100,919		814,804		20,205
Capital shares sold		229,612		193,205		832,824
Prepaid expenses		22,496		23,170		5,244
Total Assets		265,843,850		261,200,664		22,583,290
LIABILITIES:
Due to custodian		13,592		13,191		1,801
Unrealized depreciation on futures contracts		—		20,357		—
Payables:
Securities purchased		21,092,183		235,450		701,514
Accrued Investment advisory fees		80,539		71,706		8,187
Accrued Shareholder servicing fees		28,990		17,044		—
Accrued Distribution fees—Class N		324		8,048		24
Capital shares redeemed		180,958		171,668		—
Other accrued expenses and liabilities		103,481		158,656		47,139
Total Liabilities		21,500,067		696,120		758,665
Net Assets		$244,343,783		$260,504,544		$21,824,625
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$170,976,869		$226,795,167		$19,795,031
Undistributed (accumulated) net investment income (loss)		752,938		3,226,119		77,454
Undistributed (accumulated) net realized gain (loss)		15,916,119		(4,228,533)		186,918
Net unrealized appreciation (depreciation)		56,697,857		34,711,791		1,765,222
Net Assets		$244,343,783		$260,504,544		$21,824,625
NET ASSETS:
Class L		$242,675,423		$219,002,000		$21,709,464
Class N		1,668,360		41,502,544		115,161
SHARES OUTSTANDING:
Class L		11,146,293		14,326,003		1,596,498
Class N		76,765		2,721,721		8,489
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L		$21.77		$15.29		$13.60
Class N		$21.73		$15.25		$13.57

Foreign currency at cost of $—, $782,136 and $—, respectively.

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

118 AQR Funds Annual Report September 2013

Statements of Assets and Liabilities September 30, 2013

	AQR TAX-MANAGED SMALL CAP MOMENTUM FUND		AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND		AQR CORE EQUITY FUND
ASSETS:
Investments in securities, at cost		$5,489,277		$15,379,185		$18,989,020
Investments in securities, at value		$6,977,689		$16,668,137		$19,558,861
Foreign currency, at value		—		34,504		—
Receivables:
Securities sold		580,914		—		945,321
Foreign tax reclaim		—		6,045		—
Dividends and interest		2,338		37,872		11,897
Capital shares sold		21,490		1,331,131		951,000
Due from Investment Advisor		—		—		10,275
Prepaid expenses		5,266		5,293		19,398
Total Assets		7,587,697		18,082,982		21,496,752
LIABILITIES:
Due to custodian		1,801		2,244		52,565
Payables:
Securities purchased		647,129		480,789		1,182,223
Accrued Investment advisory fees		4,278		2,774		—
Accrued Distribution fees—Class N		25		22		267
Other accrued expenses and liabilities		48,245		67,892		47,532
Total Liabilities		701,478		553,721		1,282,587
Net Assets		$6,886,219		$17,529,261		$20,214,165
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$5,257,599		$15,835,319		$19,496,333
Undistributed (accumulated) net investment income (loss)		15,602		108,464		52,857
Undistributed (accumulated) net realized gain (loss)		124,606		295,754		95,134
Net unrealized appreciation (depreciation)		1,488,412		1,289,724		569,841
Net Assets		$6,886,219		$17,529,261		$20,214,165
NET ASSETS:
Class L		$6,764,002		$17,417,880		$18,810,952
Class N		122,217		111,381		1,403,213
SHARES OUTSTANDING:
Class L		455,448		1,321,265		1,695,462
Class N		8,251		8,468		126,521
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L		$14.85		$13.18		$11.09
Class N		$14.81		$13.15		$11.09

Foreign currency at cost of $—, $34,195 and $—, respectively.

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

AQR Funds Annual Report September 2013 119

Statements of Assets and Liabilities September 30, 2013

	AQR SMALL CAP CORE EQUITY FUND		AQR INTERNATIONAL CORE EQUITY FUND
ASSETS:
Investments in securities, at cost		$3,358,755		$16,811,347
Investments in securities, at value		$3,797,935		$18,173,400
Foreign currency, at value		—		33,846
Receivables:
Securities sold		330,401		560,243
Foreign tax reclaim		—		2,595
Dividends and interest		1,868		45,849
Capital shares sold		9,701		6,800
Due from Investment Advisor		15,516		14,182
Prepaid expenses		19,599		19,224
Total Assets		4,175,020		18,856,139
LIABILITIES:
Due to custodian		50,516		53,626
Payables:
Securities purchased		512,210		775,308
Accrued Distribution fees—Class N		270		425
Other accrued expenses and liabilities		47,570		62,433
Total Liabilities		610,566		891,792
Net Assets		$3,564,454		$17,964,347
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$3,097,068		$16,564,772
Undistributed (accumulated) net investment income (loss)		5,195		109,008
Undistributed (accumulated) net realized gain (loss)		23,011		(72,155)
Net unrealized appreciation (depreciation)		439,180		1,362,722
Net Assets		$3,564,454		$17,964,347
NET ASSETS:
Class L		$2,183,541		$15,810,091
Class N		1,380,913		2,154,256
SHARES OUTSTANDING:
Class L		183,811		1,401,327
Class N		116,378		191,136
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L		$11.88		$11.28
Class N		$11.87		$11.27

Foreign currency at cost of $— and $33,470, respectively.

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

120 AQR Funds Annual Report September 2013

Statements of Operations September 30, 2013

	AQR GLOBAL EQUITY FUND				AQR INTERNATIONAL EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012
INVESTMENT INCOME:
Dividend income†		$8,199,598		$11,820,928		$16,989,314		$17,661,016
Securities lending income, net		44,387		203,348		85,943		494,124
Total Income		8,243,985		12,024,276		17,075,257		18,155,140
EXPENSES:
Investment advisory fees		1,381,336		1,747,589		2,560,077		2,642,211
Shareholder servicing fees		3,920		11,838		538,420		558,878
Custody, administration & accounting fees		139,324		162,837		228,205		215,223
Legal fees		21,336		25,187		31,415		25,799
Audit & tax fees		49,548		70,550		50,060		69,537
Shareholder reporting fees		5,157		9,195		25,784		19,902
Transfer agent fees		11,884		10,585		118,389		89,588
Trustee fees		18,526		26,157		27,982		34,468
Distribution fees—Class N		1,224		3,967		40,114		33,404
Recoupment of waiver		82,630		91,006		135,718		139,423
Registration fees		21,170		26,562		30,934		38,173
Pricing fee		16,808		17,678		14,683		16,611
Other fees		30,595		79,511		45,734		114,426
Total Expenses		1,783,458		2,282,662		3,847,515		3,997,643
Less waivers:
Investment advisory fees waived		(14,691)		(7,873)		—		—
Shareholder servicing fees waived		(3,920)		(11,838)		—		—
Net Expenses		1,764,847		2,262,951		3,847,515		3,997,643
Net Investment Income (Loss)		6,479,138		9,761,325		13,227,742		14,157,497
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		76,630,508		12,448,971		40,160,018		(9,070,105)
Foreign currency and foreign currency translations		(312,695)		(226,127)		112,422		(477,185)
Forward foreign currency exchange contracts		4,858,894		7,969,959		6,271,190		15,010,931
Futures contracts		7,495,078		2,427,378		23,013,883		7,075,466
Swap and swaps on futures contracts		(737,575)		3,330,894		(3,328,856)		1,841,341
Net realized gain (loss)		87,934,210		25,951,075		66,228,657		14,380,448
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(7,952,378)		38,743,797		43,988,449		90,469,316
Foreign currency and foreign currency translations		8,220		(20,795)		90,170		(39,053)
Forward foreign currency exchange contracts		(5,744,449)		5,722,064		(8,453,469)		8,039,606
Futures contracts		(4,539)		(2,134,515)		(622,078)		(2,833,783)
Swap and swaps on futures contracts		99,653		16,214		(780)		865,854
Net change in unrealized appreciation (depreciation)		(13,593,493)		42,326,765		35,002,292		96,501,940
Net gain (loss) and change in unrealized appreciation (depreciation)		74,340,717		68,277,840		101,230,949		110,882,388
Net increase (decrease) in net assets resulting from operations		$80,819,855		$78,039,165		$114,458,691		$125,039,885
† Net of foreign taxes withheld of		$509,744		$517,974		$1,580,362		$1,088,541

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

AQR Funds Annual Report September 2013 121

Statements of Operations September 30, 2013

	AQR EMERGING DEFENSIVE EQUITY FUND				AQR INTERNATIONAL DEFENSIVE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 07/09/12*-12/31/12		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 07/09/12*-12/31/12
INVESTMENT INCOME:
Dividend income†		$336,739		$81,249		$304,465		$50,968
Securities lending income, net		49		91		149		109
Total Income		336,788		81,340		304,614		51,077
EXPENSES:
Investment advisory fees		58,012		15,889		35,855		7,291
Shareholder servicing fees		24,171		6,621		22,409		4,556
Custody, administration & accounting fees		20,448		8,725		24,181		3,948
Legal fees		7,634		2,629		1,653		2,727
Audit & tax fees		58,114		55,050		58,112		55,050
Shareholder reporting fees		2,962		3,192		3,486		3,173
Transfer agent fees		13,790		6,144		17,431		6,092
Trustee fees		377		92		394		57
Organization and offering costs		—		20,029		—		20,816
Distribution fees—Class N		3,125		1,507		1,800		1,344
Registration fees		29,786		21,988		29,772		21,985
Pricing fee		10,151		10,044		10,325		9,784
Other fees		5,371		4,615		5,585		4,418
Total Expenses		233,941		156,525		211,003		141,241
Less waivers:
Investment advisory fees waived		(58,012)		(15,889)		(35,855)		(7,291)
Shareholder servicing fees waived		(24,171)		(6,621)		(22,409)		(4,556)
Expenses reimbursements		(55,244)		(101,965)		(85,645)		(111,569)
Net Expenses		96,514		32,050		67,094		17,825
Net Investment Income (Loss)		240,274		49,290		237,520		33,252
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		(383,407)		9,489		172,704		19,375
Foreign currency and foreign currency translations		2,346		(5,725)		(2,515)		(3,096)
Net realized gain (loss)		(381,061)		3,764		170,189		16,279
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(16,345)		510,340		735,720		244,325
Foreign currency and foreign currency translations		(612)		1,384		1,348		57
Net change in unrealized appreciation (depreciation)		(16,957)		511,724		737,068		244,382
Net gain (loss) and change in unrealized appreciation (depreciation)		(398,018)		515,488		907,257		260,661
Net increase (decrease) in net assets resulting from operations		($157,744)		$564,778		$1,144,777		$293,913
† Net of foreign taxes withheld of		$30,280		$5,667		$23,790		$3,452

* Commencement of operations.

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

122 AQR Funds Annual Report September 2013

Statements of Operations September 30, 2013

	AQR U.S. DEFENSIVE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 07/09/12*-12/31/12
INVESTMENT INCOME:
Dividend income		$794,150		$58,084
Securities lending income, net		541		377
Total Income		794,691		58,461
EXPENSES:
Investment advisory fees		107,979		5,085
Shareholder servicing fees		89,982		4,238
Custody, administration & accounting fees		17,769		6,253
Legal fees		974		3,302
Audit & tax fees		41,086		40,950
Shareholder reporting fees		4,601		2,613
Transfer agent fees		40,360		6,798
Trustee fees		914		47
Organization and offering costs		—		20,474
Distribution fees—Class N		10,467		903
Registration fees		50,362		21,985
Pricing fee		1,265		607
Other fees		4,010		4,578
Total Expenses		369,769		117,833
Less waivers:
Investment advisory fees waived		(82,114)		(5,085)
Shareholder servicing fees waived		(89,982)		(4,238)
Expense reimbursements		—		(94,844)
Net Expenses		197,673		13,666
Net Investment Income (Loss)		597,018		44,795
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		357,312		(2,179)
Futures contracts		20,071		—
Net realized gain (loss)		377,383		(2,179)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		1,741,728		33,443
Futures contracts		(71,064)		—
Net change in unrealized appreciation (depreciation)		1,670,664		33,443
Net gain (loss) and change in unrealized appreciation (depreciation)		2,048,047		31,264
Net increase (decrease) in net assets resulting from operations		$2,645,065		$76,059

* Commencement of operations.

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

AQR Funds Annual Report September 2013 123

Statements of Operations September 30, 2013

	AQR MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012
INVESTMENT INCOME:
Dividend income		$6,664,698		$9,380,171
Interest income		—		162
Securities lending income, net		276,243		143,633
Total Income		6,940,941		9,523,966
EXPENSES:
Investment advisory fees		1,264,457		1,087,067
Shareholder servicing fees		758,678		652,246
Custody, administration & accounting fees		144,628		125,963
Legal fees		26,946		18,769
Audit & tax fees		43,729		39,960
Shareholder reporting fees		78,641		34,422
Transfer agent fees		376,435		406,891
Trustee fees		24,275		24,840
Distribution fees—Class N		133,063		4,721
Registration fees		45,683		32,171
Pricing fee		3,497		3,456
Other fees		50,628		89,209
Total Expenses		2,950,660		2,519,715
Less waivers:
Shareholder servicing fees waived		(318,505)		(335,876)
Net Expenses		2,632,155		2,183,839
Net Investment Income (Loss)		4,308,786		7,340,127
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		32,870,611		12,934,616
Foreign currency and foreign currency translations		—		122
Futures contracts		1,953,626		531,791
Net realized gain (loss)		34,824,237		13,466,529
Net change in unrealized appreciation (depreciation) on:
Investments in securities		93,026,330		39,554,467
Foreign currency and foreign currency translations		11		37
Futures contracts		(213,699)		(23,726)
Net change in unrealized appreciation (depreciation)		92,812,642		39,530,778
Net gain (loss) and change in unrealized appreciation (depreciation)		127,636,879		52,997,307
Net increase (decrease) in net assets resulting from operations		$131,945,665		$60,337,434

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

124 AQR Funds Annual Report September 2013

Statements of Operations September 30, 2013

	AQR SMALL CAP MOMENTUM FUND				AQR INTERNATIONAL MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012
INVESTMENT INCOME:
Dividend income†		$1,461,430		$2,458,375		$4,017,798		$3,139,071
Interest income		46		80		—		—
Securities lending income, net		329,601		167,197		19,012		79,644
Total Income		1,791,077		2,625,652		4,036,810		3,218,715
EXPENSES:
Investment advisory fees		498,751		436,076		505,893		366,874
Shareholder servicing fees		213,752		186,893		216,813		157,234
Custody, administration & accounting fees		52,713		42,668		71,349		66,602
Legal fees		8,456		3,844		8,181		4,414
Audit & tax fees		42,680		38,660		51,437		51,367
Shareholder reporting fees		11,556		21,613		39,457		16,951
Transfer agent fees		99,160		105,256		122,932		104,023
Trustee fees		6,628		7,132		6,585		5,804
Distribution fees—Class N		761		1		37,064		1
Pricing fee		11,438		12,851		16,006		17,705
Other fees		47,411		44,820		48,502		43,799
Total Expenses		993,306		899,814		1,124,219		834,774
Less waivers:
Investment advisory fees waived		(11,517)		—		—		—
Shareholder servicing fees waived		(48,634)		(74,662)		(142,158)		(140,733)
Net Expenses		933,155		825,152		982,061		694,041
Net Investment Income (Loss)		857,922		1,800,500		3,054,749		2,524,674
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		13,477,768		7,023,315		6,888,004		1,203,670
Foreign currency and foreign currency translations		—		—		(44,126)		(48,603)
Futures contracts		712,870		14,542		917,677		—
Net realized gain (loss)		14,190,638		7,037,857		7,761,555		1,155,067
Net change in unrealized appreciation (depreciation) on:
Investments in securities		37,457,853		12,320,689		18,226,367		13,704,406
Foreign currency and foreign currency translations		—		—		14,305		4,476
Futures contracts		(14,217)		11,085		(20,357)		—
Net change in unrealized appreciation (depreciation)		37,443,636		12,331,774		18,220,315		13,708,882
Net gain (loss) and change in unrealized appreciation (depreciation)		51,634,274		19,369,631		25,981,870		14,863,949
Net increase (decrease) in net assets resulting from operations		$52,492,196		$21,170,131		$29,036,619		$17,388,623
† Net of foreign taxes withheld of		$92		$729		$387,042		$260,289

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

AQR Funds Annual Report September 2013 125

Statements of Operations September 30, 2013

	AQR TAX-MANAGED MOMENTUM FUND				AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 01/27/12*-12/31/12		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 01/27/12*-12/31/12
INVESTMENT INCOME:
Dividend income†		$114,211		$70,117		$39,732		$58,219
Securities lending income, net		2,005		1,041		3,756		5,210
Total Income		116,216		71,158		43,488		63,429
EXPENSES:
Investment advisory fees		22,644		8,753		14,550		9,669
Shareholder servicing fees		11,322		4,377		5,456		3,626
Custody, administration & accounting fees		6,933		5,953		6,421		10,519
Legal fees		376		783		251		768
Audit & tax fees		42,293		45,212		42,293		45,391
Shareholder reporting fees		—		7,348		374		6,894
Transfer agent fees		11,941		12,770		10,967		12,710
Trustee fees		311		158		170		142
Organization and offering costs		—		28,994		—		24,651
Distribution fees—Class N		172		1		176		1
Registration fees		17,501		19,382		17,492		19,381
Pricing fee		2,587		2,895		9,302		9,103
Other fees		2,967		2,611		2,334		2,281
Total Expenses		119,047		139,237		109,786		145,136
Less waivers:
Investment advisory fees waived		(22,644)		(8,753)		(14,550)		(9,669)
Shareholder servicing fees waived		(11,322)		(4,377)		(5,456)		(3,626)
Expense reimbursements		(43,921)		(110,047)		(64,029)		(114,632)
Net Expenses		41,160		16,060		25,751		17,209
Net Investment Income (Loss)		75,056		55,098		17,737		46,220
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		199,994		17,580		102,409		18,525
Foreign currency and foreign currency translations		—		44		—		—
Futures contracts		—		2,745		—		(3,953)
Net realized gain (loss)		199,994		20,369		102,409		14,572
Net change in unrealized appreciation (depreciation) on:
Investments in securities		1,474,254		290,968		1,216,323		272,089
Net change in unrealized appreciation (depreciation)		1,474,254		290,968		1,216,323		272,089
Net gain (loss) and change in unrealized appreciation (depreciation)		1,674,248		311,337		1,318,732		286,661
Net increase (decrease) in net assets resulting from operations		$1,749,304		$366,435		$1,336,469		$332,881
† Net of foreign taxes withheld of		$—		$2		$13		$48

* Commencement of operations.

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

126 AQR Funds Annual Report September 2013

Statements of Operations September 30, 2013

	AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND				AQR CORE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 01/27/12*-12/31/12		FOR THE PERIOD 03/26/13*-09/30/13
INVESTMENT INCOME:
Dividend income†		$158,624		$103,334		$78,568
Securities lending income, net		319		883		—
Total Income		158,943		104,217		78,568
EXPENSES:
Investment advisory fees		22,303		13,508		14,534
Shareholder servicing fees		8,364		5,066		7,268
Custody, administration & accounting fees		12,999		19,721		6,030
Legal fees		1,221		908		340
Audit & tax fees		51,115		58,756		39,590
Shareholder reporting fees		1,184		6,917		15,845
Transfer agent fees		11,130		12,797		10,912
Trustee fees		251		175		128
Organization and offering costs		—		24,978		7,809
Distribution fees—Class N		167		1		1,189
Registration fees		17,503		19,382		17,647
Pricing fee		15,088		20,123		1,550
Other fees		2,556		2,634		7,156
Total Expenses		143,881		184,966		129,998
Less waivers:
Investment advisory fees waived		(22,303)		(13,508)		(14,534)
Shareholder servicing fees waived		(8,364)		(5,066)		(7,268)
Expense reimbursements		(73,854)		(142,423)		(80,834)
Net Expenses		39,360		23,969		27,362
Net Investment Income (Loss)		119,583		80,248		51,206
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		274,344		26,491		95,056
Foreign currency and foreign currency translations		(1,868)		(1,790)		—
Net realized gain (loss)		272,476		24,701		95,056
Net change in unrealized appreciation (depreciation) on:
Investments in securities		776,649		512,303		569,841
Foreign currency and foreign currency translations		623		149		—
Net change in unrealized appreciation (depreciation)		777,272		512,452		569,841
Net gain (loss) and change in unrealized appreciation (depreciation)		1,049,748		537,153		664,897
Net increase (decrease) in net assets resulting from operations		$1,169,331		$617,401		$716,103
† Net of foreign taxes withheld of		$13,990		$7,680		$—

* Commencement of operations.

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

AQR Funds Annual Report September 2013 127

Statements of Operations September 30, 2013

	AQR SMALL CAP CORE EQUITY FUND		AQR INTERNATIONAL CORE EQUITY FUND
	FOR THE PERIOD 03/26/13*-09/30/13		FOR THE PERIOD 03/26/13*-09/30/13
INVESTMENT INCOME:
Dividend income†		$16,609		$147,038
Total Income		16,609		147,038
EXPENSES:
Investment advisory fees		6,302		19,197
Shareholder servicing fees		2,101		7,199
Custody, administration & accounting fees		4,842		10,080
Legal fees		1,509		66
Audit & tax fees		39,590		51,817
Shareholder reporting fees		15,617		15,634
Transfer agent fees		7,852		11,085
Trustee fees		51		137
Organization and offering costs		8,310		8,591
Distribution fees—Class N		1,489		2,001
Registration fees		17,671		17,641
Pricing fee		4,921		4,765
Other fees		5,748		7,989
Total Expenses		116,003		156,202
Less waivers:
Investment advisory fees waived		(6,302)		(19,197)
Shareholder servicing fees waived		(2,101)		(7,199)
Expense reimbursements		(95,597)		(94,182)
Net Expenses		12,003		35,624
Net Investment Income (Loss)		4,606		111,414
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		22,660		(82,360)
Foreign currency and foreign currency translations		—		5,749
Net realized gain (loss)		22,660		(76,611)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		439,180		1,362,053
Foreign currency and foreign currency translations		—		669
Net change in unrealized appreciation (depreciation)		439,180		1,362,722
Net gain (loss) and change in unrealized appreciation (depreciation)		461,840		1,286,111
Net increase (decrease) in net assets resulting from operations		$466,446		$1,397,525
† Net of foreign taxes withheld of		$—		$15,366

* Commencement of operations.

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

128 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR GLOBAL EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE YEAR ENDED DECEMBER 31, 2011
OPERATIONS:
Net investment income (loss)		$6,479,138		$9,761,325		$9,396,671
Net realized gain (loss)		87,934,210		25,951,075		(5,012,673)
Net change in unrealized appreciation (depreciation)		(13,593,493)		42,326,765		(31,770,689)
Net increase (decrease) in net assets resulting from operations		80,819,855		78,039,165		(27,386,691)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(44,921)		(22,319)
Class N		—		(39,465)		(14,377)
Class Y		—		(13,830,600)		(6,318,978)
Total		—		(13,914,986)		(6,355,674)
Net realized gain:
Class I		—		(36,801)		(27,548)
Class N		—		(34,857)		(21,102)
Class Y		—		(9,350,410)		(5,068,282)
Total		—		(9,422,068)		(5,116,932)
Total distributions		—		(23,337,054)		(11,472,606)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		556,237		289,737		2,662,793
Reinvestment of distributions		—		81,722		49,867
Cost of shares redeemed		(62,999)		(2,120,396)		(1,826,180)
Net increase (decrease) from capital transactions		493,238		(1,748,937)		886,480
CLASS N
Proceeds from shares sold		920,019		73,666		1,035,527
Reinvestment of distributions		—		74,323		35,479
Cost of shares redeemed		(804,396)		(1,850,280)		(392,823)
Net increase (decrease) from capital transactions		115,623		(1,702,291)		678,183
CLASS Y
Proceeds from shares sold		—		—		6,057
Reinvestment of distributions		—		23,181,009		11,387,260
Cost of shares redeemed		(300,588,116)		(659,771)		—
Redemption fees		300,588		4		—
Net increase (decrease) from capital transactions		(300,287,528)		22,521,242		11,393,317
Net increase (decrease) in net assets resulting from capital transactions		(299,678,667)		19,070,014		12,957,980
Total increase (decrease) in net assets		(218,858,812)		73,772,125		(25,901,317)
NET ASSETS:
Beginning of period		475,556,526		401,784,401		427,685,718
End of period		$256,697,714		$475,556,526		$401,784,401
Undistributed accumulated net investment income (loss)		$5,964,647		$(575,224)		$3,812,624

The accompanying notes are an integral part of these financial statements. (continued on p. 130)

AQR Funds Annual Report September 2013 129

Statements of Changes in Net Assets September 30, 2013

	AQR GLOBAL EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE YEAR ENDED DECEMBER 31, 2011
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		55,196		210,532		167,896
Shares sold		44,377		25,557		226,766
Shares issued on reinvestment of distributions		—		7,336		5,184
Shares redeemed		(4,872)		(188,229)		(189,314)
Shares outstanding, end of period		94,701		55,196		210,532
CLASS N
Shares outstanding, beginning of period		45,729		202,461		136,540
Shares sold		71,457		6,817		100,038
Shares issued on reinvestment of distributions		—		6,690		3,692
Shares redeemed		(63,504)		(170,239)		(37,809)
Shares outstanding, end of period		53,682		45,729		202,461
CLASS Y
Shares outstanding, beginning of period		41,798,875		39,780,661		38,596,429
Shares sold		—		—		525
Shares issued on reinvestment of distributions		—		2,080,881		1,183,707
Shares redeemed		(22,754,692)		(62,667)		—
Shares outstanding, end of period		19,044,183		41,798,875		39,780,661

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

130 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR INTERNATIONAL EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE YEAR ENDED DECEMBER 31, 2011
OPERATIONS:
Net investment income (loss)		$13,227,742		$14,157,497		$12,140,951
Net realized gain (loss)		66,228,657		14,380,448		(21,266,844)
Net change in unrealized appreciation (depreciation)		35,002,292		96,501,940		(68,430,519)
Net increase (decrease) in net assets resulting from operations		114,458,691		125,039,885		(77,556,412)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(6,044,927)		(3,204,118)
Class N		—		(442,708)		(20,121)
Class Y		—		(14,968,277)		(8,730,438)
Total		—		(21,455,912)		(11,954,677)
Net realized gain:
Class I		—		—		(1,042,406)
Class N		—		—		(8,687)
Class Y		—		—		(2,482,902)
Total		—		—		(3,533,995)
Total distributions		—		(21,455,912)		(15,488,672)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		47,657,715		56,017,676		100,254,223
Reinvestment of distributions		—		5,225,139		4,080,915
Cost of shares redeemed		(35,227,017)		(33,350,378)		(19,241,187)
Redemption fees		—		—		2,037
Net increase (decrease) from capital transactions		12,430,698		27,892,437		85,095,988
CLASS N
Proceeds from shares sold		17,853,305		15,872,803		92,400
Reinvestment of distributions		—		442,505		28,595
Cost of shares redeemed		(5,035,043)		(3,715,733)		(178,203)
Net increase (decrease) from capital transactions		12,818,262		12,599,575		(57,208)
CLASS Y
Proceeds from shares sold		19,000,000		45,779,910		49,085,024
Reinvestment of distributions		—		14,968,276		11,213,340
Cost of shares redeemed		(28,692,000)		(5,836,872)		(23,486,766)
Redemption fees		47,504		32,284		31,881
Net increase (decrease) from capital transactions		(9,644,496)		54,943,598		36,843,479
Net increase (decrease) in net assets resulting from capital transactions		15,604,464		95,435,610		121,882,259
Total increase (decrease) in net assets		130,063,155		199,019,583		28,837,175
NET ASSETS:
Beginning of period		687,096,958		488,077,375		459,240,200
End of period		$817,160,113		$687,096,958		$488,077,375
Undistributed accumulated net investment income (loss)		$11,729,676		$(1,607,306)		$5,593,024

The accompanying notes are an integral part of these financial statements. (continued on p. 132)

AQR Funds Annual Report September 2013 131

Statements of Changes in Net Assets September 30, 2013

	AQR INTERNATIONAL EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012		FOR THE YEAR ENDED DECEMBER 31, 2011
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		19,233,566		16,066,790		8,227,394
Shares sold		4,223,416		6,218,133		9,343,360
Shares issued on reinvestment of distributions		—		524,610		492,270
Shares redeemed		(3,123,941)		(3,575,967)		(1,996,234)
Shares outstanding, end of period		20,333,041		19,233,566		16,066,790
CLASS N
Shares outstanding, beginning of period		1,492,563		133,174		138,711
Shares sold		1,609,233		1,698,841		9,129
Shares issued on reinvestment of distributions		—		43,639		3,388
Shares redeemed		(446,880)		(383,091)		(18,054)
Shares outstanding, end of period		2,654,916		1,492,563		133,174
CLASS Y
Shares outstanding, beginning of period		44,308,341		38,834,729		34,152,071
Shares sold		1,693,405		4,631,152		5,482,006
Shares issued on reinvestment of distributions		—		1,436,495		1,296,340
Shares redeemed		(2,345,900)		(594,035)		(2,095,688)
Shares outstanding, end of period		43,655,846		44,308,341		38,834,729

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

132 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR EMERGING DEFENSIVE EQUITY FUND				AQR INTERNATIONAL DEFENSIVE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 7/09/12*-12/31/12		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 7/09/12*-12/31/12
OPERATIONS:
Net investment income (loss)		$240,274		$49,290		$237,520		$33,252
Net realized gain (loss)		(381,061)		3,764		170,189		16,279
Net change in unrealized appreciation (depreciation)		(16,957)		511,724		737,068		244,382
Net increase (decrease) in net assets resulting from operations		(157,744)		564,778		1,144,777		293,913
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(34,222)		—		(26,339)
Class N		—		(9,990)		—		(3,918)
Total		—		(44,212)		—		(30,257)
Net realized gain:
Class I		—		(11,427)		—		(16,369)
Class N		—		(4,811)		—		(4,353)
Total		—		(16,238)		—		(20,722)
Total distributions		—		(60,450)		—		(50,979)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		28,306,131		5,666,656		11,923,132		7,216,220
Reinvestment of distributions		—		45,649		—		42,708
Cost of shares redeemed		(4,122,651)		(689,457)		(701,166)		(2,065,477)
Net increase (decrease) from capital transactions		24,183,480		5,022,848		11,221,966		5,193,451
CLASS N
Proceeds from shares sold		1,889,158		1,857,059		349,021		1,791,100
Reinvestment of distributions		—		14,801		—		8,271
Cost of shares redeemed		(1,056,166)		(192,516)		(148,571)		(1,019,455)
Net increase (decrease) from capital transactions		832,992		1,679,344		200,450		779,916
Net increase (decrease) in net assets resulting from capital transactions		25,016,472		6,702,192		11,422,416		5,973,367
Total increase (decrease) in net assets		24,858,728		7,206,520		12,567,193		6,216,301
NET ASSETS:
Beginning of period		7,206,520		—		6,216,301		—
End of period		$32,065,248		$7,206,520		$18,783,494		$6,216,301
Undistributed accumulated net investment income (loss)		$211,072		$4,259		$254,572		$(143)

The accompanying notes are an integral part of these financial statements. (continued on p. 134)

AQR Funds Annual Report September 2013 133

Statements of Changes in Net Assets September 30, 2013

	AQR EMERGING DEFENSIVE EQUITY FUND				AQR INTERNATIONAL DEFENSIVE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 7/09/12*-12/31/12		FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 7/09/12*-12/31/12
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		494,839		—		502,748		—
Shares sold		2,752,761		556,121		1,042,623		693,168
Shares issued on reinvestment of distributions		—		4,278		—		4,014
Shares redeemed		(376,940)		(65,560)		(61,798)		(194,434)
Shares outstanding, end of period		2,870,660		494,839		1,483,573		502,748
CLASS N
Shares outstanding, beginning of period		165,019		—		79,543		—
Shares sold		184,245		181,889		31,111		174,715
Shares issued on reinvestment of distributions		—		1,386		—		776
Shares redeemed		(96,480)		(18,256)		(13,606)		(95,948)
Shares outstanding, end of period		252,784		165,019		97,048		79,543

* Commencement of operations.

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

134 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR U.S. DEFENSIVE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 7/09/12*-12/31/12
OPERATIONS:
Net investment income (loss)		$597,018		$44,795
Net realized gain (loss)		377,383		(2,179)
Net change in unrealized appreciation (depreciation)		1,670,664		33,443
Net increase (decrease) in net assets resulting from operations		2,645,065		76,059
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(40,855)
Class N		—		(1,691)
Total		—		(42,546)
Net realized gain:
Class I		—		(4,695)
Class N		—		(316)
Total		—		(5,011)
Total distributions		—		(47,557)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		147,844,332		8,863,968
Reinvestment of distributions		—		45,549
Cost of shares redeemed		(2,400,295)		(1,076,018)
Net increase (decrease) from capital transactions		145,444,037		7,833,499
CLASS N
Proceeds from shares sold		23,011,456		1,421,979
Reinvestment of distributions		—		2,007
Cost of shares redeemed		(2,967,021)		(1,023,257)
Net increase (decrease) from capital transactions		20,044,435		400,729
Net increase (decrease) in net assets resulting from capital transactions		165,488,472		8,234,228
Total increase (decrease) in net assets		168,133,537		8,262,730
NET ASSETS:
Beginning of period		8,262,730		—
End of period		$176,396,267		$8,262,730
Undistributed accumulated net investment income (loss)		$602,661		$5,727
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		771,572		—
Shares sold		12,202,553		872,439
Shares issued on reinvestment of distributions		—		4,479
Shares redeemed		(210,739)		(105,346)
Shares outstanding, end of period		12,763,386		771,572
CLASS N
Shares outstanding, beginning of period		41,347		—
Shares sold		1,912,085		141,350
Shares issued on reinvestment of distributions		—		197
Shares redeemed		(252,798)		(100,200)
Shares outstanding, end of period		1,700,634		41,347

* Commencement of operations.

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

AQR Funds Annual Report September 2013 135

Statements of Changes in Net Assets September 30, 2013

	AQR MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012			FOR THE YEAR ENDED DECEMBER 31, 2011
OPERATIONS:
Net investment income (loss)		$4,308,786		$7,340,127			$2,522,585
Net realized gain (loss)		34,824,237		13,466,529			(21,841,538)
Net change in unrealized appreciation (depreciation)		92,812,642		39,530,778			7,021,965
Net increase (decrease) in net assets resulting from operations		131,945,665		60,337,434			(12,296,988)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(7,610,158)			(2,025,248)
Total		—		(7,610,158)			(2,025,248)
Net realized gain:
Class L		—		—			(566,418)
Total		—		—			(566,418)
Total distributions		—		(7,610,158)			(2,591,666)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		213,770,610		231,326,342			234,799,847
Reinvestment of distributions		—		7,604,346			2,589,299
Cost of shares redeemed		(103,081,407)		(104,299,857)			(44,238,993)
Redemption fees		—		—			2,432
Net increase (decrease) from capital transactions		110,689,203		134,630,831			193,152,585
CLASS N
Proceeds from shares sold		22,798,786		58,966,793	(a)		—
Cost of shares redeemed		(24,643,522)		(216,871)	(a)		—
Net increase (decrease) from capital transactions		(1,844,736)		58,749,922			—
Net increase (decrease) in net assets resulting from capital transactions		108,844,467		193,380,753			193,152,585
Total increase (decrease) in net assets		240,790,132		246,108,029			178,263,931
NET ASSETS:
Beginning of period		548,863,313		302,755,284			124,491,353
End of period		$789,653,445		$548,863,313			$302,755,284
Undistributed accumulated net investment income (loss)		$4,344,313		$227,113			$716,277
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		30,541,508		21,793,766			8,646,886
Shares sold		11,747,969		14,895,037			16,107,289
Shares issued on reinvestment of distributions		—		481,898			192,513
Shares redeemed		(5,676,664)		(6,629,193)			(3,152,922)
Shares outstanding, end of period		36,612,813		30,541,508			21,793,766
CLASS N
Shares outstanding, beginning of period		3,638,858		—	(a)		—
Shares sold		1,273,992		3,652,468			—
Shares redeemed		(1,329,482)		(13,610)			—
Shares outstanding, end of period		3,583,368		3,638,858			—

(a) Commencement of offering class of shares effective December 17, 2012.

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

136 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR SMALL CAP MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012			FOR THE YEAR ENDED DECEMBER 31, 2011
OPERATIONS:
Net investment income (loss)		$857,922		$1,800,500			$227,233
Net realized gain (loss)		14,190,638		7,037,857			(5,687,386)
Net change in unrealized appreciation (depreciation)		37,443,636		12,331,774			1,233,553
Net increase (decrease) in net assets resulting from operations		52,492,196		21,170,131			(4,226,600)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(1,541,164)			(150,004)
Total		—		(1,541,164)			(150,004)
Net realized gain:
Class L		—		—			(713,111)
Total		—		—			(713,111)
Total distributions		—		(1,541,164)			(863,115)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		70,492,315		50,077,757			69,908,520
Reinvestment of distributions		—		1,537,931			860,975
Cost of shares redeemed		(26,018,808)		(26,009,044)			(19,650,773)
Redemption fees		—		—			765
Net increase (decrease) from capital transactions		44,473,507		25,606,644			51,119,487
CLASS N
Proceeds from shares sold		1,615,673		10,000	(a)		—
Cost of shares redeemed		(17,558)		—			—
Net increase (decrease) from capital transactions		1,598,115		10,000			—
Net increase (decrease) in net assets resulting from capital transactions		46,071,622		25,616,644			51,119,487
Total increase (decrease) in net assets		98,563,818		45,245,611			46,029,772
NET ASSETS:
Beginning of period		145,779,965		100,534,354			54,504,582
End of period		$244,343,783		$145,779,965			$100,534,354
Undistributed accumulated net investment income (loss)		$752,938		$146,099			$30,383
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		8,871,777		7,238,497			3,788,903
Shares sold		3,620,280		3,211,497			4,790,883
Shares issued on reinvestment of distributions		—		97,153			63,354
Shares redeemed		(1,345,764)		(1,675,370)			(1,404,643)
Shares outstanding, end of period		11,146,293		8,871,777			7,238,497
CLASS N
Shares outstanding, beginning of period		622		—	(a)		—
Shares sold		77,081		622			—
Shares redeemed		(938)		—			—
Shares outstanding, end of period		76,765		622			—

(a) Commencement of offering class of shares effective December 17, 2012.

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

AQR Funds Annual Report September 2013 137

Statements of Changes in Net Assets September 30, 2013

	AQR INTERNATIONAL MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE YEAR ENDED DECEMBER 31, 2012			FOR THE YEAR ENDED DECEMBER 31, 2011
OPERATIONS:
Net investment income (loss)		$3,054,749		$2,524,674			$1,671,768
Net realized gain (loss)		7,761,555		1,155,067			(12,171,592)
Net change in unrealized appreciation (depreciation)		18,220,315		13,708,882			(3,162,121)
Net increase (decrease) in net assets resulting from operations		29,036,619		17,388,623			(13,661,945)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(2,965,770)			(1,944,737)
Total		—		(2,965,770)			(1,944,737)
Total distributions		—		(2,965,770)			(1,944,737)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		83,877,662		54,777,235			57,657,994
Reinvestment of distributions		—		2,965,195			1,943,164
Cost of shares redeemed		(18,591,284)		(21,716,680)			(28,862,650)
Redemption fees		—		—			1,706
Net increase (decrease) from capital transactions		65,286,378		36,025,750			30,740,214
CLASS N
Proceeds from shares sold		42,216,111		11,000	(a)		—
Cost of shares redeemed		(3,719,078)		—			—
Net increase (decrease) from capital transactions		38,497,033		11,000			—
Net increase (decrease) in net assets resulting from capital transactions		103,783,411		36,036,750			30,740,214
Total increase (decrease) in net assets		132,820,030		50,459,603			15,133,532
NET ASSETS:
Beginning of period		127,684,514		77,224,911			62,091,379
End of period		$260,504,544		$127,684,514			$77,224,911
Undistributed accumulated net investment income (loss)		$3,226,119		$(313,735)			$92,674
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		9,757,051		6,789,578			4,559,775
Shares sold		5,866,252		4,490,971			4,299,973
Shares issued on reinvestment of distributions		—		229,327			176,171
Shares redeemed		(1,297,300)		(1,752,825)			(2,246,341)
Shares outstanding, end of period		14,326,003		9,757,051			6,789,578
CLASS N
Shares outstanding, beginning of period		849		—	(a)		—
Shares sold		2,976,098		849			—
Shares redeemed		(255,226)		—			—
Shares outstanding, end of period		2,721,721		849			—

(a) Commencement of offering class of shares effective December 17, 2012.

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

138 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR TAX-MANAGED MOMENTUM FUND					AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 1/27/12*-12/31/12			FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 1/27/12*-12/31/12
OPERATIONS:
Net investment income (loss)		$75,056		$55,098			$17,737		$46,220
Net realized gain (loss)		199,994		20,369			102,409		14,572
Net change in unrealized appreciation (depreciation)		1,474,254		290,968			1,216,323		272,089
Net increase (decrease) in net assets resulting from operations		1,749,304		366,435			1,336,469		332,881
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(58,114)			—		(43,740)
Total		—		(58,114)			—		(43,740)
Net realized gain:
Class L		—		(35,669)			—		—
Total		—		(35,669)			—		—
Total distributions		—		(93,783)			—		(43,740)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		17,901,127		5,727,135			2,695,469		3,103,895
Reinvestment of distributions		—		93,783			—		43,740
Cost of shares redeemed		(3,966,042)		(52,741)			(679,820)		(1,566)
Net increase (decrease) from capital transactions		13,935,085		5,768,177			2,015,649		3,146,069
CLASS N
Proceeds from shares sold		100,001		10,000	(a)		100,000		10,000	(a)
Cost of shares redeemed		(10,594)		—			(11,109)		—
Net increase (decrease) from capital transactions		89,407		10,000			88,891		10,000
Net increase (decrease) in net assets resulting from capital transactions		14,024,492		5,778,177			2,104,540		3,156,069
Total increase (decrease) in net assets		15,773,796		6,050,829			3,441,009		3,445,210
NET ASSETS:
Beginning of period		6,050,829		—			3,445,210		—
End of period		$21,824,625		$6,050,829			$6,886,219		$3,445,210
Undistributed accumulated net investment income (loss)		$77,454		$3,454			$15,602		$3,863
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		542,643		—			307,953		—
Shares sold		1,359,290		538,821			196,317		304,030
Shares issued on reinvestment of distributions		—		8,557			—		4,069
Shares redeemed		(305,435)		(4,735)			(48,822)		(146)
Shares outstanding, end of period		1,596,498		542,643			455,448		307,953
CLASS N
Shares outstanding, beginning of period		899		—	(a)		917		—	(a)
Shares sold		8,489		899			8,251		917
Shares redeemed		(899)		—			(917)		—
Shares outstanding, end of period		8,489		899			8,251		917

* Commencement of operations.

(a) Commencement of offering class of shares effective December 17, 2012.

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

AQR Funds Annual Report September 2013 139

Statements of Changes in Net Assets September 30, 2013

	AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND					AQR CORE EQUITY FUND		AQR SMALL CAP CORE EQUITY FUND
	FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013		FOR THE PERIOD 1/27/12*-12/31/12			FOR THE PERIOD 3/26/13*-9/30/13		FOR THE PERIOD 3/26/13*-9/30/13
OPERATIONS:
Net investment income (loss)		$119,583		$80,248			$51,206		$4,606
Net realized gain (loss)		272,476		24,701			95,056		22,660
Net change in unrealized appreciation (depreciation)		777,272		512,452			569,841		439,180
Net increase (decrease) in net assets resulting from operations		1,169,331		617,401			716,103		466,446
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(91,118)			—		—
Total		—		(91,118)			—		—
Net realized gain:
Class L		—		(8,768)			—		—
Total		—		(8,768)			—		—
Total distributions		—		(99,886)			—		—
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		13,835,282		5,127,939			19,426,853		2,654,885
Reinvestment of distributions		—		99,886			—		—
Cost of shares redeemed		(3,313,583)		(6,508)			(1,229,610)		(743,228)
Net increase (decrease) from capital transactions		10,521,699		5,221,317			18,197,243		1,911,657
CLASS N
Proceeds from shares sold		100,000		10,000	(a)		2,212,852		1,186,351
Cost of shares redeemed		(10,601)		—			(912,033)		—
Net increase (decrease) from capital transactions		89,399		10,000			1,300,819		1,186,351
Net increase (decrease) in net assets resulting from capital transactions		10,611,098		5,231,317			19,498,062		3,098,008
Total increase (decrease) in net assets		11,780,429		5,748,832			20,214,165		3,564,454
NET ASSETS:
Beginning of period		5,748,832		—			—		—
End of period		$17,529,261		$5,748,832			$20,214,165		$3,564,454
Undistributed accumulated net investment income (loss)		$108,464		$(14,184)			$52,857		$5,195
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		510,465		—			—		—
Shares sold		1,076,886		502,067			1,811,050		253,687
Shares issued on reinvestment of distributions		—		8,983			—		—
Shares redeemed		(266,086)		(585)			(115,588)		(69,876)
Shares outstanding, end of period		1,321,265		510,465			1,695,462		183,811
CLASS N
Shares outstanding, beginning of period		898		—	(a)		—		—
Shares sold		8,468		898			212,977		116,378
Shares redeemed		(898)		—			(86,456)		—
Shares outstanding, end of period		8,468		898			126,521		116,378

* Commencement of operations.

(a) Commencement of offering class of shares effective December 17, 2012.

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

140 AQR Funds Annual Report September 2013

Statements of Changes in Net Assets September 30, 2013

	AQR INTERNATIONAL CORE EQUITY FUND
	FOR THE PERIOD 3/26/13*-9/30/13
OPERATIONS:
Net investment income (loss)		$111,414
Net realized gain (loss)		(76,611)
Net change in unrealized appreciation (depreciation)		1,362,722
Net increase (decrease) in net assets resulting from operations		1,397,525
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		15,815,757
Cost of shares redeemed		(1,223,357)
Net increase (decrease) from capital transactions		14,592,400
CLASS N
Proceeds from shares sold		2,846,422
Cost of shares redeemed		(872,000)
Net increase (decrease) from capital transactions		1,974,422
Net increase (decrease) in net assets resulting from capital transactions		16,566,822
Total increase (decrease) in net assets		17,964,347
NET ASSETS:
Beginning of period		—
End of period		$17,964,347
Undistributed accumulated net investment income (loss)		$109,008
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		—
Shares sold		1,518,548
Shares redeemed		(117,221)
Shares outstanding, end of period		1,401,327
CLASS N
Shares outstanding, beginning of period		—
Shares sold		275,225
Shares redeemed		(84,089)
Shares outstanding, end of period		191,136

* Commencement of operations.

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

AQR Funds Annual Report September 2013 141

Financial Highlights September 30, 2013

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations						Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Total Distributions
AQR GLOBAL EQUITY FUND CLASS I
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.35		0.14		1.84		1.98		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.99		0.20		1.69		1.89		(0.29)		(0.24)		(0.53)
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.97		0.21		(0.95)		(0.74)		(0.11)		(0.13)		(0.24)
FOR THE YEAR ENDED DECEMBER 31, 20105		$10.00		0.16		1.25		1.41		(0.36)		(0.08)		(0.44)
AQR GLOBAL EQUITY FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.32		0.11		1.84		1.95		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.97		0.16		1.70		1.86		(0.27)		(0.24)		(0.51)
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.97		0.16		(0.94)		(0.78)		(0.09)		(0.13)		(0.22)
FOR THE YEAR ENDED DECEMBER 31, 2010†,5		$10.00		0.13		1.25		1.38		(0.33)		(0.08)		(0.41)
AQR GLOBAL EQUITY FUND CLASS Y
NINE MONTHS ENDED SEPTEMBER 30, 2013†,5		$11.35		0.18		1.85		2.03		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012†,5		$10.00		0.24		1.70		1.94		(0.35)		(0.24)		(0.59)
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.99		0.24		(0.94)		(0.70)		(0.16)		(0.13)		(0.29)
FOR THE YEAR ENDED DECEMBER 31, 20105		$10.00		0.18		1.27		1.45		(0.38)		(0.08)		(0.46)
AQR INTERNATIONAL EQUITY FUND CLASS I
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.24		0.17		1.47		1.64		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$8.60		0.20		1.76		1.96		(0.32)		—		(0.32)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.45		0.21		(1.78)		(1.57)		(0.21)		(0.07)		(0.28)
FOR THE YEAR ENDED DECEMBER 31, 2010†,5		$9.78		0.16		0.84		1.00		(0.24)		(0.09)		(0.33)
FOR THE PERIOD 9/30/096—12/31/09†,5		$10.00		(0.01)		0.22		0.21		(0.14)		(0.29)		(0.43)
AQR INTERNATIONAL EQUITY FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.43		0.13		1.50		1.63		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$8.76		0.19		1.76		1.95		(0.28)		—		(0.28)
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.61		0.20		(1.83)		(1.63)		(0.15)		(0.07)		(0.22)
FOR THE YEAR ENDED DECEMBER 31, 20105		$9.91		0.14		0.88		1.02		(0.23)		(0.09)		(0.32)
FOR THE PERIOD 9/30/096—12/31/095		$10.00		—		0.20		0.20		—		(0.29)		(0.29)
AQR INTERNATIONAL EQUITY FUND CLASS Y
NINE MONTHS ENDED SEPTEMBER 30, 2013†,5		$10.71		0.21		1.53		1.74		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012†,5		$8.98		0.25		1.83		2.08		(0.35)		—		(0.35)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.89		0.28		(1.88)		(1.60)		(0.24)		(0.07)		(0.31)
FOR THE YEAR ENDED DECEMBER 31, 2010†,5		$10.16		0.20		0.89		1.09		(0.27)		(0.09)		(0.36)
FOR THE PERIOD 8/28/098—12/31/09†,5		$10.00		0.03		0.57		0.60		(0.15)		(0.29)		(0.44)

  * Annualized for periods less than one year.

  † Redemption fees of less than $0.005 per share were incurred by the share class.

  1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 Commencement of offering of shares.

  7 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period ended December 31, 2009.

  8 Commencement of operations.

  9 Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013.

10 Ratios are disproportionate between classes due to size of net assets and fixed expenses.

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

142 AQR Funds Annual Report September 2013

Financial Highlights September 30, 2013

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3,9			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$13.33		17.44	%		$1,262,602		0.95	%		0.95	%		2.27	%10		1.46	%		71	%
	$11.35		18.95	%		$626,448		0.95	%		0.94	%		1.41	%		1.83	%		87	%
	$9.99		(6.68	)%		$2,102,815		0.96	%		0.95	%		2.03	%		1.90	%		59	%
	$10.97		14.12	%		$1,841,838		0.79	%		0.79	%		0.79	%		1.41	%		72	%
	$13.27		17.23	%		$712,114		1.25	%		1.25	%		3.06	%10		1.14	%		71	%
	$11.32		18.67	%		$517,504		1.25	%		1.24	%		1.87	%		1.51	%		87	%
	$9.97		(7.03	)%		$2,019,253		1.27	%		1.26	%		3.22	%		1.46	%		59	%
	$10.97		13.83	%		$1,497,723		1.10	%		1.10	%		1.10	%		1.28	%		72	%
	$13.38		17.89	%		$254,722,998		0.51	%		0.51	%		0.51	%10		1.88	%		71	%
	$11.35		19.45	%		$474,412,574		0.51	%		0.50	%		0.51	%		2.24	%		87	%
	$10.00		(6.22	)%		$397,662,333		0.52	%		0.51	%		0.52	%		2.21	%		59	%
	$10.99		14.54	%		$424,346,157		0.50	%		0.50	%		0.71	%		1.81	%		72	%
	$11.88		16.02	%		$241,467,180		0.90	%		0.90	%		0.90	%		2.11	%		59	%
	$10.24		22.87	%		$196,971,397		0.91	%		0.90	%		0.91	%		2.17	%		74	%
	$8.60		(15.00	)%		$138,229,387		0.94	%		0.93	%		0.94	%		2.13	%		60	%
	$10.45		10.40	%		$85,968,655		0.90	%		0.90	%		1.03	%		1.72	%		93	%
	$9.78		2.20	%		$44,016,038		0.90	%		0.90	%		1.01	%		(0.47	)%		29	%
	$12.06		15.63	%		$32,010,505		1.29	%		1.29	%		1.29	%		1.52	%		59	%
	$10.43		22.41	%		$15,561,822		1.28	%		1.27	%		1.28	%		2.00	%		74	%
	$8.76		(15.27	)%		$1,166,515		1.35	%		1.34	%		2.18	%		1.96	%		60	%
	$10.61		10.40	%		$1,472,368		1.25	%		1.25	%		3.50	%		1.51	%		93	%
	$9.91		2.04	%		$5,785		1.25	%		1.25	%		472.86	%7		(0.07	)%		29	%
	$12.45		16.25	%		$543,682,428		0.55	%		0.55	%		0.55	%		2.45	%		59	%
	$10.71		23.26	%		$474,563,739		0.56	%		0.55	%		0.56	%		2.52	%		74	%
	$8.98		(14.66	)%		$348,681,473		0.58	%		0.57	%		0.58	%		2.63	%		60	%
	$10.89		10.84	%		$371,799,177		0.55	%		0.55	%		0.77	%		2.02	%		93	%
	$10.16		6.08	%		$360,491,107		0.55	%		0.55	%		0.98	%		0.99	%		29	%

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

AQR Funds Annual Report September 2013 143

Financial Highlights September 30, 2013

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Total Distributions
AQR EMERGING DEFENSIVE EQUITY FUND CLASS I
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.92		0.20			(0.85)		(0.65)		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.10			0.94		1.04		(0.09)		(0.03)		(0.12)
AQR EMERGING DEFENSIVE EQUITY FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.93		0.16			(0.83)		(0.67)		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.08			0.94		1.02		(0.06)		(0.03)		(0.09)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.67		0.23			0.98		1.21		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.10			0.67		0.77		(0.06)		(0.04)		(0.10)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.69		0.20			0.99		1.19		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.08			0.68		0.76		(0.03)		(0.04)		(0.07)
AQR U.S. DEFENSIVE EQUITY FUND CLASS I
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.16		0.15			1.89		2.04		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.14	8		0.10		0.24		(0.07)		(0.01)		(0.08)
AQR U.S. DEFENSIVE EQUITY FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$10.18		0.13			1.88		2.01		—		—		—
FOR THE PERIOD 7/09/127—12/31/125		$10.00		0.08	8		0.15		0.23		(0.04)		(0.01)		(0.05)
AQR MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$16.06		0.12	10		3.47		3.59		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$13.89		0.26	8		2.16		2.42		(0.25)		—		(0.25)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$14.40		0.15			(0.54)		(0.39)		(0.09)		(0.03)		(0.12)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$12.19		0.06			2.21		2.27		(0.02)		(0.04)		(0.06)
FOR THE PERIOD 7/09/097—12/31/09†,5		$10.00		0.07			2.48		2.55		(0.05)		(0.31)		(0.36)
AQR MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$16.05		0.09	10		3.47		3.56		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$16.02		0.01	8		0.02		0.03		—		—		—

  * Annualized for periods less than one year.

  † Redemption fees of less than $0.005 per share were incurred by the share class.

  1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 Commencement of offering of shares.

  7 Commencement of operations.

  8 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR U.S. Defensive Equity Fund—Class I	$	0.11		2.58	%
AQR U.S. Defensive Equity Fund—Class N		0.05		1.38
AQR Momentum Fund—Class L		0.24		1.57
AQR Momentum Fund—Class N		0.01		1.07

  9 Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013.

10 For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Momentum Fund—Class L	$	0.11		0.80	%
AQR Momentum Fund—Class N		0.08		0.56

11 Ratios are disproportionate between classes due to size of net assets and fixed expenses.

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

144 AQR Funds Annual Report September 2013

Financial Highlights September 30, 2013

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3,9			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$10.27		(5.95	)%		$29,471,066		0.96	%		0.96	%		2.08	%		2.55	%		181	%
	$10.92		10.39	%		$5,402,251		1.15	%		1.15	%		4.14	%		1.92	%		38	%
	$10.26		(6.13	)%		$2,594,182		1.25	%		1.25	%		3.50	%		2.06	%		181	%
	$10.93		10.22	%		$1,804,269		1.40	%		1.40	%		5.41	%		1.67	%		38	%
	$11.88		11.34	%		$17,630,701		0.73	%		0.73	%		2.01	%11		2.68	%		115	%
	$10.67		7.69	%		$5,366,031		0.90	%		0.90	%		5.00	%		1.91	%		81	%
	$11.88		11.13	%		$1,152,793		1.00	%		1.00	%		4.15	%11		2.34	%		115	%
	$10.69		7.62	%		$850,270		1.15	%		1.15	%		6.96	%		1.61	%		81	%
	$12.20		20.08	%		$155,660,499		0.52	%		0.52	%		0.93	%		1.69	%		106	%
	$10.16		2.34	%		$7,841,840		0.75	%		0.75	%		3.90	%		2.90	%8		141	%
	$12.19		19.74	%		$20,735,768		0.77	%		0.77	%		1.48	%		1.44	%		106	%
	$10.18		2.29	%		$420,890		1.00	%		1.00	%		9.36	%		1.70	%8		141	%
	$19.65		22.35	%		$719,388,829		0.49	%		0.49	%		0.55	%		0.88	%10		62	%
	$16.06		17.49	%		$490,441,577		0.50	%		0.49	%		0.58	%		1.69	%8		68	%
	$13.89		(2.68	)%		$302,755,284		0.50	%		0.49	%		0.67	%		1.07	%		162	%
	$14.40		18.60	%		$124,491,353		0.49	%		0.49	%		0.98	%		1.37	%		180	%
	$12.19		25.58	%		$6,932,575		0.49	%		0.49	%		5.08	%		1.23	%		163	%
	$19.61		22.18	%		$70,264,616		0.74	%		0.74	%		0.83	%		0.64	%10		62	%
	$16.05		0.19	%		$58,421,736		0.75	%		0.74	%		0.82	%		1.19	%8		68	%

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

AQR Funds Annual Report September 2013 145

Financial Highlights September 30, 2013

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Total Distributions
AQR SMALL CAP MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$16.43		0.09	11		5.25		5.34		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$13.89		0.22	8		2.50		2.72		(0.18)		—		(0.18)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$14.39		0.04			(0.42)		(0.38)		(0.02)		(0.10)		(0.12)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$11.40		0.03			3.13		3.16		(0.03)		(0.14)		(0.17)
FOR THE PERIOD 7/09/097—12/31/09†,5		$10.00		0.04			2.06		2.10		(0.03)		(0.67)		(0.70)
AQR SMALL CAP MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$16.43		0.03	11		5.27		5.30		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$16.09		0.02	8		0.32		0.34		—		—		—
AQR INTERNATIONAL MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$13.09		0.22	11		1.98		2.20		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20125		$11.37		0.29			1.74		2.03		(0.31)		—		(0.31)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$13.62		0.29			(2.26)		(1.97)		(0.28)		—		(0.28)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$11.98		0.08			1.62		1.70		(0.05)		(0.01)		(0.06)
FOR THE PERIOD 7/09/097—12/31/09†,5		$10.00		0.04			2.26		2.30		(0.09)		(0.23)		(0.32)
AQR INTERNATIONAL MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$13.08		0.25	11		1.92		2.17		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$12.95		—			0.13		0.13		—		—		—
AQR TAX-MANAGED MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.13		0.09	11		2.38		2.47		—		—		—
FOR THE PERIOD 1/27/127—12/31/125		$10.00		0.19	8		1.17		1.36		(0.14)		(0.09)		(0.23)
AQR TAX-MANAGED MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.13		0.07	11		2.37		2.44		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$11.12		0.01	8		—		0.01		—		—		—

  * Annualized for periods less than one year.

  † Redemption fees of less than $0.005 per share were incurred by the share class.

  1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 Commencement of offering of shares.

  7 Commencement of operations.

  8 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Small Cap Momentum Fund—Class L	$	0.15		1.01	%
AQR Small Cap Momentum Fund—Class N		0.02		2.93
AQR Tax-Managed Momentum Fund—Class L		0.17		1.76
AQR Tax-Managed Momentum Fund—Class N		0.01		2.28

  9 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period ended December 31, 2012.

10 Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013.

11 For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Small Cap Momentum Fund—Class L	$	0.07		0.52	%
AQR Small Cap Momentum Fund—Class N		0.01		0.10
AQR International Momentum Fund—Class L		0.21		1.97
AQR International Momentum Fund—Class N		0.23		2.16
AQR Tax-Managed Momentum Fund—Class L		0.09		0.92
AQR Tax-Managed Momentum Fund—Class N		0.07		0.63

12 Ratios are disproportionate between classes due to size of net assets and fixed expenses.

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

146 AQR Funds Annual Report September 2013

Financial Highlights September 30, 2013

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3,10			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$21.77		32.50	%		$242,675,423		0.65	%		0.65	%		0.68	%12		0.60	%11		49	%
	$16.43		19.62	%		$145,769,751		0.66	%		0.65	%		0.72	%		1.44	%8		73	%
	$13.89		(2.62	)%		$100,534,354		0.66	%		0.65	%		0.85	%		0.26	%		121	%
	$14.39		27.69	%		$54,504,582		0.65	%		0.65	%		1.85	%		0.66	%		380	%
	$11.40		21.24	%		$3,239,605		0.65	%		0.65	%		7.53	%		0.65	%		136	%
	$21.73		32.26	%		$1,668,360		0.90	%		0.90	%		4.82	%12		0.18	%11		49	%
	$16.43		2.11	%		$10,214		0.90	%		0.90	%		135.33	%9		3.36	%8		73	%
	$15.29		16.81	%		$219,002,000		0.65	%		0.65	%		0.73	%		2.09	%11		76	%
	$13.09		17.92	%		$127,673,412		0.66	%		0.65	%		0.80	%		2.41	%		116	%
	$11.37		(14.42	)%		$77,224,911		0.66	%		0.65	%		0.97	%		2.23	%		203	%
	$13.62		14.20	%		$62,091,379		0.65	%		0.65	%		1.46	%		1.44	%		269	%
	$11.98		23.08	%		$29,762,053		0.65	%		0.65	%		2.22	%		0.63	%		160	%
	$15.25		16.59	%		$41,502,544		0.90	%		0.90	%		1.03	%		2.28	%11		76	%
	$13.08		1.00	%		$11,102		0.90	%		0.90	%		132.42	%9		0.25	%		116	%
	$13.60		22.19	%		$21,709,464		0.54	%		0.54	%		1.41	%12		1.00	%11		178	%
	$11.13		13.67	%		$6,040,821		0.55	%		0.54	%		4.57	%		1.89	%8		93	%
	$13.57		21.92	%		$115,161		0.79	%		0.79	%		4.11	%12		0.71	%11		178	%
	$11.13		0.09	%		$10,008		0.79	%		0.79	%		15.32	%9		2.41	%8		93	%

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

AQR Funds Annual Report September 2013 147

Financial Highlights September 30, 2013

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Total Distributions
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.15		0.05	11		3.65		3.70		—		—		—
FOR THE PERIOD 1/27/127—12/31/125		$10.00		0.19	8		1.11		1.30		(0.15)		—		(0.15)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.15		0.03	11		3.63		3.66		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$10.91		0.02	8		0.22		0.24		—		—		—
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.24		0.20			1.74		1.94		—		—		—
FOR THE PERIOD 1/27/127—12/31/125		$10.00		0.23			1.22		1.45		(0.19)		(0.02)		(0.21)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS N
NINE MONTHS ENDED SEPTEMBER 30, 20135		$11.24		0.20			1.71		1.91		—		—		—
FOR THE PERIOD 12/17/126—12/31/125		$11.14		—			0.10		0.10		—		—		—
AQR CORE EQUITY FUND CLASS L
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.06	11		1.03		1.09		—		—		—
AQR CORE EQUITY FUND CLASS N
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.04	11		1.05		1.09		—		—		—
AQR SMALL CAP CORE EQUITY FUND CLASS L
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.03	11		1.85		1.88		—		—		—
AQR SMALL CAP CORE EQUITY FUND CLASS N
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.01	11		1.86		1.87		—		—		—
AQR INTERNATIONAL CORE EQUITY FUND CLASS L
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.13	11		1.15		1.28		—		—		—
AQR INTERNATIONAL CORE EQUITY FUND CLASS N
FOR THE PERIOD 3/26/137—9/30/135		$10.00		0.15	11		1.12		1.27		—		—		—

  * Annualized for periods less than one year.

  1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 Commencement of offering of shares.

  7 Commencement of operations.

  8 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Tax-Managed Small Cap Momentum Fund—Class L	$	0.12		1.26	%
AQR Tax-Managed Small Cap Momentum Fund—Class N		0.02		3.54

  9 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period ended December 31, 2012.

10 Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013.

11 For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Tax-Managed Small Cap Momentum Fund—Class L	$	0.04		0.37	%
AQR Tax-Managed Small Cap Momentum Fund—Class N		0.01		0.14
AQR Core Equity Fund—Class L		0.06		0.98
AQR Core Equity Fund—Class N		0.04		0.61
AQR Small Cap Core Equity Fund—Class L		0.03		0.38
AQR Small Cap Core Equity Fund—Class N		0.01		0.10
AQR International Core Equity Fund—Class L		0.13		2.08
AQR International Core Equity Fund—Class N		0.15		2.48

12 Ratios are disproportionate between classes due to size of net assets and fixed expenses.

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

148 AQR Funds Annual Report September 2013

Financial Highlights September 30, 2013

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3,10			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$14.85		33.18	%		$6,764,002		0.70	%		0.70	%		2.67	%12		0.49	%11		81	%
	$11.15		13.01	%		$3,434,992		0.71	%		0.70	%		5.77	%		1.91	%8		93	%
	$14.81		32.83	%		$122,217		0.95	%		0.95	%		5.05	%12		0.26	%11		81	%
	$11.15		2.20	%		$10,218		0.95	%		0.95	%		12.32	%9		4.19	%8		93	%
	$13.18		17.26	%		$17,417,880		0.70	%		0.70	%		2.31	%12		2.14	%		154	%
	$11.24		14.46	%		$5,738,743		0.71	%		0.70	%		5.28	%		2.38	%		131	%
	$13.15		16.99	%		$111,381		0.95	%		0.95	%		5.00	%12		2.19	%		154	%
	$11.24		0.90	%		$10,089		0.95	%		0.95	%		15.82	%9		0.15	%		131	%
	$11.09		10.90	%		$18,810,952		0.54	%		0.54	%		1.80	%12		1.09	%11		233	%
	$11.09		10.90	%		$1,403,213		0.79	%		0.79	%		4.30	%12		0.72	%11		233	%
	$11.88		18.80	%		$2,183,541		0.75	%		0.75	%		5.84	%		0.45	%11		70	%
	$11.87		18.70	%		$1,380,913		1.00	%		1.00	%		6.40	%		0.17	%11		70	%
	$11.28		12.80	%		$15,810,091		0.70	%		0.70	%		2.16	%		2.25	%11		218	%
	$11.27		12.70	%		$2,154,256		0.95	%		0.95	%		4.10	%		2.65	%11		218	%

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

AQR Funds Annual Report September 2013 149

Notes to Financial Statements September 30, 2013

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, 2013, the Trust consists of twenty-three active series, fourteen of which are presented in this book (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 Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund. The remaining nine active series are reported in a separate book at December 31, 2013. AQR Capital Management, LLC (“the Advisor”) serves as the investment advisor of each Fund.

The AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund commenced operations on March 26, 2013.

In May 2013, the Board of Trustees voted to change the fiscal year end for the Funds from December 31 to September 30.

The investment objective of the AQR Global Equity Fund is to seek 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 Fund offers Class I, Class N and Class Y shares.

The investment objective of the AQR International Equity Fund is to seek 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 Fund offers Class I, Class N and Class Y shares.

The investment objective of the AQR Emerging Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to emerging 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 International Defensive Equity Fund is to seek 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 to seek total return. The Fund pursues a “defensive” strategy that provides exposure to 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 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 Advisor determines to have positive momentum. The Advisor 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 and Class N shares.

150 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

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 Advisor determines to have positive momentum. The Fund offers Class L and Class N 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 Advisor determines to have positive momentum. The Fund offers Class L and Class N 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 Advisor 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. The Fund offers Class L and Class N 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 or over-the-counter market that the Advisor 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. The Fund offers Class L and Class N 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 Advisor 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. The Fund offers Class L and Class N shares.

The investment objective of the AQR Core Equity 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, equity index swaps and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class L and Class N shares.

The investment objective of the AQR Small Cap Core Equity 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, equity index swaps and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class L and Class N shares.

The investment objective of the AQR International Core Equity 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, equity index swaps and depositary receipts) of non-U.S. companies that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class L and Class N shares.

2. 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 the Advisor to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the

AQR Funds Annual Report September 2013 151

Notes to Financial Statements September 30, 2013

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 New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time). The Funds’ Board of Trustees has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Advisor. Equity securities, including securities sold short, rights 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 Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value factors to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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. 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. Total return swap contracts are valued at fair value, based on the price of the underlying referenced instrument.

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. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Using fair value to price 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. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if 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.

Master Agreements: Certain 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 (including Total Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into by the Funds. 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

152 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

accordance with the terms of the Master Agreements, collateral posted for the benefit of a Fund is held in a segregated account by a custodian of 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, debt securities issued by the U.S. Government and related agencies, other securities or 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. The Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. 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. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.

Futures Contracts: Certain Funds invest in futures contracts. The Funds 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. 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. Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. 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 or expired, and are reported in the Statements of Operations. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is presented as Due from Broker on the Statements of Assets and Liabilities. The use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the contract amount of the futures contracts. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities 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 foreign currency exchange 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 unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Total return swap contracts are marked to market daily based on the value of

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the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an total return 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. Total return swaps are derivatives and their value can be volatile. To the extent that the Advisor, as applicable, does 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 Statements of Assets and Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Securities Lending: Certain Funds may lend securities to brokers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various 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. This amount is recorded as Securities lending income, net on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

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 Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the lending agent.

Securities Transactions and Investment Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification.

Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

154 AQR Funds Annual Report September 2013

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Organization and Offering Costs: Costs incurred by the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund in connection with the organization of those Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal period ended September 30, 2013. Offering costs, including professional fees, printing fees and the offering of the initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.

Reported realized foreign currency gains or losses arise from the disposition of foreign currency and forward foreign currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Cash and Cash Equivalents: Cash and cash equivalents include U.S. dollar and foreign currency deposited at bank accounts at amounts which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

Due to/from Broker: Due to/from Broker represents cash balances on deposit with the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders.

The Advisor evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the prior three fiscal years, or since inception if shorter, are open for examination. As of September 30, 2013, the Funds had no examinations in progress.

The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in twelve months.

Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Distributions to shareholders are recorded on the ex-dividend date. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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Notes to Financial Statements September 30, 2013

Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

3. Federal Income Tax Matters

At September 30, 2013, 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	$	199,752,165	$	54,222,471	$	(2,080,410	)	$	52,142,061
AQR International Equity Fund		697,946,425		127,033,364		(10,889,320	)		116,144,044
AQR Emerging Defensive Equity Fund		31,535,478		1,590,913		(1,159,596	)		431,317
AQR International Defensive Equity Fund		17,836,448		1,398,558		(466,007	)		932,551
AQR U.S. Defensive Equity Fund		168,096,060		5,117,327		(3,378,212	)		1,739,115
AQR Momentum Fund		640,123,247		157,669,442		(8,610,552	)		149,058,890
AQR Small Cap Momentum Fund		198,338,065		62,267,918		(5,386,717	)		56,881,201
AQR International Momentum Fund		225,233,237		38,023,465		(4,232,296	)		33,791,169
AQR Tax-Managed Momentum Fund		20,007,795		2,032,910		(315,688	)		1,717,222
AQR Tax-Managed Small Cap Momentum Fund		5,485,843		1,654,363		(162,517	)		1,491,846
AQR Tax-Managed International Momentum Fund		15,467,617		1,415,834		(215,314	)		1,200,520
AQR Core Equity Fund		18,999,081		973,987		(414,207	)		559,780
AQR Small Cap Core Equity Fund		3,368,521		489,322		(59,908	)		429,414
AQR International Core Equity Fund		16,880,427		1,489,969		(196,996	)		1,292,973

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (PFIC), return of capital from investments in REITs and return of capital from corporate actions.

As of September 30, 2013, the components of net assets (excluding paid in capital) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS			NET UNREALIZED APPRECIATION (DEPRECIATION)		POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS		OTHER TEMPORARY DIFFERENCES		TOTAL ACCUMULATED EARNINGS
AQR Global Equity Fund	$	40,479,159	$	55,090,681		$	52,825,510	$	—	$	—	$	148,395,350
AQR International Equity Fund		44,670,682		23,668,776			117,349,993		—		—		185,689,451
AQR Emerging Defensive Equity Fund		211,736		(291,935	)		432,089		—		—		351,890
AQR International Defensive Equity Fund		432,250		24,959			933,956		—		—		1,391,165
AQR U.S. Defensive Equity Fund		937,930		—			1,739,115		—		—		2,677,045
AQR Momentum Fund		8,986,718		22,564,475			149,058,938		—		—		180,610,131
AQR Small Cap Momentum Fund		7,470,437		9,015,276			56,881,201		—		—		73,366,914
AQR International Momentum Fund		4,071,498		(4,169,659	)		33,807,538		—		—		33,709,377
AQR Tax-Managed Momentum Fund		223,771		88,601			1,717,222		—		—		2,029,594
AQR Tax-Managed Small Cap Momentum Fund		97,215		39,559			1,491,846		—		—		1,628,620
AQR Tax-Managed International Momentum Fund		388,049		104,601			1,201,292		—		—		1,693,942
AQR Core Equity Fund		158,006		46			559,780		—		—		717,832
AQR Small Cap Core Equity Fund		37,972		—			429,414		—		—		467,386
AQR International Core Equity Fund		134,817		(28,884	)		1,293,642		—		—		1,399,575

156 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral losses on wash sales and other book and tax differences including capital loss carryforwards, passive foreign investment companies (“PFIC”), forward foreign currency exchange contracts and swap contracts.

As of September 30, 2013, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS			PAID-IN CAPITAL
AQR Global Equity Fund	$	60,733		$	8,858,574		$	(8,919,307	)
AQR International Equity Fund		109,240			6,728,590			(6,837,830	)
AQR Emerging Defensive Equity Fund		(33,461	)		33,613			(152	)
AQR International Defensive Equity Fund		17,195			(17,195	)		—
AQR U.S. Defensive Equity Fund		(84	)		84			—
AQR Momentum Fund		(191,586	)		191,587			(1	)
AQR Small Cap Momentum Fund		(251,083	)		251,083			—
AQR International Momentum Fund		485,105			(485,106	)		1
AQR Tax-Managed Momentum Fund		(1,056	)		1,113			(57	)
AQR Tax-Managed Small Cap Momentum Fund		(5,998	)		5,998			—
AQR Tax-Managed International Momentum Fund		3,065			(3,065	)		—
AQR Core Equity Fund		1,651			78			(1,729	)
AQR Small Cap Core Equity Fund		589			351			(940	)
AQR International Core Equity Fund		(2,406	)		4,456			(2,050	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of swap contracts, foreign currency reclassifications, sale of Real Estate Investment Trusts and PFIC’s. The result of operations and net assets were not affected by these reclassifications.

The tax character of distributions paid during the periods ended September 30, 2013, December 31, 2012 and December 31, 2011, were as follows:

FUND	SEPTEMBER 30, 2013 ORDINARY INCOME		CAPITAL GAINS		DECEMBER 31, 2012 ORDINARY INCOME		CAPITAL GAINS		DECEMBER 31, 2011 ORDINARY INCOME		CAPITAL GAINS
AQR Global Equity Fund	$	—	$	—	$	13,914,986	$	9,422,068	$	9,967,013	$	1,505,593
AQR International Equity Fund		—		—		21,455,912		—		13,160,157		2,328,515
AQR Emerging Defensive Equity Fund		—		—		60,238		212		—		—
AQR International Defensive Equity Fund		—		—		47,043		3,936		—		—
AQR U.S. Defensive Equity Fund		—		—		47,557		—		—		—
AQR Momentum Fund		—		—		7,610,158		—		2,360,576		231,090
AQR Small Cap Momentum Fund		—		—		1,541,164		—		596,501		266,614
AQR International Momentum Fund		—		—		2,965,770		—		1,944,737		—
AQR Tax-Managed Momentum Fund		—		—		91,814		1,969		—		—
AQR Tax-Managed Small Cap Momentum Fund		—		—		43,740		—		—		—
AQR Tax-Managed International Momentum Fund		—		—		92,966		6,920		—		—
AQR Core Equity Fund		—		—		—		—		—		—
AQR Small Cap Core Equity Fund		—		—		—		—		—		—
AQR International Core Equity Fund		—		—		—		—		—		—

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Notes to Financial Statements September 30, 2013

As of September 30, 2013, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG TERM		YEAR OF EXPIRATION
AQR Emerging Defensive Equity Fund	$	292,230	$	—		N/A
AQR International Momentum Fund		107,993		—		2018
AQR International Momentum Fund		4,061,666		—		N/A
AQR International Core Equity Fund		28,884		—		N/A

During the period ended September 30, 2013, the Funds utilized capital loss carry forwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR International Equity Fund	$	5,018,906	$	—
AQR Momentum Fund		7,913,368		—
AQR International Momentum Fund		6,884,928		219,017

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.

4. 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 inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.

Equities traded outside North America are fair valued daily based on the application of a fair value factor, and therefore are considered Level 2 (Note 2). 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 (including evaluated quotes) from an independent pricing service, as well as quotations from counterparties and other market

158 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

participants. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Advisor in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.

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 futures, forwards, and swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, or dealers and 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.

Securities for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced 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 Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing 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, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade execution prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, third party model prices are reviewed against internal model prices.

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.

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Notes to Financial Statements September 30, 2013

The following summarizes inputs used as of September 30, 2013 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†	$	133,898,786	$	96,717,292		$	—	$	230,616,078
Preferred Stocks†		—		2,194,557			—		2,194,557
Rights†		—		5,964			—		5,964
Money Market Funds		—		19,077,627			—		19,077,627
Futures Contracts*		168,443		—			—		168,443
Total Return Swap Contracts*		—		10,895			—		10,895
Total Assets	$	134,067,229	$	118,006,335		$	—	$	252,073,564
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(198,182	)	$	—	$	(198,182	)
Total Liabilities	$	—	$	(198,182	)	$	—	$	(198,182	)

* 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 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†	$	—	$	737,136,547		$	—	$	737,136,547
Preferred Stocks†		—		12,784,491			—		12,784,491
Rights†		—		45,902			—		45,902
Money Market Funds		—		64,123,529			—		64,123,529
Futures Contracts*		590,281		—			—		590,281
Total Return Swap Contracts*		—		45,780			—		45,780
Total Assets	$	590,281	$	814,136,249		$	—	$	814,726,530
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(916,511	)	$	—	$	(916,511	)
Total Liabilities	$	—	$	(916,511	)	$	—	$	(916,511	)

* 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.

160 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

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†	$	10,217,191	$	18,024,681	$	—	$	28,241,872
Exchange-Traded Funds		2,715,201		—		—		2,715,201
Preferred Stocks†		490,014		—		—		490,014
Money Market Funds		—		519,708		—		519,708
Total Assets	$	13,422,406	$	18,544,389	$	—	$	31,966,795

† 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 at period end.

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†	$	3,249,538	$	14,655,287	$	—	$	17,904,825
Exchange-Traded Funds		490,481		—		—		490,481
Preferred Stocks†		—		148,816		—		148,816
Money Market Funds		—		224,877		—		224,877
Total Assets	$	3,740,019	$	15,028,980	$	—	$	18,768,999

† 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 at period end.

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†	$	158,027,286		$	—	$	—	$	158,027,286
Money Market Funds		—			11,807,889		—		11,807,889
Total Assets	$	158,027,286		$	11,807,889	$	—	$	169,835,175
LIABILITIES
Futures Contracts*	$	(71,064	)	$	—	$	—	$	(71,064	)
Total Liabilities	$	(71,064	)	$	—	$	—	$	(71,064	)

* 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.

AQR Funds Annual Report September 2013 161

Notes to Financial Statements September 30, 2013

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

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†	$	773,030,100		$	—	$	—	$	773,030,100
Money Market Funds		—			16,152,037		—		16,152,037
Total Assets	$	773,030,100		$	16,152,037	$	—	$	789,182,137
LIABILITIES
Futures Contracts*	$	(198,677	)	$	—	$	—	$	(198,677	)
Total Liabilities	$	(198,677	)	$	—	$	—	$	(198,677	)

* 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 at period end.

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†	$	242,797,847	$	—	$	14,729	$	242,812,576
Preferred Stocks†		46,964		—		—		46,964
Rights†		—		—		—		—
Warrants†		21		—		—		21
Money Market Funds		—		12,359,705		—		12,359,705
Futures Contracts*		13,056		—		—		13,056
Total Assets	$	242,857,888	$	12,359,705	$	14,729	$	255,232,322

* 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. Securities listed in the Schedule of Investments with a total market value of $14,729 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at September 30, 2013 is $0.

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†	$	24,483,813		$	231,186,483	$	—	$	255,670,296
Rights†		—			581		—		581
Money Market Funds		—			3,353,529		—		3,353,529
Total Assets	$	24,483,813		$	234,540,593	$	—	$	259,024,406
LIABILITIES
Futures Contracts*	$	(20,357	)	$	—	$	—	$	(20,357	)
Total Liabilities	$	(20,357	)	$	—	$	—	$	(20,357	)

* 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 country.

162 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

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

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†	$	19,671,212	$	—	$	—	$	19,671,212
Exchange-Traded Funds		1,275,879		—		—		1,275,879
Money Market Funds		—		777,926		—		777,926
Total Assets	$	20,947,091	$	777,926	$	—	$	21,725,017

† 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 at period end.

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†	$	6,761,720	$	—	$		$	6,761,720
Exchange-Traded Funds		89,667		—		—		89,667
Money Market Funds		—		126,302		—		126,302
Total Assets	$	6,851,387	$	126,302	$		$	6,977,689

† 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 at period end.

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†	$	2,374,118	$	12,698,420	$	—	$	15,072,538
Exchange-Traded Funds		1,035,057		—		—		1,035,057
Rights†		—		1,861		—		1,861
Money Market Funds		—		558,681		—		558,681
Total Assets	$	3,409,175	$	13,258,962	$	—	$	16,668,137

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

AQR Funds Annual Report September 2013 163

Notes to Financial Statements September 30, 2013

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

AQR CORE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	19,053,988	$	—	$	—	$	19,053,988
Exchange-Traded Funds		168,436		—		—		168,436
Money Market Funds		—		336,437		—		336,437
Total Assets	$	19,222,424	$	336,437	$	—	$	19,558,861

† 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 at period end.

AQR SMALL CAP CORE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	3,343,286	$	—	$	—	$	3,343,286
Exchange-Traded Funds		201,938		—		—		201,938
Money Market Funds		—		252,711		—		252,711
Total Assets	$	3,545,224	$	252,711	$	—	$	3,797,935

† 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 at period end.

AQR INTERNATIONAL CORE EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	1,799,199	$	15,769,185	$	—	$	17,568,384
Exchange-Traded Funds		307,787		—		—		307,787
Rights†		—		2,116		—		2,116
Money Market Funds		—		295,113		—		295,113
Total Assets	$	2,106,986	$	16,066,414	$	—	$	18,173,400

† 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 at period end.

164 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

5. Investment Transactions

During the period ended September 30, 2013, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES
AQR Global Equity Fund	$	279,529,237	$	540,207,608
AQR International Equity Fund		471,881,775		399,417,722
AQR Emerging Defensive Equity Fund		47,625,036		22,879,231
AQR International Defensive Equity Fund		24,957,252		13,482,405
AQR U.S. Defensive Equity Fund		198,438,567		50,696,645
AQR Momentum Fund		514,317,837		411,434,899
AQR Small Cap Momentum Fund		141,484,903		92,536,225
AQR International Momentum Fund		246,024,532		142,231,177
AQR Tax-Managed Momentum Fund		32,585,178		18,109,104
AQR Tax-Managed Small Cap Momentum Fund		5,995,694		3,895,256
AQR Tax-Managed International Momentum Fund		21,147,930		11,824,152
AQR Core Equity Fund		37,282,641		18,725,035
AQR Small Cap Core Equity Fund		4,756,033		1,672,361
AQR International Core Equity Fund		33,006,477		16,397,165

6. Derivative Instruments and Hedging Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at September 30, 2013 are as follows:

	ASSETS			LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS	SWAPS AT VALUE	UNREALIZED APPRECIATION ON FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS	UNREALIZED DEPRECIATION ON FUTURES CONTRACTS	SWAPS AT VALUE	UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund	$406,652	$10,895	$—	$238,209	$—	$—
AQR International Equity Fund	1,586,677	45,780	—	996,396	—	—
AQR U.S. Defensive Equity Fund	—	—	—	71,064	—	—
AQR Momentum Fund	—	—	—	198,677	—	—
AQR Small Cap Momentum Fund	13,056	—	—	—	—	—
AQR International Momentum Fund	—	—	—	20,357	—	—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund	—	—	2,616,091	—	—	2,814,273
AQR International Equity Fund	—	—	5,695,114	—	—	6,611,625
Netting:
AQR Global Equity Fund	(238,209)	—	(2,616,091)	(238,209)	—	(2,616,091)
AQR International Equity Fund	(996,396)	—	(5,695,114)	(996,396)	—	(5,695,114)
Net Fair Value of Derivative Contracts:
AQR Global Equity Fund	168,443	10,895	—	—	—	198,182
AQR International Equity Fund	590,281	45,780	—	—	—	916,511
AQR U.S. Defensive Equity Fund	—	—	—	71,064	—	—
AQR Momentum Fund	—	—	—	198,677	—	—
AQR Small Cap Momentum Fund	13,056	—	—	—	—	—
AQR International Momentum Fund	—	—	—	20,357	—	—

AQR Funds Annual Report September 2013 165

Notes to Financial Statements September 30, 2013

The following is the effect of Derivative Instruments on the Statements of Operations for the period ended September 30, 2013:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS				NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS	SWAPS AND SWAPS ON FUTURES CONTRACTS	*	FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS	FUTURES CONTRACTS	SWAPS AND SWAPS ON FUTURES CONTRACTS	*	FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund	$7,495,078	$(737,575)		$—	$(4,539)	$99,653		$—
AQR International Equity Fund	23,013,883	(3,328,856)		—	(622,078)	(780)		—
AQR U.S. Defensive Equity Fund	20,071	—		—	(71,064)	—		—
AQR Momentum Fund	1,953,626	—		—	(213,699)	—		—
AQR Small Cap Momentum Fund	712,870	—		—	(14,217)	—		—
AQR International Momentum Fund	917,677	—		—	(20,357)	—		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund	—	—		4,858,894	—	—		(5,744,449)
AQR International Equity Fund	—	—		6,271,190	—	—		(8,453,469)

* Swaps and swaps on futures are combined for financial reporting purposes.

In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities that are subject to master netting arrangements or similar agreements. ASU 2011-11, was amended by ASU No. 2013-01, clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Funds adopted the disclosure requirement on netting for the current reporting period.

For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.

The following tables present, by counterparty and contract type, the Funds’ derivative assets and liabilities as of September 30, 2013.

166 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

AQR GLOBAL EQUITY FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL RECEIVED	NET AMOUNT
Barclays Capital	Futures Contracts	$406,652	$(238,209)	$168,443	$        —	$        —	$168,443
Goldman Sachs	Total Return Swap Contracts	10,895	—	10,895	—	—	10,895
Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts	2,616,091	(2,616,091)	—	—	—	—
Total financial instruments subject to a master netting arrangement or similar arrangement		3,033,638	(2,854,300)	179,338	—	—	179,338
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$3,033,638	$(2,854,300)	$179,338	$        —	$        —	$179,338
					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a)	NET AMOUNT
Barclays Capital	Futures Contracts	$238,209	$(238,209)	$        —	$        —	$        —	$        —
Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts	2,814,273	(2,616,091)	198,182	—	(198,182)	—
Total financial instruments subject to a master netting arrangement or similar arrangement		3,052,482	(2,854,300)	198,182	—	(198,182)	—
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$3,052,482	$(2,854,300)	$198,182	$        —	$(198,182)	$        —

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,406,578.

AQR Funds Annual Report September 2013 167

Notes to Financial Statements September 30, 2013

AQR INTERNATIONAL EQUITY FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS  & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL RECEIVED	NET AMOUNT
Barclays Capital	Futures Contracts	$1,586,677	$(996,396)	$590,281	$        —	$        —	$590,281
Goldman Sachs	Total Return Swap Contracts	45,780	—	45,780	—	—	45,780
Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts	5,695,114	(5,695,114)	—	—	—	—
Total financial instruments subject to a master netting arrangement or similar arrangement		7,327,571	(6,691,510)	636,061	—	—	636,061
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$7,327,571	$(6,691,510)	$636,061	$        —	$        —	$636,061
					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a)	NET AMOUNT
Barclays Capital	Futures Contracts	$996,396	$(996,396)	$        —	$        —	$        —	$        —
Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts	6,611,625	(5,695,114)	916,511	—	(880,063)	36,448
Total financial instruments subject to a master netting arrangement or similar arrangement		7,608,021	(6,691,510)	916,511	—	(880,063)	36,448
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$7,608,021	$(6,691,510)	$916,511	$        —	$(880,063)	$36,448

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $16,860,873.

168 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

AQR U.S. DEFENSIVE EQUITY FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS  & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a)	NET AMOUNT
Goldman Sachs	Futures Contracts	$71,064	$        —	$71,064	$        —	$(71,064)	$        —
Total financial instruments subject to a master netting arrangement or similar arrangement		71,064	—	71,064	—	(71,064)	—
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$71,064	$        —	$71,064	$        —	$(71,064)	$        —

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $314,007.

AQR MOMENTUM FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a)	NET AMOUNT
Barclays Capital	Futures Contracts	$198,677	$        —	$198,677	$        —	$(198,677)	$        —
Total financial instruments subject to a master netting arrangement or similar arrangement		198,677	—	198,677	—	(198,677)	—
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$198,677	$        —	$198,677	$        —	$(198,677)	$        —

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $570,406.

AQR Funds Annual Report September 2013 169

Notes to Financial Statements September 30, 2013

AQR SMALL CAP MOMENTUM FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL RECEIVED (a)	NET AMOUNT
Barclays Capital	Futures Contracts	$13,056	$        —	$13,056	$        —	$        —	$13,056
Total financial instruments subject to a master netting arrangement or similar arrangement		13,056	—	13,056	—	—	13,056
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$13,056	$        —	$13,056	$        —	$        —	$13,056

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral pledged was $35,095.

AQR INTERNATIONAL MOMENTUM FUND

					GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a)	NET AMOUNT
Barclays Capital	Futures Contracts	$20,357	$        —	$20,357	$        —	$(20,357)	$        —
Total financial instruments subject to a master netting arrangement or similar arrangement		20,357	—	20,357	—	(20,357)	—
Total financial instruments not subject to a master netting arrangement or similar arrangement		—	—	—	—	—	—
Total financial instruments		$20,357	$        —	$20,357	$        —	$(20,357)	$        —

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $158,320.

170 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

For the period ended September 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		U.S. DEFENSIVE EQUITY FUND		AQR MOMENTUM FUND		AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND
Futures Contracts *
Average Notional Balance Long	$	92,128,070	$	165,401,208	$	10,129,515	$	8,048,240	$	1,551,578	$	2,080,210
Average Notional Balance Short		57,617,563		80,429,121		—		—		—		—
Forward Foreign Currency Exchange Contracts *
Average Value Purchased		174,168,792		334,186,970		—		—		—		—
Average Value Sold		165,675,556		267,137,263		—		—		—		—
Total Return Swaps *
Average Notional Balance — Long		8,649,410		—		—		—		—		—
Average Notional Balance — Short		5,136,208		15,283,640		—		—		—		—

* Values as of each quarter end are used to calculate the average represented.

The Funds’ derivative contracts held at September 30, 2013, are not accounted for as hedging instruments under GAAP.

7. Investment Advisory and Other Agreements

The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended, entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement, the Advisor furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Advisor is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution. The Advisor provides persons satisfactory to the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor an Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Global Equity Fund		0.40	%
AQR International Equity Fund		0.45
AQR Emerging Defensive Equity Fund		0.60	*
AQR International Defensive Equity Fund		0.40	**
AQR U.S. Defensive Equity Fund		0.30	***
AQR Momentum Fund		0.25
AQR Small Cap Momentum Fund		0.35
AQR International Momentum Fund		0.35
AQR Tax-Managed Momentum Fund		0.30
AQR Tax-Managed Small Cap Momentum Fund		0.40
AQR Tax-Managed International Momentum Fund		0.40
AQR Core Equity Fund		0.30
AQR Small Cap Core Equity Fund		0.45
AQR International Core Equity Fund		0.40

 * The AQR Emerging Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion.

** The AQR International Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.40% on the first $1 billion of net assets; the second tier charges 0.375% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.35% on net assets in excess of $3 billion.

*** The AQR U.S. Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.30% on the first $1 billion of net assets; the second tier charges 0.275% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.25% on net assets in excess of $3 billion.

AQR Funds Annual Report September 2013 171

Notes to Financial Statements September 30, 2013

The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014, unless otherwise noted. The Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS L			CLASS N
AQR Global Equity Fund		0.95	%		—	%		1.25	%
AQR International Equity Fund		—			—			1.30
AQR Emerging Defensive Equity Fund		0.90			—			1.15
AQR International Defensive Equity Fund		0.65			—			0.90
AQR U.S. Defensive Equity Fund		0.49			—			0.74
AQR Momentum Fund		—			0.49			0.74
AQR Small Cap Momentum Fund		—			0.65			0.90
AQR International Momentum Fund		—			0.65			0.90
AQR Tax-Managed Momentum Fund		—			0.54			0.79
AQR Tax-Managed Small Cap Momentum Fund		—			0.70			0.95
AQR Tax-Managed International Momentum Fund		—			0.70			0.95
AQR Core Equity Fund*		—			0.54			0.79
AQR Small Cap Core Equity Fund*		—			0.75			1.00
AQR International Core Equity Fund*		—			0.70			0.95

* This arrangement will continue at least through April 30, 2015 for Class L and N.

The Trust and the Advisor had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor had agreed to waive its fee and/or reimburse each Fund from January 1, 2013 through April 30, 2013 for AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund. The Advisor had agreed to waive and/or reimburse the Funds to the extent that the total annual fund operating expense ratios exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N
AQR International Equity Fund		1.00	%		—	%
AQR Emerging Defensive Equity Fund		1.15			1.40
AQR International Defensive Equity Fund		0.90			1.15
AQR U.S. Defensive Equity Fund		0.75			1.00

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

172 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

For the period ended September 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at September 30, 2013 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2013		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2013		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31,						SEPTEMBER 30, 2016
					2013		2014		2015
AQR GLOBAL EQUITY FUND
Class I	$	9,725	$	49,712	$	—	$	30,212	$	9,775	$	9,725
Class N		8,886		50,742		—		31,920		9,936		8,886
Class Y		—		114,175		114,175		—		—		—
Totals	$	18,611	$	214,629	$	114,175	$	62,132	$	19,711	$	18,611
AQR INTERNATIONAL EQUITY FUND
Class I	$	—	$	2,236	$	2,236	$	—	$	—	$	—
Class N		—		31,222		19,745		11,477		—		—
Class Y		—		134,616		134,616		—		—		—
Totals	$	—	$	168,074	$	156,597	$	11,477	$	—	$	—
AQR EMERGING DEFENSIVE EQUITY FUND
Class I	$	107,052	$	198,812	$	—	$	—	$	91,760	$	107,052
Class N		30,375		63,090		—		—		32,715		30,375
Totals	$	137,427	$	261,902	$	—	$	—	$	124,475	$	137,427
AQR INTERNATIONAL DEFENSIVE EQUITY FUND
Class I	$	119,897	$	199,838	$	—	$	—	$	79,941	$	119,897
Class N		24,012		67,487		—		—		43,475		24,012
Totals	$	143,909	$	267,325	$	—	$	—	$	123,416	$	143,909
AQR U.S. DEFENSIVE EQUITY FUND
Class I	$	141,173	$	206,511	$	—	$	—	$	65,338	$	141,173
Class N		30,923		69,752		—		—		38,829		30,923
Totals	$	172,096	$	276,263	$	—	$	—	$	104,167	$	172,096
AQR MOMENTUM FUND
Class L	$	268,782	$	1,186,917	$	165,059	$	418,356	$	334,720	$	268,782
Class N		49,723		50,879		—		—		1,156		49,723
Totals	$	318,505	$	1,237,796	$	165,059	$	418,356	$	335,876	$	318,505
AQR SMALL CAP MOMENTUM FUND
Class L	$	48,178	$	462,523	$	168,573	$	171,630	$	74,142	$	48,178
Class N		11,973		12,493		—		—		520		11,973
Totals	$	60,151	$	475,016	$	168,573	$	171,630	$	74,662	$	60,151
AQR INTERNATIONAL MOMENTUM FUND
Class L	$	121,275	$	758,282	$	266,187	$	230,607	$	140,213	$	121,275
Class N		20,883		21,403		—		—		520		20,883
Totals	$	142,158	$	779,685	$	266,187	$	230,607	$	140,733	$	142,158
AQR TAX-MANAGED MOMENTUM FUND
Class L	$	75,506	$	198,622	$	—	$	—	$	123,116	$	75,506
Class N		2,381		2,442		—		—		61		2,381
Totals	$	77,887	$	201,064	$	—	$	—	$	123,177	$	77,887

AQR Funds Annual Report September 2013 173

Notes to Financial Statements September 30, 2013

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2013		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2013		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31,						SEPTEMBER 30, 2016
					2013		2014		2015
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
Class L	$	80,939	$	208,814	$	—	$	—	$	127,875	$	80,939
Class N		3,096		3,148		—		—		52		3,096
Totals	$	84,035	$	211,962	$	—	$	—	$	127,927	$	84,035
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
Class L	$	101,643	$	262,577	$	—	$	—	$	160,934	$	101,643
Class N		2,878		2,941		—		—		63		2,878
Totals	$	104,521	$	265,518	$	—	$	—	$	160,997	$	104,521
AQR CORE EQUITY FUND
Class L	$	81,226	$	81,226	$	—	$	—	$	—	$	81,226
Class N		21,410		21,410		—		—		—		21,410
Totals	$	102,636	$	102,636	$	—	$	—	$	—	$	102,636
AQR SMALL CAP CORE EQUITY FUND
Class L	$	58,782	$	58,782	$	—	$	—	$	—	$	58,782
Class N		45,218		45,218		—		—		—		45,218
Totals	$	104,000	$	104,000	$	—	$	—	$	—	$	104,000
AQR INTERNATIONAL CORE EQUITY FUND
Class L	$	85,481	$	85,481	$	—	$	—	$	—	$	85,481
Class N		35,097		35,097		—		—		—		35,097
Totals	$	120,578	$	120,578	$	—	$	—	$	—	$	120,578

The Advisor has agreed to forgo recoupments pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2013 of $447,840 and $429,010 for the AQR Global Equity Fund and AQR International Equity Fund, respectively.

During the period ended September 30, 2013, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS Y
AQR Global Equity Fund	$	—	$	—	$	82,630
AQR International Equity Fund		24,184		—		111,534

J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase Bank, N.A., serves as Custodian.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

8. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, as applicable. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds, as applicable.

9. Shareholder Service Plan

Pursuant to a Shareholder Services Agreement between the Trust and the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include, among others, access to performance information

174 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:

FUND	CLASS I			CLASS L			CLASS N
AQR Global Equity Fund		0.30	%		—	%		0.35	%
AQR International Equity Fund		0.30			—			0.35
AQR Emerging Defensive Equity Fund		0.25			—			0.25
AQR International Defensive Equity Fund		0.25			—			0.25
AQR U.S. Defensive Equity Fund		0.25			—			0.25
AQR Momentum Fund		—			0.15			0.15
AQR Small Cap Momentum Fund		—			0.15			0.15
AQR International Momentum Fund		—			0.15			0.15
AQR Tax-Managed Momentum Fund		—			0.15			0.15
AQR Tax-Managed Small Cap Momentum Fund		—			0.15			0.15
AQR Tax-Managed International Momentum Fund		—			0.15			0.15
AQR Core Equity Fund		—			0.15			0.15
AQR Small Cap Core Equity Fund		—			0.15			0.15
AQR International Core Equity Fund		—			0.15			0.15

In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees the Advisor receives under the Shareholder Services Agreement for non-distribution shareholder services such third parties provide to clients or customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended September 30, 2013, were as follows:

FUND	CLASS I		CLASS L		CLASS N
AQR Global Equity Fund	$	2,206	$	—	$	1,714
AQR International Equity Fund		482,260		—		56,160
AQR Emerging Defensive Equity Fund		21,046		—		3,125
AQR International Defensive Equity Fund		20,609		—		1,800
AQR U.S. Defensive Equity Fund		79,515		—		10,467
AQR Momentum Fund		—		678,840		79,838
AQR Small Cap Momentum Fund		—		213,295		457
AQR International Momentum Fund		—		194,574		22,239
AQR Tax-Managed Momentum Fund		—		11,219		103
AQR Tax-Managed Small Cap Momentum Fund		—		5,350		106
AQR Tax-Managed International Momentum Fund		—		8,264		100
AQR Core Equity Fund		—		6,554		714
AQR Small Cap Core Equity Fund		—		1,207		894
AQR International Core Equity Fund		—		5,998		1,201

10. Purchases and Redemption of Shares

Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Except as noted below, neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Class I, Class N and Class L Shares.

11. Risks and Concentrations

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.

AQR Funds Annual Report September 2013 175

Notes to Financial Statements September 30, 2013

There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The counterparties to the Funds’ currency forward, futures, option and swap contracts and repurchase and reverse repurchase agreements include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.

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 Statements of Assets and Liabilities. 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 Statements of Assets and Liabilities. 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 their 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.

If a Fund invests in illiquid investments, it may experience difficulty in selling the investments in a timely manner at the price that it believes the investments are worth. In addition, market conditions may cause the Fund to experience

176 AQR Funds Annual Report September 2013

Notes to Financial Statements September 30, 2013

temporary mark-to-market losses, especially in less liquid positions, even in the absence of any selling of investments by the Fund.

Each Fund is subject to market risk, which is the risk that the markets on which the Fund’s investments trade will increase or decrease in value. Market risk applies to every Fund investment. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your investment in a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

A Fund may have investments that appreciate or decrease significantly in value over short periods of time. This volatility may cause the Fund’s net asset value per share to experience significant increases or declines in value over short periods of time.

As of September 30, 2013, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive Equity, AQR International Defensive Equity, AQR International Momentum, AQR Tax-Managed International Momentum and AQR International Core Equity 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.

12. Line of Credit

Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed $175,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. For the period ended September 30, 2013, the Funds did not have any outstanding borrowings under this agreement.

13. Principal Ownership

As of September 30, 2013, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF SHAREHOLDERS		TOTAL PERCENTAGE INTEREST HELD
AQR Global Equity Fund		2		96.00	%
AQR International Equity Fund		3		55.40	%
AQR Tax-Managed Small Cap Momentum Fund		3		38.10	%
AQR Small Cap Core Equity Fund		2		47.90	%

Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.

14. 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.

In October 2013, the Board of Trustees of the AQR Funds (the “Board of Trustees”) designated the Class R6 Share Class of the AQR Global Equity Fund and the AQR International Equity Fund. In addition, the Board of Trustees approved the preparation, execution and filing with the Securities and Exchange Commission (“SEC”) of a post-effective amendment to the AQR Funds registration statement on Form N-1A (“Registration Statement”) in order to register each Fund’s Class R6 Shares of beneficial interest with the SEC. The Registration Statement was filed with the SEC on October 31, 2013 and is currently proposed to go effective 60 days thereafter.

AQR Funds Annual Report September 2013 177

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of AQR Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund , AQR Small Cap Core Equity Fund and AQR International Core Equity Fund (fourteen of the portfolios constituting AQR Funds, hereinafter referred to as the “Funds”) at September 30, 2013, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian, brokers, and transfer agents and the application of alternative auditing procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

November 22, 2013

178 AQR Funds Annual Report September 2013

Other Federal Tax Information (Unaudited) September 30, 2013

Certain Funds have derived net income from sources within foreign countries. As of September 30, 2013, the foreign source income for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Equity Fund	$	16,079,251	$	0.2413
AQR Emerging Defensive Equity Fund		333,633		0.1068
AQR International Defensive Equity Fund		284,616		0.1801
AQR International Momentum Fund		3,921,485		0.2300
AQR Tax Managed International Momentum Fund		153,995		0.1158
AQR International Core Equity Fund		140,208		0.0880

Certain Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. As of September 30, 2013, the foreign tax credit for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Equity Fund	$	1,446,617	$	0.0217
AQR Emerging Defensive Equity Fund		37,525		0.0120
AQR International Defensive Equity Fund		23,711		0.0150
AQR International Momentum Fund		372,453		0.0218
AQR Tax Managed International Momentum Fund		12,712		0.0096
AQR International Core Equity Fund		15,323		0.0096

AQR Funds Annual Report September 2013 179

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ended 9/30/13” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/13		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 9/30/13
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$1,086.40		0.95%		$4.97
Hypothetical Return		$1,000.00		$1,020.31		0.95%		$4.81
Class N
Actual Return		$1,000.00		$1,085.90		1.25%		$6.54
Hypothetical Return		$1,000.00		$1,018.80		1.25%		$6.33
Class Y
Actual Return		$1,000.00		$1,089.60		0.53%		$2.78
Hypothetical Return		$1,000.00		$1,022.41		0.53%		$2.69
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$1,104.10		0.91%		$4.80
Hypothetical Return		$1,000.00		$1,020.51		0.91%		$4.61
Class N
Actual Return		$1,000.00		$1,101.40		1.31%		$6.90
Hypothetical Return		$1,000.00		$1,018.50		1.31%		$6.63
Class Y
Actual Return		$1,000.00		$1,105.70		0.56%		$2.96
Hypothetical Return		$1,000.00		$1,022.26		0.56%		$2.84

180 AQR Funds Annual Report September 2013

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/13		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 9/30/13
AQR Emerging Defensive Equity Fund (a)
Class I
Actual Return		$1,000.00		$962.50		0.92%		$4.53
Hypothetical Return		$1,000.00		$1,020.46		0.92%		$4.66
Class N
Actual Return		$1,000.00		$960.70		1.18%		$5.80
Hypothetical Return		$1,000.00		$1,019.15		1.18%		$5.97
AQR International Defensive Equity Fund (a)
Class I
Actual Return		$1,000.00		$1,033.00		0.68%		$3.47
Hypothetical Return		$1,000.00		$1,021.66		0.68%		$3.45
Class N
Actual Return		$1,000.00		$1,032.10		0.92%		$4.69
Hypothetical Return		$1,000.00		$1,020.46		0.92%		$4.66
AQR U.S. Defensive Equity Fund (a)
Class I
Actual Return		$1,000.00		$1,068.30		0.50%		$2.59
Hypothetical Return		$1,000.00		$1,022.56		0.50%		$2.54
Class N
Actual Return		$1,000.00		$1,066.50		0.76%		$3.94
Hypothetical Return		$1,000.00		$1,021.26		0.76%		$3.85
AQR Momentum Fund
Class L
Actual Return		$1,000.00		$1,117.70		0.49%		$2.60
Hypothetical Return		$1,000.00		$1,022.61		0.49%		$2.48
Class N
Actual Return		$1,000.00		$1,116.70		0.74%		$3.93
Hypothetical Return		$1,000.00		$1,021.36		0.74%		$3.75
AQR Small Cap Momentum Fund
Class L
Actual Return		$1,000.00		$1,161.70		0.65%		$3.52
Hypothetical Return		$1,000.00		$1,021.81		0.65%		$3.29
Class N
Actual Return		$1,000.00		$1,160.20		0.90%		$4.87
Hypothetical Return		$1,000.00		$1,020.56		0.90%		$4.56
AQR International Momentum Fund
Class L
Actual Return		$1,000.00		$1,086.70		0.65%		$3.40
Hypothetical Return		$1,000.00		$1,021.81		0.65%		$3.29
Class N
Actual Return		$1,000.00		$1,085.40		0.90%		$4.71
Hypothetical Return		$1,000.00		$1,020.56		0.90%		$4.56

AQR Funds Annual Report September 2013 181

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/13		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 9/30/13
AQR Tax-Managed Momentum Fund
Class L
Actual Return		$1,000.00		$1,120.30		0.54%		$2.87
Hypothetical Return		$1,000.00		$1,022.36		0.54%		$2.74
Class N
Actual Return		$1,000.00		$1,119.60		0.79%		$4.25
Hypothetical Return		$1,000.00		$1,021.06		0.79%		$4.05
AQR Tax-Managed Small Cap Momentum Fund
Class L
Actual Return		$1,000.00		$1,163.80		0.70%		$3.80
Hypothetical Return		$1,000.00		$1,021.56		0.70%		$3.55
Class N
Actual Return		$1,000.00		$1,162.50		0.95%		$5.15
Hypothetical Return		$1,000.00		$1,020.31		0.95%		$4.81
AQR Tax-Managed International Momentum Fund
Class L
Actual Return		$1,000.00		$1,093.80		0.70%		$3.67
Hypothetical Return		$1,000.00		$1,021.56		0.70%		$3.55
Class N
Actual Return		$1,000.00		$1,092.20		0.95%		$4.98
Hypothetical Return		$1,000.00		$1,020.31		0.95%		$4.81
AQR Core Equity Fund
Class L
Actual Return		$1,000.00		$1,099.00		0.54%		$2.84
Hypothetical Return		$1,000.00		$1,022.36		0.54%		$2.74
Class N
Actual Return		$1,000.00		$1,098.00		0.79%		$4.15
Hypothetical Return		$1,000.00		$1,021.11		0.79%		$4.00
AQR International Core Equity Fund
Class L
Actual Return		$1,000.00		$1,121.30		0.70%		$3.72
Hypothetical Return		$1,000.00		$1,021.56		0.70%		$3.55
Class N
Actual Return		$1,000.00		$1,120.30		0.95%		$5.05
Hypothetical Return		$1,000.00		$1,020.31		0.95%		$4.81
AQR Small Cap Core Equity Fund
Class L
Actual Return		$1,000.00		$1,178.60		0.75%		$4.10
Hypothetical Return		$1,000.00		$1,021.31		0.75%		$3.80
Class N
Actual Return		$1,000.00		$1,177.60		1.00%		$5.46
Hypothetical Return		$1,000.00		$1,020.05		1.00%		$5.06

(a) Effective May 1, 2013, the expense caps were changed for the following funds. Had these expense rates been in effect throughout the entire most recent fiscal half-year, the corresponding table above would have read as follows:

182 AQR Funds Annual Report September 2013

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/13		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 9/30/13
AQR Emerging Defensive Equity Fund
Class I
Actual Return		$1,000.00		$962.50		0.90%		$4.43
Hypothetical Return		$1,000.00		$1,020.56		0.90%		$4.56
Class N
Actual Return		$1,000.00		$960.70		1.15%		$5.65
Hypothetical Return		$1,000.00		$1,019.30		1.15%		$5.82
AQR International Defensive Equity Fund
Class I
Actual Return		$1,000.00		$1,033.00		0.65%		$3.31
Hypothetical Return		$1,000.00		$1,021.81		0.65%		$3.29
Class N
Actual Return		$1,000.00		$1,032.10		0.90%		$4.58
Hypothetical Return		$1,000.00		$1,020.56		0.90%		$4.56
AQR U.S. Defensive Equity Fund
Class I
Actual Return		$1,000.00		$1,068.30		0.49%		$2.54
Hypothetical Return		$1,000.00		$1,022.61		0.49%		$2.48
Class N
Actual Return		$1,000.00		$1,066.50		0.74%		$3.83
Hypothetical Return		$1,000.00		$1,021.36		0.74%		$3.75

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Annual Report September 2013 183

Trustees and Officers (Unaudited) September 30, 2013

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 4th Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, 1948	Chairman of the Board since 2010 and Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (2009 to 2010); Managing Director, Chief Operating Officer and President, Morningstar Inc. (1998 to 2008).	32	Janus Capital Group (since 2008); ETF Securities (since 2010); AARP Services, Inc. (since 2008)
L. Joe Moravy, 1950	Trustee, since 2008	Managing Director, Finance Scholars Group (since 2010) (consulting firm); Managing Director, LJM Advisory (2008-2010) (consulting firm); Partner, Ernst & Young LLP (2002 to 2008).	32	Nuveen Exchange Traded Commodities Funds (since 2012)
William L. Atwell, 1950	Trustee, since 2011	Managing Director, Atwell Partners LLC (since 2012) (consulting services); President (CIGNA International), CIGNA (2008 to 2012) (Insurance); Vice Chair, CIGNA & CMC Life Insurance of China (2008 to 2012) (Insurance).	32	None
Gregg D. Behrens, 1952	Trustee, since 2011	Director, Iowa State University Foundation (volunteer, since 2004); Chief Executive Officer (Asia-Pacific Region), Northern Trust Company (1974 to 2009) (financial services).	32	None
Brian Posner, 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting and advisory services); President and Chief Executive Officer, ClearBridge Advisors LLC (2005 to 2008) (financial services).	32	Biogen Idec (since 2008); Arch Capital Group (since 2010); Anadys Pharmaceuticals, Inc. (2011); BG Medicine (since 2012); RiverPark Funds (2010 to 2012)

184 AQR Funds Annual Report September 2013

Trustees and Officers (Unaudited) September 30, 2013

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Interested Trustee3
David Kabiller, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998).	32	None
Officers
Marco Hanig, 1958	Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008).	N/A	N/A
Abdon Bolivar, 1965	Chief Compliance Officer, from 2008-2013	Chief Compliance Officer, AQR Capital Management, LLC (2002-2013).	N/A	N/A
H. J. Willcox, 1966	Chief Compliance Officer, since 2013	Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel, KKR & Co. L.P. (2008-2013).	N/A	N/A
John Howard, 1969	Chief Financial Officer, since 2013	Principal, Chief Operating Officer and Chief Financial Officer, AQR Capital Management, LLC (since 2011); Chief Financial Officer, AllianceBernstein (2010-2011); Principal, Chief Operating Officer and Chief Financial Officer, AQR Capital Management, LLC (2007-2010)	N/A	N/A
Aaron Masek, 1974	Vice President and Treasurer, since 2010	Vice President, AQR Capital Management, LLC (since 2010); prior thereto Audit Manager, Cohen Fund Audit Services, Ltd. (2008 to 2009); prior thereto Senior Vice President, Citi Fund Services Ohio, Inc. (1996 to 2008).	N/A	N/A
Bradley Asness, 1969	Vice President and Chief Legal Officer, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998).	N/A	N/A
Brendan R. Kalb, 1975	Executive Vice President, since 2009; Secretary, since 2008	General Counsel, AQR Capital Management, LLC (since 2004).	N/A	N/A

AQR Funds Annual Report September 2013 185

Trustees and Officers (Unaudited) September 30, 2013

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Nicole DonVito, 1979	Vice President, since 2009	Senior Counsel—Head of Registered Products, AQR Capital Management, LLC (since 2007).	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust.

(2) A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller is an interested person of the Trust because of his position with the Advisor.

186 AQR Funds Annual Report September 2013

Investment Advisor

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Sub-Advisor

CNH Partners, LLC

Two Greenwich Plaza, 1st Floor,

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

J.P. Morgan Investor Services Co.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-942-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and polices, experienced of its management, marketability of shares and other information.

P.O. Box 2248

Denver, CO 80201-2248

1-866-290-2688

www.aqrfunds.com

Item 2. Code of Ethics.

a). As of the end of the period, September 30, 2013, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal period ended September 30, 2013 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has one “audit committee financial expert”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy, the Registrant’s audit committee financial expert, is “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the years ended December 31, 2011, December 31, 2012 and the fiscal period of January 1, 2013 to September 30, 2013 were:

	2011		2012		2013
Audit Fees (a)	$	655,000	$	1,194,300	$	1,501.015
Audit Related Fees (b)	$	65,000	$	74,500	$	79,000
Tax Fees (c)	$	86,450	$	187,950	$	243,700
All Other Fees (d)	$	0	$	0	$	0
Total:	$	806,450	$	1,456,750	$	1,823,715

(a) Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b) Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s December 31, 2011, December 31, 2012 and September 30, 2013 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2011, December 31, 2012 and the fiscal period of January 1, 2013 to September 30, 2013 relate to services provided in connection with the review of the June 30, 2011, June 30, 2012 and June 30, 2013 semi-annual financial statements, respectively, and review of amendments to the Registrant’s Registration Statement.

(c) Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d) All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e) Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2011, December 31, 2012 and the fiscal period of January 1, 2013 to September 30, 2013: $320,000, $329,724 and $425,389, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy and Brian S. Posner, are members of Audit Committee.

(b) Not Applicable.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s control over financial reporting.

Item 12. Exhibits.

(a)(1)	The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

November 22, 2013

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

Date: November 22, 2013

By: /s/ John Howard

John Howard,

Principal Financial Officer

Date: November 22, 2013