UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end: September 30

Date of reporting period: October 1, 2014 to September 30, 2015

Item 1. Reports to Shareholders.

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

Annual Report

September 30, 2015

AQR Large Cap Multi-Style Fund

AQR Small Cap Multi-Style Fund

AQR International Multi-Style Fund

AQR Emerging Multi-Style Fund

AQR TM Large Cap Multi-Style Fund

AQR TM Small Cap Multi-Style Fund

AQR TM International Multi-Style Fund

AQR TM Emerging Multi-Style Fund

AQR Large Cap Momentum Style Fund

AQR Small Cap Momentum Style Fund

AQR International Momentum Style Fund

AQR Emerging Momentum Style Fund

AQR TM Large Cap Momentum Style Fund

AQR TM Small Cap Momentum Style Fund

AQR TM International Momentum Style Fund

AQR Large Cap Defensive Style Fund

AQR International Defensive Style Fund

AQR Emerging Defensive Style Fund

AQR Global Equity Fund

AQR International Equity Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Large Cap Multi-Style Fund (formerly AQR Core Equity Fund)	2
AQR Small Cap Multi-Style Fund (formerly AQR Small Cap Core Equity Fund)	4
AQR International Multi-Style Fund (formerly AQR International Core Equity Fund)	6
AQR Emerging Multi-Style Fund (formerly AQR Emerging Core Equity Fund)	8
AQR TM Large Cap Multi-Style Fund	10
AQR TM Small Cap Multi-Style Fund	12
AQR TM International Multi-Style Fund	14
AQR TM Emerging Multi-Style Fund	16
AQR Large Cap Momentum Style Fund (formerly AQR Momentum Fund)	18
AQR Small Cap Momentum Style Fund (formerly AQR Small Cap Momentum Fund)	20
AQR International Momentum Style Fund (formerly AQR International Momentum Fund)	22
AQR Emerging Momentum Style Fund (formerly AQR Emerging Momentum Fund)	24
AQR TM Large Cap Momentum Style Fund (formerly AQR Tax-Managed Momentum Fund)	26
AQR TM Small Cap Momentum Style Fund (formerly AQR Tax-Managed Small Cap Momentum Fund)	28
AQR TM International Momentum Style Fund (formerly AQR Tax-Managed International Momentum Fund)	30
AQR Large Cap Defensive Style Fund (formerly AQR U.S. Defensive Equity Fund)	32
AQR International Defensive Style Fund (formerly AQR International Defensive Equity Fund)	34
AQR Emerging Defensive Style Fund (formerly AQR Emerging Defensive Equity Fund)	36
AQR Global Equity Fund	38
AQR International Equity Fund	41
Schedule of Investments
AQR Large Cap Multi-Style Fund	46
AQR Small Cap Multi-Style Fund	50
AQR International Multi-Style Fund	56
AQR Emerging Multi-Style Fund	60
AQR TM Large Cap Multi-Style Fund	64
AQR TM Small Cap Multi-Style Fund	68
AQR TM International Multi-Style Fund	74
AQR TM Emerging Multi-Style Fund	78
AQR Large Cap Momentum Style Fund	82
AQR Small Cap Momentum Style Fund	87
AQR International Momentum Style Fund	96
AQR Emerging Momentum Style Fund	101
AQR TM Large Cap Momentum Style Fund	105
AQR TM Small Cap Momentum Style Fund	109
AQR TM International Momentum Style Fund	116
AQR Large Cap Defensive Style Fund	120
AQR International Defensive Style Fund	123
AQR Emerging Defensive Style Fund	127
AQR Global Equity Fund	130
AQR International Equity Fund	140
Financial Statements and Notes	147
Report of Independent Registered Public Accounting Firm	216
Other Federal Tax Information (unaudited)	217
Fund Expense Examples (unaudited)	219
Trustees and Officers (unaudited)	224

Shareholder Letter (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Large Cap Multi-Style Fund (the “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.

For fiscal year 2015, the AQR Large Cap Multi-Style Fund Class I shares returned -0.05% while its benchmark, the Russell 1000^® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR Large Cap Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight energy and health care.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP MULTI-STYLE FUND
	1 Year			Since Inception		Date of Inception
Fund - Class I: QCELX		-0.05%	*		12.56%		3/26/2013
Fund - Class N: QCENX		-0.32%	*		12.31%		3/26/2013
Fund - Class R6: QCERX		0.07%			0.31%		7/10/2014
Russell 1000® Index Total Return		-0.61%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.58%, 1.01% and 0.48%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report September 2015

2

Shareholder Letter (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

AQR LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000^® INDEX TOTAL RETURN

VALUE OF $10,000 INVESTED ON 3/26/2013

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

AQR Funds Annual Report September 2015

3

Shareholder Letter (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Small Cap Multi-Style Fund (the “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.

For fiscal year 2015, the AQR Small Cap Multi-Style Fund Class I shares returned 1.02% while its benchmark, the Russell 2000^® Total Return Index, returned 1.25% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by sector selection and stock selection within sectors. Stock selection within information technology contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection to energy.

At the close of fiscal 2015, the AQR Small Cap Multi-Style Fund’s largest active positions include sector overweights to consumer discretionary and industrials. As of year-end, the Fund is underweight health care and financials.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR SMALL CAP MULTI-STYLE FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSMLX		1.02%		9.68%		3/26/2013
Fund - Class N: QSMNX		0.72%		9.37%		3/26/2013
Fund - Class R6: QSERX		1.06%		-2.97%		7/10/2014
Russell 2000® Total Return Index		1.25%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.58%, 3.27% and 2.34%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

4

Shareholder Letter (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

AQR SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000^® TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 3/26/2013

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

AQR Funds Annual Report September 2015

5

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR International Multi-Style Fund (the “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.

For fiscal year 2015, the AQR International Multi-Style Fund Class I shares returned -8.78% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and country selection. Country selection to Japan contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within financials.

At the close of fiscal 2015, the AQR International Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight health care and consumer staples. Notable active positions also include country overweights to Japan and Italy with underweights to the United Kingdom and Switzerland.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL MULTI-STYLE FUND
	1 Year			Since Inception		Date of Inception
Fund - Class I: QICLX		-8.78%			2.15%		3/26/2013
Fund - Class N: QICNX		-9.00%	*		1.92%		3/26/2013
Fund - Class R6: QICRX		-8.68%			-10.14%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		-10.14%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.30%, 1.77% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report September 2015

6

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

AQR INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX**

VALUE OF $10,000 INVESTED ON 3/26/2013

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

7

Shareholder Letter (Unaudited)

AQR EMERGING MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries. 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.

For fiscal year 2015, the AQR Emerging Multi-Style Fund Class I shares returned -17.14% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by country selection and stock selection within sectors. Country selection to China contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within countries and sector selection.

At the close of fiscal 2015, the AQR Emerging Multi-Style Fund’s largest active positions include sector overweights to financials and utilities. As of year-end, the Fund is underweight consumer staples and consumer discretionary. Notable active positions also include country overweights to China and Taiwan with underweights to India and Mexico.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING MULTI-STYLE FUND
	1 Year			Since Inception		Date of Inception
Fund - Class I: QEMLX		-17.14%			-12.96%		5/13/2014
Fund - Class N: QEMNX		-17.24%	*		-13.10%		5/13/2014
Fund - Class R6: QECRX		-17.06%			-17.59%		7/10/2014
MSCI Daily TR Net Emerging Markets Index**		-19.28%

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 I/N/R6 shares are 3.26%, 3.51% and 2.69%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report September 2015

8

Shareholder Letter (Unaudited)

AQR EMERGING MULTI-STYLE FUND

AQR EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX**

VALUE OF $10,000 INVESTED ON 5/13/2014

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

9

Shareholder Letter (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR TM Large Cap Multi-Style Fund (the “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 employs a tax management strategy which considers the potential impact of taxes on investment return.

Since inception (February 11, 2015), the AQR TM Large Cap Multi-Style Fund Class I shares returned -5.80% while its benchmark, the Russell 1000^® Index Total Return, returned -6.11% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR TM Large Cap Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight energy and health care.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM LARGE CAP MULTI-STYLE FUND
	Since Inception		Date of Inception
Fund - Class I: QTLLX		-5.80%		2/11/2015
Fund - Class N: QTLNX		-6.00%		2/11/2015
Fund - Class R6: QTLRX		-5.80%		2/11/2015
Russell 1000® Index Total Return		-6.11%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.75%, 1.00% and 0.65%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

10

Shareholder Letter (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

AQR TM LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000^® INDEX TOTAL RETURN

VALUE OF $10,000 INVESTED ON 2/11/2015

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 2015

11

Shareholder Letter (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR TM Small Cap Multi-Style Fund (the “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 employs a tax management strategy which considers the potential impact of taxes on investment return.

Since inception (February 11, 2015), the AQR TM Small Cap Multi-Style Fund Class I shares returned -7.90% while its benchmark, the Russell 2000^® Total Return Index, returned -7.57% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within sectors. Stock selection within information technology and within consumer discretionary contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection.

At the close of fiscal 2015, the AQR TM Small Cap Multi-Style Fund’s largest active positions include sector overweights to consumer discretionary and information technology. As of year-end, the Fund is underweight health care and financials.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM SMALL CAP MULTI-STYLE FUND
	Since Inception		Date of Inception
Fund - Class I: QSSLX		-7.90%		2/11/2015
Fund - Class N: QSSNX		-8.00%		2/11/2015
Fund - Class R6: QSSRX		-7.80%		2/11/2015
Russell 2000® Total Return Index		-7.57%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.03%, 1.28% and 0.93%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

12

Shareholder Letter (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

AQR TM SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000^® TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 2/11/2015

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 2015

13

Shareholder Letter (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR TM International Multi-Style Fund (the “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 employs a tax management strategy which considers the potential impact of taxes on investment return.

Since inception (February 11, 2015), the AQR TM International Multi-Style Fund Class I shares returned -6.00% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -7.42% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within countries. Country selection to Japan contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within Japan and within financials.

At the close of fiscal 2015, the AQR TM International Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight health care and consumer staples. Notable active positions also include country overweights to Japan and Italy with underweights to Switzerland and the United Kingdom.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM INTERNATIONAL MULTI-STYLE FUND
	Since Inception		Date of Inception
Fund - Class I: QIMLX		-6.00%		2/11/2015
Fund - Class N: QIMNX		-6.10%		2/11/2015
Fund - Class R6: QIMRX		-5.90%		2/11/2015
MSCI Daily TR Net World Ex USA Index**		-7.42%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.98%, 1.23% and 0.88%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

14

Shareholder Letter (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

AQR TM INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX**

VALUE OF $10,000 INVESTED ON 2/11/2015

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.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

15

Shareholder Letter (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR TM Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries. 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 employs a tax management strategy which considers the potential impact of taxes on investment return.

Since inception (February 11, 2015), the AQR TM Emerging Multi-Style Fund Class I shares returned -16.90% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -16.01% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within countries and sector selection. Stock selection within Taiwan and within India contributed to negative returns in particular. The Fund’s performance was positively impacted by country selection.

At the close of fiscal 2015, the AQR TM Emerging Multi-Style Fund’s largest active positions include sector overweights to financials and utilities. As of year-end, the Fund is underweight consumer staples and consumer discretionary. Notable active positions also include country overweights to China and Taiwan with underweights to India and Mexico.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM EMERGING MULTI-STYLE FUND
	Since Inception		Date of Inception
Fund - Class I: QTELX		-16.90%		2/11/2015
Fund - Class N: QTENX		-17.00%		2/11/2015
Fund - Class R6: QTERX		-16.80%		2/11/2015
MSCI Daily TR Net Emerging Markets Index**		-16.01%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.18%, 1.43% and 1.08%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

16

Shareholder Letter (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

AQR TM EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX**

VALUE OF $10,000 INVESTED ON 2/11/2015

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.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

17

Shareholder Letter (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. 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.

For fiscal year 2015, the AQR Large Cap Momentum Style Fund Class I shares returned 0.18% while its benchmark, the Russell 1000^® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR Large Cap Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and health care. As of year-end, the Fund is underweight energy and financials.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AMOMX		0.18%		12.58%		12.70%		15.39%		7/9/2009
Fund - Class N: AMONX		-0.10%		na		na		13.57%		12/17/2012
Fund - Class R6: QMORX		0.28%		na		na		0.19%		7/10/2014
Russell 1000® Index Total Return		-0.61%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.40%, 0.68% and 0.33%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

18

Shareholder Letter (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

AQR LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000^® INDEX TOTAL RETURN

VALUE OF $10,000 INVESTED ON 7/9/2009

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

AQR Funds Annual Report September 2015

19

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe 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.

For fiscal year 2015, the AQR Small Cap Momentum Style Fund Class I shares returned 1.17% while its benchmark, the Russell 2000^® Total Return Index, returned 1.25% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within sectors. Stock selection within information technology and within health care contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection.

At the close of fiscal 2015, the AQR Small Cap Momentum Style Fund’s largest active positions include sector overweights to health care and consumer discretionary. As of year-end, the Fund is underweight financials and energy.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR SMALL CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ASMOX		1.17%		12.09%		13.26%		15.78%		7/9/2009
Fund - Class N: ASMNX		0.89%		na		na		12.87%		12/17/2012
Fund - Class R6: QSMRX		1.25%		na		na		-2.66%		7/10/2014
Russell 2000® Total Return Index		1.25%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.67%, 1.03% and 0.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

20

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

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

VALUE OF $10,000 INVESTED ON 7/9/2009

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

AQR Funds Annual Report September 2015

21

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR International Momentum Style Fund (the “Fund”) invests in stocks of non-U.S. companies with positive momentum. The Fund’s investment universe 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.

For fiscal year 2015, the AQR International Momentum Style Fund Class I shares returned -8.40% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and stock selection within countries. Stock selection within the United Kingdom and within Canada contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR International Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and telecommunication services. As of year-end, the Fund is underweight energy and financials. Notable active positions also include country overweights to Japan and Netherlands with underweights to the United Kingdom and Switzerland.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AIMOX		-8.40%		3.92%		3.08%		6.81%		7/9/2009
Fund - Class N: AIONX		-8.62%		na		na		2.33%		12/17/2012
Fund - Class R6: QIORX		-8.24%		na		na		-9.73%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		-10.14%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.61%, 0.90% and 0.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

22

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

AQR INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX**

VALUE OF $10,000 INVESTED ON 7/9/2009

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

23

Shareholder Letter (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Emerging Momentum Style Fund (the “Fund”) invests in stocks of emerging market companies with positive momentum. 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.

For fiscal year 2015, the AQR Emerging Momentum Style Fund Class I shares returned -16.45% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by country selection and sector selection. Country selection to China contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within countries.

At the close of fiscal 2015, the AQR Emerging Momentum Style Fund’s largest active positions include sector overweights to financials and industrials. As of year-end, the Fund is underweight energy and information technology. Notable active positions also include country overweights to China and South Africa with underweights to India and South Korea.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING MOMENTUM STYLE FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QEMLX		-16.45%		-12.05%		5/13/2014
Fund - Class N: QEMNX		-16.72%		-12.32%		5/13/2014
Fund - Class R6: QEMRX		-16.34%		-17.63%		7/10/2014
MSCI Daily TR Net Emerging Markets Index**		-19.28%

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 I/N/R6 shares are 3.96%, 4.11% and 3.66%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

24

Shareholder Letter (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

AQR EMERGING MOMENTUM STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX**

VALUE OF $10,000 INVESTED ON 5/13/2014

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

25

Shareholder Letter (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR TM Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund’s investment universe 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.

For fiscal year 2015, the AQR TM Large Cap Momentum Style Fund Class I shares returned -0.16% while its benchmark, the Russell 1000^® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR TM Large Cap Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and health care. As of year-end, the Fund is underweight energy and financials.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM LARGE CAP MOMENTUM STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ATMOX		-0.16%		12.85%		14.37%		1/27/2012
Fund - Class N: ATMNX		-0.39%		na		13.75%		12/17/2012
Fund - Class R6: QTMRX		-0.09%		na		0.55%		7/10/2014
Russell 1000® Index Total Return		-0.61%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.49%, 1.40% and 0.47%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

26

Shareholder Letter (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

AQR TM LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000^® INDEX TOTAL RETURN

VALUE OF $10,000 INVESTED ON 1/27/2012

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

AQR Funds Annual Report September 2015

27

Shareholder Letter (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR TM Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe 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.

For fiscal year 2015, the AQR TM Small Cap Momentum Style Fund Class I shares returned 2.13% while its benchmark, the Russell 2000^® Total Return Index, returned 1.25% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy and to health care contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR TM Small Cap Momentum Style Fund’s largest active positions include sector overweights to health care and information technology. As of year-end, the Fund is underweight financials and industrials.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM SMALL CAP MOMENTUM STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ATSMX		2.13%		12.03%		12.70%		1/27/2012
Fund - Class N: ATSNX		1.90%		na		12.63%		12/17/2012
Fund - Class R6: QTSRX		2.23%		na		-2.13%		7/10/2014
Russell 2000® Total Return Index		1.25%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.56%, 2.39% and 1.60%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

28

Shareholder Letter (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

AQR TM SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000^® TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 1/27/2012

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

AQR Funds Annual Report September 2015

29

Shareholder Letter (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR TM International Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap non-U.S. companies with positive momentum. The Fund’s investment universe 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.

For fiscal year 2015, the AQR TM International Momentum Style Fund Class I shares returned -8.36% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and stock selection within countries. Stock selection within Canada and within the United Kingdom contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.

At the close of fiscal 2015, the AQR TM International Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and information technology. As of year-end, the Fund is underweight energy and financials. Notable active positions also include country overweights to Japan and Netherlands with underweights to the United Kingdom and Switzerland.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM INTERNATIONAL MOMENTUM STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ATIMX		-8.36%		4.64%		6.07%		1/27/2012
Fund - Class N: ATNNX		-8.51%		na		3.05%		12/17/2012
Fund - Class R6: QTIRX		-8.25%		na		-9.97%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		-10.14%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.78%, 1.79% and 0.81%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

30

Shareholder Letter (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

AQR TM INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX**

VALUE OF $10,000 INVESTED ON 1/27/2012

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

31

Shareholder Letter (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Hoon Kim

Managing Director

Dear Shareholder:

The AQR Large Cap Defensive Style Fund (the “Fund”) pursues a defensive strategy in the U.S. market, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, 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. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.

For fiscal year 2015, the AQR Large Cap Defensive Style Fund Class I shares returned 9.13% while its benchmark, the Russell 1000^® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within sectors and sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by sector selection to information technology and to financials.

At the close of fiscal 2015, the AQR Large Cap Defensive Style Fund’s largest active positions include sector overweights to consumer staples and utilities. As of year-end, the Fund is underweight information technology and energy.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP DEFENSIVE STYLE FUND
	1 Year			3 Year		Since Inception		Date of Inception
Fund - Class I: AUEIX		9.13%			14.81%		14.81%		7/9/2012
Fund - Class N: AUENX		8.89%	*		14.54%		14.53%		7/9/2012
Fund - Class R6: QUERX		9.23%			na		8.12%		9/2/2014
Russell 1000® Index Total Return		-0.61%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.42%, 0.72% and 0.39%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report September 2015

32

Shareholder Letter (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

AQR LARGE CAP DEFENSIVE STYLE FUND VS. RUSSELL 1000^® INDEX TOTAL RETURN

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

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

AQR Funds Annual Report September 2015

33

Shareholder Letter (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Hoon Kim

Managing Director

Dear Shareholder:

The AQR International Defensive Style Fund (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. To achieve this objective, 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. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.

For fiscal year 2015, the AQR International Defensive Style Fund Class I shares returned -6.89% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within countries and sector selection. Stock selection within Canada and within the United Kingdom contributed to positive returns in particular. The Fund’s performance was negatively impacted by country selection.

At the close of fiscal 2015, the AQR International Defensive Style Fund’s largest active positions include sector overweights to consumer staples and utilities. As of year-end, the Fund is underweight financials. Notable active positions also include country overweights to Australia and Canada with underweights to the United Kingdom and Germany.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL DEFENSIVE STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ANDIX		-6.89%		3.79%		5.56%		7/9/2012
Fund - Class N: ANDNX		-7.15%		3.50%		5.28%		7/9/2012
Fund - Class R6: ANDRX		-6.78%		na		-10.67%		9/2/2014
MSCI Daily TR Net World Ex USA Index**		-10.14%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.12%, 1.73% and 1.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

34

Shareholder Letter (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

AQR INTERNATIONAL DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX**

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

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

35

Shareholder Letter (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Hoon Kim

Managing Director

Dear Shareholder:

The AQR Emerging Defensive Style 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. To achieve this objective, 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. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.

For fiscal year 2015, the AQR Emerging Defensive Style Fund Class I shares returned -20.07% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by country selection and stock selection within sectors. Country selection to China and to Malaysia contributed to negative returns in particular. The Fund’s performance was positively impacted by stock selection within countries and sector selection.

At the close of fiscal 2015, the AQR Emerging Defensive Style Fund’s largest active positions include sector overweights to consumer staples and telecommunication services. As of year-end, the Fund is underweight information technology and financials. Notable active positions also include country overweights to Malaysia and Mexico with underweights to China and India.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING DEFENSIVE STYLE FUND
	1 Year		3 Year		Since Inception (7/9/2012)		Date of Inception
Fund - Class I: AZEIX		-20.07%		-6.63%		-4.81%		7/9/2012
Fund - Class N: AZENX		-20.19%		-6.85%		-5.01%		7/9/2012
Fund - Class R6: AZERX		-19.96%		na		-23.36%		9/2/2014
MSCI Daily TR Net Emerging Markets Index**		-19.28%

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 I/N/R6 shares are 1.12%, 1.55% and 1.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2015

36

Shareholder Letter (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

AQR EMERGING DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX**

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

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

37

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:

The AQR Global Equity Fund (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, swaps and forward contracts to over-and-under-weight countries and currencies relative to the benchmark.

For fiscal year 2015, global equity markets struggled, with the MSCI Daily TR Net World Index** returning -5.09%. The AQR Global Equity Fund Class I shares returned -1.64% over this period, outperforming its benchmark by 3.45%.

The stock selection strategies outperformed in fiscal year 2015, with positive contributions from both stock selection within industries and industry selection. Stock selection within industrials was a notable positive contributor, while stock selection within consumer discretionary detracted. At the close of fiscal year 2015, the Fund’s largest active stock selection positions included sector overweights to health care and to consumer discretionary and underweights to energy and to information technology.

Within Europe, industry momentum, stability and indirect momentum were the largest contributors to returns, while valuation and industry valuation themes underperformed. Tactically, the Fund is underweight value in all major regions.

The country selection strategy contributed positively to Fund performance in fiscal year 2015. Thematically, value performed well but was mostly offset by poor performance from momentum.

The largest contributor was the Fund’s underweight position to US equities, driven by value. The anticipation of possible Fed tightening weighed on US equities.

The largest detractor was the fund’s overweight positon in Germany, driven by value. German equities outperformed early in 2015 with the European Central Bank’s announcement of its quantitative easing program, but underperformed later in 2015 when the Fund’s position size was larger, as a stronger euro pressured the export heavy German index.

The currency selection strategy contributed positively to Fund performance in fiscal year 2015. Strong performance from momentum was partially offset by weak performance from carry. Value contributed slightly to performance as well.

The largest contributor was the Fund’s overweight position to the Japanese yen. After lagging for most of the period due to accommodative monetary policy, the yen performed strongly during the “risk off” environment stemming from Chinese growth concerns in the last 2 months of the period. The Fund held its largest overweight position during this time, driven by all model themes.

The strategy’s largest detractor was the underweight to the British pound, driven by value. The pound performed well due to a relatively hawkish central bank and good economic data.

AQR Funds Annual Report September 2015

38

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQGIX		-1.64%			10.85%		9.39%		8.89%		12/31/2009
Fund - Class N: AQGNX		-1.86%			10.58%		9.10%		8.59%		12/31/2009
Fund - Class R6: AQGRX		-1.36%	*		na		na		0.84%		1/8/2014
Fund - Class Y: AQGYX		-1.29%			11.33%		9.83%		9.35%		12/31/2009
MSCI Daily TR Net World Index**		-5.09%

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 fees. 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/R6 shares are 1.14%, 1.59%, 0.54% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX**

VALUE OF $10,000 INVESTED ON 12/31/2009

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

39

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQGIX		-1.64%			10.85%		9.39%		4.24%		6/30/2006
Fund - Class N: AQGNX		-1.86%			10.58%		9.10%		3.92%		6/30/2006
Fund - Class R6: AQGRX		-1.36%	*		na		na		0.84%		1/08/2014
Fund - Class Y: AQGYX		-1.29%			11.33%		9.83%		4.65%		6/30/2006
MSCI Daily TR Net World Index**		-5.09%

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 fees. 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 Fund’s Class I/N/Y/R6 shares are 1.14%, 1.59%, 0.54% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX**

VALUE OF $10,000 INVESTED ON 6/30/2006

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.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

40

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:

The AQR International Equity Fund (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, swaps and forward contracts to over-and-under-weight countries and currencies relative to the benchmark.

For fiscal year 2015, international equity markets struggled, with the MSCI Daily TR Net EAFE Index** returning -8.66%. The AQR International Equity Fund Class I shares returned -4.79% over this period, outperforming its benchmark by 3.87%.

The stock selection strategies outperformed in fiscal year 2015, with positive contributions from both stock selection within industries and industry selection. Stock selection within industrials and consumer discretionary were notable positive contributors, while stock selection within financials and utilities detracted. At the close of fiscal 2015, the Fund’s largest active stock selection positions included sector overweights to health care and to consumer discretionary and underweights to materials and to energy.

Within Europe, industry momentum, stability and indirect momentum were the largest contributors to returns, while valuation and industry valuation themes underperformed. Tactically, the Fund is underweight value in all major regions.

The country selection strategy contributed positively to Fund performance in fiscal year 2015. Thematically, value performed well, mostly offset by poor performance from momentum.

The largest contributor was the Fund’s underweight to Switzerland equities, driven by value. The Swiss equity underweight benefited greatly in January when the Swiss National Bank removed its long standing cap on the strength of the currency, pressuring the local equity market.

The largest detractor was the fund’s overweight positon in Germany, driven by value. German equities outperformed early in 2015 with the European Central Bank’s announcement of its quantitative easing program, but underperformed later in 2015 when the Fund’s position size was larger, as a stronger euro pressured the export heavy German index.

The currency selection strategy contributed positively to Fund performance in fiscal year 2015. Strong performance from momentum was partially offset by weak performance from carry. Value contributed slightly to performance as well.

The largest contributor was the Fund’s overweight position to the Japanese yen. After lagging for most of the period due to accommodative monetary policy, the yen performed strongly during the “risk off” environment stemming from Chinese growth concerns in the last two months of the period. The Fund held its largest overweight position during this time, driven by all model themes.

The strategy’s largest detractor was the underweight to the British pound, driven by value. The pound performed well due to a relatively hawkish central bank and good economic data.

AQR Funds Annual Report September 2015

41

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQIIX		-4.79%		7.28%		4.72%		4.66%		9/29/2009
Fund - Class N: AQINX		-4.99%		6.92%		4.35%		4.35%		9/29/2009
Fund - Class R6: AQIRX		-4.59%		na		na		-5.06%		1/8/2014
Fund - Class Y: AQIYX		-4.35%		7.67%		5.11%		5.25%		8/28/2009
MSCI Daily TR Net EAFE Index**		-8.66%

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. Class Y shares are subject to a 0.10% redemption fees. 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/R6 shares are 0.90%, 1.23%, 0.54% and 0.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX**

VALUE OF $10,000 INVESTED ON 9/29/2009

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

42

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	1 Year		3 Year		5 Year		10 Year		Since Inception		Date of Inception
Fund - Class I: AQIIX		-4.79%		7.28%		4.72%		3.18%		5.33%		7/31/2004
Fund - Class N: AQINX		-4.99%		6.92%		4.35%		2.85%		4.99%		7/31/2004
Fund - Class R6: AQIRX		-4.59%		na		na		na		-5.06%		1/08/2014
Fund - Class Y: AQIYX		-4.35%		7.67%		5.11%		3.55%		5.70%		7/31/2004
MSCI Daily TR Net EAFE Index**		-8.66%

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. Class Y shares are subject to a 0.10% redemption fees. 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/R6 shares are 0.90%, 1.23%, 0.54% and 0.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX**

VALUE OF $10,000 INVESTED ON 7/31/2004

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.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

43

Shareholder Letter (Unaudited)

DEFINITIONS:

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

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

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

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

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

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

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

Excess Returns: Returns in excess of a Fund’s benchmark.

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

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

Industry-Neutral: An industry-neutral bet overweights stocks within an industry versus other stocks within the same industry.

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

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.

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

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

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

The MSCI Daily TR Net 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 MSCI Daily TR Net Emerging Markets Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in 23 global emerging markets. Indexes are unmanaged and one cannot invest directly in an index.

AQR Funds Annual Report September 2015

44

Shareholder Letter (Unaudited)

The MSCI Daily TR Net World Ex USA Index**: captures large and mid cap securities exhibiting overall growth style characteristics across 22 Developed Markets countries and 23 Emerging Markets countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Indexes are unmanaged and one cannot invest directly in an index.

The MSCI Daily TR Net 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 Russell 1000^® Index Total Return: 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^® Index Total Return represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.

The Russell 2000^® Total Return Index: measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000^® Total Return 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.

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

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

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

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report September 2015

45

Schedule of Investments September 30, 2015

AQR LARGE CAP MULTI-STYLE FUND

COMMON STOCKS - 96.1%	SHARES		VALUE (Note 4)
Consumer Discretionary - 18.5%
Aaron’s, Inc.		8,646	$	312,207
Advance Auto Parts, Inc.		18,757		3,555,014
Amazon.com, Inc. †		13,516		6,918,705
AMC Networks, Inc., Class A †		23,036		1,685,544
AutoNation, Inc. †		5,443		316,674
AutoZone, Inc. †		7,152		5,176,832
Bed Bath & Beyond, Inc. †		51,332		2,926,951
Best Buy Co., Inc.		121,149		4,497,051
Brinker International, Inc.		32,654		1,719,886
Brunswick Corp.		6,638		317,894
Cable One, Inc. †		2,357		988,573
Carnival Corp.		73,954		3,675,514
Carter’s, Inc.		18,434		1,670,858
Coach, Inc.		15,392		445,291
Comcast Corp., Class A		78,402		4,459,506
CST Brands, Inc.		20,197		679,831
Delphi Automotive PLC (United Kingdom)		16,568		1,259,831
Dick’s Sporting Goods, Inc.		34,859		1,729,355
Dillard’s, Inc., Class A		21,061		1,840,521
Dollar General Corp.		65,273		4,728,376
Dollar Tree, Inc. †		61,640		4,108,922
Domino’s Pizza, Inc.		16,968		1,831,017
DR Horton, Inc.		53,306		1,565,064
DSW, Inc., Class A		42,277		1,070,031
Expedia, Inc.		33,734		3,969,817
Foot Locker, Inc.		62,307		4,484,235
GameStop Corp., Class A		46,321		1,908,888
Gap, Inc./The		84,151		2,398,303
Gentex Corp.		121,518		1,883,529
GNC Holdings, Inc., Class A		36,670		1,482,201
Goodyear Tire & Rubber Co./The		115,500		3,387,615
Graham Holdings Co., Class B		3,662		2,112,974
Groupon, Inc. †		342,531		1,116,651
H&R Block, Inc.		66,146		2,394,485
Hanesbrands, Inc.		75,872		2,195,736
Harman International Industries, Inc.		16,648		1,598,042
Hasbro, Inc.		40,570		2,926,720
Home Depot, Inc./The		132,458		15,297,574
Interpublic Group of Cos., Inc./The		49,394		944,907
Jarden Corp. †		19,876		971,539
John Wiley & Sons, Inc., Class A		10,655		533,070
Kohl’s Corp.		61,904		2,866,774
L Brands, Inc.		62,621		5,644,031
Lear Corp.		36,456		3,965,684
Leggett & Platt, Inc.		43,218		1,782,742
Lowe’s Cos., Inc.		126,090		8,690,123
Macy’s, Inc.		74,193		3,807,585
Michaels Cos., Inc./The †		50,154		1,158,557
Mohawk Industries, Inc. †		14,395		2,616,867
Murphy USA, Inc. †		16,858		926,347
NIKE, Inc., Class B		92,080		11,323,078
Nordstrom, Inc.		40,067		2,873,205
NVR, Inc. †		1,067		1,627,410
O’Reilly Automotive, Inc. †		20,967		5,241,750
PVH Corp.		10,794		1,100,340
Ralph Lauren Corp.		7,000		827,120

	SHARES		VALUE (Note 4)
Consumer Discretionary - 18.5% (continued)
Ross Stores, Inc.		104,653	$	5,072,531
Royal Caribbean Cruises Ltd.		17,235		1,535,466
Sally Beauty Holdings, Inc. †		66,483		1,578,971
Signet Jewelers Ltd.		4,700		639,811
Skechers U.S.A., Inc., Class A †		31,104		4,170,424
Staples, Inc.		240,991		2,826,824
Target Corp.		98,764		7,768,776
TEGNA, Inc.		122,180		2,735,610
Thor Industries, Inc.		10,577		547,889
Time Warner, Inc.		17,626		1,211,788
TJX Cos., Inc./The		75,286		5,376,926
Tractor Supply Co.		20,351		1,715,996
Ulta Salon Cosmetics & Fragrance, Inc. †		14,948		2,441,756
Urban Outfitters, Inc. †		24,039		706,266
Whirlpool Corp.		22,568		3,323,364
Williams-Sonoma, Inc.		23,147		1,767,273
Wyndham Worldwide Corp.		21,612		1,553,903
				206,510,921
Consumer Staples - 6.5%
Altria Group, Inc.		38,339		2,085,642
Archer-Daniels-Midland Co.		80,896		3,353,139
Bunge Ltd.		23,741		1,740,215
Clorox Co./The		15,370		1,775,696
ConAgra Foods, Inc.		58,741		2,379,598
Costco Wholesale Corp.		21,686		3,135,145
Coty, Inc., Class A		67,131		1,816,565
CVS Health Corp.		123,546		11,919,718
Dr Pepper Snapple Group, Inc.		56,874		4,495,890
Edgewell Personal Care Co.		14,702		1,199,683
Flowers Foods, Inc.		12,916		319,542
Hormel Foods Corp.		8,534		540,287
Ingredion, Inc.		16,327		1,425,510
Kroger Co./The		196,272		7,079,531
Molson Coors Brewing Co., Class B		21,908		1,818,802
Monster Beverage Corp. †		26,391		3,566,480
Nu Skin Enterprises, Inc., Class A		10,331		426,464
PepsiCo, Inc.		9,334		880,196
Pilgrim’s Pride Corp.		121,900		2,533,082
Pinnacle Foods, Inc.		46,536		1,948,928
Reynolds American, Inc.		25,570		1,131,984
Rite Aid Corp. †		378,940		2,300,166
Spectrum Brands Holdings, Inc.		7,400		677,174
Tyson Foods, Inc., Class A		56,881		2,451,571
Walgreens Boots Alliance, Inc.		106,419		8,843,419
Wal-Mart Stores, Inc.		21,546		1,397,043
Whole Foods Market, Inc.		14,691		464,970
				71,706,440
Energy - 1.5%
HollyFrontier Corp.		9,654		471,501
Marathon Petroleum Corp.		103,740		4,806,274
Newfield Exploration Co. †		17,000		559,300
PBF Energy, Inc., Class A		24,678		696,660
Tesoro Corp.		46,335		4,505,616
Valero Energy Corp.		91,220		5,482,322
				16,521,673

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

AQR Funds Annual Report September 2015

46

Schedule of Investments September 30, 2015

AQR LARGE CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Financials - 26.9%
ACE Ltd. (Switzerland)		13,040	$	1,348,336
Aflac, Inc.		68,246		3,967,140
Alleghany Corp. †		6,229		2,915,857
Allied World Assurance Co. Holdings AG (Switzerland)		13,863		529,151
Allstate Corp./The		112,020		6,524,045
American Financial Group, Inc.		25,447		1,753,553
American International Group, Inc.		191,458		10,878,644
Ameriprise Financial, Inc.		41,336		4,510,998
AmTrust Financial Services, Inc.		52,852		3,328,619
Apartment Investment & Management Co., Class A REIT		23,900		884,778
Arch Capital Group Ltd. †		51,774		3,803,836
Aspen Insurance Holdings Ltd.		11,750		546,022
Associated Banc-Corp.		41,026		737,237
Assurant, Inc.		22,730		1,795,897
Assured Guaranty Ltd.		115,100		2,877,500
Axis Capital Holdings Ltd.		13,648		733,170
Bank of America Corp.		735,331		11,456,457
Bank of New York Mellon Corp./The		163,344		6,394,918
BB&T Corp.		62,401		2,221,476
Berkshire Hathaway, Inc., Class B †		113,613		14,815,135
BlackRock, Inc.		3,675		1,093,202
Capital One Financial Corp.		98,081		7,112,834
CBRE Group, Inc., Class A †		73,628		2,356,096
Cincinnati Financial Corp.		6,135		330,063
CIT Group, Inc.		24,034		962,081
Citigroup, Inc.		356,715		17,696,631
CNA Financial Corp.		18,096		632,093
Comerica, Inc.		13,445		552,589
Credit Acceptance Corp. †		7,508		1,478,100
Discover Financial Services		42,482		2,208,639
E*TRADE Financial Corp. †		36,377		957,806
East West Bancorp, Inc.		61,096		2,347,308
Endurance Specialty Holdings Ltd.		9,136		557,570
Everest Re Group Ltd.		28,512		4,942,270
Fifth Third Bancorp		96,094		1,817,137
First Republic Bank/CA		20,097		1,261,489
FNF Group		108,564		3,850,765
Goldman Sachs Group, Inc./The		59,461		10,331,943
Hanover Insurance Group, Inc./The		12,431		965,889
Hartford Financial Services Group, Inc./The		116,588		5,337,399
Huntington Bancshares, Inc.		435,109		4,612,155
Intercontinental Exchange, Inc.		3,631		853,249
Jones Lang LaSalle, Inc.		19,952		2,868,499
JPMorgan Chase & Co.		382,577		23,325,720
KeyCorp		185,824		2,417,570
Lincoln National Corp.		89,859		4,264,708
Macerich Co./The REIT		16,658		1,279,668
Markel Corp. †		1,073		860,396
Mercury General Corp.		15,300		772,803
MetLife, Inc.		161,589		7,618,921
Morgan Stanley		252,729		7,960,963
Nasdaq, Inc.		55,033		2,934,910
Navient Corp.		146,940		1,651,606
New York Community Bancorp, Inc.		63,232		1,141,970

	SHARES		VALUE (Note 4)
Financials - 26.9% (continued)
Northern Trust Corp.		5,431	$	370,177
Old Republic International Corp.		20,626		322,591
PacWest Bancorp		7,644		327,240
PNC Financial Services Group, Inc./The		88,394		7,884,745
Popular, Inc.		19,407		586,674
Principal Financial Group, Inc.		61,389		2,906,155
Progressive Corp./The		172,208		5,276,453
Prudential Financial, Inc.		42,163		3,213,242
Raymond James Financial, Inc.		22,924		1,137,718
Regions Financial Corp.		154,411		1,391,243
Reinsurance Group of America, Inc.		26,454		2,396,468
RenaissanceRe Holdings Ltd.		6,457		686,508
State Street Corp.		64,122		4,309,640
SunTrust Banks, Inc.		143,666		5,493,788
SVB Financial Group †		5,253		606,932
Synovus Financial Corp.		52,107		1,542,367
Torchmark Corp.		23,755		1,339,782
Travelers Cos., Inc./The		83,758		8,336,434
Unum Group		48,178		1,545,550
US Bancorp		96,102		3,941,143
Validus Holdings Ltd.		61,525		2,772,932
Wells Fargo & Co.		519,729		26,688,084
White Mountains Insurance Group Ltd.		802		599,335
WR Berkley Corp.		61,390		3,337,774
XL Group PLC (Ireland)		21,801		791,812
				299,182,598
Health Care - 10.4%
Aetna, Inc.		60,766		6,648,408
Alexion Pharmaceuticals, Inc. †		4,575		715,484
AmerisourceBergen Corp.		37,789		3,589,577
Amgen, Inc.		78,838		10,904,872
Anthem, Inc.		45,249		6,334,860
Becton Dickinson and Co.		21,477		2,849,139
Biogen, Inc. †		1,178		343,752
Boston Scientific Corp. †		43,071		706,795
Cardinal Health, Inc.		15,482		1,189,327
Celgene Corp. †		5,559		601,317
Centene Corp. †		50,794		2,754,559
Community Health Systems, Inc. †		22,057		943,378
CR Bard, Inc.		9,200		1,714,052
Edwards Lifesciences Corp. †		26,560		3,776,035
Eli Lilly & Co.		4,621		386,732
Express Scripts Holding Co. †		31,051		2,513,889
Gilead Sciences, Inc.		154,078		15,128,919
HCA Holdings, Inc. †		75,827		5,865,977
Illumina, Inc. †		4,700		826,354
Laboratory Corp of America Holdings †		12,917		1,401,107
LifePoint Health, Inc. †		11,991		850,162
McKesson Corp.		4,525		837,261
MEDNAX, Inc. †		4,160		319,447
Pfizer, Inc.		537,440		16,880,990
Quest Diagnostics, Inc.		43,036		2,645,423
Quintiles Transnational Holdings, Inc. †		36,032		2,506,746
ResMed, Inc.		21,842		1,113,068
United Therapeutics Corp. †		14,414		1,891,693
UnitedHealth Group, Inc.		106,632		12,370,378
Universal Health Services, Inc., Class B		21,370		2,667,190

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

AQR Funds Annual Report September 2015

47

Schedule of Investments September 30, 2015

AQR LARGE CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Health Care - 10.4% (continued)
VCA, Inc. †		18,160	$	956,124
Waters Corp. †		3,160		373,544
Zimmer Biomet Holdings, Inc.		20,381		1,914,387
Zoetis, Inc.		31,899		1,313,601
				115,834,547
Industrials - 9.1%
3M Co.		12,760		1,808,985
A. O. Smith Corp.		16,327		1,064,357
Acuity Brands, Inc.		8,010		1,406,396
ADT Corp./The		56,539		1,690,516
AGCO Corp.		31,168		1,453,364
Alaska Air Group, Inc.		51,318		4,077,215
AMERCO		2,743		1,079,288
American Airlines Group, Inc.		72,037		2,797,197
Avis Budget Group, Inc. †		27,741		1,211,727
Boeing Co./The		23,476		3,074,182
BWX Technologies, Inc.		12,929		340,809
CH Robinson Worldwide, Inc.		25,876		1,753,875
Cintas Corp.		39,408		3,379,236
CSX Corp.		49,272		1,325,417
Cummins, Inc.		6,606		717,280
Danaher Corp.		19,253		1,640,548
Delta Air Lines, Inc.		109,162		4,898,099
Dun & Bradstreet Corp./The		8,144		855,120
Equifax, Inc.		18,750		1,822,125
FedEx Corp.		14,051		2,023,063
General Dynamics Corp.		42,323		5,838,458
HD Supply Holdings, Inc. †		73,635		2,107,434
Huntington Ingalls Industries, Inc.		15,878		1,701,328
JetBlue Airways Corp. †		206,306		5,316,506
L-3 Communications Holdings, Inc.		6,530		682,516
Lockheed Martin Corp.		14,791		3,066,322
Macquarie Infrastructure Corp.		14,000		1,045,240
ManpowerGroup, Inc.		10,986		899,644
Masco Corp.		137,628		3,465,473
Norfolk Southern Corp.		6,442		492,169
Northrop Grumman Corp.		34,121		5,662,380
Owens Corning		15,653		656,017
Pitney Bowes, Inc.		28,027		556,336
Raytheon Co.		18,889		2,063,812
Robert Half International, Inc.		43,172		2,208,680
Rockwell Automation, Inc.		7,223		732,918
Rollins, Inc.		11,682		313,895
RR Donnelley & Sons Co.		58,965		858,530
Ryder System, Inc.		12,489		924,686
Snap-on, Inc.		20,010		3,020,309
Southwest Airlines Co.		138,560		5,270,822
Spirit AeroSystems Holdings, Inc., Class A †		52,710		2,548,001
Spirit Airlines, Inc. †		8,796		416,051
Stanley Black & Decker, Inc.		36,123		3,503,209
Textron, Inc.		48,396		1,821,625
Trinity Industries, Inc.		21,126		478,926
United Continental Holdings, Inc. †		75,444		4,002,304
United Rentals, Inc. †		15,908		955,275
WABCO Holdings, Inc. †		4,480		469,638

	SHARES		VALUE (Note 4)
Industrials - 9.1% (continued)
Waste Management, Inc.		43,905	$	2,186,908
				101,684,211
Information Technology - 19.5%
Accenture PLC, Class A (Ireland)		11,466		1,126,649
Activision Blizzard, Inc.		155,295		4,797,063
Amdocs Ltd.		53,518		3,044,104
Analog Devices, Inc.		32,886		1,855,099
Apple, Inc.		540,689		59,637,997
Applied Materials, Inc.		119,960		1,762,212
ARRIS Group, Inc. †		49,313		1,280,659
Avago Technologies Ltd. (Singapore)		14,677		1,834,772
Booz Allen Hamilton Holding Corp.		47,017		1,232,316
Broadridge Financial Solutions, Inc.		27,549		1,524,837
Brocade Communications Systems, Inc.		229,219		2,379,293
CA, Inc.		44,183		1,206,196
Cadence Design Systems, Inc. †		52,800		1,091,904
CDW Corp.		40,584		1,658,262
Cisco Systems, Inc.		538,817		14,143,946
Cognizant Technology Solutions Corp., Class A †		36,522		2,286,642
Computer Sciences Corp.		13,032		799,904
CoreLogic, Inc. †		20,314		756,290
Corning, Inc.		157,750		2,700,680
DST Systems, Inc.		8,388		881,914
eBay, Inc. †		223,231		5,455,766
Electronic Arts, Inc. †		77,851		5,274,405
EMC Corp.		134,792		3,256,575
F5 Networks, Inc. †		11,800		1,366,440
FactSet Research Systems, Inc.		9,425		1,506,209
Fiserv, Inc. †		46,484		4,025,979
Fortinet, Inc. †		10,331		438,861
Genpact Ltd. †		23,167		546,973
Global Payments, Inc.		14,052		1,612,186
Harris Corp.		21,536		1,575,358
Hewlett-Packard Co.		52,042		1,332,796
IAC/InterActiveCorp		9,754		636,644
Intel Corp.		493,107		14,862,245
IPG Photonics Corp. †		17,229		1,308,887
Jabil Circuit, Inc.		48,662		1,088,569
Juniper Networks, Inc.		88,497		2,275,258
King Digital Entertainment PLC (Ireland)		39,745		538,147
KLA-Tencor Corp.		19,160		958,000
Lam Research Corp.		46,390		3,030,659
Marvell Technology Group Ltd. (2)		168,355		1,523,613
Micron Technology, Inc. †		68,834		1,031,133
Microsoft Corp.		299,801		13,269,192
NetApp, Inc.		80,880		2,394,048
NVIDIA Corp.		177,470		4,374,635
ON Semiconductor Corp. †		257,604		2,421,478
Oracle Corp.		23,308		841,885
PayPal Holdings, Inc. †		22,592		701,256
Qorvo, Inc. †		43,390		1,954,720
Rackspace Hosting, Inc. †		34,350		847,758
Red Hat, Inc. †		17,722		1,273,857
SanDisk Corp.		16,566		900,031
Skyworks Solutions, Inc.		51,905		4,370,920
Synopsys, Inc. †		45,584		2,105,069

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

AQR Funds Annual Report September 2015

48

Schedule of Investments September 30, 2015

AQR LARGE CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Information Technology - 19.5% (continued)
Teradyne, Inc.		56,760	$	1,022,248
Texas Instruments, Inc.		114,940		5,691,829
Total System Services, Inc.		46,564		2,115,403
VeriSign, Inc. †		42,949		3,030,481
Western Digital Corp.		42,055		3,340,849
Western Union Co./The		167,398		3,073,427
Xerox Corp.		200,933		1,955,078
Xilinx, Inc.		29,558		1,253,259
Zebra Technologies Corp., Class A †		11,700		895,635
				217,478,500
Materials - 2.2%
Alcoa, Inc.		132,803		1,282,877
Avery Dennison Corp.		16,030		906,817
Ball Corp.		28,761		1,788,934
Cabot Corp.		16,100		508,116
Celanese Corp., Series A		28,641		1,694,688
CF Industries Holdings, Inc.		42,495		1,908,025
Crown Holdings, Inc. †		23,406		1,070,825
Dow Chemical Co./The		11,264		477,594
Graphic Packaging Holding Co.		116,864		1,494,691
International Paper Co.		34,980		1,321,894
LyondellBasell Industries NV, Class A		16,261		1,355,517
Packaging Corp. of America		16,880		1,015,501
PPG Industries, Inc.		5,136		450,376
Reliance Steel & Aluminum Co.		9,588		517,848
Sealed Air Corp.		43,832		2,054,844
Sherwin-Williams Co./The		13,271		2,956,513
Steel Dynamics, Inc.		60,743		1,043,565
Westlake Chemical Corp.		11,690		606,594
WestRock Co.		45,651		2,348,287
				24,803,506
Telecommunication Services - 0.4%
CenturyLink, Inc.		38,100		957,072
Telephone & Data Systems, Inc.		12,321		307,532
T-Mobile US, Inc. †		82,977		3,303,314
				4,567,918
Utilities - 1.1%
Alliant Energy Corp.		11,719		685,444
CMS Energy Corp.		46,931		1,657,603

	SHARES		VALUE (Note 4)
Utilities - 1.1% (continued)
Consolidated Edison, Inc.		13,971	$	933,962
DTE Energy Co.		15,359		1,234,403
Edison International		15,362		968,881
Entergy Corp.		13,791		897,794
PG&E Corp.		17,669		932,923
Pinnacle West Capital Corp.		16,200		1,039,068
Public Service Enterprise Group, Inc.		39,970		1,685,135
SCANA Corp.		15,900		894,534
Xcel Energy, Inc.		28,809		1,020,127
				11,949,874
TOTAL COMMON STOCKS (cost $1,105,111,326)				1,070,240,188
MONEY MARKET FUNDS - 3.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $40,087,564)		40,087,564		40,087,564
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.7% (cost $1,145,198,890)				1,110,327,752
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (b)				3,899,571
NET ASSETS - 100.0%			$	1,114,227,323

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

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) Includes appreciation/(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

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
323	Goldman Sachs	S&P 500 E-Mini Futures		12/2015		$31,106,077		$30,825,505		$(280,572	)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Goldman Sachs
Cash		$—		$1,880,715		$1,880,715

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

AQR Funds Annual Report September 2015

49

Schedule of Investments September 30, 2015

AQR SMALL CAP MULTI-STYLE FUND

COMMON STOCKS - 96.8%	SHARES		VALUE (Note 4)
Consumer Discretionary - 21.2%
1-800-Flowers.com, Inc., Class A †		12,938	$	117,736
AMC Entertainment Holdings, Inc., Class A		1,287		32,419
American Axle & Manufacturing Holdings, Inc. †		6,128		122,192
American Eagle Outfitters, Inc. (a)		1,320		20,632
American Public Education, Inc. †		1,741		40,826
America’s Car-Mart, Inc. †		1,821		60,257
Asbury Automotive Group, Inc. †		391		31,730
Ascena Retail Group, Inc. †		5,655		78,661
Barnes & Noble Education, Inc. †		3,290		41,816
Barnes & Noble, Inc.		4,100		49,651
Bassett Furniture Industries, Inc.		3,947		109,924
Big 5 Sporting Goods Corp.		5,832		60,536
Big Lots, Inc.		3,759		180,131
Bloomin’ Brands, Inc.		1,319		23,979
Boyd Gaming Corp. †		4,563		74,377
Buckle, Inc./The (a)		3,376		124,811
Build-A-Bear Workshop, Inc. †		5,536		104,575
Burlington Stores, Inc. †		669		34,146
Caesars Entertainment Corp. †		2,664		15,691
Caleres, Inc.		3,992		121,876
Callaway Golf Co.		6,593		55,052
Capella Education Co.		1,396		69,130
Carriage Services, Inc.		1,718		37,092
Carrols Restaurant Group, Inc. †		1,746		20,777
Cato Corp./The, Class A		3,192		108,624
Chegg, Inc. †		6,320		45,567
Cherokee, Inc. †		1,984		30,792
Chico’s FAS, Inc.		8,914		140,217
Children’s Place, Inc./The		2,325		134,083
Citi Trends, Inc.		4,045		94,572
Columbia Sportswear Co.		1,164		68,432
Cooper Tire & Rubber Co.		4,318		170,604
Cooper-Standard Holding, Inc. †		418		24,244
Core-Mark Holding Co., Inc.		913		59,756
Cracker Barrel Old Country Store, Inc. (a)		83		12,224
Crown Media Holdings, Inc., Class A †		2,596		13,889
CSS Industries, Inc.		533		14,039
Culp, Inc.		3,338		107,050
Deckers Outdoor Corp. †		207		12,018
Denny’s Corp. †		10,552		116,389
Diamond Resorts International, Inc. †		5,272		123,312
Drew Industries, Inc.		1,151		62,856
Entravision Communications Corp., Class A		2,484		16,494
Ethan Allen Interiors, Inc.		3,252		85,885
Express, Inc. †		8,229		147,052
Finish Line, Inc./The, Class A		2,254		43,502
Flexsteel Industries, Inc.		1,603		50,094
Francesca’s Holdings Corp. †		5,191		63,486
Genesco, Inc. †		870		49,651
Gentherm, Inc. †		380		17,070
G-III Apparel Group Ltd. †		3,379		208,349
Gray Television, Inc. †		6,369		81,268
Group 1 Automotive, Inc.		1,467		124,915
Guess?, Inc.		2,503		53,464
Haverty Furniture Cos., Inc.		1,143		26,838
Helen of Troy Ltd. †		2,143		191,370

	SHARES		VALUE (Note 4)
Consumer Discretionary - 21.2% (continued)
Hibbett Sports, Inc. †		1,311	$	45,898
Hooker Furniture Corp. (a)		4,083		96,114
Houghton Mifflin Harcourt Co. †		2,860		58,087
HSN, Inc.		582		33,314
Installed Building Products, Inc. †		1,922		48,588
Interval Leisure Group, Inc.		3,670		67,381
Isle of Capri Casinos, Inc. †		6,937		120,981
JAKKS Pacific, Inc. †(a)		5,618		47,865
K12, Inc. †		2,303		28,649
Kirkland’s, Inc.		3,982		85,772
Lands’ End, Inc. †(a)		3,657		98,776
La-Z-Boy, Inc.		3,933		104,460
Libbey, Inc.		1,600		52,176
LifeLock, Inc. †(a)		6,934		60,742
Lithia Motors, Inc., Class A		113		12,216
Marcus Corp./The		1,667		32,240
MarineMax, Inc. †		3,138		44,340
Marriott Vacations Worldwide Corp.		2,376		161,901
Mattress Firm Holding Corp. †(a)		355		14,825
MDC Partners, Inc., Class A		1,291		23,793
Monarch Casino & Resort, Inc. †		2,194		39,426
Movado Group, Inc.		3,045		78,652
NACCO Industries, Inc., Class A		888		42,224
Nautilus, Inc. †		6,194		92,910
New Media Investment Group, Inc.		6,725		103,968
Nexstar Broadcasting Group, Inc., Class A		728		34,471
Nutrisystem, Inc.		4,143		109,872
Outerwall, Inc. (a)		1,963		111,754
Overstock.com, Inc. †		4,288		73,582
Oxford Industries, Inc.		1,652		122,050
Papa John’s International, Inc.		735		50,333
Penn National Gaming, Inc. †(a)		8,026		134,676
Perry Ellis International, Inc. †		4,072		89,421
PetMed Express, Inc. (a)		6,166		99,273
Popeyes Louisiana Kitchen, Inc. †		1,440		81,158
Reading International, Inc., Class A †		1,784		22,603
Red Robin Gourmet Burgers, Inc. †		424		32,114
Regis Corp. †		3,208		42,025
Rent-A-Center, Inc.		4,828		117,079
Ruby Tuesday, Inc. †		6,300		39,123
Ruth’s Hospitality Group, Inc.		4,641		75,370
Scholastic Corp.		3,266		127,243
Scientific Games Corp., Class A †(a)		3,034		31,705
Select Comfort Corp. †		6,152		134,606
Shoe Carnival, Inc.		2,962		70,496
Shutterfly, Inc. †		953		34,070
Skullcandy, Inc. †		4,385		24,249
Smith & Wesson Holding Corp. †		6,726		113,468
Sonic Automotive, Inc., Class A		2,081		42,494
Sonic Corp.		4,488		103,000
Speedway Motorsports, Inc.		3,347		60,413
Sportsman’s Warehouse Holdings, Inc. †		6,236		76,827
Stage Stores, Inc. (a)		5,525		54,366
Standard Motor Products, Inc.		1,111		38,752
Stein Mart, Inc.		6,232		60,326
Steven Madden Ltd. †		3,861		141,390
Strattec Security Corp.		858		54,105

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

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AQR SMALL CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Consumer Discretionary - 21.2% (continued)
Strayer Education, Inc. †		1,920	$	105,542
Sturm Ruger & Co., Inc.		244		14,320
Superior Uniform Group, Inc.		1,584		28,401
Texas Roadhouse, Inc.		2,614		97,241
Tile Shop Holdings, Inc. †(a)		1,923		23,037
Tilly’s, Inc., A Shares †		8,489		62,479
Time, Inc.		5,831		111,081
Tower International, Inc. †		1,597		37,945
Unifi, Inc. †		2,044		60,932
Universal Electronics, Inc. †		963		40,475
Wolverine World Wide, Inc.		798		17,269
World Wrestling Entertainment, Inc., Class A		1,051		17,762
ZAGG, Inc. †		11,300		76,727
Zumiez, Inc. †(a)		2,918		45,608
				8,862,654
Consumer Staples - 6.1%
Cal-Maine Foods, Inc. (a)		3,935		214,890
Casey’s General Stores, Inc.		467		48,064
Central Garden & Pet Co., Class A †		7,550		121,630
Coca-Cola Bottling Co. Consolidated		812		157,025
Dean Foods Co.		7,524		124,296
Farmer Bros Co. †		1,125		30,656
Fresh Del Monte Produce, Inc.		3,979		157,210
Fresh Market, Inc./The †		3,674		82,996
HRG Group, Inc. †		2,456		28,809
Ingles Markets, Inc., Class A		3,505		167,644
Inter Parfums, Inc.		678		16,821
J&J Snack Foods Corp.		351		39,895
John B. Sanfilippo & Son, Inc.		2,098		107,543
Medifast, Inc. †		1,438		38,625
MGP Ingredients, Inc.		4,193		67,130
National Beverage Corp. †		1,156		35,524
Natural Health Trends Corp. (a)		3,784		123,661
Omega Protein Corp. †		2,627		44,580
Revlon, Inc., Class A †		2,691		79,250
Sanderson Farms, Inc. (a)		2,058		141,117
SpartanNash Co.		4,306		111,310
SUPERVALU, Inc. †		14,353		103,055
Universal Corp. (a)		1,482		73,463
USANA Health Sciences, Inc. †		1,298		173,971
Vector Group Ltd. (a)		6,308		142,630
Village Super Market, Inc., Class A		2,578		60,867
Weis Markets, Inc.		1,783		74,440
				2,567,102
Energy - 1.3%
Alon USA Energy, Inc.		7,004		126,562
Delek US Holdings, Inc.		3,666		101,548
DHT Holdings, Inc.		1,762		13,074
Green Plains, Inc.		2,375		46,218
Hallador Energy Co.		4,493		31,226
Nordic American Tankers Ltd. (Norway)		1,533		23,302
REX American Resources Corp. †(a)		1,516		76,740
Teekay Tankers Ltd., Class A		13,109		90,452
Western Refining, Inc.		953		42,046
				551,168

	SHARES		VALUE (Note 4)
Financials - 18.9%
1st Source Corp.		478	$	14,722
Access National Corp. (a)		1,108		22,570
Ambac Financial Group, Inc. †		2,911		42,122
American Equity Investment Life Holding Co.		6,062		141,305
AMERISAFE, Inc.		1,849		91,951
Argo Group International Holdings Ltd.		2,591		146,625
Arlington Asset Investment Corp., Class A		2,400		33,720
Ashford Hospitality Trust, Inc. REIT		5,270		32,147
Atlas Financial Holdings, Inc. †		1,350		24,975
Banc of California, Inc.		7,416		90,994
BancFirst Corp.		406		25,619
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		3,743		86,650
BancorpSouth, Inc.		2,977		70,763
Banner Corp.		1,133		54,123
Berkshire Hills Bancorp, Inc.		3,567		98,235
BGC Partners, Inc., Class A		4,844		39,818
BNC Bancorp		1,200		26,676
Brookline Bancorp, Inc.		7,344		74,468
Cardinal Financial Corp.		1,017		23,401
Cathay General Bancorp (a)		3,336		99,947
CenterState Banks, Inc.		1,629		23,946
Central Pacific Financial Corp.		1,711		35,880
Chatham Lodging Trust REIT		2,038		43,776
Chemical Financial Corp.		2,537		82,072
City Holding Co.		296		14,593
Columbia Banking System, Inc.		1,116		34,830
Cowen Group, Inc., Class A †(a)		22,244		101,433
Customers Bancorp, Inc. †		4,686		120,430
Dime Community Bancshares, Inc.		2,848		48,131
Employers Holdings, Inc.		3,653		81,425
Encore Capital Group, Inc. †(a)		374		13,838
Enterprise Financial Services Corp.		2,957		74,428
EverBank Financial Corp.		1,722		33,235
FBL Financial Group, Inc., Class A		2,428		149,371
Federal Agricultural Mortgage Corp., Class C		990		25,671
Federated National Holding Co.		3,784		90,892
FelCor Lodging Trust, Inc. REIT		2,257		15,957
Fidelity Southern Corp.		4,993		105,552
Financial Institutions, Inc.		1,364		33,800
First Citizens BancShares, Inc., Class A		97		21,922
First Commonwealth Financial Corp.		2,600		23,634
First Defiance Financial Corp.		3,153		115,274
First Financial Bancorp		764		14,577
First Financial Corp.		1,794		58,036
First Interstate BancSystem, Inc., Class A		3,229		89,895
First Merchants Corp.		4,262		111,750
First NBC Bank Holding Co. †		1,632		57,185
FirstMerit Corp.		1,283		22,671
FNB Corp.		3,567		46,193
Fulton Financial Corp.		11,585		140,178
German American Bancorp, Inc.		483		14,137
Great Southern Bancorp, Inc.		2,437		105,522
Greenlight Capital Re Ltd., Class A †		2,429		54,118
Hanmi Financial Corp.		1,058		26,662

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

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	SHARES		VALUE (Note 4)
Financials - 18.9% (continued)
HCI Group, Inc.		2,263	$	87,736
Heartland Financial USA, Inc.		3,131		113,624
Heritage Financial Corp./WA		2,043		38,449
Heritage Insurance Holdings, Inc. †		4,676		92,257
Hilltop Holdings, Inc. †		5,821		115,314
Hingham Institution for Savings (a)		284		32,953
HomeStreet, Inc. †		3,367		77,778
Horace Mann Educators Corp.		3,582		118,994
Horizon Bancorp/IN		599		14,226
Impac Mortgage Holdings, Inc. †(a)		4,415		72,185
Independent Bank Corp./MA		327		15,075
Independent Bank Corp./MI		3,544		52,309
Infinity Property & Casualty Corp.		1,300		104,702
International Bancshares Corp.		4,752		118,943
INTL. FCStone, Inc. †		3,504		86,514
Investment Technology Group, Inc.		4,725		63,031
Janus Capital Group, Inc.		920		12,512
Kemper Corp.		2,367		83,721
Ladenburg Thalmann Financial Services, Inc. †(a)		10,847		22,887
Maiden Holdings Ltd.		8,677		120,437
MainSource Financial Group, Inc.		3,275		66,679
MB Financial, Inc.		2,355		76,867
Meta Financial Group, Inc.		325		13,575
MGIC Investment Corp. †		3,843		35,586
National General Holdings Corp.		4,737		91,377
National Western Life Insurance Co., Class A		350		77,945
Navigators Group, Inc./The †		1,495		116,580
NBT Bancorp, Inc.		2,835		76,375
Nelnet, Inc., Class A		2,824		97,739
Old National Bancorp/IN		3,301		45,983
OneBeacon Insurance Group Ltd., Class A		5,200		73,008
Oppenheimer Holdings, Inc., Class A		1,143		22,871
PHH Corp. †		1,163		16,422
Piper Jaffray Cos. †		2,045		73,968
Preferred Bank		2,750		86,900
Primerica, Inc.		2,110		95,098
PrivateBancorp, Inc.		2,373		90,957
Provident Financial Services, Inc.		3,870		75,465
QCR Holdings, Inc.		1,631		35,670
Radian Group, Inc.		2,046		32,552
Regional Management Corp. †		2,655		41,152
S&T Bancorp, Inc.		2,240		73,069
Safety Insurance Group, Inc.		1,318		71,370
Selective Insurance Group, Inc.		4,990		154,989
Southside Bancshares, Inc. (a)		855		23,555
State Auto Financial Corp.		2,374		54,151
Stewart Information Services Corp.		2,890		118,230
Stock Yards Bancorp, Inc.		1,940		70,519
Stonegate Bank		2,265		72,050
Suffolk Bancorp		527		14,398
Talmer Bancorp, Inc., Class A		3,794		63,170
Territorial Bancorp, Inc.		542		14,114
Tompkins Financial Corp.		767		40,927
Trustmark Corp.		4,977		115,317
United Community Banks, Inc.		4,697		96,007
United Fire Group, Inc.		2,642		92,602

	SHARES		VALUE (Note 4)
Financials - 18.9% (continued)
United Insurance Holdings Corp. (a)		3,610	$	47,471
Universal Health Realty Income Trust REIT		1,041		48,865
Universal Insurance Holdings, Inc.		5,558		164,183
Walker & Dunlop, Inc. †		4,551		118,690
Webster Financial Corp.		1,107		39,442
WesBanco, Inc.		1,147		36,073
Wilshire Bancorp, Inc.		5,344		56,165
Wintrust Financial Corp.		3,263		174,342
World Acceptance Corp. †(a)		1,008		27,055
WSFS Financial Corp.		1,512		43,561
				7,888,576
Health Care - 7.5%
Abaxis, Inc.		371		16,320
ABIOMED, Inc. †		3,011		279,300
Addus HomeCare Corp. †		630		19,624
Affymetrix, Inc. †		6,336		54,109
Almost Family, Inc. †		2,122		84,986
AMAG Pharmaceuticals, Inc. †		2,854		113,389
Amedisys, Inc. †		3,207		121,770
ANI Pharmaceuticals, Inc. †(a)		774		30,581
Anika Therapeutics, Inc. †		674		21,453
Cambrex Corp. †		3,212		127,452
Chemed Corp.		1,015		135,472
CONMED Corp.		500		23,870
CryoLife, Inc.		2,163		21,046
Cynosure, Inc., Class A †		2,660		79,906
Emergent BioSolutions, Inc. †		2,750		78,348
Enanta Pharmaceuticals, Inc. †(a)		1,534		55,439
Ensign Group, Inc./The		1,282		54,652
Exactech, Inc. †		1,661		28,951
Globus Medical, Inc., Class A †		943		19,482
Greatbatch, Inc. †		378		21,327
ICU Medical, Inc. †		1,244		136,218
Infinity Pharmaceuticals, Inc. †		5,389		45,537
Insys Therapeutics, Inc. †		4,372		124,427
Integra LifeSciences Holdings Corp. †		900		53,595
Invacare Corp.		2,664		38,548
Lannett Co., Inc. †(a)		2,965		123,107
LeMaitre Vascular, Inc. (a)		1,889		23,027
LHC Group, Inc. †		2,471		110,627
Magellan Health, Inc. †		556		30,819
Masimo Corp. †		1,587		61,195
Merit Medical Systems, Inc. †		4,173		99,776
MiMedx Group, Inc. †(a)		2,626		25,341
Molina Healthcare, Inc. †		656		45,166
National HealthCare Corp.		538		32,759
Natus Medical, Inc. †		2,773		109,395
NewLink Genetics Corp. †		3,051		109,348
NuVasive, Inc. †		1,533		73,921
Omnicell, Inc. †		2,375		73,863
PDL BioPharma, Inc.		2,533		12,741
PharMerica Corp. †		455		12,954
Phibro Animal Health Corp., Class A		390		12,336
RadNet, Inc. †		4,500		24,975
SciClone Pharmaceuticals, Inc. †		10,808		75,008
Select Medical Holdings Corp.		2,401		25,907
Sucampo Pharmaceuticals, Inc., Class A †		5,178		102,887

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

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AQR SMALL CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Health Care - 7.5% (continued)
Supernus Pharmaceuticals, Inc. †		5,944	$	83,394
US Physical Therapy, Inc.		796		35,732
Vascular Solutions, Inc. †		727		23,562
WellCare Health Plans, Inc. †		484		41,711
				3,155,353
Industrials - 15.5%
ABM Industries, Inc.		1,721		47,001
ACCO Brands Corp. †		13,788		97,481
Air Transport Services Group, Inc. †		7,614		65,100
Aircastle Ltd.		6,458		133,099
Alamo Group, Inc.		1,493		69,798
Allegiant Travel Co.		1,157		250,201
Allied Motion Technologies, Inc. (a)		4,202		74,670
American Woodmark Corp. †		2,152		139,600
Apogee Enterprises, Inc.		2,539		113,366
ARC Document Solutions, Inc. †		9,621		57,245
ArcBest Corp.		1,441		37,135
Argan, Inc.		2,794		96,896
Astronics Corp. †		1,310		52,963
Atlas Air Worldwide Holdings, Inc. †		2,959		102,263
Barnes Group, Inc.		2,915		105,086
Blount International, Inc. †		2,215		12,338
Brady Corp., Class A		1,444		28,389
Briggs & Stratton Corp.		1,260		24,331
Casella Waste Systems, Inc., Class A †		4,496		26,077
CDI Corp.		2,393		20,460
CEB, Inc.		1,256		85,835
Columbus McKinnon Corp.		2,386		43,330
Comfort Systems USA, Inc.		4,164		113,511
Continental Building Products, Inc. †		4,343		89,205
Covenant Transportation Group, Inc., Class A †		4,419		79,409
CRA International, Inc. †		3,112		67,157
Cubic Corp.		1,266		53,096
Douglas Dynamics, Inc.		5,000		99,300
Ducommun, Inc. †		1,806		36,246
Dycom Industries, Inc. †		323		23,372
Echo Global Logistics, Inc. †		2,368		46,413
Ennis, Inc.		4,496		78,051
Essendant, Inc.		686		22,247
Federal Signal Corp.		6,410		87,881
FTI Consulting, Inc. †		2,987		123,990
G&K Services, Inc., Class A		1,686		112,321
General Cable Corp.		1,673		19,909
Gibraltar Industries, Inc. †		3,553		65,198
Global Brass & Copper Holdings, Inc.		3,380		69,324
GP Strategies Corp. †		1,702		38,840
Greenbrier Cos., Inc./The		444		14,257
Griffon Corp.		5,299		83,565
Hawaiian Holdings, Inc. †		6,736		166,244
Heidrick & Struggles International, Inc.		2,900		56,405
Herman Miller, Inc.		1,388		40,030
Hillenbrand, Inc.		537		13,967
HNI Corp.		3,243		139,125
Hurco Cos., Inc.		1,896		49,751
Huron Consulting Group, Inc. †		729		45,584
ICF International, Inc. †		1,354		41,148

	SHARES		VALUE (Note 4)
Industrials - 15.5% (continued)
Insperity, Inc.		2,643	$	116,107
Interface, Inc.		4,375		98,175
John Bean Technologies Corp.		1,909		73,019
Kadant, Inc.		2,006		78,254
Kaman Corp.		2,100		75,285
Kimball International, Inc., Class B		2,064		19,525
Knoll, Inc.		4,951		108,823
Korn/Ferry International		2,672		88,363
Lawson Products, Inc. †		608		13,163
Lindsay Corp.		217		14,710
LSI Industries, Inc.		5,133		43,323
Lydall, Inc. †		2,109		60,085
Meritor, Inc. †		8,510		90,461
Mueller Industries, Inc.		3,450		102,051
Multi-Color Corp.		2,197		168,049
MYR Group, Inc. †		3,562		93,324
National Presto Industries, Inc. (a)		569		47,944
NV5 Holdings, Inc. †(a)		3,104		57,610
On Assignment, Inc. †		650		23,985
Park-Ohio Holdings Corp.		626		18,066
Patrick Industries, Inc. †		2,847		112,428
PowerSecure International, Inc. †		2,430		27,994
Quad/Graphics, Inc.		3,637		44,008
Resources Connection, Inc.		5,013		75,546
RPX Corp. †		5,559		76,269
Rush Enterprises, Inc., Class A †		1,156		27,975
Saia, Inc. †		900		27,855
SkyWest, Inc.		7,387		123,215
Standex International Corp.		1,190		89,666
Steelcase, Inc., Class A		4,829		88,902
TASER International, Inc. †(a)		3,874		85,325
Titan Machinery, Inc. †		2,034		23,350
TRC Cos., Inc. †		5,963		70,542
Trex Co., Inc. †		1,618		53,928
TrueBlue, Inc. †		2,751		61,815
UniFirst Corp.		1,418		151,457
Universal Forest Products, Inc.		1,772		102,209
USA Truck, Inc. †		2,452		42,248
Viad Corp.		1,817		52,675
VSE Corp.		866		34,701
Wabash National Corp. †		5,623		59,548
West Corp.		4,364		97,754
				6,477,942
Information Technology - 20.6%
Advanced Energy Industries, Inc. †		4,300		113,090
Alliance Fiber Optic Products, Inc.		1,808		30,899
Ambarella, Inc. †(a)		2,176		125,751
Amkor Technology, Inc. †		4,342		19,496
AVG Technologies NV (Netherlands) †		586		12,745
AVX Corp.		7,319		95,806
Axcelis Technologies, Inc. †		7,511		20,054
Benchmark Electronics, Inc. †		2,419		52,637
Black Box Corp.		2,500		36,850
Blackhawk Network Holdings, Inc. †		4,571		193,765
Blucora, Inc. †		2,742		37,757
BroadSoft, Inc. †		2,881		86,315
Brooks Automation, Inc.		4,023		47,109

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

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Schedule of Investments September 30, 2015

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	SHARES		VALUE (Note 4)
Information Technology - 20.6% (continued)
Cabot Microelectronics Corp. †		1,985	$	76,899
CACI International, Inc., Class A †		1,609		119,018
Calix, Inc. †		7,809		60,832
Carbonite, Inc. †		3,353		37,319
Cardtronics, Inc. †		1,444		47,219
Cascade Microtech, Inc. †		2,176		30,769
Ciena Corp. †		8,889		184,180
Cimpress NV (Netherlands) †		366		27,856
Cirrus Logic, Inc. †		5,581		175,857
Coherent, Inc. †		1,502		82,159
Cohu, Inc.		3,258		32,124
comScore, Inc. †		809		37,335
Comtech Telecommunications Corp.		1,400		28,854
Constant Contact, Inc. †		973		23,586
Convergys Corp.		7,347		169,789
CSG Systems International, Inc.		3,377		104,012
DHI Group, Inc. †		8,020		58,626
Diodes, Inc. †		2,069		44,215
DTS, Inc. †		2,581		68,913
EarthLink Holdings Corp.		17,261		134,291
Ebix, Inc.		4,480		111,821
Electronics For Imaging, Inc. †		330		14,282
Ellie Mae, Inc. †		1,444		96,127
EMCORE Corp. †		7,787		52,952
Entegris, Inc. †		3,342		44,081
Epiq Systems, Inc.		2,861		36,964
ePlus, Inc. †		1,519		120,107
ExlService Holdings, Inc. †		2,072		76,519
Fair Isaac Corp.		1,743		147,283
Fairchild Semiconductor International, Inc. †		8,015		112,531
Fleetmatics Group PLC (Ireland) †(a)		1,162		57,043
FormFactor, Inc. †		10,212		69,237
Gigamon, Inc. †		4,030		80,640
GSI Group, Inc. †		4,501		57,298
Hackett Group, Inc./The		5,702		78,403
Harmonic, Inc. †		6,515		37,787
II-VI, Inc. †		6,143		98,779
Infinera Corp. †		9,528		186,368
Infoblox, Inc. †		5,034		80,443
Inphi Corp. †		3,389		81,472
Insight Enterprises, Inc. †		3,071		79,385
Integrated Device Technology, Inc. †		1,988		40,356
InterDigital, Inc.		3,213		162,578
Internap Corp. †		3,314		20,315
Intersil Corp., Class A		1,370		16,029
Itron, Inc. †		568		18,125
Ixia †		2,949		42,731
IXYS Corp.		5,661		63,177
j2 Global, Inc.		606		42,935
Lattice Semiconductor Corp. †		5,669		21,826
Lionbridge Technologies, Inc. †		4,600		22,724
LogMeIn, Inc. †		2,077		141,568
Luxoft Holding, Inc. (Switzerland) †		545		34,493
Manhattan Associates, Inc. †		1,191		74,199
ManTech International Corp., Class A		1,578		40,555
Mattson Technology, Inc. †		22,084		51,456
MaxLinear, Inc., Class A †		1,992		24,780

	SHARES		VALUE (Note 4)
Information Technology - 20.6% (continued)
Mentor Graphics Corp.		2,877	$	70,861
Methode Electronics, Inc.		2,667		85,077
Microsemi Corp. †		906		29,735
MicroStrategy, Inc., Class A †		476		93,520
MKS Instruments, Inc.		4,623		155,009
Monolithic Power Systems, Inc.		534		27,341
Monster Worldwide, Inc. †		8,922		57,279
Multi-Fineline Electronix, Inc. †		4,497		75,100
NeoPhotonics Corp. †(a)		10,688		72,785
NETGEAR, Inc. †		711		20,740
NeuStar, Inc., Class A †(a)		5,359		145,818
Newport Corp. †		3,440		47,300
NVE Corp.		523		25,386
OmniVision Technologies, Inc. †		3,424		89,914
OSI Systems, Inc. †		815		62,722
PC Connection, Inc.		2,864		59,371
PFSweb, Inc. †		1,076		15,301
Photronics, Inc. †		6,650		60,249
Plantronics, Inc.		2,980		151,533
Plexus Corp. †		1,461		56,365
PMC-Sierra, Inc. †		12,187		82,506
Polycom, Inc. †		13,326		139,656
Progress Software Corp. †		2,680		69,224
QAD, Inc., Class A		546		13,978
Qlik Technologies, Inc. †		713		25,989
QLogic Corp. †		9,810		100,553
Qualys, Inc. †		936		26,639
Quantum Corp. †		35,920		25,047
RealD, Inc. †		2,582		24,813
Rofin-Sinar Technologies, Inc. †		3,080		79,864
Rogers Corp. †		1,018		54,137
Rubicon Project, Inc./The †		4,243		61,651
Rudolph Technologies, Inc. †		4,943		61,540
Sanmina Corp. †		5,717		122,172
Science Applications International Corp.		492		19,783
Semtech Corp. †		1,408		21,261
ShoreTel, Inc. †		4,687		35,012
Sigma Designs, Inc. †		10,321		71,112
Stamps.com, Inc. †		1,696		125,521
Super Micro Computer, Inc. †		2,317		63,161
Sykes Enterprises, Inc. †		4,396		112,098
SYNNEX Corp.		467		39,723
Take-Two Interactive Software, Inc. †		5,797		166,548
Tech Data Corp. †		1,162		79,597
TechTarget, Inc. †		4,588		39,090
TeleTech Holdings, Inc.		1,814		48,597
Tessera Technologies, Inc.		4,613		149,507
TTM Technologies, Inc. †		12,016		74,860
United Online, Inc. †		5,204		52,040
VASCO Data Security International, Inc. †(a)		4,840		82,474
Vishay Intertechnology, Inc.		2,533		24,545
Web.com Group, Inc. †		1,943		40,958
Xcerra Corp. †		7,963		50,008
XO Group, Inc. †		3,964		56,011
				8,594,577

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

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54

Schedule of Investments September 30, 2015

AQR SMALL CAP MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Materials - 2.8%
A Schulman, Inc.		1,285	$	41,724
AEP Industries, Inc. †		239		13,702
Boise Cascade Co. †		2,802		70,666
Clearwater Paper Corp. †		589		27,824
Core Molding Technologies, Inc. †		3,251		59,981
Ferro Corp. †		2,124		23,258
Innophos Holdings, Inc.		1,229		48,718
Innospec, Inc.		2,579		119,949
Kaiser Aluminum Corp.		1,188		95,337
KMG Chemicals, Inc.		3,333		64,294
Materion Corp.		2,443		73,339
Minerals Technologies, Inc.		2,349		113,128
Neenah Paper, Inc.		1,565		91,208
Quaker Chemical Corp.		441		33,992
Schweitzer-Mauduit International, Inc.		835		28,707
Stepan Co.		522		21,720
Trinseo SA †(a)		4,542		114,686
US Concrete, Inc. †		2,673		127,743
				1,169,976
Telecommunication Services - 1.9%
Atlantic Tele-Network, Inc.		1,106		81,767
Cincinnati Bell, Inc. †		10,356		32,311
FairPoint Communications, Inc. †		2,166		33,378
General Communication, Inc., Class A †		4,927		85,040
IDT Corp., Class B		4,070		58,201
Inteliquent, Inc.		6,191		138,245
Iridium Communications, Inc. †(a)		9,349		57,496
Shenandoah Telecommunications Co.		2,093		89,601
Spok Holdings, Inc.		5,275		86,827
Vonage Holdings Corp. †		22,874		134,499
				797,365
Utilities - 1.0%
Avista Corp.		965		32,086
Consolidated Water Co., Ltd. (Cayman Islands) (a)		3,665		42,514
Empire District Electric Co./The		783		17,250
New Jersey Resources Corp.		2,822		84,745
ONE Gas, Inc.		2,356		106,797
WGL Holdings, Inc.		2,121		122,318
				405,710
TOTAL COMMON STOCKS (cost $42,350,829)				40,470,423
EXCHANGE-TRADED FUNDS (ETF) - 2.0%
iShares Russell 2000 ETF (a)
(cost $853,984)		7,646		834,943

SECURITIES LENDING COLLATERAL - 8.6%	SHARES		VALUE (Note 4)
Money Market Funds - 8.6%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (2)(b)(c)
(cost $3,593,902)		3,593,902	$	3,593,902
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 107.4% (cost $46,798,715)				44,899,268
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.4%)			(3,090,404)
NET ASSETS - 100.0%			$	41,808,864

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

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $3,578,221; cash collateral of $3,593,902 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of the close of the reporting period.

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

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

(2) Level 2 security (See Note 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.

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55

Schedule of Investments September 30, 2015

AQR INTERNATIONAL MULTI-STYLE FUND

COMMON STOCKS - 96.3%	SHARES		VALUE (Note 4)
Australia - 2.8%
Caltex Australia Ltd.		5,171	$	114,149
CIMIC Group Ltd.		28,203		468,534
Cochlear Ltd.		11,039		649,553
GPT Group/The REIT		196,673		625,061
Harvey Norman Holdings Ltd.		47,125		129,083
Incitec Pivot Ltd.		169,583		467,412
Insurance Australia Group Ltd.		83,486		285,449
Macquarie Group Ltd.		9,664		523,742
Qantas Airways Ltd. †		275,157		722,390
Scentre Group REIT		269,825		742,640
Tabcorp Holdings Ltd.		310,655		1,022,729
Telstra Corp. Ltd.		554,287		2,191,482
				7,942,224
Austria - 0.6%
Erste Group Bank AG †		41,170		1,196,436
Vienna Insurance Group AG Wiener Versicherung Gruppe		14,811		436,713
voestalpine AG		3,978		136,774
				1,769,923
Belgium - 1.4%
Ageas		2,501		102,782
bpost SA		32,911		782,611
KBC Groep NV		22,666		1,433,443
Proximus		45,165		1,562,347
				3,881,183
Canada - 7.0%
Alimentation Couche-Tard, Inc., Class B (1)		53,726		2,470,712
Bank of Montreal (1)		5,794		315,989
BlackBerry Ltd. (1)†		64,409		395,286
Brookfield Asset Management, Inc., Class A (1)		33,573		1,056,373
Canadian Imperial Bank of Commerce (1)		3,702		265,978
CGI Group, Inc., Class A (1)†		19,553		708,421
Cogeco Cable, Inc. (1)		8,706		420,785
Empire Co., Ltd., Class A (1)		75,837		1,559,929
Fairfax Financial Holdings Ltd. (1)		3,193		1,454,113
George Weston Ltd. (1)		16,178		1,308,787
Great-West Lifeco, Inc. (1)		40,683		974,624
Intact Financial Corp. (1)		35,279		2,477,593
Loblaw Cos., Ltd. (1)		30,956		1,593,845
Magna International, Inc. (1)		35,774		1,715,919
Metro, Inc. (1)		70,590		1,923,306
National Bank of Canada (1)		10,700		341,566
Open Text Corp. (1)		8,440		377,950
Power Corp. of Canada (1)		7,881		163,408
Progressive Waste Solutions Ltd. (1)		1,660		43,898
Sun Life Financial, Inc. (1)		14,555		469,425
				20,037,907
Denmark - 1.5%
AP Moeller - Maersk A/S, Class B		72		110,987
Danske Bank A/S		34,920		1,055,295
DSV A/S		2,235		83,515
ISS A/S		16,497		547,976
Pandora A/S		10,549		1,232,324

	SHARES		VALUE (Note 4)
Denmark - 1.5% (continued)
Tryg A/S		40,985	$	796,314
Vestas Wind Systems A/S		11,543		600,109
				4,426,520
Finland - 0.8%
Elisa OYJ		25,834		873,891
Metsa Board OYJ		37,943		213,946
Nokia OYJ		27,216		186,098
Stora Enso OYJ, R Shares		67,410		510,059
UPM-Kymmene OYJ		38,074		571,518
				2,355,512
France - 6.6%
AXA SA		76,455		1,856,248
BNP Paribas SA		40,285		2,371,744
Cap Gemini SA		12,898		1,151,827
Christian Dior SE		5,658		1,060,052
Cie Generale des Etablissements Michelin		3,002		274,666
Credit Agricole SA		56,528		650,791
LVMH Moet Hennessy Louis Vuitton SE		15,594		2,654,771
Natixis SA		102,931		569,908
Numericable-SFR SAS †		7,777		360,030
Orange SA		85,315		1,293,312
Peugeot SA †		82,215		1,245,769
Renault SA		21,400		1,544,069
Safran SA		11,260		846,658
Societe Generale SA		49,645		2,218,685
Valeo SA		3,492		474,134
Veolia Environnement SA		16,704		380,954
				18,953,618
Germany - 6.9%
Allianz SE		18,406		2,891,454
Brenntag AG		1,828		98,628
Continental AG		6,183		1,320,601
Daimler AG		44,066		3,208,141
Deutsche Bank AG		43,834		1,182,957
Deutsche Telekom AG		134,152		2,388,110
Evonik Industries AG		7,172		240,137
Hannover Rueck SE		31,518		3,228,422
HeidelbergCement AG		6,323		434,213
Infineon Technologies AG		51,591		579,647
Merck KGaA		15,937		1,411,004
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		5,870		1,096,308
OSRAM Licht AG		4,301		222,828
ProSiebenSat.1 Media SE		30,110		1,477,968
				19,780,418
Hong Kong - 3.1%
BOC Hong Kong Holdings Ltd.		627,000		1,849,198
Cathay Pacific Airways Ltd.		162,000		305,075
CK Hutchison Holdings Ltd.		61,500		799,970
Henderson Land Development Co., Ltd.		173,731		1,038,857
Hysan Development Co., Ltd.		42,000		174,883
Kerry Properties Ltd.		196,000		538,139
Link REIT		46,500		256,002
New World Development Co., Ltd.		566,000		551,219

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

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AQR INTERNATIONAL MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Hong Kong - 3.1% (continued)
NWS Holdings Ltd.		377,000	$	496,950
Orient Overseas International Ltd.		18,000		84,696
PCCW Ltd.		1,450,000		746,396
Sino Land Co., Ltd.		260,000		395,879
Swire Properties Ltd.		72,200		200,116
Techtronic Industries Co., Ltd.		63,500		236,731
Wharf Holdings Ltd./The		23,000		129,775
Wheelock & Co., Ltd.		81,000		351,777
Yue Yuen Industrial Holdings Ltd.		157,500		585,973
				8,741,636
Italy - 3.0%
Assicurazioni Generali SpA		49,214		900,429
Banco Popolare SC †		69,272		1,024,909
Intesa Sanpaolo SpA		888,836		3,139,991
Mediobanca SpA		57,205		562,825
Pirelli & C. SpA		75,011		1,255,236
Prysmian SpA		64,027		1,323,394
Telecom Italia SpA †		122,135		150,510
UnipolSai SpA		61,823		134,435
				8,491,729
Japan - 33.9%
AEON Financial Service Co., Ltd.		39,900		789,462
Aisin Seiki Co., Ltd.		40,200		1,348,789
Alps Electric Co., Ltd.		19,600		553,505
Asahi Kasei Corp.		12,000		84,617
Bank of Yokohama Ltd./The		85,000		516,632
Bridgestone Corp.		42,000		1,453,459
Central Japan Railway Co.		11,700		1,886,364
Chiba Bank Ltd./The		157,000		1,114,870
Chubu Electric Power Co., Inc.		86,300		1,272,427
Dai-ichi Life Insurance Co., Ltd./The		156,600		2,493,048
Daiichi Sankyo Co., Ltd.		33,100		574,350
Daiwa Securities Group, Inc.		131,000		847,636
Dentsu, Inc.		27,900		1,431,831
Fuji Heavy Industries Ltd.		57,400		2,065,510
FUJIFILM Holdings Corp.		37,800		1,413,046
Fukuoka Financial Group, Inc.		310,000		1,476,485
Gunma Bank Ltd./The		80,000		512,032
Hachijuni Bank Ltd./The		172,000		1,220,893
Hiroshima Bank Ltd./The		253,000		1,462,160
Hitachi Chemical Co., Ltd.		38,600		532,575
Hitachi High-Technologies Corp.		21,200		459,050
Hokuhoku Financial Group, Inc.		755,000		1,728,709
Hoya Corp.		12,500		409,399
Iida Group Holdings Co., Ltd.		81,200		1,270,330
ITOCHU Corp.		36,600		386,907
Iyo Bank Ltd./The		67,800		779,409
Japan Airlines Co., Ltd.		5,800		205,233
JFE Holdings, Inc.		82,500		1,083,551
JTEKT Corp.		37,900		530,638
Kansai Electric Power Co., Inc./The †		69,100		768,200
KDDI Corp.		49,800		1,114,679
Kobe Steel Ltd.		300,000		325,282
Koito Manufacturing Co., Ltd.		36,600		1,195,956
Konica Minolta, Inc.		94,700		997,642
Mabuchi Motor Co., Ltd.		4,600		199,730

	SHARES		VALUE (Note 4)
Japan - 33.9% (continued)
Mazda Motor Corp.		8,800	$	139,051
Medipal Holdings Corp.		25,500		404,608
MEIJI Holdings Co., Ltd.		4,800		351,987
Minebea Co., Ltd.		68,000		721,847
Mitsubishi Chemical Holdings Corp.		155,600		812,479
Mitsubishi Electric Corp.		126,000		1,154,228
Mitsubishi UFJ Financial Group, Inc.		855,900		5,171,553
Mitsubishi UFJ Lease & Finance Co., Ltd.		30,400		133,926
Mitsui Chemicals, Inc.		74,000		237,168
Mixi, Inc.		19,400		663,927
Mizuho Financial Group, Inc.		1,067,500		1,996,868
MS&AD Insurance Group Holdings, Inc.		41,200		1,105,391
Murata Manufacturing Co., Ltd.		16,500		2,131,380
Nexon Co., Ltd.		80,400		1,074,914
Nippon Express Co., Ltd.		36,000		172,021
Nippon Telegraph & Telephone Corp.		42,400		1,493,482
Nishi-Nippon City Bank Ltd./The		149,000		409,422
Nissan Motor Co., Ltd.		150,700		1,385,626
Nitto Denko Corp.		23,000		1,377,533
NOK Corp.		34,600		748,595
Nomura Holdings, Inc.		447,100		2,595,132
NSK Ltd.		70,900		687,236
ORIX Corp.		161,700		2,085,824
Otsuka Holdings Co., Ltd.		7,700		245,873
Panasonic Corp.		199,800		2,022,001
Rohm Co., Ltd.		5,400		240,139
Seiko Epson Corp.		25,500		360,724
Sekisui House Ltd.		23,200		363,403
Shimadzu Corp.		31,000		447,555
Shinsei Bank Ltd.		48,000		98,671
Shionogi & Co., Ltd.		15,600		559,185
Sompo Japan Nipponkoa Holdings, Inc.		52,200		1,516,141
Sony Corp.		100,300		2,458,566
Sumitomo Chemical Co., Ltd.		193,000		975,949
Sumitomo Heavy Industries Ltd.		177,000		701,379
Sumitomo Mitsui Financial Group, Inc.		92,300		3,500,045
Sumitomo Mitsui Trust Holdings, Inc.		94,000		344,514
Sumitomo Rubber Industries Ltd.		32,800		455,303
Suzuki Motor Corp.		24,000		737,999
T&D Holdings, Inc.		76,700		905,970
Taiyo Nippon Sanso Corp.		34,800		330,605
TDK Corp.		18,200		1,029,353
Teijin Ltd.		149,000		452,585
Tohoku Electric Power Co., Inc.		101,600		1,376,836
Tokio Marine Holdings, Inc.		37,200		1,389,792
Tokyo Electric Power Co., Inc. †		339,600		2,268,402
TOTO Ltd.		7,500		233,727
Toyota Motor Corp.		146,400		8,571,415
West Japan Railway Co.		2,200		137,887
Yamaguchi Financial Group, Inc.		72,000		882,575
Yamaha Corp.		47,700		1,056,468
Yamaha Motor Co., Ltd.		71,900		1,446,503
Yokohama Rubber Co., Ltd./The		12,600		222,228
				96,890,397

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

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57

Schedule of Investments September 30, 2015

AQR INTERNATIONAL MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Netherlands - 3.5%
Aegon NV		80,835	$	463,520
Boskalis Westminster		6,484		283,821
ING Groep NV CVA		296,462		4,200,131
Koninklijke Ahold NV		148,126		2,889,648
NN Group NV		8,857		254,260
Randstad Holding NV		15,241		910,967
Wolters Kluwer NV		29,685		915,466
				9,917,813
Portugal - 0.0% (a)
Jeronimo Martins SGPS SA		9,943		134,194
Singapore - 2.3%
CapitaLand Commercial Trust Ltd. REIT		273,500		258,225
ComfortDelGro Corp. Ltd.		430,600		869,890
DBS Group Holdings Ltd.		150,700		1,720,141
Oversea-Chinese Banking Corp. Ltd.		317,400		1,965,430
United Overseas Bank Ltd.		87,900		1,147,720
Yangzijiang Shipbuilding Holdings Ltd.		680,400		544,050
				6,505,456
South Africa - 0.2%
Investec PLC		20,356		155,864
Mondi PLC		24,564		514,841
				670,705
Spain - 1.3%
Endesa SA		27,800		586,257
Ferrovial SA		53,482		1,279,298
Gas Natural SDG SA		19,740		385,170
Iberdrola SA		100,533		669,874
Mapfre SA		101,215		264,661
Telefonica SA		42,738		518,497
				3,703,757
Sweden - 1.6%
Boliden AB		8,737		136,805
Electrolux AB, Series B		19,837		560,530
Husqvarna AB, B Shares		15,781		103,497
Investor AB, B Shares		5,717		196,442
L E Lundbergforetagen AB, B Shares		3,259		157,462
Nordea Bank AB		90,479		1,009,431
Securitas AB, B Shares		95,343		1,166,052
Tele2 AB, B Shares		104,476		1,018,913
Telefonaktiebolaget LM Ericsson, B Shares		28,109		275,739
				4,624,871
Switzerland - 5.1%
Actelion Ltd. †		2,738		347,989
Baloise Holding AG		21,167		2,425,824
Credit Suisse Group AG †		31,534		757,978
Givaudan SA †		692		1,125,997
Swiss Life Holding AG †		8,990		2,005,356
Swiss Re AG		41,311		3,544,366
Swisscom AG		984		491,082
Zurich Insurance Group AG †		15,424		3,786,689
				14,485,281

	SHARES		VALUE (Note 4)
United Kingdom - 14.7%
3i Group PLC		125,998	$	890,036
AstraZeneca PLC		7,394		468,917
Aviva PLC		212,707		1,454,825
BAE Systems PLC		225,156		1,526,242
Barclays PLC		536,995		1,987,307
Barratt Developments PLC		66,926		653,732
British Land Co. PLC/The REIT		80,014		1,016,149
BT Group PLC		680,887		4,333,536
Direct Line Insurance Group PLC		548,063		3,109,796
Dixons Carphone PLC		216,907		1,394,061
Fiat Chrysler Automobiles NV †		172,057		2,236,319
Hammerson PLC REIT		43,773		413,334
HSBC Holdings PLC		140,660		1,061,099
Imperial Tobacco Group PLC		42,158		2,179,519
International Consolidated Airlines Group SA †		117,893		1,056,199
Intu Properties PLC REIT		169,532		846,176
Kingfisher PLC		79,861		433,824
Land Securities Group PLC REIT		27,580		525,784
Legal & General Group PLC		187,218		675,066
Marks & Spencer Group PLC		185,873		1,410,920
National Grid PLC		234,105		3,260,414
Next PLC		2,690		310,001
Persimmon PLC †		34,106		1,038,063
Prudential PLC		33,550		707,789
Royal Mail PLC		70,610		490,622
Sage Group PLC/The		71,455		540,598
Shire PLC		24,004		1,640,961
Sky PLC		12,241		193,665
Taylor Wimpey PLC		222,177		658,261
Vodafone Group PLC		1,019,317		3,215,013
William Hill PLC		67,084		356,795
WPP PLC		95,069		1,979,244
				42,064,267
TOTAL COMMON STOCKS (cost $299,830,756)				275,377,411
EXCHANGE-TRADED FUNDS (ETF) - 2.5%
United States - 2.5%
iShares MSCI EAFE ETF (1)
(cost $7,403,564)		127,839		7,327,731
MONEY MARKET FUNDS - 1.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b)
(cost $3,009,087)		3,009,087		3,009,087
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.9% (cost $310,243,407)				285,714,229
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1%			253,840
NET ASSETS - 100.0%			$	285,968,069

† Non-income producing security.

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

(b) Represents annualized seven-day yield as of the close of the reporting period.

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

AQR Funds Annual Report September 2015

58

Schedule of Investments September 30, 2015

AQR INTERNATIONAL MULTI-STYLE FUND

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

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	60,836,396		21.3	%
Consumer Staples		14,411,928		5.0
Energy		114,149		0.0	(a)
Exchange-Traded Funds		7,327,731		2.5
Financials		114,109,910		40.0
Health Care		6,711,838		2.3
Industrials		22,682,557		7.9
Information Technology		13,586,802		4.8
Materials		10,564,047		3.7
Telecommunication Services		21,391,250		7.5
Utilities		10,968,534		3.8
Money Market Funds		3,009,087		1.1
Total Investments In Securities, At Value		285,714,229		99.9
Other Assets in Excess of Liabilities		253,840		0.1
Net Assets	$	285,968,069		100.0	%

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

AQR Funds Annual Report September 2015

59

Schedule of Investments September 30, 2015

AQR EMERGING MULTI-STYLE FUND

COMMON STOCKS - 95.3%	SHARES		VALUE (Note 4)
Brazil - 3.0%
Banco do Brasil SA (1)		21,500	$	81,510
BRF SA ADR (1)		10,238		182,134
Cia Paranaense de Energia ADR (1)(a)		15,535		127,542
EDP - Energias do Brasil SA (1)		142,800		419,990
Equatorial Energia SA (1)		37,800		323,986
Fibria Celulose SA ADR (1)(a)		69,981		948,942
Itau Unibanco Holding SA ADR (1)		109,590		725,486
JBS SA (1)		282,600		1,196,835
Lojas Renner SA (1)		128,500		600,931
Porto Seguro SA (1)		67,900		513,810
Telefonica Brasil SA ADR (1)		62,647		571,967
				5,693,133
Chile - 0.9%
Corpbanca SA (1)		46,916,638		413,264
Enersis SA ADR (1)		108,155		1,367,079
				1,780,343
China - 27.9%
Agricultural Bank of China Ltd., H Shares		3,998,000		1,518,418
Air China Ltd., H Shares		130,000		102,964
Anhui Conch Cement Co., Ltd., H Shares		112,000		331,128
ANTA Sports Products Ltd.		231,000		599,632
Bank of China Ltd., H Shares		11,625,000		5,013,082
Bank of Communications Co., Ltd., H Shares (a)		2,371,000		1,652,691
Beijing Capital International Airport Co., Ltd., H Shares		414,000		386,972
Belle International Holdings Ltd.		965,000		839,240
China Cinda Asset Management Co., Ltd., H Shares		398,000		138,401
China CITIC Bank Corp. Ltd., H Shares †		1,306,000		760,487
China Construction Bank Corp., H Shares		10,009,000		6,679,332
China Everbright Bank Co., Ltd., H Shares		1,811,000		791,307
China Galaxy Securities Co., Ltd., H Shares (a)		934,000		661,688
China Life Insurance Co., Ltd., H Shares		275,000		958,204
China Merchants Bank Co., Ltd., H Shares		1,261,000		3,073,442
China Minsheng Banking Corp. Ltd., H Shares		2,766,000		2,563,849
China National Building Material Co., Ltd., H Shares		256,000		148,331
China Railway Construction Corp. Ltd., H Shares (a)		190,000		281,077
China Railway Group Ltd., H Shares		294,000		268,531
China Southern Airlines Co., Ltd., H Shares		950,000		696,164
China Telecom Corp. Ltd., H Shares		1,874,000		907,987
China Vanke Co., Ltd., H Shares		616,300		1,324,024
Chongqing Rural Commercial Bank Co., Ltd., H Shares		1,090,000		619,724
CNOOC Ltd. ADR (1)		21,502		2,216,426
Country Garden Holdings Co., Ltd.		1,939,000		702,521
Evergrande Real Estate Group Ltd. (a)		1,377,000		786,863
Geely Automobile Holdings Ltd.		1,665,000		798,061
GOME Electrical Appliances Holding Ltd. (a)		999,000		152,537
Great Wall Motor Co., Ltd., H Shares		270,000		301,262
Huadian Power International Corp. Ltd., H Shares		948,000		743,839

	SHARES		VALUE (Note 4)
China - 27.9% (continued)
Huaneng Power International, Inc., H Shares		414,000	$	448,265
Industrial & Commercial Bank of China Ltd., H Shares		10,417,000		6,017,943
Longfor Properties Co., Ltd.		361,500		457,730
New China Life Insurance Co., Ltd., H Shares		94,500		409,635
People’s Insurance Co. Group of China Ltd./The, H Shares		1,436,000		704,731
PICC Property & Casualty Co., Ltd., H Shares		510,000		998,933
Ping An Insurance Group Co. of China Ltd., H Shares (a)		1,075,500		5,374,258
Shui On Land Ltd.		1,601,500		369,680
Sihuan Pharmaceutical Holdings Group Ltd. (3)(b)		24,000		13,254
Sino-Ocean Land Holdings Ltd.		1,119,500		612,647
Sinopec Shanghai Petrochemical Co., Ltd., H Shares †		186,000		71,321
Sunac China Holdings Ltd.		817,000		428,592
Zhejiang Expressway Co., Ltd., H Shares		50,000		54,617
ZHuzhou CSR Times Electric Co., Ltd., H Shares (a)		31,500		234,393
ZTE Corp., H Shares		226,000		516,931
				52,731,114
Hong Kong - 8.9%
China Everbright Ltd.		352,000		808,437
China Jinmao Holdings Group Ltd.		1,746,000		441,626
China Mobile Ltd. ADR (1)		136,238		8,106,161
China Overseas Land & Investment Ltd. (a)		592,000		1,799,905
China Power International Development Ltd.		1,108,000		722,751
China Resources Land Ltd.		494,000		1,166,491
China Resources Power Holdings Co., Ltd.		176,000		404,074
China Taiping Insurance Holdings Co., Ltd. †		276,000		863,774
China Unicom Hong Kong Ltd.		222,000		282,426
CITIC Ltd.		149,000		272,032
Far East Horizon Ltd.		778,000		604,168
Nine Dragons Paper Holdings Ltd.		111,000		57,895
Shimao Property Holdings Ltd.		270,000		408,015
Sino Biopharmaceutical Ltd. (a)		348,000		430,949
Yuexiu Property Co., Ltd.		2,648,000		436,206
				16,804,910
Hungary - 1.7%
MOL Hungarian Oil & Gas PLC		20,830		907,743
OTP Bank PLC		76,262		1,472,136
Richter Gedeon Nyrt		56,249		894,275
				3,274,154
India - 1.1%
Infosys Ltd. ADR (1)		7,302		139,395
Reliance Industries Ltd. GDR 144A (c)		5,256		136,713
State Bank of India GDR		30,701		1,117,997
Tata Motors Ltd. ADR (1)†		33,556		755,010
				2,149,115

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

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60

Schedule of Investments September 30, 2015

AQR EMERGING MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
Indonesia - 0.6%
Adaro Energy Tbk PT		1,770,700	$	64,935
Bank Negara Indonesia Persero Tbk PT		1,005,100		284,739
Lippo Karawaci Tbk PT		2,784,300		215,076
Telekomunikasi Indonesia Persero Tbk PT		656,800		118,619
United Tractors Tbk PT		340,700		407,856
				1,091,225
Korea, Republic of - 16.8%
Amorepacific Corp.		1,490		485,544
AMOREPACIFIC Group		3,820		527,568
BGF retail Co., Ltd.		895		152,869
BNK Financial Group, Inc.		61,117		708,640
CJ Corp.		3,538		790,025
Daewoo Securities Co., Ltd.		70,177		711,004
Dongbu Insurance Co., Ltd.		15,741		816,389
Hankook Tire Co., Ltd.		4,248		142,211
Hanwha Chemical Corp.		19,280		353,539
Hanwha Corp.		22,869		753,243
Hanwha Life Insurance Co., Ltd.		111,489		768,211
Hyosung Corp.		8,313		794,080
Hyundai Department Store Co., Ltd.		2,189		248,059
Hyundai Development Co.-Engineering & Construction		11,197		517,057
Hyundai Marine & Fire Insurance Co., Ltd.		26,623		679,276
Hyundai Steel Co.		10,160		442,859
Industrial Bank of Korea		32,025		368,839
Kangwon Land, Inc.		4,166		148,899
KB Financial Group, Inc.		42,476		1,262,588
Kia Motors Corp.		4,270		193,564
Korea Electric Power Corp.		31,494		1,298,462
Korea Investment Holdings Co., Ltd.		10,272		531,278
Korean Air Lines Co., Ltd. †		27,147		719,515
KT Corp. †		4,013		104,284
KT&G Corp.		3,537		333,063
LG Corp.		4,009		206,404
LG Display Co., Ltd.		41,979		801,422
LG Household & Health Care Ltd.		1,293		935,730
LG Innotek Co., Ltd.		933		69,621
LG Uplus Corp.		86,590		886,319
Lotte Chemical Corp.		4,250		973,920
Mirae Asset Securities Co., Ltd.		30,300		717,079
NCSoft Corp.		2,521		403,065
NH Investment & Securities Co., Ltd.		42,254		357,223
Samsung Card Co., Ltd.		19,495		596,969
Samsung Electro-Mechanics Co., Ltd.		3,089		168,358
Samsung Electronics Co., Ltd. GDR		13,758		6,506,545
Samsung Fire & Marine Insurance Co., Ltd.		1,936		457,171
Samsung Life Insurance Co., Ltd.		7,722		645,754
Samsung Securities Co., Ltd.		7,210		278,288
Shinhan Financial Group Co., Ltd.		2,168		75,819
Shinsegae Co., Ltd.		1,867		373,839
SK Hynix, Inc.		50,511		1,440,600
SK Innovation Co., Ltd. †		9,545		794,986
SK Telecom Co., Ltd. ADR (1)		18,156		443,006
S-Oil Corp.		14,796		787,325
				31,770,509

	SHARES		VALUE (Note 4)
Malaysia - 0.7%
Tenaga Nasional Bhd		351,000	$	959,998
YTL Corp. Bhd		994,100		362,029
				1,322,027
Malta - 0.6%
Brait SE †(a)		107,096		1,088,088
Mexico - 0.2%
Gruma SAB de CV, Class B (1)		26,000		361,126
Peru - 0.1%
Cia de Minas Buenaventura SAA ADR (1)		20,169		120,207
Credicorp Ltd. (1)		763		81,153
				201,360
Poland - 2.6%
Enea SA		150,273		534,471
Energa SA		141,692		628,862
Eurocash SA		15,883		187,057
Grupa Azoty SA †		18,433		429,896
Grupa Lotos SA †		33,046		243,046
KGHM Polska Miedz SA		22,783		492,147
Orange Polska SA		81,312		155,447
PGE Polska Grupa Energetyczna SA		38,935		138,340
Polski Koncern Naftowy Orlen SA		58,658		1,024,154
Polskie Gornictwo Naftowe i Gazownictwo SA		502,564		863,929
Tauron Polska Energia SA		154,234		133,220
				4,830,569
Russia - 2.2%
MMC Norilsk Nickel PJSC ADR		92,772		1,333,037
Severstal PAO GDR		135,930		1,442,377
Sistema JSFC GDR		21,171		146,296
Tatneft PAO ADR		36,704		1,029,282
Uralkali PJSC GDR †		17,699		262,941
				4,213,933
South Africa - 7.1%
Bidvest Group Ltd./The		4,794		113,141
Capitec Bank Holdings Ltd.		16,334		591,159
Discovery Ltd.		15,232		151,545
FirstRand Ltd.		105,245		373,988
Foschini Group Ltd./The		11,876		120,605
Gold Fields Ltd. ADR (1)		80,727		214,734
Growthpoint Properties Ltd. REIT		48,888		90,580
Hyprop Investments Ltd. REIT		78,950		687,667
Investec Ltd.		116,850		894,321
Liberty Holdings Ltd.		57,907		529,069
MMI Holdings Ltd.		287,737		495,095
Mondi Ltd.		48,473		1,016,350
MTN Group Ltd.		102,681		1,320,406
Netcare Ltd.		279,934		735,023
Redefine Properties Ltd. REIT		704,107		595,159
Resilient Property Income Fund Ltd. REIT		80,551		674,999
Sappi Ltd. †		110,582		339,592
SPAR Group Ltd./The		40,344		539,735
Standard Bank Group Ltd.		89,349		872,420

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

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61

Schedule of Investments September 30, 2015

AQR EMERGING MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
South Africa - 7.1% (continued)
Steinhoff International Holdings Ltd.		189,969	$	1,166,494
Telkom SA SOC Ltd.		193,376		929,730
Truworths International Ltd.		103,789		637,784
Woolworths Holdings Ltd.		39,876		279,083
				13,368,679
Taiwan - 17.0%
Advanced Semiconductor Engineering, Inc.		652,000		710,410
Asustek Computer, Inc.		63,000		541,674
AU Optronics Corp.		2,830,000		837,868
Casetek Holdings Ltd.		159,000		679,889
Catcher Technology Co., Ltd.		109,000		1,165,287
Cathay Financial Holding Co., Ltd.		625,200		856,304
Chailease Holding Co., Ltd.		344,240		541,253
Chicony Electronics Co., Ltd.		109,545		253,243
China Airlines Ltd. †		2,136,000		732,298
China Development Financial Holding Corp.		2,034,000		548,706
China Life Insurance Co., Ltd./Taiwan		1,276,500		972,380
Compal Electronics, Inc.		451,000		256,183
CTBC Financial Holding Co., Ltd.		1,231,259		636,475
E.Sun Financial Holding Co., Ltd.		594,000		350,119
Eva Airways Corp. †		1,340,000		751,765
Evergreen Marine Corp. Taiwan Ltd.		314,110		132,700
Far EasTone Telecommunications Co., Ltd.		282,000		608,186
Feng TAY Enterprise Co., Ltd.		29,870		186,167
Foxconn Technology Co., Ltd.		334,613		961,775
Fubon Financial Holding Co., Ltd.		1,094,000		1,712,592
Hon Hai Precision Industry Co., Ltd.		861,630		2,250,966
Innolux Corp.		2,982,000		933,917
Inotera Memories, Inc. †		460,000		289,178
Inventec Corp.		536,000		255,393
Largan Precision Co., Ltd.		2,000		156,090
Mega Financial Holding Co., Ltd.		643,000		446,647
Novatek Microelectronics Corp.		161,000		505,474
Pegatron Corp.		452,000		1,106,176
Pou Chen Corp.		579,000		870,993
Powertech Technology, Inc.		412,000		746,357
Realtek Semiconductor Corp.		150,000		255,372
Shin Kong Financial Holding Co., Ltd.		2,857,786		679,684
Siliconware Precision Industries Co., Ltd.		80,000		99,733
SinoPac Financial Holdings Co., Ltd.		1,107,841		351,173
Taiwan Business Bank †		679,106		168,783
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		286,859		5,952,324
Transcend Information, Inc.		136,000		343,857
Uni-President Enterprises Corp.		173,000		300,423
United Microelectronics Corp.		2,122,000		697,045
Wan Hai Lines Ltd.		1,249,000		790,778
Wistron Corp.		375,192		196,182
WPG Holdings Ltd.		193,000		186,451
Yang Ming Marine Transport Corp. †		339,000		98,476
Zhen Ding Technology Holding Ltd.		318,000		911,522
				32,028,268

	SHARES		VALUE (Note 4)
Thailand - 2.1%
Bangkok Bank PCL NVDR		34,600	$	152,851
Delta Electronics Thailand PCL NVDR		263,100		638,749
IRPC PCL NVDR		4,761,300		495,084
Kasikornbank PCL NVDR		24,100		113,838
Krung Thai Bank PCL NVDR		257,900		121,744
PTT Global Chemical PCL NVDR		468,100		695,402
PTT PCL NVDR		129,000		856,659
Siam Commercial Bank PCL/The NVDR		15,400		56,997
Thai Oil PCL NVDR		217,500		317,072
Thai Union Group PCL NVDR		860,800		437,169
TMB Bank PCL NVDR		2,246,000		150,007
				4,035,572
Turkey - 1.8%
Eregli Demir ve Celik Fabrikalari TAS		666,486		822,723
TAV Havalimanlari Holding AS		90,246		709,130
Turk Hava Yollari AO †		349,815		922,920
Turk Telekomunikasyon AS		142,535		281,324
Turkiye Sise ve Cam Fabrikalari AS		404,528		383,985
Turkiye Vakiflar Bankasi Tao, Class D		174,592		221,332
				3,341,414
TOTAL COMMON STOCKS (cost $214,015,897)				180,085,539
PREFERRED STOCKS - 1.3%
Brazil - 1.2%
Banco do Estado do Rio Grande do Sul SA, Series B (1)		142,800		200,990
Braskem SA, Class A (1)		40,700		172,060
Cia Energetica de Sao Paulo, Series B (1)		149,300		572,797
Itausa - Investimentos Itau SA (1)		55,310		99,612
Suzano Papel e Celulose SA, Series A (1)		223,800		1,088,940
				2,134,399
Chile - 0.1%
Embotelladora Andina SA, Series B (1)		70,097		242,608
TOTAL PREFERRED STOCKS (cost $3,031,698)				2,377,007
EXCHANGE-TRADED FUNDS (ETF) - 1.7%
United States - 1.7%
iShares MSCI Emerging Markets ETF (1)(a)
(cost $3,289,317)		100,856		3,306,059
RIGHTS - 0.1%
Korea, Republic of - 0.1%
Mirae Asset Securities Co., Ltd. †
(cost $160,994)		21,962		96,372
MONEY MARKET FUNDS - 1.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (d)
(cost $3,067,339)		3,067,339		3,067,339

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

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62

Schedule of Investments September 30, 2015

AQR EMERGING MULTI-STYLE FUND

SECURITIES LENDING COLLATERAL - 3.7%	SHARES		VALUE (Note 4)
Money Market Funds - 3.7%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (d)(e)
(cost $6,988,846)		6,988,846	$	6,988,846
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 103.7% (cost $230,554,091)				195,921,162
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.7%)			(6,931,822)
NET ASSETS - 100.0%			$	188,989,340

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $6,800,176; cash collateral of $6,988,846 was received with which the Fund purchased a money market fund.

(b) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $13,254 or 0.0% of total net assets.

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

(d) Represents annualized seven-day yield as of the close of the reporting period.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	8,414,369			4.5	%
Consumer Staples		5,881,862			3.1
Energy		9,737,355			5.2
Exchange-Traded Funds		3,306,059			1.7
Financials		78,548,455			41.5
Health Care		2,073,501			1.1
Industrials		9,572,799			5.1
Information Technology		30,977,049			16.4
Materials		13,305,665			7.0
Telecommunication Services		14,862,158			7.9
Utilities		9,185,705			4.9
Money Market Funds		3,067,339			1.6
Securities Lending Collateral		6,988,846			3.7
Total Investments In Securities, At Value		195,921,162			103.7
Liabilities in Excess of Other Assets		(6,931,822	)		(3.7	)
Net Assets	$	188,989,340			100.0	%

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

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	SHARES		VALUE (Note 4)
COMMON STOCKS - 92.5%
Consumer Discretionary - 17.4%
Advance Auto Parts, Inc.		278	$	52,689
Amazon.com, Inc. †		339		173,531
AMC Networks, Inc., Class A †		399		29,195
AutoZone, Inc. †		177		128,118
Bed Bath & Beyond, Inc. †		992		56,564
Best Buy Co., Inc.		2,916		108,242
Brinker International, Inc.		203		10,692
Brunswick Corp.		166		7,950
Carnival Corp.		1,856		92,243
Carter’s, Inc.		223		20,213
Coach, Inc.		387		11,196
Comcast Corp., Class A		4,269		242,821
Delphi Automotive PLC (United Kingdom)		1,090		82,883
Dick’s Sporting Goods, Inc.		545		27,037
Dillard’s, Inc., Class A		161		14,070
Dollar General Corp.		1,682		121,844
Dollar Tree, Inc. †		1,439		95,924
Domino’s Pizza, Inc.		205		22,121
DR Horton, Inc.		2,321		68,144
DSW, Inc., Class A		458		11,592
Expedia, Inc.		761		89,554
Foot Locker, Inc.		1,078		77,584
GameStop Corp., Class A		831		34,245
Gap, Inc./The		2,043		58,225
Gentex Corp.		1,050		16,275
GNC Holdings, Inc., Class A		586		23,686
Goodyear Tire & Rubber Co./The		3,821		112,070
Graham Holdings Co., Class B		32		18,464
Groupon, Inc. †		4,303		14,028
H&R Block, Inc.		760		27,512
Hanesbrands, Inc.		537		15,541
Harman International Industries, Inc.		305		29,277
Hasbro, Inc.		808		58,289
Home Depot, Inc./The		4,287		495,106
John Wiley & Sons, Inc., Class A		191		9,556
Kohl’s Corp.		1,260		58,351
L Brands, Inc.		1,789		161,242
Lear Corp.		995		108,236
Leggett & Platt, Inc.		735		30,319
Lowe’s Cos., Inc.		4,086		281,607
lululemon athletica, Inc. (Canada) †		163		8,256
Macy’s, Inc.		1,862		95,558
Michaels Cos., Inc./The †		950		21,945
Mohawk Industries, Inc. †		638		115,982
NIKE, Inc., Class B		3,172		390,061
Nordstrom, Inc.		416		29,831
NVR, Inc. †		22		33,555
O’Reilly Automotive, Inc. †		529		132,250
PVH Corp.		300		30,582
Ross Stores, Inc.		2,320		112,450
Royal Caribbean Cruises Ltd.		477		42,496
Sally Beauty Holdings, Inc. †		764		18,145
Skechers U.S.A., Inc., Class A †		523		70,124
Staples, Inc.		4,220		49,501
Target Corp.		2,827		222,372
TEGNA, Inc.		2,723		60,968

	SHARES		VALUE (Note 4)
Consumer Discretionary - 17.4% (continued)
Time Warner, Inc.		625	$	42,969
TJX Cos., Inc./The		3,435		245,328
Tractor Supply Co.		503		42,413
Ulta Salon Cosmetics & Fragrance, Inc. †		220		35,937
Whirlpool Corp.		728		107,205
Williams-Sonoma, Inc.		131		10,002
Wyndham Worldwide Corp.		177		12,726
				5,026,892
Consumer Staples - 7.8%
Altria Group, Inc.		3,339		181,642
Archer-Daniels-Midland Co.		2,074		85,967
Bunge Ltd.		433		31,739
ConAgra Foods, Inc.		1,501		60,805
Costco Wholesale Corp.		1,558		225,240
Coty, Inc., Class A		1,581		42,782
CVS Health Corp.		3,878		374,149
Dr Pepper Snapple Group, Inc.		366		28,932
Edgewell Personal Care Co.		116		9,466
Hormel Foods Corp.		219		13,865
Ingredion, Inc.		190		16,589
Kroger Co./The		4,553		164,227
Molson Coors Brewing Co., Class B		148		12,287
Monster Beverage Corp. †		728		98,382
Nu Skin Enterprises, Inc., Class A		196		8,091
PepsiCo, Inc.		1,495		140,978
Pilgrim’s Pride Corp.		1,833		38,090
Pinnacle Foods, Inc.		290		12,145
Reynolds American, Inc.		1,176		52,062
Rite Aid Corp. †		8,864		53,804
Tyson Foods, Inc., Class A		1,510		65,081
Walgreens Boots Alliance, Inc.		3,060		254,286
Wal-Mart Stores, Inc.		4,099		265,779
Whole Foods Market, Inc.		521		16,490
				2,252,878
Energy - 1.5%
HollyFrontier Corp.		258		12,601
Marathon Petroleum Corp.		3,070		142,233
Tesoro Corp.		1,257		122,231
Valero Energy Corp.		2,633		158,243
				435,308
Financials - 24.9%
ACE Ltd. (Switzerland)		509		52,631
Aflac, Inc.		1,459		84,812
Alleghany Corp. †		35		16,384
Allstate Corp./The		2,508		146,066
American Financial Group, Inc.		203		13,989
American International Group, Inc.		6,276		356,602
Ameriprise Financial, Inc.		577		62,968
AmTrust Financial Services, Inc.		590		37,158
Aon PLC (United Kingdom)		102		9,038
Arch Capital Group Ltd. †		833		61,200
Assurant, Inc.		107		8,454
Assured Guaranty Ltd.		2,506		62,650
Axis Capital Holdings Ltd.		268		14,397

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

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	SHARES		VALUE (Note 4)
Financials - 24.9% (continued)
Bank of America Corp.		25,174	$	392,211
Bank of New York Mellon Corp./The		4,761		186,393
BB&T Corp.		1,189		42,328
Berkshire Hathaway, Inc., Class B †		5,451		710,810
BlackRock, Inc.		335		99,652
Capital One Financial Corp.		2,978		215,965
CBRE Group, Inc., Class A †		1,265		40,480
Citigroup, Inc.		11,940		592,343
Credit Acceptance Corp. †		172		33,862
Discover Financial Services		292		15,181
E*TRADE Financial Corp. †		310		8,162
East West Bancorp, Inc.		212		8,145
Endurance Specialty Holdings Ltd.		215		13,121
Everest Re Group Ltd.		373		64,656
Fifth Third Bancorp		645		12,197
First Horizon National Corp.		841		11,925
First Republic Bank/CA		131		8,223
FNF Group		1,364		48,381
Goldman Sachs Group, Inc./The		1,895		329,275
Hanover Insurance Group, Inc./The		150		11,655
Hartford Financial Services Group, Inc./The		2,364		108,224
Huntington Bancshares, Inc.		1,183		12,540
Intercontinental Exchange, Inc.		134		31,489
Jones Lang LaSalle, Inc.		227		32,636
JPMorgan Chase & Co.		11,837		721,702
KeyCorp		962		12,516
Lincoln National Corp.		1,291		61,271
Macerich Co./The REIT		480		36,874
Markel Corp. †		29		23,254
Mercury General Corp.		236		11,920
MetLife, Inc.		6,169		290,868
Morgan Stanley		7,466		235,179
Nasdaq, Inc.		202		10,773
Navient Corp.		905		10,172
PNC Financial Services Group, Inc./The		2,335		208,282
Popular, Inc.		271		8,192
Principal Financial Group, Inc.		511		24,191
Progressive Corp./The		3,511		107,577
Prudential Financial, Inc.		1,165		88,785
Raymond James Financial, Inc.		214		10,621
Regions Financial Corp.		1,367		12,317
Reinsurance Group of America, Inc.		116		10,508
RenaissanceRe Holdings Ltd.		126		13,396
State Street Corp.		1,751		117,685
SunTrust Banks, Inc.		2,550		97,512
Travelers Cos., Inc./The		2,362		235,090
US Bancorp		2,718		111,465
Validus Holdings Ltd.		526		23,707
Wells Fargo & Co.		13,698		703,392
White Mountains Insurance Group Ltd.		20		14,946
WR Berkley Corp.		502		27,294
XL Group PLC (Ireland)		396		14,383
				7,200,075
Health Care - 10.2%
AbbVie, Inc.		796		43,310
Aetna, Inc.		1,738		190,155
AmerisourceBergen Corp.		742		70,483

	SHARES		VALUE (Note 4)
Health Care - 10.2% (continued)
Amgen, Inc.		1,887	$	261,010
Anthem, Inc.		1,305		182,700
Becton Dickinson and Co.		367		48,686
Biogen, Inc. †		218		63,615
Boston Scientific Corp. †		1,552		25,468
Celgene Corp. †		710		76,801
Centene Corp. †		1,095		59,382
Community Health Systems, Inc. †		480		20,530
Edwards Lifesciences Corp. †		503		71,511
Eli Lilly & Co.		543		45,444
Express Scripts Holding Co. †		1,813		146,780
Gilead Sciences, Inc.		3,890		381,959
HCA Holdings, Inc. †		2,039		157,737
LifePoint Health, Inc. †		137		9,713
McKesson Corp.		373		69,016
Medtronic PLC (Ireland)		174		11,648
Mettler-Toledo International, Inc. †		34		9,681
Pfizer, Inc.		13,882		436,034
Quest Diagnostics, Inc.		473		29,075
Quintiles Transnational Holdings, Inc. †		285		19,827
ResMed, Inc.		187		9,530
United Therapeutics Corp. †		96		12,599
UnitedHealth Group, Inc.		3,368		390,722
Universal Health Services, Inc., Class B		356		44,432
VCA, Inc. †		215		11,320
Zimmer Biomet Holdings, Inc.		100		9,393
Zoetis, Inc.		734		30,226
				2,938,787
Industrials - 9.4%
3M Co.		1,376		195,076
A. O. Smith Corp.		464		30,248
Acuity Brands, Inc.		326		57,239
ADT Corp./The		558		16,684
AGCO Corp.		843		39,309
Alaska Air Group, Inc.		794		63,083
AMERCO		54		21,247
American Airlines Group, Inc.		2,199		85,387
Boeing Co./The		1,722		225,496
Cintas Corp.		645		55,309
CSX Corp.		1,978		53,208
Danaher Corp.		840		71,576
Delta Air Lines, Inc.		3,747		168,128
Equifax, Inc.		219		21,282
FedEx Corp.		1,049		151,035
General Dynamics Corp.		1,476		203,614
HD Supply Holdings, Inc. †		2,011		57,555
Huntington Ingalls Industries, Inc.		189		20,251
JetBlue Airways Corp. †		3,641		93,829
Lockheed Martin Corp.		397		82,302
Macquarie Infrastructure Corp.		154		11,498
ManpowerGroup, Inc.		271		22,192
Masco Corp.		3,903		98,278
Northrop Grumman Corp.		1,050		174,248
Owens Corning		417		17,477
Pitney Bowes, Inc.		614		12,188
Robert Half International, Inc.		331		16,934
Rockwell Automation, Inc.		403		40,892

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

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	SHARES		VALUE (Note 4)
Industrials - 9.4% (continued)
Snap-on, Inc.		310	$	46,791
Southwest Airlines Co.		3,537		134,548
Spirit AeroSystems Holdings, Inc., Class A †		804		38,865
Stanley Black & Decker, Inc.		1,267		122,874
Textron, Inc.		1,163		43,775
Union Pacific Corp.		1,045		92,388
United Continental Holdings, Inc. †		2,183		115,808
Waste Management, Inc.		355		17,683
				2,718,297
Information Technology - 18.5%
Accenture PLC, Class A (Ireland)		630		61,904
Activision Blizzard, Inc.		4,007		123,776
Amdocs Ltd.		901		51,249
Analog Devices, Inc.		785		44,282
Apple, Inc.		13,593		1,499,308
Applied Materials, Inc.		3,002		44,099
ARRIS Group, Inc. †		603		15,660
Avago Technologies Ltd. (Singapore)		538		67,255
Booz Allen Hamilton Holding Corp.		400		10,484
Brocade Communications Systems, Inc.		2,255		23,407
CA, Inc.		968		26,426
Cisco Systems, Inc.		16,210		425,513
Cognizant Technology Solutions Corp., Class A †		938		58,728
Corning, Inc.		3,608		61,769
eBay, Inc. †		6,096		148,986
Electronic Arts, Inc. †		1,986		134,552
EMC Corp.		6,246		150,903
Facebook, Inc., Class A †		123		11,058
Fiserv, Inc. †		889		76,996
Fortinet, Inc. †		230		9,770
Global Payments, Inc.		186		21,340
Harris Corp.		314		22,969
Hewlett-Packard Co.		3,877		99,290
Intel Corp.		14,829		446,946
IPG Photonics Corp. †		440		33,427
Jabil Circuit, Inc.		704		15,749
Juniper Networks, Inc.		2,176		55,945
Lam Research Corp.		901		58,862
Marvell Technology Group Ltd. (2)		1,389		12,570
Micron Technology, Inc. †		4,223		63,261
Microsoft Corp.		8,503		376,343
NetApp, Inc.		1,211		35,846
NVIDIA Corp.		3,836		94,557
ON Semiconductor Corp. †		3,236		30,418
Oracle Corp.		5,252		189,702
PayPal Holdings, Inc. †		1,728		53,637
Qorvo, Inc. †		946		42,617
Rackspace Hosting, Inc. †		452		11,155
Red Hat, Inc. †		670		48,160
Skyworks Solutions, Inc.		1,350		113,684
Synopsys, Inc. †		414		19,119
Teradyne, Inc.		959		17,272
Texas Instruments, Inc.		4,534		224,524
Total System Services, Inc.		483		21,943
VeriSign, Inc. †		424		29,917

	SHARES		VALUE (Note 4)
Information Technology - 18.5% (continued)
Western Digital Corp.		980	$	77,851
Western Union Co./The		3,026		55,557
Xerox Corp.		1,248		12,143
Xilinx, Inc.		454		19,250
				5,350,179
Materials - 1.7%
Alcoa, Inc.		1,029		9,940
Avery Dennison Corp.		228		12,898
Ball Corp.		141		8,770
Celanese Corp., Series A		667		39,466
CF Industries Holdings, Inc.		1,069		47,998
Crown Holdings, Inc. †		662		30,287
Dow Chemical Co./The		272		11,533
Graphic Packaging Holding Co.		936		11,972
International Paper Co.		1,582		59,784
LyondellBasell Industries NV, Class A		731		60,936
Reliance Steel & Aluminum Co.		150		8,102
Sealed Air Corp.		925		43,364
Sherwin-Williams Co./The		255		56,809
Steel Dynamics, Inc.		785		13,486
WestRock Co.		1,460		75,102
				490,447
Telecommunication Services - 0.5%
AT&T, Inc.		1,193		38,868
T-Mobile US, Inc. †		2,421		96,380
				135,248
Utilities - 0.6%
American Electric Power Co., Inc.		703		39,973
Consolidated Edison, Inc.		192		12,835
Duke Energy Corp.		162		11,654
Entergy Corp.		157		10,221
Exelon Corp.		1,423		42,263
PG&E Corp.		869		45,883
Pinnacle West Capital Corp.		167		10,711
Public Service Enterprise Group, Inc.		362		15,262
				188,802
TOTAL COMMON STOCKS (cost $28,588,024)				26,736,913
EXCHANGE-TRADED FUNDS (ETF) - 6.0%
SPDR S&P 500 ETF Trust
(cost $1,719,356)		9,039		1,732,144
MONEY MARKET FUNDS - 2.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $848,406)		848,406		848,406
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 101.4% (cost $31,155,786)				29,317,463
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.4%)			(392,270)
NET ASSETS - 100.0%			$	28,925,193

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

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

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

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.

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AQR TM SMALL CAP MULTI-STYLE FUND

COMMON STOCKS - 93.3%	SHARES		VALUE (Note 4)
Consumer Discretionary - 19.4%
1-800-Flowers.com, Inc., Class A †		1,081	$	9,837
Abercrombie & Fitch Co., Class A		97		2,055
AMC Entertainment Holdings, Inc., Class A		111		2,796
American Axle & Manufacturing Holdings, Inc. †		391		7,797
American Eagle Outfitters, Inc. (a)		929		14,520
America’s Car-Mart, Inc. †		101		3,342
Asbury Automotive Group, Inc. †		105		8,521
Ascena Retail Group, Inc. †		431		5,995
Barnes & Noble Education, Inc. †		197		2,504
Barnes & Noble, Inc.		313		3,790
Bassett Furniture Industries, Inc.		255		7,102
Big 5 Sporting Goods Corp.		342		3,550
Big Lots, Inc.		342		16,389
Bloomin’ Brands, Inc.		225		4,090
Boyd Gaming Corp. †		306		4,988
Buckle, Inc./The (a)		289		10,684
Build-A-Bear Workshop, Inc. †		332		6,271
Burlington Stores, Inc. †		271		13,832
Caleres, Inc.		294		8,976
Callaway Golf Co.		173		1,445
Capella Education Co.		88		4,358
Carriage Services, Inc.		69		1,490
Carrols Restaurant Group, Inc. †		269		3,201
Cato Corp./The, Class A		176		5,989
Chegg, Inc. †		386		2,783
Cherokee, Inc. †		92		1,428
Chico’s FAS, Inc.		661		10,398
Children’s Place, Inc./The		162		9,343
Citi Trends, Inc.		279		6,523
Columbia Sportswear Co.		85		4,997
Cooper Tire & Rubber Co.		379		14,974
Cooper-Standard Holding, Inc. †		81		4,698
Core-Mark Holding Co., Inc.		91		5,956
Cracker Barrel Old Country Store, Inc. (a)		107		15,759
Culp, Inc.		208		6,671
Deckers Outdoor Corp. †		99		5,748
Denny’s Corp. †		484		5,339
Diamond Resorts International, Inc. †		412		9,637
Drew Industries, Inc.		91		4,969
Entravision Communications Corp., Class A		203		1,348
Ethan Allen Interiors, Inc.		167		4,410
Express, Inc. †		523		9,346
Finish Line, Inc./The, Class A		221		4,265
Flexsteel Industries, Inc.		104		3,250
Francesca’s Holdings Corp. †		304		3,718
Genesco, Inc. †		89		5,079
Gentherm, Inc. †		115		5,166
G-III Apparel Group Ltd. †		274		16,895
Gray Television, Inc. †		304		3,879
Group 1 Automotive, Inc.		114		9,707
Guess?, Inc. (a)		149		3,183
Haverty Furniture Cos., Inc.		164		3,851
Helen of Troy Ltd. †		225		20,092
Hibbett Sports, Inc. †(a)		39		1,365
Hooker Furniture Corp.		196		4,614
Houghton Mifflin Harcourt Co. †		492		9,993
HSN, Inc.		91		5,209
Installed Building Products, Inc. †		123		3,109

	SHARES		VALUE (Note 4)
Consumer Discretionary - 19.4% (continued)
Interval Leisure Group, Inc.		77	$	1,414
Isle of Capri Casinos, Inc. †		325		5,668
Jack in the Box, Inc.		113		8,706
JAKKS Pacific, Inc. †(a)		338		2,880
Kirkland’s, Inc.		213		4,588
Lands’ End, Inc. †(a)		162		4,376
La-Z-Boy, Inc.		135		3,586
Libbey, Inc.		134		4,370
LifeLock, Inc. †(a)		279		2,444
Lithia Motors, Inc., Class A		60		6,487
Marcus Corp./The		118		2,282
MarineMax, Inc. †		141		1,992
Marriott Vacations Worldwide Corp.		226		15,400
Mattress Firm Holding Corp. †		79		3,299
Meredith Corp.		236		10,049
Modine Manufacturing Co. †		298		2,345
Motorcar Parts of America, Inc. †		78		2,445
Movado Group, Inc.		188		4,856
Nautilus, Inc. †		308		4,620
New Media Investment Group, Inc.		205		3,169
Nexstar Broadcasting Group, Inc., Class A		27		1,278
Nutrisystem, Inc.		237		6,285
Outerwall, Inc. (a)		132		7,515
Overstock.com, Inc. †		248		4,256
Oxford Industries, Inc.		77		5,689
Papa John’s International, Inc.		80		5,478
Penn National Gaming, Inc. †(a)		407		6,829
Perry Ellis International, Inc. †		293		6,434
PetMed Express, Inc. (a)		310		4,991
Popeyes Louisiana Kitchen, Inc. †		109		6,143
Red Robin Gourmet Burgers, Inc. †		72		5,453
Regis Corp. †		333		4,362
Rent-A-Center, Inc.		199		4,826
Ruby Tuesday, Inc. †		615		3,819
Ruth’s Hospitality Group, Inc.		225		3,654
Scholastic Corp.		202		7,870
Scientific Games Corp., Class A †(a)		134		1,400
Select Comfort Corp. †		331		7,242
Shoe Carnival, Inc.		186		4,427
Shutterfly, Inc. †		104		3,718
Skullcandy, Inc. †		333		1,841
Smith & Wesson Holding Corp. †		343		5,786
Sonic Automotive, Inc., Class A		222		4,533
Sonic Corp.		209		4,797
Speedway Motorsports, Inc.		225		4,061
Sportsman’s Warehouse Holdings, Inc. †		260		3,203
Stage Stores, Inc. (a)		296		2,913
Standard Motor Products, Inc.		135		4,709
Stein Mart, Inc.		204		1,975
Steven Madden Ltd. †		257		9,411
Strattec Security Corp.		47		2,964
Strayer Education, Inc. †		113		6,212
Texas Roadhouse, Inc.		339		12,611
Tilly’s, Inc., A Shares †		302		2,223
Time, Inc.		436		8,306
Tower International, Inc. †		175		4,158
Unifi, Inc. †		88		2,623
Universal Electronics, Inc. †		81		3,404

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

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	SHARES		VALUE (Note 4)
Consumer Discretionary - 19.4% (continued)
Wolverine World Wide, Inc.		177	$	3,830
World Wrestling Entertainment, Inc., Class A		56		946
ZAGG, Inc. †		774		5,255
Zumiez, Inc. †(a)		185		2,892
				676,522
Consumer Staples - 5.8%
Andersons, Inc./The		46		1,567
Calavo Growers, Inc.		29		1,295
Cal-Maine Foods, Inc. (a)		345		18,840
Casey’s General Stores, Inc.		114		11,733
Central Garden & Pet Co., Class A †		442		7,121
Coca-Cola Bottling Co. Consolidated		72		13,923
Dean Foods Co.		432		7,137
Farmer Bros Co. †		115		3,134
Fresh Del Monte Produce, Inc.		397		15,685
Fresh Market, Inc./The †		199		4,495
HRG Group, Inc. †		592		6,944
Ingles Markets, Inc., Class A		194		9,279
J&J Snack Foods Corp.		61		6,933
John B. Sanfilippo & Son, Inc.		149		7,638
Medifast, Inc. †		127		3,411
MGP Ingredients, Inc.		75		1,201
National Beverage Corp. †		138		4,241
Natural Health Trends Corp. (a)		270		8,824
Omega Protein Corp. †		121		2,053
Revlon, Inc., Class A †		206		6,067
Sanderson Farms, Inc. (a)		161		11,040
SpartanNash Co.		305		7,884
SUPERVALU, Inc. †		1,241		8,910
Universal Corp. (a)		55		2,726
USANA Health Sciences, Inc. †		94		12,599
Vector Group Ltd. (a)		738		16,676
Village Super Market, Inc., Class A		129		3,046
				204,402
Energy - 1.6%
Abraxas Petroleum Corp. †		712		911
Alon USA Energy, Inc.		525		9,487
Delek US Holdings, Inc.		285		7,895
DHT Holdings, Inc.		210		1,558
Green Plains, Inc.		223		4,340
Matrix Service Co. †		192		4,314
Nordic American Tankers Ltd. (Norway)		241		3,663
Panhandle Oil and Gas, Inc., Class A		91		1,471
PHI, Inc. †		57		1,076
REX American Resources Corp. †(a)		104		5,264
Teekay Tankers Ltd., Class A		810		5,589
Western Refining, Inc.		211		9,309
				54,877
Financials - 19.2%
1st Source Corp.		92		2,834
Ambac Financial Group, Inc. †		220		3,183
American Equity Investment Life Holding Co.		555		12,937
AMERISAFE, Inc.		129		6,415
Argo Group International Holdings Ltd.		291		16,468
Arlington Asset Investment Corp., Class A		178		2,501

	SHARES		VALUE (Note 4)
Financials - 19.2% (continued)
Ashford Hospitality Trust, Inc. REIT		495	$	3,019
Banc of California, Inc.		292		3,583
BancFirst Corp.		68		4,291
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		292		6,760
BancorpSouth, Inc.		248		5,895
Banner Corp.		32		1,529
Berkshire Hills Bancorp, Inc.		211		5,811
BGC Partners, Inc., Class A		886		7,283
Boston Private Financial Holdings, Inc.		123		1,439
Calamos Asset Management, Inc., Class A		139		1,318
Cardinal Financial Corp.		124		2,853
Cathay General Bancorp (a)		357		10,696
CenterState Banks, Inc.		157		2,308
Central Pacific Financial Corp.		188		3,942
Chatham Lodging Trust REIT		219		4,704
Chemical Financial Corp.		156		5,047
City Holding Co.		80		3,944
CNO Financial Group, Inc.		707		13,299
Columbia Banking System, Inc.		116		3,620
Cowen Group, Inc., Class A †		1,140		5,198
Customers Bancorp, Inc. †		347		8,918
DiamondRock Hospitality Co. REIT		720		7,956
Dime Community Bancshares, Inc.		182		3,076
Employers Holdings, Inc.		71		1,583
Encore Capital Group, Inc. †(a)		74		2,738
Enterprise Financial Services Corp.		92		2,316
EverBank Financial Corp.		429		8,280
FBL Financial Group, Inc., Class A		143		8,797
Federated National Holding Co.		237		5,693
FelCor Lodging Trust, Inc. REIT		444		3,139
Fidelity Southern Corp.		249		5,264
Financial Institutions, Inc.		190		4,708
First American Financial Corp.		587		22,934
First Citizens BancShares, Inc., Class A		22		4,972
First Commonwealth Financial Corp.		310		2,818
First Defiance Financial Corp.		264		9,652
First Financial Bancorp		193		3,682
First Financial Corp.		114		3,688
First Interstate BancSystem, Inc., Class A		142		3,953
First Merchants Corp.		282		7,394
First NBC Bank Holding Co. †		190		6,658
FirstMerit Corp.		674		11,910
FNB Corp.		692		8,961
Fulton Financial Corp.		640		7,744
Great Southern Bancorp, Inc.		189		8,184
Greenlight Capital Re Ltd., Class A †		165		3,676
Hanmi Financial Corp.		165		4,158
HCI Group, Inc.		144		5,583
Heartland Financial USA, Inc.		144		5,226
Heritage Financial Corp./WA		87		1,637
Heritage Insurance Holdings, Inc. †		281		5,544
Hilltop Holdings, Inc. †		235		4,655
Hingham Institution for Savings (a)		21		2,437
HomeStreet, Inc. †		165		3,811
Horace Mann Educators Corp.		344		11,428
Impac Mortgage Holdings, Inc. †(a)		208		3,401
Independent Bank Corp./MI		202		2,981

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

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	SHARES		VALUE (Note 4)
Financials - 19.2% (continued)
Infinity Property & Casualty Corp.		96	$	7,732
International Bancshares Corp.		335		8,385
INTL. FCStone, Inc. †		192		4,740
Investment Technology Group, Inc.		203		2,708
Janus Capital Group, Inc.		545		7,412
Kansas City Life Insurance Co.		47		2,209
Kemper Corp.		80		2,830
Ladenburg Thalmann Financial Services, Inc. †(a)		724		1,528
Maiden Holdings Ltd.		642		8,911
MainSource Financial Group, Inc.		216		4,398
MB Financial, Inc.		186		6,071
MBIA, Inc. †		374		2,274
Meta Financial Group, Inc.		52		2,172
MGIC Investment Corp. †		608		5,630
National General Holdings Corp.		136		2,623
National Western Life Insurance Co., Class A		25		5,567
Navigators Group, Inc./The †		132		10,293
NBT Bancorp, Inc.		221		5,954
Nelnet, Inc., Class A		233		8,064
Old National Bancorp/IN		125		1,741
OneBeacon Insurance Group Ltd., Class A		392		5,504
Oppenheimer Holdings, Inc., Class A		176		3,522
Pacific Premier Bancorp, Inc. †		80		1,626
Peoples Bancorp, Inc.		83		1,726
PHH Corp. †		220		3,106
Piper Jaffray Cos. †		141		5,100
Preferred Bank		184		5,814
Primerica, Inc.		276		12,439
PrivateBancorp, Inc.		424		16,252
Provident Financial Services, Inc.		91		1,774
Radian Group, Inc.		460		7,319
Regional Management Corp. †		63		976
S&T Bancorp, Inc.		205		6,687
Safety Insurance Group, Inc.		91		4,928
Selective Insurance Group, Inc.		307		9,535
Southside Bancshares, Inc. (a)		90		2,479
State Auto Financial Corp.		165		3,764
Stewart Information Services Corp.		192		7,855
Stifel Financial Corp. †		188		7,915
Stock Yards Bancorp, Inc.		97		3,526
Stonegate Bank		143		4,549
Territorial Bancorp, Inc.		89		2,318
Tompkins Financial Corp.		55		2,935
Trustmark Corp.		201		4,657
United Community Banks, Inc.		242		4,946
United Fire Group, Inc.		205		7,185
United Insurance Holdings Corp. (a)		206		2,709
Universal Health Realty Income Trust REIT		39		1,831
Universal Insurance Holdings, Inc.		434		12,820
Walker & Dunlop, Inc. †		291		7,589
Webster Financial Corp.		416		14,822
WesBanco, Inc.		136		4,277
Wilshire Bancorp, Inc.		259		2,722
Wintrust Financial Corp.		380		20,303
World Acceptance Corp. †(a)		64		1,718
				668,902

	SHARES		VALUE (Note 4)
Health Care - 8.1%
Abaxis, Inc.		28	$	1,232
ABIOMED, Inc. †		261		24,210
Addus HomeCare Corp. †		29		903
Affymetrix, Inc. †		415		3,544
Almost Family, Inc. †		112		4,486
AMAG Pharmaceuticals, Inc. †		242		9,615
Amedisys, Inc. †		235		8,923
ANI Pharmaceuticals, Inc. †(a)		63		2,489
Anika Therapeutics, Inc. †		99		3,151
Cambrex Corp. †		237		9,404
Chemed Corp.		106		14,148
Cynosure, Inc., Class A †		184		5,527
Emergent BioSolutions, Inc. †		247		7,037
Enanta Pharmaceuticals, Inc. †(a)		110		3,976
Ensign Group, Inc./The		91		3,879
Exactech, Inc. †		147		2,562
Globus Medical, Inc., Class A †		135		2,789
Greatbatch, Inc. †		68		3,837
ICU Medical, Inc. †		108		11,826
Infinity Pharmaceuticals, Inc. †		395		3,338
Insys Therapeutics, Inc. †(a)		382		10,872
Integra LifeSciences Holdings Corp. †		109		6,491
Invacare Corp.		92		1,331
Lannett Co., Inc. †(a)		232		9,633
LeMaitre Vascular, Inc.		73		890
LHC Group, Inc. †		160		7,163
Masimo Corp. †		94		3,625
Merit Medical Systems, Inc. †		252		6,025
MiMedx Group, Inc. †(a)		393		3,793
Molina Healthcare, Inc. †		133		9,157
Myriad Genetics, Inc. †(a)		260		9,745
National HealthCare Corp.		62		3,775
Natus Medical, Inc. †		252		9,941
NewLink Genetics Corp. †		254		9,103
NuVasive, Inc. †		213		10,271
Omnicell, Inc. †		239		7,433
PDL BioPharma, Inc.		699		3,516
PharMerica Corp. †		49		1,395
Phibro Animal Health Corp., Class A		45		1,423
RadNet, Inc. †		443		2,459
RTI Surgical, Inc. †		572		3,249
SciClone Pharmaceuticals, Inc. †		734		5,094
Select Medical Holdings Corp.		452		4,877
Sucampo Pharmaceuticals, Inc., Class A †		440		8,743
Supernus Pharmaceuticals, Inc. †		407		5,710
Triple-S Management Corp., Class B (Puerto Rico) †		80		1,425
Vascular Solutions, Inc. †		47		1,523
WellCare Health Plans, Inc. †		79		6,808
				282,346
Industrials - 13.0%
ABM Industries, Inc.		120		3,277
ACCO Brands Corp. †		878		6,207
Air Transport Services Group, Inc. †		494		4,224
Aircastle Ltd.		524		10,800
Alamo Group, Inc.		31		1,449
Allegiant Travel Co.		93		20,111

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

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	SHARES		VALUE (Note 4)
Industrials - 13.0% (continued)
Allied Motion Technologies, Inc. (a)		147	$	2,612
American Railcar Industries, Inc. (a)		39		1,410
American Woodmark Corp. †		176		11,417
Apogee Enterprises, Inc.		133		5,938
Applied Industrial Technologies, Inc.		46		1,755
ARC Document Solutions, Inc. †		394		2,344
ArcBest Corp.		130		3,350
Argan, Inc.		173		6,000
Astronics Corp. †		142		5,741
Atlas Air Worldwide Holdings, Inc. †		132		4,562
Barnes Group, Inc.		179		6,453
Blount International, Inc. †		181		1,008
Briggs & Stratton Corp.		332		6,411
CAI International, Inc. †		148		1,492
CDI Corp.		206		1,761
CEB, Inc.		115		7,859
Columbus McKinnon Corp.		149		2,706
Comfort Systems USA, Inc.		326		8,887
Continental Building Products, Inc. †		247		5,073
Covenant Transportation Group, Inc., Class A †		276		4,960
CRA International, Inc. †		153		3,302
Cubic Corp.		103		4,320
Deluxe Corp.		135		7,525
Douglas Dynamics, Inc.		219		4,349
Ducommun, Inc. †		81		1,626
Dycom Industries, Inc. †		53		3,835
Echo Global Logistics, Inc. †		198		3,881
EMCOR Group, Inc.		262		11,594
Engility Holdings, Inc.		92		2,372
Ennis, Inc.		197		3,420
Enphase Energy, Inc. †		280		1,036
Federal Signal Corp.		372		5,100
FTI Consulting, Inc. †		89		3,694
G&K Services, Inc., Class A		129		8,594
Gibraltar Industries, Inc. †		183		3,358
Global Brass & Copper Holdings, Inc.		192		3,938
GP Strategies Corp. †		101		2,305
Greenbrier Cos., Inc./The		124		3,982
Griffon Corp.		366		5,772
Hawaiian Holdings, Inc. †		395		9,749
Heidrick & Struggles International, Inc.		152		2,956
Herman Miller, Inc.		173		4,989
Hillenbrand, Inc.		227		5,904
HNI Corp.		227		9,738
Hurco Cos., Inc.		37		971
Huron Consulting Group, Inc. †		92		5,753
Hyster-Yale Materials Handling, Inc.		22		1,272
ICF International, Inc. †		155		4,710
Insperity, Inc.		181		7,951
Interface, Inc.		175		3,927
John Bean Technologies Corp.		107		4,093
Kadant, Inc.		127		4,954
Kaman Corp.		164		5,879
Kimball International, Inc., Class B		150		1,419
Knoll, Inc.		286		6,286
Korn/Ferry International		253		8,367
LB Foster Co., Class A		84		1,032
Lindsay Corp. (a)		37		2,508

	SHARES		VALUE (Note 4)
Industrials - 13.0% (continued)
Lydall, Inc. †		152	$	4,331
Meritor, Inc. †		638		6,782
Mueller Industries, Inc.		140		4,141
Multi-Color Corp.		108		8,261
MYR Group, Inc. †		174		4,559
National Presto Industries, Inc. (a)		27		2,275
NV5 Holdings, Inc. †(a)		144		2,673
On Assignment, Inc. †		83		3,063
Park-Ohio Holdings Corp.		69		1,991
Patrick Industries, Inc. †		223		8,806
Republic Airways Holdings, Inc. †		366		2,116
Resources Connection, Inc.		319		4,807
RPX Corp. †		405		5,557
Rush Enterprises, Inc., Class A †		179		4,332
Saia, Inc. †		65		2,012
SkyWest, Inc.		185		3,086
Standex International Corp.		101		7,610
Steelcase, Inc., Class A		559		10,291
TASER International, Inc. †(a)		253		5,572
Trex Co., Inc. †		106		3,533
TrueBlue, Inc. †		177		3,977
Tutor Perini Corp. †		156		2,568
UniFirst Corp.		116		12,390
Universal Forest Products, Inc.		110		6,345
USA Truck, Inc. †		81		1,396
Viad Corp.		79		2,290
VSE Corp.		66		2,645
Wabash National Corp. †		197		2,086
West Corp.		426		9,542
YRC Worldwide, Inc. †		138		1,830
				455,135
Information Technology - 20.6%
Advanced Energy Industries, Inc. †		305		8,021
Alliance Fiber Optic Products, Inc.		120		2,051
Ambarella, Inc. †(a)		250		14,447
Amkor Technology, Inc. †		589		2,645
AVG Technologies NV (Netherlands) †		124		2,697
AVX Corp.		136		1,780
Bel Fuse, Inc., Class B		128		2,488
Benchmark Electronics, Inc. †		228		4,961
Black Box Corp.		122		1,798
Blackhawk Network Holdings, Inc. †		408		17,295
Blucora, Inc. †		161		2,217
BroadSoft, Inc. †		182		5,453
Brooks Automation, Inc.		213		2,494
Cabot Microelectronics Corp. †		130		5,036
CACI International, Inc., Class A †		149		11,022
Calix, Inc. †		248		1,932
Cardtronics, Inc. †		78		2,551
Ciena Corp. †		737		15,271
Cimpress NV (Netherlands) †		115		8,753
Cirrus Logic, Inc. †		422		13,297
Coherent, Inc. †		59		3,227
Cohu, Inc.		121		1,193
comScore, Inc. †		172		7,938
Comtech Telecommunications Corp.		131		2,700
Constant Contact, Inc. †		44		1,067

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

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	SHARES		VALUE (Note 4)
Information Technology - 20.6% (continued)
Convergys Corp.		592	$	13,681
CSG Systems International, Inc.		161		4,959
Datalink Corp. †		232		1,385
DHI Group, Inc. †		414		3,026
Diodes, Inc. †		227		4,851
DTS, Inc. †		176		4,699
EarthLink Holdings Corp.		1,037		8,068
Ebix, Inc. (a)		333		8,312
Electronics For Imaging, Inc. †		167		7,228
Ellie Mae, Inc. †		109		7,256
Entegris, Inc. †		210		2,770
EPAM Systems, Inc. †		51		3,801
ePlus, Inc. †		113		8,935
ExlService Holdings, Inc. †		208		7,681
Fabrinet (Thailand) †		79		1,448
Fair Isaac Corp.		151		12,760
Fairchild Semiconductor International, Inc. †		581		8,157
Fleetmatics Group PLC (Ireland) †(a)		151		7,413
FormFactor, Inc. †		536		3,634
Gigamon, Inc. †		271		5,423
GSI Group, Inc. †		313		3,984
Hackett Group, Inc./The		460		6,325
Harmonic, Inc. †		233		1,351
II-VI, Inc. †		309		4,969
Infinera Corp. †		775		15,159
Infoblox, Inc. †		229		3,659
Inphi Corp. †		293		7,044
Insight Enterprises, Inc. †		233		6,023
Integrated Device Technology, Inc. †		386		7,836
InterDigital, Inc.		246		12,448
Intersil Corp., Class A		153		1,790
Itron, Inc. †		99		3,159
Ixia †		217		3,144
IXYS Corp.		195		2,176
j2 Global, Inc.		177		12,540
Lattice Semiconductor Corp. †		789		3,038
LogMeIn, Inc. †		149		10,156
Luxoft Holding, Inc. (Switzerland) †		143		9,050
Manhattan Associates, Inc. †		216		13,457
ManTech International Corp., Class A		163		4,189
Mattson Technology, Inc. †		416		969
Mentor Graphics Corp.		540		13,300
Methode Electronics, Inc.		208		6,635
Microsemi Corp. †		219		7,188
MicroStrategy, Inc., Class A †		38		7,466
MKS Instruments, Inc.		305		10,227
Monolithic Power Systems, Inc.		99		5,069
Monster Worldwide, Inc. †		393		2,523
Multi-Fineline Electronix, Inc. †		256		4,275
NeoPhotonics Corp. †(a)		566		3,854
NETGEAR, Inc. †		210		6,126
NetScout Systems, Inc. †		173		6,119
NeuStar, Inc., Class A †(a)		239		6,503
Newport Corp. †		314		4,318
NVE Corp.		24		1,165
OmniVision Technologies, Inc. †		324		8,508
OSI Systems, Inc. †		118		9,081
PC Connection, Inc.		107		2,218

	SHARES		VALUE (Note 4)
Information Technology - 20.6% (continued)
Photronics, Inc. †		423	$	3,832
Plantronics, Inc.		274		13,933
Plexus Corp. †		115		4,437
PMC-Sierra, Inc. †		838		5,673
Polycom, Inc. †		753		7,891
Progress Software Corp. †		223		5,760
Qlik Technologies, Inc. †		57		2,078
QLogic Corp. †		636		6,519
Qualys, Inc. †		204		5,806
Quantum Corp. †		2,529		1,763
RealD, Inc. †		369		3,546
Reis, Inc.		96		2,174
Rofin-Sinar Technologies, Inc. †		161		4,175
Rogers Corp. †		107		5,690
Rovi Corp. †		221		2,318
Rubicon Project, Inc./The †		220		3,197
Rudolph Technologies, Inc. †		259		3,225
Sanmina Corp. †		397		8,484
Science Applications International Corp.		62		2,493
Semtech Corp. †		79		1,193
Sigma Designs, Inc. †		689		4,747
Stamps.com, Inc. †		152		11,250
Super Micro Computer, Inc. †		148		4,034
Sykes Enterprises, Inc. †		368		9,384
Synaptics, Inc. †		48		3,958
Synchronoss Technologies, Inc. †		97		3,182
SYNNEX Corp.		108		9,186
Take-Two Interactive Software, Inc. †		455		13,072
Tech Data Corp. †		207		14,180
TechTarget, Inc. †		285		2,428
TeleTech Holdings, Inc.		221		5,921
Tessera Technologies, Inc.		357		11,570
TTM Technologies, Inc. †		451		2,810
Unisys Corp. †		163		1,940
United Online, Inc. †		320		3,200
VASCO Data Security International, Inc. †(a)		371		6,322
Vishay Intertechnology, Inc.		483		4,680
Web.com Group, Inc. †		101		2,129
Xcerra Corp. †		453		2,845
XO Group, Inc. †		174		2,459
				718,346
Materials - 2.7%
A Schulman, Inc.		178		5,780
AEP Industries, Inc. †		16		917
Boise Cascade Co. †		182		4,590
Century Aluminum Co. †		282		1,297
Clearwater Paper Corp. †		86		4,063
Core Molding Technologies, Inc. †		117		2,159
Ferro Corp. †		156		1,708
Hawkins, Inc.		48		1,848
Innophos Holdings, Inc.		99		3,924
Innospec, Inc.		221		10,279
Kaiser Aluminum Corp.		144		11,556
KapStone Paper and Packaging Corp.		92		1,519
KMG Chemicals, Inc.		175		3,376
Kraton Performance Polymers, Inc. †		73		1,307
Materion Corp.		186		5,584

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

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	SHARES		VALUE (Note 4)
Materials - 2.7% (continued)
Minerals Technologies, Inc.		163	$	7,850
Neenah Paper, Inc.		101		5,886
Quaker Chemical Corp.		56		4,316
Stepan Co.		38		1,581
Trinseo SA †(a)		246		6,212
US Concrete, Inc. †		175		8,363
				94,115
Telecommunication Services - 1.2%
Atlantic Tele-Network, Inc.		35		2,587
Boingo Wireless, Inc. †		170		1,408
Cincinnati Bell, Inc. †		720		2,246
FairPoint Communications, Inc. †		285		4,392
General Communication, Inc., Class A †		284		4,902
IDT Corp., Class B		83		1,187
Inteliquent, Inc.		329		7,347
Iridium Communications, Inc. †(a)		553		3,401
Shenandoah Telecommunications Co.		130		5,565
Spok Holdings, Inc.		252		4,148
Vonage Holdings Corp. †		1,040		6,115
				43,298
Utilities - 1.7%
Avista Corp.		175		5,819
Consolidated Water Co., Ltd. (Cayman Islands) (a)		166		1,926
New Jersey Resources Corp.		323		9,700
ONE Gas, Inc.		247		11,196
Portland General Electric Co.		347		12,828
Unitil Corp.		66		2,434
WGL Holdings, Inc.		272		15,686
				59,589
TOTAL COMMON STOCKS (cost $3,476,548)				3,257,532
EXCHANGE-TRADED FUNDS (ETF) - 3.7%
iShares Russell 2000 ETF (a)
(cost $129,034)		1,171		127,873
MONEY MARKET FUNDS - 4.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b)
(cost $153,155)		153,155		153,155
SECURITIES LENDING COLLATERAL - 7.5%
Money Market Funds - 7.5%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (2)(b)(c)
(cost $261,756)		261,756		261,756
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 108.9% (cost $4,020,493)				3,800,316
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.9%)			(309,829)
NET ASSETS - 100.0%			$	3,490,487

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

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $261,113; cash collateral of $261,756 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of the close of the reporting period.

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

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

(2) Level 2 security (See Note 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.

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COMMON STOCKS - 95.7%	SHARES		VALUE (Note 4)
Australia - 2.9%
AMP Ltd.		4,704	$	18,475
Caltex Australia Ltd.		755		16,667
CIMIC Group Ltd.		6,307		104,778
Cochlear Ltd.		1,474		86,733
Goodman Group REIT		4,272		17,658
GPT Group/The REIT		19,876		63,169
Harvey Norman Holdings Ltd.		14,509		39,743
Incitec Pivot Ltd.		7,924		21,840
Insurance Australia Group Ltd.		25,219		86,227
Macquarie Group Ltd.		306		16,584
Qantas Airways Ltd. †		53,379		140,140
QBE Insurance Group Ltd.		2,729		24,852
Scentre Group REIT		16,646		45,815
Tabcorp Holdings Ltd.		51,340		169,020
Telstra Corp. Ltd.		111,147		439,441
				1,291,142
Austria - 0.6%
Erste Group Bank AG †		7,536		219,003
voestalpine AG		910		31,288
				250,291
Belgium - 1.0%
Ageas		2,598		106,768
KBC Groep NV		3,131		198,011
Proximus		4,280		148,054
				452,833
Canada - 6.2%
Alimentation Couche-Tard, Inc., Class B (1)		8,203		377,233
Bank of Montreal (1)		771		42,048
BlackBerry Ltd. (1)†		12,054		73,977
Brookfield Asset Management, Inc., Class A (1)		5,776		181,742
Canadian Imperial Bank of Commerce (1)		623		44,761
CGI Group, Inc., Class A (1)†		2,343		84,889
Empire Co., Ltd., Class A (1)		11,346		233,382
Fairfax Financial Holdings Ltd. (1)		432		196,736
George Weston Ltd. (1)		2,089		168,998
Great-West Lifeco, Inc. (1)		4,297		102,941
Intact Financial Corp. (1)		5,015		352,196
Loblaw Cos., Ltd. (1)		4,334		223,147
Magna International, Inc. (1)		4,745		227,596
Metro, Inc. (1)		9,253		252,109
National Bank of Canada (1)		2,436		77,762
Open Text Corp. (1)		976		43,706
Sun Life Financial, Inc. (1)		2,381		76,791
				2,760,014
Denmark - 1.8%
Danske Bank A/S		6,153		185,946
DSV A/S		1,495		55,864
ISS A/S		5,048		167,678
Pandora A/S		1,647		192,401
Tryg A/S		6,835		132,800
Vestas Wind Systems A/S		1,714		89,109
			823,798

	SHARES		VALUE (Note 4)
Finland - 0.9%
Elisa OYJ		5,535	$	187,233
Nokia OYJ		18,647		127,505
Nokian Renkaat OYJ		418		13,531
Stora Enso OYJ, R Shares		4,824		36,501
UPM-Kymmene OYJ		2,816		42,270
				407,040
France - 7.0%
AXA SA		13,561		329,247
BNP Paribas SA		6,317		371,908
Cap Gemini SA		2,060		183,964
Christian Dior SE		892		167,120
Cie Generale des Etablissements Michelin		998		91,311
CNP Assurances		1,191		16,549
Credit Agricole SA		12,435		143,161
Engie		6,643		107,487
LVMH Moet Hennessy Louis Vuitton SE		2,071		352,573
Natixis SA		12,552		69,498
Numericable-SFR SAS †		1,323		61,247
Orange SA		13,955		211,548
Peugeot SA †		10,924		165,527
Renault SA		2,508		180,959
Safran SA		1,823		137,074
Societe Generale SA		7,206		322,043
Valeo SA		962		130,618
Veolia Environnement SA		3,065		69,901
			3,111,735
Germany - 7.0%
Allianz SE		2,901		455,727
Brenntag AG		854		46,077
Continental AG		844		180,266
Daimler AG		7,443		541,873
Deutsche Bank AG		6,363		171,720
Deutsche Telekom AG		19,511		347,326
Evonik Industries AG		1,868		62,545
Hannover Rueck SE		4,283		438,712
HeidelbergCement AG		1,067		73,273
Infineon Technologies AG		8,783		98,681
Merck KGaA		2,353		208,326
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		1,403		262,031
OSRAM Licht AG		886		45,902
ProSiebenSat.1 Media SE		4,477		219,756
				3,152,215
Hong Kong - 2.7%
BOC Hong Kong Holdings Ltd.		80,000		235,942
Cathay Pacific Airways Ltd.		22,000		41,430
CK Hutchison Holdings Ltd.		8,000		104,061
Henderson Land Development Co., Ltd.		26,400		157,864
Hysan Development Co., Ltd.		9,000		37,475
Kerry Properties Ltd.		25,500		70,013
Link REIT		8,000		44,043
New World Development Co., Ltd.		88,000		85,702
NWS Holdings Ltd.		55,000		72,499
PCCW Ltd.		162,000		83,390
Sino Land Co., Ltd.		42,000		63,950

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

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	SHARES		VALUE (Note 4)
Hong Kong - 2.7% (continued)
Swire Properties Ltd.		12,400	$	34,369
Techtronic Industries Co., Ltd.		9,500		35,417
Wharf Holdings Ltd./The		4,000		22,570
Wheelock & Co., Ltd.		12,000		52,115
Yue Yuen Industrial Holdings Ltd.		20,000		74,409
				1,215,249
Italy - 2.9%
Assicurazioni Generali SpA		10,667		195,166
Banco Popolare SC †		10,179		150,603
Intesa Sanpaolo SpA		134,017		473,442
Mediobanca SpA		12,148		119,521
Pirelli & C. SpA		12,620		211,183
Prysmian SpA		6,485		134,040
UnipolSai SpA		5,968		12,977
				1,296,932
Japan - 33.7%
AEON Financial Service Co., Ltd.		7,500		148,395
Aisin Seiki Co., Ltd.		4,400		147,629
Alfresa Holdings Corp.		1,400		23,908
Alps Electric Co., Ltd.		4,200		118,608
Asahi Kasei Corp.		6,000		42,309
Bank of Yokohama Ltd./The		28,000		170,185
Bridgestone Corp.		7,100		245,704
Central Japan Railway Co.		1,900		306,333
Chiba Bank Ltd./The		23,000		163,325
Chubu Electric Power Co., Inc.		13,900		204,945
Chugoku Bank Ltd./The		1,800		26,715
Credit Saison Co., Ltd.		700		12,717
Daicel Corp.		5,900		72,427
Dai-ichi Life Insurance Co., Ltd./The		23,800		378,892
Daiichi Sankyo Co., Ltd.		3,600		62,467
Daiwa Securities Group, Inc.		17,000		109,999
Dentsu, Inc.		4,100		210,412
Fuji Heavy Industries Ltd.		6,700		241,096
FUJIFILM Holdings Corp.		5,400		201,864
Fukuoka Financial Group, Inc.		36,000		171,463
Gunma Bank Ltd./The		18,000		115,207
Hachijuni Bank Ltd./The		30,000		212,946
Hiroshima Bank Ltd./The		30,000		173,379
Hitachi Chemical Co., Ltd.		4,200		57,949
Hitachi High-Technologies Corp.		1,500		32,480
Hokuhoku Financial Group, Inc.		85,000		194,623
Hoya Corp.		2,500		81,880
Iida Group Holdings Co., Ltd.		10,900		170,525
Isuzu Motors Ltd.		8,100		81,340
Iyo Bank Ltd./The		14,800		170,136
Japan Airlines Co., Ltd.		2,200		77,847
JFE Holdings, Inc.		10,000		131,340
Joyo Bank Ltd./The		9,000		47,413
JTEKT Corp.		5,400		75,605
Kansai Electric Power Co., Inc./The †		12,600		140,077
Kawasaki Heavy Industries Ltd.		9,000		31,071
KDDI Corp.		7,300		163,397
Kobe Steel Ltd.		44,000		47,708
Koito Manufacturing Co., Ltd.		4,800		156,847
Konica Minolta, Inc.		10,100		106,401

	SHARES		VALUE (Note 4)
Japan - 33.7% (continued)
Mabuchi Motor Co., Ltd.		1,600	$	69,471
Mazda Motor Corp.		2,800		44,244
Medipal Holdings Corp.		4,700		74,575
MEIJI Holdings Co., Ltd.		1,000		73,331
Minebea Co., Ltd.		12,000		127,385
Mitsubishi Chemical Holdings Corp.		25,600		133,673
Mitsubishi Corp.		1,800		29,505
Mitsubishi Electric Corp.		19,000		174,050
Mitsubishi UFJ Financial Group, Inc.		132,300		799,388
Mitsubishi UFJ Lease & Finance Co., Ltd.		10,700		47,138
Mitsui Chemicals, Inc.		10,000		32,050
Mixi, Inc.		3,000		102,669
Mizuho Financial Group, Inc.		205,900		385,157
MS&AD Insurance Group Holdings, Inc.		7,100		190,492
Murata Manufacturing Co., Ltd.		2,300		297,101
Nexon Co., Ltd.		12,200		163,109
NHK Spring Co., Ltd.		1,800		17,454
Nippon Express Co., Ltd.		3,000		14,335
Nippon Telegraph & Telephone Corp.		6,200		218,386
Nissan Motor Co., Ltd.		19,300		177,456
Nitto Denko Corp.		2,800		167,700
NOK Corp.		6,100		131,978
Nomura Holdings, Inc.		72,900		423,138
NSK Ltd.		13,300		128,917
ORIX Corp.		25,800		332,803
Otsuka Holdings Co., Ltd.		1,200		38,318
Panasonic Corp.		29,500		298,544
Rohm Co., Ltd.		900		40,023
Seiko Epson Corp.		1,800		25,463
Shimadzu Corp.		5,000		72,186
Shinsei Bank Ltd.		14,000		28,779
Shionogi & Co., Ltd.		3,500		125,458
Sompo Japan Nipponkoa Holdings, Inc.		8,200		238,168
Sony Corp.		14,800		362,779
Sumitomo Chemical Co., Ltd.		34,000		171,929
Sumitomo Heavy Industries Ltd.		23,000		91,140
Sumitomo Mitsui Financial Group, Inc.		14,600		553,636
Sumitomo Mitsui Trust Holdings, Inc.		17,000		62,306
Sumitomo Rubber Industries Ltd.		2,500		34,703
Suzuki Motor Corp.		2,000		61,500
T&D Holdings, Inc.		17,400		205,526
Taiyo Nippon Sanso Corp.		8,600		81,701
TDK Corp.		2,300		130,083
Teijin Ltd.		19,000		57,712
Tohoku Electric Power Co., Inc.		13,400		181,590
Tokio Marine Holdings, Inc.		6,300		235,368
Tokyo Electric Power Co., Inc. †		48,000		320,622
TOTO Ltd.		1,000		31,164
Toyota Motor Corp.		24,100		1,411,005
West Japan Railway Co.		400		25,070
Yamaguchi Financial Group, Inc.		12,000		147,096
Yamaha Corp.		7,100		157,252
Yamaha Motor Co., Ltd.		9,200		185,088
			15,057,278
Netherlands - 3.5%
Aegon NV		10,929		62,668
Boskalis Westminster		1,461		63,952

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

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	SHARES		VALUE (Note 4)
Netherlands - 3.5% (continued)
ING Groep NV CVA		44,149	$	625,482
Koninklijke Ahold NV		19,384		378,144
NN Group NV		4,621		132,656
Randstad Holding NV		2,460		147,036
Wolters Kluwer NV		5,404		166,656
			1,576,594
Norway - 0.1%
Yara International ASA		782		31,196
Portugal - 0.1%
Jeronimo Martins SGPS SA		2,484		33,525
Singapore - 2.1%
CapitaLand Commercial Trust Ltd. REIT		42,100		39,749
ComfortDelGro Corp. Ltd.		69,600		140,605
DBS Group Holdings Ltd.		22,500		256,823
Oversea-Chinese Banking Corp. Ltd.		46,600		288,560
United Overseas Bank Ltd.		13,300		173,659
Yangzijiang Shipbuilding Holdings Ltd.		75,300		60,210
			959,606
South Africa - 0.4%
Investec PLC		4,288		32,833
Mondi PLC		6,205		130,052
				162,885
Spain - 1.7%
Endesa SA		6,429		135,577
Ferrovial SA		6,638		158,782
Gas Natural SDG SA		2,169		42,322
Iberdrola SA		41,736		278,096
Telefonica SA		11,651		141,350
				756,127
Sweden - 1.8%
Boliden AB		1,791		28,044
Electrolux AB, Series B		3,965		112,038
Husqvarna AB, B Shares		7,103		46,584
Investor AB, B Shares		622		21,372
Nordea Bank AB		20,398		227,571
Securitas AB, B Shares		10,323		126,251
Swedish Match AB		1,210		36,577
Tele2 AB, B Shares		10,754		104,879
Telefonaktiebolaget LM Ericsson, B Shares		10,137		99,440
				802,756
Switzerland - 4.6%
Actelion Ltd. †		534		67,869
Adecco SA †		1,244		91,105
Baloise Holding AG		2,614		299,575
Credit Suisse Group AG †		8,482		203,881
Givaudan SA †		136		221,294
Swiss Life Holding AG †		1,212		270,355
Swiss Re AG		5,256		450,950
Zurich Insurance Group AG †		1,843		452,468
				2,057,497
United Kingdom - 14.7%
3i Group PLC		16,750		118,320
Aviva PLC		24,923		170,463

	SHARES		VALUE (Note 4)
United Kingdom - 14.7% (continued)
BAE Systems PLC		22,878	$	155,081
Barclays PLC		89,750		332,146
Barratt Developments PLC		12,520		122,295
British Land Co. PLC/The REIT		9,564		121,459
BT Group PLC		90,533		576,201
Direct Line Insurance Group PLC		75,567		428,779
Dixons Carphone PLC		27,016		173,632
Fiat Chrysler Automobiles NV †		17,025		221,283
Hammerson PLC REIT		5,925		55,948
HSBC Holdings PLC		35,829		270,284
Imperial Tobacco Group PLC		6,967		360,186
International Consolidated Airlines Group SA †		16,562		148,378
Intu Properties PLC REIT		21,010		104,866
Kingfisher PLC		38,349		208,321
Land Securities Group PLC REIT		4,025		76,732
Legal & General Group PLC		34,823		125,564
Marks & Spencer Group PLC		30,789		233,712
National Grid PLC		30,774		428,594
Persimmon PLC †		7,131		217,042
Prudential PLC		5,602		118,183
Royal Mail PLC		18,320		127,294
Sage Group PLC/The		19,046		144,094
Shire PLC		2,385		163,043
Sky PLC		10,918		172,734
Taylor Wimpey PLC		45,481		134,750
Vodafone Group PLC		220,526		695,558
William Hill PLC		25,380		134,987
WPP PLC		12,158		253,118
				6,593,047
TOTAL COMMON STOCKS (cost $46,442,929)				42,791,760
EXCHANGE-TRADED FUNDS (ETF) - 2.8%
United States - 2.8%
iShares MSCI EAFE ETF (1)
(cost $1,242,091)		21,881		1,254,219
MONEY MARKET FUNDS - 2.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)
(cost $1,167,969)		1,167,969		1,167,969
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 101.1% (cost $48,852,989)				45,213,948
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1%)			(485,341)
NET ASSETS - 100.0%			$	44,728,607

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

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

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

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

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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	$	9,387,259			21.0	%
Consumer Staples		2,136,630			4.8
Energy		16,667			0.0	(b)
Exchange-Traded Funds		1,254,219			2.8
Financials		17,732,369			39.7
Health Care		932,577			2.1
Industrials		3,539,239			7.9
Information Technology		2,146,243			4.8
Materials		1,674,800			3.7
Telecommunication Services		3,316,764			7.4
Utilities		1,909,212			4.3
Money Market Funds		1,167,969			2.6
Total Investments In Securities, At Value		45,213,948			101.1
Liabilities in Excess of Other Assets		(485,341	)		(1.1	)
Net Assets	$	44,728,607			100.0	%

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

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

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AQR TM EMERGING MULTI-STYLE FUND

COMMON STOCKS - 89.9%	SHARES		VALUE (Note 4)
Brazil - 3.0%
Banco Bradesco SA ADR (1)		1,635	$	8,764
Banco do Brasil SA (1)		1,600		6,066
BRF SA (1)		2,900		51,680
Cia Energetica de Minas Gerais ADR (1)		5,337		9,500
Cia Paranaense de Energia ADR (1)(a)		1,386		11,379
EDP - Energias do Brasil SA (1)		9,500		27,940
Equatorial Energia SA (1)		2,000		17,142
Fibria Celulose SA ADR (1)(a)		6,393		86,689
Itau Unibanco Holding SA ADR (1)		16,792		111,163
JBS SA (1)		23,600		99,948
Lojas Renner SA (1)		9,200		43,024
Porto Seguro SA (1)		5,700		43,133
Telefonica Brasil SA ADR (1)(a)		7,762		70,867
				587,295
Chile - 0.9%
Corpbanca SA (1)		6,046,373		53,259
Enersis SA ADR (1)		9,244		116,844
				170,103
China - 26.1%
Agricultural Bank of China Ltd., H Shares		334,000		126,851
Air China Ltd., H Shares		12,000		9,504
Anhui Conch Cement Co., Ltd., H Shares		14,500		42,869
ANTA Sports Products Ltd.		19,000		49,320
Bank of China Ltd., H Shares		1,105,000		476,512
Bank of Communications Co., Ltd., H Shares		224,000		156,138
Beijing Capital International Airport Co., Ltd., H Shares		28,000		26,172
Belle International Holdings Ltd.		84,000		73,053
China Cinda Asset Management Co., Ltd., H Shares		31,000		10,780
China CITIC Bank Corp. Ltd., H Shares †		110,000		64,053
China Communications Services Corp. Ltd., H Shares		16,000		6,176
China Construction Bank Corp., H Shares		950,000		633,966
China Everbright Bank Co., Ltd., H Shares		175,000		76,465
China Galaxy Securities Co., Ltd., H Shares		88,000		62,343
China Life Insurance Co., Ltd., H Shares		26,000		90,594
China Merchants Bank Co., Ltd., H Shares		120,000		292,477
China Minsheng Banking Corp. Ltd., H Shares		262,000		242,852
China National Building Material Co., Ltd., H Shares		36,000		20,859
China Pacific Insurance Group Co., Ltd., H Shares		1,400		5,223
China Petroleum & Chemical Corp., H Shares		8,000		4,900
China Railway Construction Corp. Ltd., H Shares		26,500		39,203
China Railway Group Ltd., H Shares		29,000		26,488
China Southern Airlines Co., Ltd., H Shares		94,000		68,884
China Telecom Corp. Ltd., H Shares		158,000		76,554
China Vanke Co., Ltd., H Shares		60,200		129,330
Chongqing Rural Commercial Bank Co., Ltd., H Shares		99,000		56,287
CNOOC Ltd. ADR (1)		2,023		208,531
Country Garden Holdings Co., Ltd.		175,000		63,404

	SHARES		VALUE (Note 4)
China - 26.1% (continued)
Datang International Power Generation Co., Ltd., H Shares		18,000	$	6,834
Dongfeng Motor Group Co., Ltd., H Shares		14,000		17,571
Evergrande Real Estate Group Ltd. (a)		130,000		74,286
Geely Automobile Holdings Ltd.		150,000		71,897
GOME Electrical Appliances Holding Ltd.		130,000		19,850
Great Wall Motor Co., Ltd., H Shares		31,500		35,147
Huadian Power International Corp. Ltd., H Shares		88,000		69,048
Huaneng Power International, Inc., H Shares		42,000		45,476
Industrial & Commercial Bank of China Ltd., H Shares		979,000		565,572
Longfor Properties Co., Ltd.		27,000		34,187
New China Life Insurance Co., Ltd., H Shares		9,000		39,013
People’s Insurance Co. Group of China Ltd./The, H Shares		130,000		63,799
PICC Property & Casualty Co., Ltd., H Shares		46,000		90,100
Ping An Insurance Group Co. of China Ltd., H Shares (a)		103,000		514,690
Shui On Land Ltd.		144,500		33,356
Sino-Ocean Land Holdings Ltd.		97,000		53,083
Sinopec Shanghai Petrochemical Co., Ltd., H Shares †		18,000		6,902
Sinopharm Group Co., Ltd., H Shares		3,200		11,256
Sunac China Holdings Ltd.		73,000		38,295
Weichai Power Co., Ltd., H Shares		6,000		5,614
ZHuzhou CSR Times Electric Co., Ltd., H Shares		4,500		33,485
ZTE Corp., H Shares		25,600		58,555
				5,027,804
Hong Kong - 8.6%
China Agri-Industries Holdings Ltd. †		14,000		4,818
China Everbright Ltd.		34,000		78,088
China Jinmao Holdings Group Ltd.		156,000		39,458
China Mobile Ltd. ADR (1)		13,036		775,642
China Overseas Land & Investment Ltd. (a)		56,000		170,261
China Power International Development Ltd.		104,000		67,840
China Resources Land Ltd.		48,000		113,343
China Resources Power Holdings Co., Ltd.		14,000		32,142
China Taiping Insurance Holdings Co., Ltd. †		26,000		81,370
China Unicom Hong Kong Ltd.		32,000		40,710
CITIC Ltd.		24,000		43,817
Far East Horizon Ltd.		70,000		54,360
Guangdong Investment Ltd.		6,000		8,956
Shimao Property Holdings Ltd.		32,000		48,357
Sino Biopharmaceutical Ltd.		36,000		44,581
Yuexiu Property Co., Ltd.		282,000		46,454
				1,650,197
Hungary - 1.6%
MOL Hungarian Oil & Gas PLC		1,973		85,981
OTP Bank PLC		7,141		137,847
Richter Gedeon Nyrt		5,860		93,165
			316,993

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

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AQR TM EMERGING MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
India - 1.1%
Infosys Ltd. ADR (1)		1,779	$	33,961
Reliance Industries Ltd. GDR 144A (b)		593		15,424
State Bank of India GDR		2,093		76,218
Tata Motors Ltd. ADR (1)†		3,697		83,183
				208,786
Indonesia - 0.6%
Bank Negara Indonesia Persero Tbk PT		42,200		11,955
Bank Rakyat Indonesia Persero Tbk PT		21,800		12,908
Lippo Karawaci Tbk PT		191,400		14,785
Telekomunikasi Indonesia Persero Tbk PT		211,400		38,179
United Tractors Tbk PT		25,400		30,406
				108,233
Korea, Republic of - 15.8%
Amorepacific Corp.		211		68,758
AMOREPACIFIC Group		425		58,695
BGF retail Co., Ltd.		95		16,226
BNK Financial Group, Inc.		5,183		60,096
CJ CheilJedang Corp.		19		6,122
CJ Corp.		327		73,018
Coway Co., Ltd.		217		15,355
Daewoo Securities Co., Ltd.		6,726		68,145
Dongbu Insurance Co., Ltd.		1,381		71,624
Hankook Tire Co., Ltd.		633		21,191
Hanwha Chemical Corp.		1,688		30,953
Hanwha Corp.		2,176		71,672
Hanwha Life Insurance Co., Ltd.		9,346		64,398
Hyosung Corp.		751		71,738
Hyundai Department Store Co., Ltd.		168		19,038
Hyundai Development Co.-Engineering & Construction		1,242		57,353
Hyundai Marine & Fire Insurance Co., Ltd.		2,346		59,857
Hyundai Steel Co.		1,192		51,958
Industrial Bank of Korea		3,694		42,545
Kangwon Land, Inc.		586		20,944
KB Financial Group, Inc.		3,675		109,238
Kia Motors Corp.		669		30,327
Korea Electric Power Corp.		2,621		108,061
Korea Investment Holdings Co., Ltd.		946		48,928
Korea Zinc Co., Ltd.		44		17,302
Korean Air Lines Co., Ltd. †		2,408		63,823
KT Corp. †		754		19,594
KT&G Corp.		330		31,075
LG Corp.		443		22,808
LG Display Co., Ltd.		3,405		65,005
LG Household & Health Care Ltd.		115		83,224
LG Uplus Corp.		7,656		78,365
Lotte Chemical Corp.		403		92,351
Mirae Asset Securities Co., Ltd.		2,838		67,164
NCSoft Corp.		226		36,134
NH Investment & Securities Co., Ltd.		4,383		37,055
Samsung Card Co., Ltd.		1,754		53,710
Samsung Electro-Mechanics Co., Ltd.		243		13,244
Samsung Electronics Co., Ltd. GDR		1,309		619,063
Samsung Fire & Marine Insurance Co., Ltd.		127		29,990
Samsung Life Insurance Co., Ltd.		630		52,684
Samsung Securities Co., Ltd.		640		24,702

	SHARES		VALUE (Note 4)
Korea, Republic of - 15.8% (continued)
Shinhan Financial Group Co., Ltd.		539	$	18,850
Shinsegae Co., Ltd.		169		33,840
SK Hynix, Inc.		4,668		133,134
SK Innovation Co., Ltd. †		872		72,627
SK Networks Co., Ltd.		2,121		12,363
SK Telecom Co., Ltd.		240		53,241
S-Oil Corp.		1,368		72,794
				3,050,382
Malaysia - 0.7%
MISC Bhd		5,900		11,840
Tenaga Nasional Bhd		33,300		91,077
YTL Corp. Bhd		69,000		25,128
				128,045
Malta - 0.6%
Brait SE †(a)		10,603		107,726
Mexico - 0.3%
Arca Continental SAB de CV (1)		3,700		20,832
Gruma SAB de CV, Class B (1)		2,000		27,779
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		1,100		9,567
				58,178
Peru - 0.3%
Cia de Minas Buenaventura SAA ADR (1)		1,325		7,897
Credicorp Ltd. (1)		407		43,289
				51,186
Poland - 2.4%
Enea SA		13,398		47,652
Energa SA		12,550		55,700
Eurocash SA		1,675		19,727
Grupa Azoty SA †		1,268		29,572
Grupa Lotos SA †		2,577		18,953
KGHM Polska Miedz SA		1,927		41,626
Orange Polska SA		3,482		6,657
PGE Polska Grupa Energetyczna SA		12,472		44,314
Polski Koncern Naftowy Orlen SA		5,501		96,046
Polskie Gornictwo Naftowe i Gazownictwo SA		42,572		73,183
Tauron Polska Energia SA		23,782		20,542
				453,972
Russia - 2.0%
MMC Norilsk Nickel PJSC ADR		8,107		116,489
Severstal PAO GDR		12,430		131,897
Sistema JSFC GDR		2,385		16,481
Tatneft PAO ADR		3,417		95,822
Uralkali PJSC GDR †		1,922		28,554
				389,243
South Africa - 6.5%
Capitec Bank Holdings Ltd.		1,538		55,663
Discovery Ltd.		1,256		12,496
FirstRand Ltd.		14,208		50,488
Foschini Group Ltd./The		1,020		10,358
Gold Fields Ltd. ADR (1)		10,790		28,701

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

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Schedule of Investments September 30, 2015

AQR TM EMERGING MULTI-STYLE FUND

	SHARES		VALUE (Note 4)
South Africa - 6.5% (continued)
Hyprop Investments Ltd. REIT		7,426	$	64,682
Investec Ltd.		11,273		86,279
Liberty Holdings Ltd.		4,900		44,769
MMI Holdings Ltd.		22,179		38,162
Mondi Ltd.		4,437		93,032
MTN Group Ltd.		11,001		141,465
Netcare Ltd.		22,479		59,023
Redefine Properties Ltd. REIT		60,181		50,869
Resilient Property Income Fund Ltd. REIT		7,835		65,655
Sanlam Ltd.		3,626		15,681
Sappi Ltd. †		10,384		31,889
Sasol Ltd.		666		18,656
SPAR Group Ltd./The		3,184		42,597
Standard Bank Group Ltd.		7,507		73,300
Steinhoff International Holdings Ltd.		17,919		110,031
Telkom SA SOC Ltd.		17,643		84,826
Truworths International Ltd.		8,646		53,130
Woolworths Holdings Ltd.		2,308		16,153
				1,247,905
Taiwan - 15.7%
Advanced Semiconductor Engineering, Inc.		74,000		80,629
Asustek Computer, Inc.		6,000		51,588
AU Optronics Corp.		252,000		74,609
Casetek Holdings Ltd.		15,000		64,140
Catcher Technology Co., Ltd.		10,000		106,907
Cathay Financial Holding Co., Ltd.		65,000		89,027
Chailease Holding Co., Ltd. †		28,080		44,151
Chicony Electronics Co., Ltd.		5,025		11,617
China Airlines Ltd. †		198,000		67,882
China Development Financial Holding Corp.		184,000		49,637
China Life Insurance Co., Ltd./Taiwan		127,300		96,971
Compal Electronics, Inc.		71,000		40,330
CTBC Financial Holding Co., Ltd.		83,237		43,028
E.Sun Financial Holding Co., Ltd.		57,000		33,597
Eva Airways Corp. †		121,000		67,883
Evergreen Marine Corp. Taiwan Ltd.		15,150		6,400
Far EasTone Telecommunications Co., Ltd.		27,000		58,231
Feng TAY Enterprise Co., Ltd.		3,090		19,259
First Financial Holding Co., Ltd.		8,000		3,653
Foxconn Technology Co., Ltd.		24,240		69,673
Fubon Financial Holding Co., Ltd.		104,000		162,806
Hon Hai Precision Industry Co., Ltd.		86,950		227,153
Innolux Corp.		267,000		83,620
Inotera Memories, Inc. †		55,000		34,576
Inventec Corp.		43,000		20,489
Kinsus Interconnect Technology Corp.		5,000		9,622
Mega Financial Holding Co., Ltd.		55,000		38,205
Novatek Microelectronics Corp.		15,000		47,094
Pegatron Corp.		42,000		102,786
Pou Chen Corp.		53,000		79,728
Powertech Technology, Inc.		40,000		72,462
Radiant Opto-Electronics Corp.		2,000		6,211
Realtek Semiconductor Corp.		13,000		22,132
Shin Kong Financial Holding Co., Ltd.		282,411		67,167
Siliconware Precision Industries Co., Ltd.		26,000		32,413
SinoPac Financial Holdings Co., Ltd.		104,680		33,182

	SHARES		VALUE (Note 4)
Taiwan - 15.7% (continued)
Taiwan Business Bank †		140,563	$	34,935
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		27,418		568,924
Transcend Information, Inc.		12,000		30,340
Uni-President Enterprises Corp.		19,000		32,994
United Microelectronics Corp.		177,000		58,142
Wan Hai Lines Ltd.		112,000		70,910
Wistron Corp.		18,553		9,701
WPG Holdings Ltd.		7,000		6,762
Yang Ming Marine Transport Corp. †		30,000		8,715
Zhen Ding Technology Holding Ltd.		30,000		85,993
				3,026,274
Thailand - 2.1%
Bangkok Bank PCL NVDR		9,400		41,526
Delta Electronics Thailand PCL NVDR		19,000		46,128
Glow Energy PCL NVDR		4,800		11,276
IRPC PCL NVDR		365,600		38,015
Kasikornbank PCL NVDR		6,300		29,759
Krung Thai Bank PCL NVDR		61,200		28,890
PTT Exploration & Production PCL NVDR		3,600		6,973
PTT Global Chemical PCL NVDR		32,500		48,282
PTT PCL NVDR		10,700		71,056
Siam Commercial Bank PCL/The NVDR		7,300		27,018
Thai Oil PCL NVDR		10,400		15,161
Thai Union Group PCL NVDR		53,700		27,272
TMB Bank PCL NVDR		157,300		10,506
				401,862
Turkey - 1.6%
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		14,622		12,141
Eregli Demir ve Celik Fabrikalari TAS		64,092		79,116
TAV Havalimanlari Holding AS		7,919		62,226
Turk Hava Yollari AO †		32,513		85,779
Turk Telekomunikasyon AS		9,706		19,157
Turkiye Halk Bankasi AS		1,958		6,548
Turkiye Sise ve Cam Fabrikalari AS		35,659		33,848
Turkiye Vakiflar Bankasi Tao, Class D		10,312		13,073
				311,888
TOTAL COMMON STOCKS (cost $19,688,357)				17,296,072
PREFERRED STOCKS - 1.2%
Brazil - 1.0%
Banco do Estado do Rio Grande do Sul SA, Series B (1)		12,500		17,594
Braskem SA, Class A (1)		2,000		8,455
Cia Energetica de Sao Paulo, Series B (1)		9,700		37,215
Itausa - Investimentos Itau SA (1)		15,730		28,329
Suzano Papel e Celulose SA, Series A (1)		19,400		94,394
				185,987
Chile - 0.2%
Embotelladora Andina SA, Series B (1)		10,661		36,898
TOTAL PREFERRED STOCKS (cost $274,145)				222,885

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

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Schedule of Investments September 30, 2015

AQR TM EMERGING MULTI-STYLE FUND

EXCHANGE-TRADED FUNDS (ETF) - 7.2%	SHARES		VALUE (Note 4)
United States - 7.2%
iShares MSCI Emerging Markets ETF (1)(a) (cost $1,358,415)		42,231	$	1,384,332
RIGHTS - 0.0% (c)
Korea, Republic of - 0.0% (c)
Mirae Asset Securities Co., Ltd. † (cost $12,042)		2,011		8,825
MONEY MARKET FUNDS - 7.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (d)
(cost $1,354,892)		1,354,892		1,354,892
SECURITIES LENDING COLLATERAL - 5.6%
Money Market Funds - 5.6%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (d)(e)
(cost $1,077,831)		1,077,831		1,077,831
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 110.9% (cost $23,765,682)				21,344,837
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.9%)			(2,096,462)
NET ASSETS - 100.0%			$	19,248,375

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $1,070,320; cash collateral of $1,077,831 was received with which the Fund purchased a money market fund.

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

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

(d) Represents annualized seven-day yield as of the close of the reporting period.

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

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	822,398			4.3	%
Consumer Staples		628,646			3.3
Energy		894,125			4.6
Exchange-Traded Funds		1,384,332			7.2
Financials		7,540,058			39.2
Health Care		208,025			1.1
Industrials		937,987			4.9
Information Technology		2,923,136			15.2
Materials		1,233,197			6.4
Telecommunication Services		1,486,144			7.7
Utilities		854,066			4.4
Money Market Funds		1,354,892			7.0
Securities Lending Collateral		1,077,831			5.6
Total Investments In Securities, At Value		21,344,837			110.9
Liabilities in Excess of Other Assets		(2,096,462	)		(10.9	)
Net Assets	$	19,248,375			100.0	%

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

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81

Schedule of Investments September 30, 2015

AQR LARGE CAP MOMENTUM STYLE FUND

COMMON STOCKS - 97.0%	SHARES		VALUE (Note 4)
Consumer Discretionary - 21.8%
Advance Auto Parts, Inc.		10,500	$	1,990,065
Amazon.com, Inc. †		50,521		25,861,195
AutoNation, Inc. †		14,700		855,246
AutoZone, Inc. †		3,131		2,266,312
Best Buy Co., Inc.		44,112		1,637,437
Brinker International, Inc.		12,400		653,108
Brunswick Corp.		16,700		799,763
Cabela’s, Inc. †		11,000		501,600
CarMax, Inc. †		24,366		1,445,391
Carnival Corp.		67,112		3,335,466
Carter’s, Inc.		7,700		697,928
Charter Communications, Inc., Class A †		14,360		2,525,206
Chipotle Mexican Grill, Inc. †		2,871		2,067,838
Cinemark Holdings, Inc.		15,800		513,342
Comcast Corp., Class A		44,290		2,519,215
CST Brands, Inc.		13,128		441,888
Darden Restaurants, Inc.		12,035		824,879
Delphi Automotive PLC (United Kingdom)		4,070		309,483
Dillard’s, Inc., Class A		10,500		917,595
DISH Network Corp., Class A †		28,266		1,649,038
Dollar General Corp.		36,046		2,611,172
Dollar Tree, Inc. †		45,959		3,063,627
Domino’s Pizza, Inc.		12,719		1,372,507
DR Horton, Inc.		27,197		798,504
Expedia, Inc.		19,227		2,262,633
Foot Locker, Inc.		24,400		1,756,068
Gentex Corp.		26,000		403,000
Genuine Parts Co.		16,500		1,367,685
Goodyear Tire & Rubber Co./The		17,069		500,634
GoPro, Inc., Class A †		13,627		425,435
Graham Holdings Co., Class B		737		425,249
H&R Block, Inc.		25,400		919,480
Hanesbrands, Inc.		75,906		2,196,720
Harley-Davidson, Inc.		9,500		521,550
Harman International Industries, Inc.		11,498		1,103,693
Hasbro, Inc.		13,480		972,447
Hilton Worldwide Holdings, Inc.		44,350		1,017,389
Home Depot, Inc./The		154,848		17,883,396
Hyatt Hotels Corp., Class A †		10,100		475,710
Jarden Corp. †		24,655		1,205,136
Kate Spade & Co. †		21,900		418,509
Kohl’s Corp.		13,521		626,158
L Brands, Inc.		45,661		4,115,426
Leggett & Platt, Inc.		14,426		595,072
Lennar Corp., Class A		19,463		936,754
LKQ Corp. †		26,100		740,196
Lowe’s Cos., Inc.		129,077		8,895,987
Macy’s, Inc.		14,903		764,822
Madison Square Garden Co./The, Class A †		16,139		1,164,267
Marriott International, Inc., Class A		30,014		2,046,955
Michaels Cos., Inc./The †		12,239		282,721
Mohawk Industries, Inc. †		11,871		2,158,029
Murphy USA, Inc. †		6,252		343,547
Netflix, Inc. †		57,736		5,961,819
Newell Rubbermaid, Inc.		15,515		616,101

	SHARES		VALUE (Note 4)
Consumer Discretionary - 21.8% (continued)
NIKE, Inc., Class B		99,848	$	12,278,309
Nordstrom, Inc.		21,600		1,548,936
Norwegian Cruise Line Holdings Ltd. †		42,289		2,423,160
NVR, Inc. †		211		321,821
O’Reilly Automotive, Inc. †		20,255		5,063,750
Panera Bread Co., Class A †		2,400		464,184
Polaris Industries, Inc.		8,700		1,042,869
Ross Stores, Inc.		75,470		3,658,031
Royal Caribbean Cruises Ltd.		31,428		2,799,921
Sally Beauty Holdings, Inc. †		22,600		536,750
Service Corp. International		15,037		407,503
ServiceMaster Global Holdings, Inc. †		20,228		678,649
Signet Jewelers Ltd.		14,400		1,960,272
Six Flags Entertainment Corp.		32,600		1,492,428
Skechers U.S.A., Inc., Class A †		19,704		2,641,912
Staples, Inc.		65,264		765,547
Starbucks Corp.		179,690		10,213,580
Target Corp.		74,779		5,882,116
TEGNA, Inc.		50,200		1,123,978
Time Warner, Inc.		28,210		1,939,437
TJX Cos., Inc./The		47,689		3,405,948
Tractor Supply Co.		23,184		1,954,875
Ulta Salon Cosmetics & Fragrance, Inc. †		16,379		2,675,510
Under Armour, Inc., Class A †		39,858		3,857,457
VF Corp.		43,322		2,954,994
Walt Disney Co./The		186,845		19,095,559
Whirlpool Corp.		10,770		1,585,990
Williams-Sonoma, Inc.		8,200		626,070
Wyndham Worldwide Corp.		21,202		1,524,424
Yum! Brands, Inc.		21,190		1,694,141
				219,378,514
Consumer Staples - 9.7%
Altria Group, Inc.		230,749		12,552,746
Archer-Daniels-Midland Co.		24,289		1,006,779
Brown-Forman Corp., Class B		12,435		1,204,951
Church & Dwight Co., Inc.		17,383		1,458,434
Clorox Co./The		6,203		716,633
Coca-Cola Enterprises, Inc.		9,447		456,762
ConAgra Foods, Inc.		31,992		1,295,996
Constellation Brands, Inc., Class A		32,500		4,069,325
Costco Wholesale Corp.		53,622		7,752,133
Coty, Inc., Class A		61,025		1,651,336
CVS Health Corp.		143,099		13,806,191
Dr Pepper Snapple Group, Inc.		46,900		3,707,445
Edgewell Personal Care Co.		4,753		387,845
Estee Lauder Cos., Inc./The, Class A		18,780		1,515,170
General Mills, Inc.		5,265		295,524
Hain Celestial Group, Inc./The †		18,761		968,068
Hershey Co./The		11,545		1,060,755
Hormel Foods Corp.		22,817		1,444,544
Ingredion, Inc.		4,600		401,626
JM Smucker Co./The		6,800		775,812
Keurig Green Mountain, Inc.		8,784		457,998
Kroger Co./The		164,908		5,948,232
McCormick & Co., Inc.		12,000		986,160
Mead Johnson Nutrition Co.		10,290		724,416

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

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	SHARES		VALUE (Note 4)
Consumer Staples - 9.7% (continued)
Molson Coors Brewing Co., Class B		8,159	$	677,360
Mondelez International, Inc., Class A		132,396		5,543,421
Monster Beverage Corp. †		32,937		4,451,106
PepsiCo, Inc.		12,996		1,225,523
Pilgrim’s Pride Corp.		35,800		743,924
Pinnacle Foods, Inc.		6,660		278,921
Reynolds American, Inc.		155,464		6,882,391
Rite Aid Corp. †		142,500		864,975
Tyson Foods, Inc., Class A		12,255		528,190
Walgreens Boots Alliance, Inc.		121,999		10,138,117
WhiteWave Foods Co./The †		30,208		1,212,851
				97,191,660
Energy - 1.1%
Cheniere Energy, Inc. †		14,342		692,719
Columbia Pipeline Group, Inc.		45,756		836,877
CVR Energy, Inc.		12,300		504,915
Golar LNG Ltd. (Norway)		13,500		376,380
Kinder Morgan, Inc.		45,813		1,268,104
Marathon Petroleum Corp.		42,516		1,969,766
Targa Resources Corp.		8,376		431,532
Tesoro Corp.		19,146		1,861,757
Valero Energy Corp.		45,433		2,730,523
				10,672,573
Financials - 11.9%
Alexandria Real Estate Equities, Inc. REIT		5,032		426,059
Allstate Corp./The		34,468		2,007,416
American Financial Group, Inc.		8,200		565,062
American International Group, Inc.		84,807		4,818,734
Ameriprise Financial, Inc.		24,500		2,673,685
AmTrust Financial Services, Inc.		11,317		712,745
Aon PLC (United Kingdom)		11,400		1,010,154
Apartment Investment & Management Co., Class A REIT		32,100		1,188,342
Arch Capital Group Ltd. †		15,874		1,166,263
AvalonBay Communities, Inc. REIT		7,137		1,247,690
Bank of New York Mellon Corp./The		49,306		1,930,330
Berkshire Hathaway, Inc., Class B †		11,700		1,525,680
BlackRock, Inc.		8,247		2,453,235
Boston Properties, Inc. REIT		11,893		1,408,131
Brixmor Property Group, Inc. REIT		40,616		953,664
Camden Property Trust REIT		10,668		788,365
Charles Schwab Corp./The		39,242		1,120,751
Cincinnati Financial Corp.		26,000		1,398,800
CME Group, Inc.		46,128		4,277,911
Corrections Corp. of America REIT		18,552		548,026
Credit Acceptance Corp. †		3,992		785,905
Digital Realty Trust, Inc. REIT		24,330		1,589,236
Discover Financial Services		22,325		1,160,677
E*TRADE Financial Corp. †		58,031		1,527,956
East West Bancorp, Inc.		16,247		624,210
Equinix, Inc. REIT		3,934		1,075,556
Equity LifeStyle Properties, Inc. REIT		7,799		456,787
Equity Residential REIT		24,742		1,858,619
Essex Property Trust, Inc. REIT		17,440		3,896,445
Extra Space Storage, Inc. REIT		32,200		2,484,552

	SHARES		VALUE (Note 4)
Financials - 11.9% (continued)
Federal Realty Investment Trust REIT		13,268	$	1,810,419
First Horizon National Corp.		34,651		491,351
First Republic Bank/CA		8,493		533,106
FNF Group		53,600		1,901,192
General Growth Properties, Inc. REIT		46,849		1,216,669
Goldman Sachs Group, Inc./The		39,038		6,783,243
Hartford Financial Services Group, Inc./The		19,320		884,470
Huntington Bancshares, Inc.		147,100		1,559,260
Interactive Brokers Group, Inc., Class A		41,795		1,649,649
Intercontinental Exchange, Inc.		8,943		2,101,516
Iron Mountain, Inc. REIT		20,315		630,171
JPMorgan Chase & Co.		302,190		18,424,524
Kimco Realty Corp. REIT		13,298		324,870
Lamar Advertising Co., Class A REIT		12,300		641,814
M&T Bank Corp.		3,100		378,045
Markel Corp. †		866		694,411
Marsh & McLennan Cos., Inc.		7,400		386,428
McGraw Hill Financial, Inc.		34,439		2,978,973
Moody’s Corp.		30,600		3,004,920
Morgan Stanley		126,441		3,982,891
MSCI, Inc.		6,683		397,371
Nasdaq, Inc.		18,693		996,898
National Retail Properties, Inc. REIT		18,861		684,088
Navient Corp.		29,600		332,704
Northern Trust Corp.		16,624		1,133,092
Omega Healthcare Investors, Inc. REIT		11,537		405,526
PNC Financial Services Group, Inc./The		16,027		1,429,608
Post Properties, Inc. REIT		5,900		343,911
Principal Financial Group, Inc.		9,300		440,262
Progressive Corp./The		19,131		586,174
Raymond James Financial, Inc.		9,298		461,460
Realty Income Corp. REIT		6,817		323,058
Regency Centers Corp. REIT		19,200		1,193,280
Santander Consumer USA Holdings, Inc. †		22,128		451,854
SEI Investments Co.		15,136		730,009
Signature Bank †		9,881		1,359,230
SL Green Realty Corp. REIT		2,865		309,878
Springleaf Holdings, Inc. †		25,962		1,135,059
SunTrust Banks, Inc.		11,700		447,408
SVB Financial Group †		10,697		1,235,931
Synchrony Financial †		38,357		1,200,574
Synovus Financial Corp.		10,355		306,508
Torchmark Corp.		14,100		795,240
Travelers Cos., Inc./The		18,608		1,852,054
UDR, Inc. REIT		41,200		1,420,576
Vornado Realty Trust REIT		7,098		641,801
Voya Financial, Inc.		13,148		509,748
WR Berkley Corp.		13,700		744,869
				119,927,079
Health Care - 20.5%
Abbott Laboratories		147,567		5,935,145
AbbVie, Inc.		171,713		9,342,904
Acadia Healthcare Co., Inc. †		15,188		1,006,509
Aetna, Inc.		58,800		6,433,308
Agios Pharmaceuticals, Inc. †		21,050		1,485,919

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

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	SHARES		VALUE (Note 4)
Health Care - 20.5% (continued)
Akorn, Inc. †		33,919	$	966,861
Alexion Pharmaceuticals, Inc. †		9,108		1,424,400
Align Technology, Inc. †		9,300		527,868
Allergan PLC †		11,033		2,998,880
Alnylam Pharmaceuticals, Inc. †		21,541		1,731,035
AmerisourceBergen Corp.		37,940		3,603,921
Amgen, Inc.		81,945		11,334,632
Anthem, Inc.		42,554		5,957,560
athenahealth, Inc. †		5,100		680,085
Becton Dickinson and Co.		17,382		2,305,896
Biogen, Inc. †		11,532		3,365,153
BioMarin Pharmaceutical, Inc. †		30,363		3,197,831
Bluebird Bio, Inc. †		15,072		1,289,410
Boston Scientific Corp. †		151,289		2,482,652
Bristol-Myers Squibb Co.		174,633		10,338,274
Brookdale Senior Living, Inc. †		19,500		447,720
Cardinal Health, Inc.		31,548		2,423,517
Celgene Corp. †		89,447		9,675,482
Centene Corp. †		36,227		1,964,590
Cerner Corp. †		39,879		2,391,145
Community Health Systems, Inc. †		16,800		718,536
Cooper Cos., Inc./The		7,400		1,101,564
CR Bard, Inc.		4,468		832,433
DaVita HealthCare Partners, Inc. †		28,200		2,039,706
DexCom, Inc. †		29,613		2,542,572
Edwards Lifesciences Corp. †		23,784		3,381,371
Eli Lilly & Co.		131,095		10,971,341
Express Scripts Holding Co. †		70,307		5,692,055
Gilead Sciences, Inc.		64,320		6,315,581
HCA Holdings, Inc. †		57,725		4,465,606
Henry Schein, Inc. †		6,082		807,203
Hologic, Inc. †		42,077		1,646,473
IDEXX Laboratories, Inc. †		8,000		594,000
Illumina, Inc. †		20,225		3,555,960
Incyte Corp. †		35,900		3,960,847
Intrexon Corp. †		32,848		1,044,566
Intuitive Surgical, Inc. †		2,503		1,150,329
Isis Pharmaceuticals, Inc. †		38,536		1,557,625
Jazz Pharmaceuticals PLC (Ireland) †		5,800		770,298
Laboratory Corp of America Holdings †		3,822		414,572
McKesson Corp.		21,694		4,014,041
Medivation, Inc. †		41,386		1,758,905
MEDNAX, Inc. †		8,864		680,667
Medtronic PLC (Ireland)		34,077		2,281,114
Mettler-Toledo International, Inc. †		1,323		376,711
OPKO Health, Inc. †		98,959		832,245
Pfizer, Inc.		342,013		10,742,628
Puma Biotechnology, Inc. †		8,156		614,636
Quest Diagnostics, Inc.		8,879		545,792
Quintiles Transnational Holdings, Inc. †		11,644		810,073
Regeneron Pharmaceuticals, Inc. †		13,676		6,361,255
ResMed, Inc.		17,407		887,061
St. Jude Medical, Inc.		10,000		630,900
Stryker Corp.		10,251		964,619
Tenet Healthcare Corp. †		7,900		291,668
Thermo Fisher Scientific, Inc.		8,779		1,073,496
United Therapeutics Corp. †		11,113		1,458,470

	SHARES		VALUE (Note 4)
Health Care - 20.5% (continued)
UnitedHealth Group, Inc.		125,314	$	14,537,677
Universal Health Services, Inc., Class B		11,152		1,391,881
VCA, Inc. †		11,583		609,845
Vertex Pharmaceuticals, Inc. †		36,813		3,833,706
Waters Corp. †		2,498		295,289
Zimmer Biomet Holdings, Inc.		11,648		1,094,097
Zoetis, Inc.		75,912		3,126,056
				206,086,167
Industrials - 7.5%
3M Co.		17,857		2,531,587
A. O. Smith Corp.		16,200		1,056,078
Acuity Brands, Inc.		8,767		1,539,310
Alaska Air Group, Inc.		35,600		2,828,420
AMERCO		2,404		945,902
American Airlines Group, Inc.		11,156		433,187
Avis Budget Group, Inc. †		35,270		1,540,594
Boeing Co./The		13,104		1,715,969
CH Robinson Worldwide, Inc.		6,166		417,931
Cintas Corp.		19,335		1,657,976
CSX Corp.		13,771		370,440
Danaher Corp.		20,317		1,731,212
Delta Air Lines, Inc.		19,785		887,753
Equifax, Inc.		11,894		1,155,859
FedEx Corp.		12,122		1,745,326
Fortune Brands Home & Security, Inc.		53,300		2,530,151
General Dynamics Corp.		41,370		5,706,991
Genesee & Wyoming, Inc., Class A †		7,000		413,560
HD Supply Holdings, Inc. †		22,030		630,499
Hexcel Corp.		15,700		704,302
Honeywell International, Inc.		7,142		676,276
Hubbell, Inc., Class B		3,700		314,315
Huntington Ingalls Industries, Inc.		9,900		1,060,785
IHS, Inc., Class A †		4,100		475,600
JB Hunt Transport Services, Inc.		14,400		1,028,160
JetBlue Airways Corp. †		92,391		2,380,916
Kansas City Southern		5,172		470,031
Lennox International, Inc.		2,533		287,065
Lockheed Martin Corp.		28,440		5,895,896
Macquarie Infrastructure Corp.		6,165		460,279
Masco Corp.		30,875		777,433
Middleby Corp./The †		10,800		1,136,052
Northrop Grumman Corp.		35,000		5,808,250
Old Dominion Freight Line, Inc. †		13,999		853,939
Owens Corning		12,800		536,448
Pitney Bowes, Inc.		36,200		718,570
Raytheon Co.		6,926		756,735
Robert Half International, Inc.		12,601		644,667
Roper Technologies, Inc.		10,539		1,651,461
RR Donnelley & Sons Co.		50,900		741,104
Snap-on, Inc.		4,561		688,437
Southwest Airlines Co.		99,247		3,775,356
Spirit AeroSystems Holdings, Inc., Class A †		19,913		962,594
Spirit Airlines, Inc. †		17,600		832,480
Stanley Black & Decker, Inc.		3,062		296,953
Stericycle, Inc. †		7,700		1,072,687
Textron, Inc.		13,400		504,376

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

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	SHARES		VALUE (Note 4)
Industrials - 7.5% (continued)
Timken Co./The		14,600	$	401,354
TransDigm Group, Inc. †		9,000		1,911,690
United Continental Holdings, Inc. †		44,323		2,351,335
United Rentals, Inc. †		11,585		695,679
USG Corp. †		18,500		492,470
Verisk Analytics, Inc. †		18,500		1,367,335
Wabtec Corp.		8,800		774,840
Waste Connections, Inc.		8,300		403,214
Waste Management, Inc.		22,380		1,114,748
WW Grainger, Inc.		3,900		838,539
				75,701,116
Information Technology - 21.4%
Accenture PLC, Class A (Ireland)		11,097		1,090,391
Activision Blizzard, Inc.		60,800		1,878,112
Adobe Systems, Inc. †		33,575		2,760,536
Akamai Technologies, Inc. †		34,019		2,349,352
Amdocs Ltd.		5,217		296,743
Amphenol Corp., Class A		21,046		1,072,504
Analog Devices, Inc.		5,437		306,701
ANSYS, Inc. †		5,600		493,584
Apple, Inc.		587,958		64,851,767
Applied Materials, Inc.		30,056		441,523
ARRIS Group, Inc. †		22,700		589,519
Arrow Electronics, Inc. †		8,600		475,408
Autodesk, Inc. †		9,303		410,634
Automatic Data Processing, Inc.		59,512		4,782,384
Avago Technologies Ltd. (Singapore)		6,041		755,185
Booz Allen Hamilton Holding Corp.		14,749		386,571
Broadridge Financial Solutions, Inc.		7,930		438,926
Brocade Communications Systems, Inc.		101,800		1,056,684
Cadence Design Systems, Inc. †		23,600		488,048
CDK Global, Inc.		6,566		313,723
CDW Corp.		17,088		698,216
Cisco Systems, Inc.		237,513		6,234,716
Cognizant Technology Solutions Corp., Class A †		64,629		4,046,422
Computer Sciences Corp.		10,500		644,490
CoreLogic, Inc. †		18,100		673,863
CoStar Group, Inc. †		4,800		830,688
eBay, Inc. †		146,541		3,581,462
Electronic Arts, Inc. †		73,077		4,950,967
F5 Networks, Inc. †		6,500		752,700
Facebook, Inc., Class A †		82,533		7,419,717
FactSet Research Systems, Inc.		4,319		690,219
Fidelity National Information Services, Inc.		28,880		1,937,270
FireEye, Inc. †		18,293		582,083
Fiserv, Inc. †		42,630		3,692,184
FleetCor Technologies, Inc. †		19,235		2,647,121
Fortinet, Inc. †		43,122		1,831,823
Gartner, Inc. †		6,200		520,366
Global Payments, Inc.		10,387		1,191,701
Google, Inc., Class A †		20,318		12,970,402
Hewlett-Packard Co.		11,857		303,658
IAC/InterActiveCorp		12,900		841,983
Intel Corp.		10,460		315,264
Intuit, Inc.		33,374		2,961,943

	SHARES		VALUE (Note 4)
Information Technology - 21.4% (continued)
IPG Photonics Corp. †		5,942	$	451,414
Jack Henry & Associates, Inc.		8,800		612,568
KLA-Tencor Corp.		11,300		565,000
Lam Research Corp.		18,200		1,189,006
LinkedIn Corp., Class A †		4,830		918,328
Marvell Technology Group Ltd. (2)		53,500		484,175
MasterCard, Inc., Class A		130,096		11,724,252
Maxim Integrated Products, Inc.		21,200		708,080
Motorola Solutions, Inc.		478		32,686
NetSuite, Inc. †		13,600		1,141,040
NVIDIA Corp.		40,882		1,007,741
Palo Alto Networks, Inc. †		22,516		3,872,752
PayPal Holdings, Inc. †		10,396		322,692
Qorvo, Inc. †		34,820		1,568,641
Rackspace Hosting, Inc. †		19,930		491,872
Red Hat, Inc. †		22,415		1,611,190
Sabre Corp.		24,104		655,147
salesforce.com, inc. †		66,832		4,640,146
ServiceNow, Inc. †		28,812		2,000,993
Skyworks Solutions, Inc.		47,184		3,973,365
SolarWinds, Inc. †		12,600		494,424
Splunk, Inc. †		14,419		798,092
SS&C Technologies Holdings, Inc.		9,449		661,808
Synopsys, Inc. †		8,594		396,871
Tableau Software, Inc., Class A †		17,705		1,412,505
Texas Instruments, Inc.		16,115		798,015
Total System Services, Inc.		24,016		1,091,047
Ultimate Software Group, Inc./The †		2,490		445,735
Vantiv, Inc., Class A †		6,559		294,630
VeriSign, Inc. †		21,755		1,535,033
Visa, Inc., Class A		281,043		19,577,455
Western Digital Corp.		8,755		695,497
Western Union Co./The		34,255		628,922
Xerox Corp.		97,260		946,340
Xilinx, Inc.		15,310		649,144
Yahoo!, Inc. †		17,797		514,511
Zebra Technologies Corp., Class A †		5,618		430,058
Zillow Group, Inc., Class C †		12,000		324,000
				215,222,728
Materials - 2.0%
Air Products & Chemicals, Inc.		15,243		1,944,702
Airgas, Inc.		4,900		437,717
Alcoa, Inc.		36,532		352,899
Ashland, Inc.		6,600		664,092
Ball Corp.		21,800		1,355,960
CF Industries Holdings, Inc.		9,377		421,027
Eagle Materials, Inc.		11,000		752,620
Ecolab, Inc.		3,800		416,936
International Flavors & Fragrances, Inc.		6,500		671,190
Martin Marietta Materials, Inc.		4,779		726,169
NewMarket Corp.		1,600		571,200
Packaging Corp. of America		14,500		872,320
PPG Industries, Inc.		19,885		1,743,716
Royal Gold, Inc.		10,283		483,095
Sealed Air Corp.		23,485		1,100,977
Sherwin-Williams Co./The		15,110		3,366,206

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

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	SHARES		VALUE (Note 4)
Materials - 2.0% (continued)
Valspar Corp./The		8,500	$	610,980
Vulcan Materials Co.		21,207		1,891,664
Westlake Chemical Corp.		14,900		773,161
WestRock Co.		10,591		544,801
WR Grace & Co. †		3,700		344,285
				20,045,717
Telecommunication Services - 0.6%
Level 3 Communications, Inc. †		40,803		1,782,683
SBA Communications Corp., Class A †		14,815		1,551,723
T-Mobile US, Inc. †		66,989		2,666,832
				6,001,238
Utilities - 0.5%
American Water Works Co., Inc.		21,738		1,197,329
Atmos Energy Corp.		9,100		529,438
CMS Energy Corp.		9,990		352,847
DTE Energy Co.		4,802		385,937
ITC Holdings Corp.		14,787		492,998
NiSource, Inc.		45,756		848,774
SCANA Corp.		9,641		542,403
Sempra Energy		5,545		536,312
				4,886,038
TOTAL COMMON STOCKS (cost $855,947,598)				975,112,830

MONEY MARKET FUNDS - 2.9%	SHARES		VALUE (Note 4)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $29,587,039)		29,587,039	$	29,587,039
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.9% (cost $885,534,637)				1,004,699,869
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (b)			922,879
NET ASSETS - 100.0%			$	1,005,622,748

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

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) Includes appreciation/(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

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
216	Barclays Capital	S&P 500 E-Mini Futures		12/2015		$21,016,538		$20,613,960		$(402,578	)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
Barclays Capital
Cash	$—	$1,765,815		$1,765,815

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

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COMMON STOCKS - 96.9%	SHARES		VALUE (Note 4)
Consumer Discretionary - 16.3%
1-800-Flowers.com, Inc., Class A †		76,836	$	699,208
2U, Inc. †		32,492		1,166,463
AMC Entertainment Holdings, Inc., Class A		45,032		1,134,356
American Axle & Manufacturing Holdings, Inc. †		10,127		201,932
American Eagle Outfitters, Inc. (a)		11,440		178,807
America’s Car-Mart, Inc. †		5,800		191,922
Asbury Automotive Group, Inc. †		15,255		1,237,943
Barnes & Noble Education, Inc. †		16,345		207,745
Barnes & Noble, Inc.		27,579		333,982
Bassett Furniture Industries, Inc.		16,512		459,859
Big Lots, Inc. (a)		3,561		170,643
BJ’s Restaurants, Inc. †		19,100		821,873
Bloomin’ Brands, Inc.		24,174		439,483
Boyd Gaming Corp. †		54,401		886,736
Bright Horizons Family Solutions, Inc. †		9,113		585,419
Buckle, Inc./The (a)		8,663		320,271
Buffalo Wild Wings, Inc. †		2,561		495,374
Build-A-Bear Workshop, Inc. †		26,600		502,474
Burlington Stores, Inc. †		11,131		568,126
Caleres, Inc.		18,149		554,089
Callaway Golf Co.		14,351		119,831
Capella Education Co.		3,090		153,017
Carriage Services, Inc.		15,997		345,375
Carrols Restaurant Group, Inc. †		32,223		383,454
Cato Corp./The, Class A		16,800		571,704
Cavco Industries, Inc. †		3,700		251,933
Century Casinos, Inc. †		14,749		90,706
Cheesecake Factory, Inc./The		8,648		466,646
Chegg, Inc. †(a)		61,371		442,485
Cherokee, Inc. †		10,900		169,168
Children’s Place, Inc./The		11,177		644,578
Churchill Downs, Inc.		9,003		1,204,691
Citi Trends, Inc.		17,300		404,474
ClubCorp Holdings, Inc.		42,572		913,595
Collectors Universe, Inc.		366		5,519
Columbia Sportswear Co.		8,362		491,602
Cooper Tire & Rubber Co.		11,679		461,437
Cooper-Standard Holding, Inc. †		3,273		189,834
Core-Mark Holding Co., Inc.		12,619		825,914
Cracker Barrel Old Country Store, Inc. (a)		3,875		570,710
Culp, Inc.		11,894		381,441
Denny’s Corp. †		70,300		775,409
Diamond Resorts International, Inc. †(a)		41,035		959,809
DineEquity, Inc.		11,300		1,035,758
DreamWorks Animation SKG, Inc., Class A †		9,359		163,315
Drew Industries, Inc.		7,019		383,308
Empire Resorts, Inc. †(a)		2,031		8,550
Entravision Communications Corp., Class A		18,294		121,472
EW Scripps Co./The, Class A		44,162		780,343
Express, Inc. †		38,147		681,687
Famous Dave’s of America, Inc. †(a)		2,675		34,534
Fiesta Restaurant Group, Inc. †		8,074		366,317
Flexsteel Industries, Inc.		6,173		192,906

	SHARES		VALUE (Note 4)
Consumer Discretionary - 16.3% (continued)
FTD Cos., Inc. †		7,955	$	237,059
Gentherm, Inc. †		12,244		550,000
G-III Apparel Group Ltd. †		26,563		1,637,875
Global Eagle Entertainment, Inc. †(a)		24,438		280,548
Grand Canyon Education, Inc. †		4,900		186,151
Gray Television, Inc. †		42,717		545,069
Group 1 Automotive, Inc.		9,880		841,282
Haverty Furniture Cos., Inc.		7,500		176,100
Helen of Troy Ltd. †		17,296		1,544,533
Hooker Furniture Corp. (a)		12,387		291,590
Houghton Mifflin Harcourt Co. †		18,591		377,583
HSN, Inc.		4,348		248,879
IMAX Corp. (Canada) †(a)		6,991		236,226
Installed Building Products, Inc. †		26,386		667,038
International Speedway Corp., Class A		4,955		157,173
Interval Leisure Group, Inc.		15,214		279,329
Isle of Capri Casinos, Inc. †		34,624		603,843
Jack in the Box, Inc.		8,243		635,041
Jamba, Inc. †(a)		11,862		169,033
Kirkland’s, Inc.		14,240		306,730
Kona Grill, Inc. †(a)		16,400		258,300
Lee Enterprises, Inc. †		13,748		28,596
Libbey, Inc.		16,700		544,587
Liberty Tax, Inc. (a)		6,900		160,701
LifeLock, Inc. †(a)		35,039		306,942
Lithia Motors, Inc., Class A		12,600		1,362,186
Loral Space & Communications, Inc. †		2,600		122,408
Marcus Corp./The		6,900		133,446
MarineMax, Inc. †		27,463		388,052
Marriott Vacations Worldwide Corp.		20,400		1,390,056
Mattress Firm Holding Corp. †(a)		22,100		922,896
MDC Partners, Inc., Class A		7,871		145,062
Men’s Wearhouse, Inc./The		11,605		493,445
Monarch Casino & Resort, Inc. †		7,349		132,062
Monro Muffler Brake, Inc.		5,300		358,015
Motorcar Parts of America, Inc. †		13,486		422,651
NACCO Industries, Inc., Class A		4,200		199,710
Nathan’s Famous, Inc.		1,366		51,935
Nautilus, Inc. †		36,046		540,690
New Media Investment Group, Inc.		33,484		517,663
Nexstar Broadcasting Group, Inc., Class A		14,176		671,234
Nutrisystem, Inc.		21,700		575,484
Outerwall, Inc. (a)		5,290		301,160
Overstock.com, Inc. †		20,834		357,511
Oxford Industries, Inc.		9,862		728,605
Papa John’s International, Inc.		26,377		1,806,297
Papa Murphy’s Holdings, Inc. †(a)		22,659		332,634
Penn National Gaming, Inc. †(a)		55,621		933,320
Performance Sports Group Ltd. †		19,345		259,610
Perry Ellis International, Inc. †		17,616		386,847
PetMed Express, Inc. (a)		10,939		176,118
Pool Corp.		9,144		661,111
Popeyes Louisiana Kitchen, Inc. †		19,400		1,093,384
Rave Restaurant Group, Inc. †(a)		7,822		66,722
Red Robin Gourmet Burgers, Inc. †		8,127		615,539
Rent-A-Center, Inc.		5,373		130,295
Rentrak Corp. †(a)		4,798		259,428

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

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	SHARES		VALUE (Note 4)
Consumer Discretionary - 16.3% (continued)
Restoration Hardware Holdings, Inc. †		5,135	$	479,147
Rocky Brands, Inc.		345		4,896
Ruth’s Hospitality Group, Inc.		22,500		365,400
Scholastic Corp.		17,499		681,761
Scientific Games Corp., Class A †(a)		53,979		564,081
Select Comfort Corp. †		35,132		768,688
Sequential Brands Group, Inc. †(a)		25,800		373,326
Shoe Carnival, Inc.		7,229		172,050
Skullcandy, Inc. †		25,665		141,927
Smith & Wesson Holding Corp. †		19,914		335,949
Sonic Corp.		36,600		839,970
Speedway Motorsports, Inc.		8,423		152,035
Sportsman’s Warehouse Holdings, Inc. †(a)		16,127		198,685
Standard Motor Products, Inc.		7,482		260,972
Stein Mart, Inc.		14,500		140,360
Steven Madden Ltd. †		30,019		1,099,296
Strattec Security Corp.		2,800		176,568
Strayer Education, Inc. †		2,736		150,398
Sturm Ruger & Co., Inc.		2,117		124,247
Superior Uniform Group, Inc.		9,846		176,539
Texas Roadhouse, Inc.		43,558		1,620,358
Tile Shop Holdings, Inc. †		9,494		113,738
Tilly’s, Inc., A Shares †		20,094		147,892
Tower International, Inc. †		8,484		201,580
Unifi, Inc. †		10,400		310,024
Universal Electronics, Inc. †		9,143		384,280
Vail Resorts, Inc.		4,010		419,767
World Wrestling Entertainment, Inc., Class A (a)		41,508		701,485
YOU On Demand Holdings, Inc. †(a)		10,888		21,014
ZAGG, Inc. †		33,050		224,409
Zoe’s Kitchen, Inc. †(a)		11,850		467,956
Zumiez, Inc. †		10,529		164,568
				65,537,377
Consumer Staples - 4.3%
Boston Beer Co., Inc./The, Class A †(a)		700		147,427
Calavo Growers, Inc.		14,700		656,208
Cal-Maine Foods, Inc. (a)		28,000		1,529,080
Casey’s General Stores, Inc.		5,193		534,464
Central Garden & Pet Co., Class A †		20,297		326,985
Coca-Cola Bottling Co. Consolidated		6,851		1,324,846
Dean Foods Co.		9,918		163,845
Diamond Foods, Inc. †		10,721		330,850
Fresh Del Monte Produce, Inc.		31,400		1,240,614
Fresh Market, Inc./The †(a)		5,322		120,224
HRG Group, Inc. †		27,532		322,950
Ingles Markets, Inc., Class A		16,905		808,566
Inter Parfums, Inc.		6,100		151,341
J&J Snack Foods Corp.		7,497		852,109
John B. Sanfilippo & Son, Inc.		13,162		674,684
Liberator Medical Holdings, Inc. (a)		12,454		29,267
Medifast, Inc. †		6,400		171,904
National Beverage Corp. †		9,977		306,593
Natural Health Trends Corp. (a)		18,300		598,044
Omega Protein Corp. †		13,000		220,610
Post Holdings, Inc. †		21,955		1,297,541
Revlon, Inc., Class A †		23,700		697,965

	SHARES		VALUE (Note 4)
Consumer Staples - 4.3% (continued)
Snyder’s-Lance, Inc.		23,881	$	805,506
SpartanNash Co.		19,064		492,804
SUPERVALU, Inc. †		16,331		117,257
Tootsie Roll Industries, Inc. (a)		3,895		121,875
USANA Health Sciences, Inc. †		8,964		1,201,445
Vector Group Ltd. (a)		73,494		1,661,696
WD-40 Co.		5,500		489,885
				17,396,585
Energy - 0.7%
Aemetis, Inc. †		958		2,635
Alon USA Energy, Inc.		35,205		636,154
Delek US Holdings, Inc.		17,683		489,819
Enbridge Energy Management LLC		973		23,138
Nordic American Tankers Ltd. (Norway) (a)		47,016		714,643
Panhandle Oil and Gas, Inc., Class A		8,155		131,785
REX American Resources Corp. †(a)		3,115		157,681
Teekay Tankers Ltd., Class A		73,424		506,626
Vertex Energy, Inc. †(a)		15,052		32,211
				2,694,692
Financials - 17.3%
Acadia Realty Trust REIT		17,137		515,310
Actua Corp. †		12,100		142,296
Agree Realty Corp. REIT		6,100		182,085
Alexander’s, Inc. REIT		1,300		486,200
American Assets Trust, Inc. REIT		17,708		723,549
American Equity Investment Life Holding Co.		20,578		479,673
Ameris Bancorp		11,401		327,779
AMERISAFE, Inc.		5,675		282,218
Argo Group International Holdings Ltd.		16,900		956,371
Atlas Financial Holdings, Inc. †		8,617		159,415
Banc of California, Inc.		16,338		200,467
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		14,983		346,856
BancorpSouth, Inc.		37,335		887,453
Bank of the Ozarks, Inc.		23,533		1,029,804
Banner Corp.		9,863		471,156
Beneficial Bancorp, Inc. †		21,218		281,351
Berkshire Hills Bancorp, Inc.		11,726		322,934
BGC Partners, Inc., Class A		151,900		1,248,618
BNC Bancorp		14,052		312,376
BofI Holding, Inc. †		12,968		1,670,667
Boston Private Financial Holdings, Inc.		13,300		155,610
Brookline Bancorp, Inc.		19,253		195,225
Capital Bank Financial Corp., Class A †		28,431		859,469
Cardinal Financial Corp.		12,981		298,693
Cash America International, Inc.		15,002		419,606
Cathay General Bancorp (a)		49,543		1,484,308
Cedar Realty Trust, Inc. REIT		29,000		180,090
CenterState Banks, Inc.		8,337		122,554
Central Pacific Financial Corp.		18,939		397,151
Chatham Lodging Trust REIT		17,052		366,277
Chemical Financial Corp.		6,828		220,886
Cohen & Steers, Inc.		9,516		261,214
Columbia Banking System, Inc.		24,968		779,251
ConnectOne Bancorp, Inc.		11,700		225,810

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

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	SHARES		VALUE (Note 4)
Financials - 17.3% (continued)
Consumer Portfolio Services, Inc. †		14,083	$	70,133
CoreSite Realty Corp. REIT		20,502		1,054,623
Cowen Group, Inc., Class A †(a)		57,400		261,744
Customers Bancorp, Inc. †		25,906		665,784
CyrusOne, Inc. REIT		37,452		1,223,182
Diamond Hill Investment Group, Inc.		1,639		304,920
DuPont Fabros Technology, Inc. REIT		11,068		286,440
Eagle Bancorp, Inc. †		23,148		1,053,234
Education Realty Trust, Inc. REIT		8,506		280,273
Employers Holdings, Inc.		6,600		147,114
Enstar Group Ltd. †		3,300		495,000
Essent Group Ltd. †		44,185		1,097,997
EverBank Financial Corp.		12,935		249,646
Evercore Partners, Inc., Class A		3,405		171,067
FBL Financial Group, Inc., Class A		11,100		682,872
FBR & Co.		2,467		50,376
FCB Financial Holdings, Inc., Class A †		12,131		395,713
Federal Agricultural Mortgage Corp., Class C		635		16,466
Federated National Holding Co.		17,400		417,948
Fidelity Southern Corp.		19,921		421,130
First American Financial Corp.		12,750		498,143
First Defiance Financial Corp.		7,117		260,198
First Interstate BancSystem, Inc., Class A		9,200		256,128
First Merchants Corp.		14,150		371,013
GAIN Capital Holdings, Inc.		24,292		176,846
GAMCO Investors, Inc., Class A		4,800		263,520
GEO Group, Inc./The REIT		5,081		151,109
Gladstone Commercial Corp. REIT		10,000		141,100
Great Southern Bancorp, Inc.		6,714		290,716
Greenlight Capital Re Ltd., Class A †		6,200		138,136
Hanmi Financial Corp.		13,175		332,010
HCI Group, Inc.		3,900		151,203
Heartland Financial USA, Inc.		9,469		343,630
Heritage Insurance Holdings, Inc. †		14,157		279,318
HFF, Inc., Class A		20,300		685,328
Home BancShares, Inc.		16,580		671,490
HomeStreet, Inc. †		11,176		258,166
Horace Mann Educators Corp.		12,800		425,216
Hudson Pacific Properties, Inc. REIT		38,075		1,096,179
Impac Mortgage Holdings, Inc. †(a)		16,446		268,892
Independent Bank Corp./MA (a)		10,916		503,228
Independent Bank Corp./MI		23,700		349,812
Infinity Property & Casualty Corp.		3,300		265,782
INTL. FCStone, Inc. †		11,704		288,972
Investment Technology Group, Inc.		20,907		278,899
Investors Bancorp, Inc.		46,633		575,451
Janus Capital Group, Inc.		9,023		122,713
Kennedy-Wilson Holdings, Inc.		22,311		494,635
Ladenburg Thalmann Financial Services, Inc. †(a)		125,900		265,649
Lakeland Financial Corp.		7,500		338,625
LegacyTexas Financial Group, Inc.		12,927		394,015
LendingTree, Inc. †		13,441		1,250,416
LTC Properties, Inc. REIT		6,113		260,842
Maiden Holdings Ltd.		37,600		521,888
Marcus & Millichap, Inc. †		28,051		1,290,065

	SHARES		VALUE (Note 4)
Financials - 17.3% (continued)
MarketAxess Holdings, Inc.		9,015	$	837,313
MB Financial, Inc.		34,300		1,119,552
Meridian Bancorp, Inc.		24,780		338,743
Meta Financial Group, Inc.		5,100		213,027
MGIC Investment Corp. †		26,804		248,205
Monmouth Real Estate Investment Corp. REIT (a)		33,284		324,519
National General Holdings Corp.		8,430		162,615
National Health Investors, Inc. REIT		2,087		119,982
Navigators Group, Inc./The †		6,000		467,880
Nelnet, Inc., Class A		9,959		344,681
Newtek Business Services Corp.		3,014		49,520
OneBeacon Insurance Group Ltd., Class A		14,400		202,176
Opus Bank		6,533		249,822
Oritani Financial Corp.		10,200		159,324
Pennsylvania Real Estate Investment Trust REIT		28,975		574,574
Physicians Realty Trust REIT		30,794		464,681
Pinnacle Financial Partners, Inc.		25,631		1,266,428
Piper Jaffray Cos. †		4,807		173,869
Preferred Bank		10,281		324,880
Primerica, Inc.		7,209		324,910
PrivateBancorp, Inc.		38,043		1,458,188
QTS Realty Trust, Inc., Class A REIT		23,400		1,022,346
Radian Group, Inc.		16,195		257,662
Ramco-Gershenson Properties Trust REIT		11,890		178,469
RE/MAX Holdings, Inc., Class A		7,284		262,078
Retail Opportunity Investments Corp. REIT		32,759		541,834
Rexford Industrial Realty, Inc. REIT		14,657		202,120
RLI Corp.		14,506		776,506
Ryman Hospitality Properties, Inc. REIT		3,592		176,834
S&T Bancorp, Inc.		3,900		127,218
Safety Insurance Group, Inc.		5,200		281,580
Saul Centers, Inc. REIT		5,039		260,768
Seacoast Banking Corp of Florida †		27,451		402,981
Security National Financial Corp., Class A †		1,159		7,846
Selective Insurance Group, Inc.		10,554		327,807
ServisFirst Bancshares, Inc.		13,076		543,046
Simmons First National Corp., Class A		2,900		138,997
South State Corp.		11,167		858,407
Southside Bancshares, Inc.		8,144		224,367
State Bank Financial Corp.		11,678		241,501
Sterling Bancorp		28,435		422,828
Stewart Information Services Corp.		11,723		479,588
Stonegate Bank		6,484		206,256
Summit Hotel Properties, Inc. REIT		52,900		617,343
Sun Communities, Inc. REIT		8,378		567,693
Talmer Bancorp, Inc., Class A		24,949		415,401
Terreno Realty Corp. REIT		7,970		156,531
United Bankshares, Inc.		39,931		1,516,979
United Community Banks, Inc.		45,708		934,272
United Insurance Holdings Corp.		26,636		350,263
Universal Health Realty Income Trust REIT		6,042		283,611

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

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	SHARES		VALUE (Note 4)
Financials - 17.3% (continued)
Universal Insurance Holdings, Inc.		34,500	$	1,019,130
Urstadt Biddle Properties, Inc., Class A REIT		9,209		172,577
Walker & Dunlop, Inc. †		19,579		510,620
Waterstone Financial, Inc. (a)		33,935		457,444
Webster Financial Corp.		19,426		692,148
WesBanco, Inc.		7,700		242,165
Western Alliance Bancorp †		69,950		2,148,165
Wilshire Bancorp, Inc.		22,575		237,263
Winthrop Realty Trust REIT †		11,147		160,071
Wintrust Financial Corp.		5,845		312,298
WisdomTree Investments, Inc. (a)		26,973		435,074
WSFS Financial Corp.		8,700		250,647
				69,443,340
Health Care - 23.9%
AAC Holdings, Inc. †(a)		15,821		352,017
Abaxis, Inc.		11,506		506,149
ABIOMED, Inc. †		28,488		2,642,547
ACADIA Pharmaceuticals, Inc. †		12,958		428,521
Accelerate Diagnostics, Inc. †(a)		18,930		306,287
Acceleron Pharma, Inc. †(a)		6,200		154,380
Aceto Corp.		14,995		411,613
Addus HomeCare Corp. †		14,600		454,790
Adeptus Health, Inc., Class A †(a)		13,334		1,076,854
Advaxis, Inc. †(a)		37,100		379,533
Aerie Pharmaceuticals, Inc. †		6,320		112,117
Affymetrix, Inc. †		47,913		409,177
Agenus, Inc. †		90,812		417,735
Albany Molecular Research, Inc. †(a)		12,590		219,318
Alder Biopharmaceuticals, Inc. †		31,860		1,043,734
Almost Family, Inc. †		8,516		341,066
AMAG Pharmaceuticals, Inc. †		25,026		994,283
Amedisys, Inc. †		27,179		1,031,987
Amicus Therapeutics, Inc. †		85,838		1,200,874
AMN Healthcare Services, Inc. †		33,663		1,010,227
Amphastar Pharmaceuticals, Inc. †		20,654		241,445
Amsurg Corp. †		7,999		621,602
Anacor Pharmaceuticals, Inc. †		8,043		946,742
Analogic Corp.		2,300		188,692
AngioDynamics, Inc. †		12,500		164,875
ANI Pharmaceuticals, Inc. †(a)		10,500		414,855
Anika Therapeutics, Inc. †		5,727		182,290
Anthera Pharmaceuticals, Inc. †(a)		43,342		263,953
Aratana Therapeutics, Inc. †		8,631		73,018
ARIAD Pharmaceuticals, Inc. †		119,514		697,962
Array BioPharma, Inc. †(a)		101,950		464,892
Assembly Biosciences, Inc. †(a)		13,311		127,253
AtriCure, Inc. †		20,400		446,964
Atrion Corp.		700		262,472
BioSpecifics Technologies Corp. †		6,287		273,736
BioTelemetry, Inc. †		25,845		316,343
BioTime, Inc. †(a)		47,742		143,226
Cambrex Corp. †		24,629		977,279
Cantel Medical Corp.		22,204		1,258,967
Capital Senior Living Corp. †		6,600		132,330
Cara Therapeutics, Inc. †		6,672		95,343
Cardiovascular Systems, Inc. †		8,628		136,668

	SHARES		VALUE (Note 4)
Health Care - 23.9% (continued)
Catalent, Inc. †		16,713	$	406,126
Catalyst Pharmaceuticals, Inc. †(a)		130,280		390,840
Celldex Therapeutics, Inc. †(a)		49,300		519,622
Cellular Biomedicine Group, Inc. †(a)		13,485		228,301
Cempra, Inc. †		38,001		1,057,948
Cepheid †		7,757		350,616
Chemed Corp.		10,400		1,388,088
Chimerix, Inc. †		32,682		1,248,452
Clovis Oncology, Inc. †		6,053		556,634
Concert Pharmaceuticals, Inc. †		28,211		529,520
CONMED Corp.		11,344		541,563
Corcept Therapeutics, Inc. †(a)		59,094		222,193
CorMedix, Inc. †(a)		71,090		141,469
CorVel Corp. †		6,100		197,030
Cross Country Healthcare, Inc. †		33,380		454,302
CTI BioPharma Corp. †(a)		77,000		112,420
Curis, Inc. †		62,196		125,636
Cutera Inc †		8,630		112,880
Cyberonics, Inc. †		1,822		110,741
Cynosure, Inc., Class A †		14,427		433,387
Cytokinetics, Inc. †		18,480		123,631
CytoSorbents Corp. †(a)		1,709		10,784
Durect Corp. †		131,192		255,824
Dyax Corp. †		26,166		499,509
Dynavax Technologies Corp. †		22,837		560,420
Eagle Pharmaceuticals, Inc. †(a)		14,239		1,054,113
Emergent BioSolutions, Inc. †		14,333		408,347
Enanta Pharmaceuticals, Inc. †(a)		3,197		115,540
Endologix, Inc. †(a)		16,646		204,080
Ensign Group, Inc./The		20,800		886,704
Esperion Therapeutics, Inc. †(a)		17,402		410,513
Exact Sciences Corp. †(a)		46,894		843,623
ExamWorks Group, Inc. †		10,354		302,751
Exelixis, Inc. †(a)		76,940		431,633
Five Prime Therapeutics, Inc. †		23,893		367,713
Flexion Therapeutics, Inc. †(a)		16,269		241,757
FONAR Corp. †		2,793		37,454
Fortress Biotech, Inc. †(a)		15,562		40,461
Geron Corp. †(a)		144,460		398,710
Globus Medical, Inc., Class A †		22,202		458,693
Greatbatch, Inc. †		10,740		605,951
Haemonetics Corp. †		8,397		271,391
Halozyme Therapeutics, Inc. †		81,035		1,088,300
HealthEquity, Inc. †		15,821		467,511
HealthStream, Inc. †		10,106		220,412
Healthways, Inc. †		15,174		168,735
Heska Corp. †(a)		11,975		364,998
ICU Medical, Inc. †		11,500		1,259,250
Idera Pharmaceuticals, Inc. †(a)		52,479		175,805
IGI Laboratories, Inc. †(a)		27,952		182,806
Ignyta, Inc. †(a)		27,713		243,320
ImmunoGen, Inc. †(a)		40,411		387,946
Impax Laboratories, Inc. †		10,675		375,867
Infinity Pharmaceuticals, Inc. †		17,867		150,976
Inogen, Inc. †		21,088		1,023,822
Insmed, Inc. †		40,458		751,305
Insys Therapeutics, Inc. †(a)		47,756		1,359,136

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

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	SHARES		VALUE (Note 4)
Health Care - 23.9% (continued)
Integra LifeSciences Holdings Corp. †		15,955	$	950,120
Intersect ENT, Inc. †		9,865		230,841
Intra-Cellular Therapies, Inc. †		26,477		1,060,139
Invacare Corp.		12,759		184,623
IsoRay, Inc. †(a)		72,157		101,020
K2M Group Holdings, Inc. †		22,913		426,182
Kite Pharma, Inc. †(a)		25,857		1,439,718
Lannett Co., Inc. †(a)		24,260		1,007,275
LDR Holding Corp. †		24,123		832,967
LHC Group, Inc. †		12,246		548,253
Ligand Pharmaceuticals, Inc. †(a)		12,009		1,028,571
Lion Biotechnologies, Inc. †(a)		33,529		193,127
MacroGenics, Inc. †		22,832		489,061
Magellan Health, Inc. †		2,668		147,887
Masimo Corp. †		27,325		1,053,652
Medcath Corp. (3)†(b)		10,300		—
Medicines Co./The †		7,987		303,187
Medidata Solutions, Inc. †		6,513		274,262
Merit Medical Systems, Inc. †		27,715		662,666
Merrimack Pharmaceuticals, Inc. †(a)		78,414		667,303
MiMedx Group, Inc. †(a)		76,902		742,104
Mirati Therapeutics, Inc. †		12,588		433,279
Molina Healthcare, Inc. †		6,919		476,373
Momenta Pharmaceuticals, Inc. †		39,468		647,670
National HealthCare Corp.		2,800		170,492
Natus Medical, Inc. †		23,400		923,130
Neogen Corp. †		8,606		387,184
NeoGenomics, Inc. †		53,208		304,882
Neurocrine Biosciences, Inc. †		16,359		650,925
NewLink Genetics Corp. †		22,252		797,512
Northwest Biotherapeutics, Inc. †(a)		39,500		246,875
Novavax, Inc. †		172,476		1,219,405
NuVasive, Inc. †		29,474		1,421,236
NxStage Medical, Inc. †		26,873		423,787
Ocular Therapeutix, Inc. †		6,822		95,917
Ohr Pharmaceutical, Inc. †(a)		7,600		20,976
Omeros Corp. †(a)		21,758		238,468
Omnicell, Inc. †		23,913		743,694
Oncothyreon, Inc. †		37,144		101,775
Ophthotech Corp. †		22,207		899,828
OraSure Technologies, Inc. †		36,400		161,616
Organovo Holdings, Inc. †		37,800		101,304
Osiris Therapeutics, Inc. †(a)		13,502		249,382
OvaScience, Inc. †(a)		31,779		269,804
Pacific Biosciences of California, Inc. †(a)		47,900		175,314
Peregrine Pharmaceuticals, Inc. †(a)		181,400		185,028
Pfenex, Inc. †		6,838		102,638
PharMerica Corp. †		6,200		176,514
Phibro Animal Health Corp., Class A		24,965		789,643
Portola Pharmaceuticals, Inc. †		35,319		1,505,296
POZEN, Inc. †		23,700		138,289
Prestige Brands Holdings, Inc. †		27,567		1,244,926
Progenics Pharmaceuticals, Inc. †(a)		80,442		460,128
Prothena Corp. PLC (Ireland) †		6,683		303,007
Providence Service Corp./The †		11,836		515,813
pSivida Corp. †		2,554		9,322
PTC Therapeutics, Inc. †		19,295		515,176

	SHARES		VALUE (Note 4)
Health Care - 23.9% (continued)
Radius Health, Inc. †		25,130	$	1,741,760
RadNet, Inc. †		43,062		238,994
Raptor Pharmaceutical Corp. †(a)		47,635		288,192
Regulus Therapeutics, Inc. †(a)		48,590		317,779
Relypsa, Inc. †(a)		24,783		458,733
Repligen Corp. †		28,474		793,001
Retrophin, Inc. †		28,175		570,825
Rockwell Medical, Inc. †(a)		26,667		205,603
RTI Surgical, Inc. †		39,509		224,411
Sage Therapeutics, Inc. †(a)		16,395		693,836
Sagent Pharmaceuticals, Inc. †		7,610		116,661
Sarepta Therapeutics, Inc. †		16,370		525,641
SciClone Pharmaceuticals, Inc. †		47,301		328,269
Select Medical Holdings Corp.		11,378		122,769
Sequenom, Inc. †(a)		70,200		122,850
Sorrento Therapeutics, Inc. †(a)		29,782		249,871
Spectranetics Corp./The †		12,584		148,365
STERIS Corp.		3,218		209,073
Sucampo Pharmaceuticals, Inc., Class A †		44,100		876,267
Supernus Pharmaceuticals, Inc. †		41,767		585,991
Surgical Care Affiliates, Inc. †		9,882		323,043
Synergy Pharmaceuticals, Inc. †(a)		71,825		380,673
TESARO, Inc. †(a)		27,865		1,117,387
Tetraphase Pharmaceuticals, Inc. †(a)		39,304		293,208
TG Therapeutics, Inc. †(a)		50,599		510,038
TherapeuticsMD, Inc. †(a)		93,705		549,111
Trevena, Inc. †		21,723		224,833
Ultragenyx Pharmaceutical, Inc. †		6,694		644,699
Universal American Corp. †		36,400		248,976
US Physical Therapy, Inc.		7,497		336,540
Vascular Solutions, Inc. †		15,785		511,592
WellCare Health Plans, Inc. †		4,747		409,096
West Pharmaceutical Services, Inc.		5,928		320,823
Xencor, Inc. †(a)		32,703		399,958
XenoPort, Inc. †(a)		56,264		195,236
Zafgen, Inc. †		16,676		532,798
Zeltiq Aesthetics, Inc. †		35,600		1,140,268
ZIOPHARM Oncology, Inc. †(a)		101,588		915,308
Zogenix, Inc. †		7,171		96,809
ZS Pharma, Inc. †		15,648		1,027,448
				96,247,976
Industrials - 10.8%
AAON, Inc.		14,623		283,394
ABM Industries, Inc.		14,542		397,142
ACCO Brands Corp. †		35,786		253,007
Advanced Drainage Systems, Inc. (a)		13,989		404,702
Aerojet Rocketdyne Holdings, Inc. †		6,871		111,173
Air Transport Services Group, Inc. †		33,900		289,845
Aircastle Ltd.		37,257		767,867
Alamo Group, Inc.		3,400		158,950
Albany International Corp., Class A		6,000		171,660
Allegiant Travel Co.		10,518		2,274,517
Allied Motion Technologies, Inc. (a)		17,011		302,285
American Woodmark Corp. †		15,042		975,775
Apogee Enterprises, Inc.		21,349		953,233
ARC Document Solutions, Inc. †		30,400		180,880
ARC Group Worldwide, Inc. †(a)		4,949		8,908

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

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	SHARES		VALUE (Note 4)
Industrials - 10.8% (continued)
ArcBest Corp.		7,204	$	185,647
Argan, Inc.		11,710		406,103
Arotech Corp. †(a)		15,890		21,134
Astec Industries, Inc.		4,900		164,199
Astronics Corp. †		14,701		594,361
Astronics Corp., Class B †		357		14,541
Atlas Air Worldwide Holdings, Inc. †		10,700		369,792
Barnes Group, Inc.		3,576		128,915
Beacon Roofing Supply, Inc. †		6,022		195,655
Blount International, Inc. †		25,300		140,921
Brink’s Co./The		14,447		390,213
Builders FirstSource, Inc. †		65,615		831,998
CEB, Inc.		15,729		1,074,920
Comfort Systems USA, Inc.		24,780		675,503
Continental Building Products, Inc. †		23,148		475,460
Covenant Transportation Group, Inc., Class A †		27,846		500,393
CRA International, Inc. †		8,100		174,798
Deluxe Corp.		5,000		278,700
Douglas Dynamics, Inc.		10,400		206,544
Dycom Industries, Inc. †		22,719		1,643,947
Echo Global Logistics, Inc. †		22,720		445,312
Engility Holdings, Inc.		6,857		176,773
Exponent, Inc.		15,703		699,726
Federal Signal Corp.		19,000		260,490
FTI Consulting, Inc. †		8,017		332,786
G&K Services, Inc., Class A		10,900		726,158
Gibraltar Industries, Inc. †		10,850		199,097
GP Strategies Corp. †		6,900		157,458
Griffon Corp. (a)		21,547		339,796
Hawaiian Holdings, Inc. †		39,900		984,732
HC2 Holdings, Inc. †(a)		27,896		195,551
Healthcare Services Group, Inc.		28,824		971,369
Heartland Express, Inc. (a)		14,092		280,994
Heidrick & Struggles International, Inc.		9,306		181,002
Herman Miller, Inc.		5,100		147,084
Hillenbrand, Inc.		5,259		136,787
HNI Corp.		25,400		1,089,660
Huron Consulting Group, Inc. †		5,854		366,051
Insperity, Inc.		16,898		742,329
Interface, Inc.		32,782		735,628
John Bean Technologies Corp.		10,194		389,920
Kadant, Inc.		3,300		128,733
Kaman Corp.		5,100		182,835
Kforce, Inc.		16,200		425,736
Kimball International, Inc., Class B		5,536		52,371
Knight Transportation, Inc.		18,211		437,064
Knoll, Inc.		29,720		653,246
Korn/Ferry International		12,092		399,882
Lydall, Inc. †		12,100		344,729
Marten Transport Ltd.		11,400		184,338
Masonite International Corp. †		10,874		658,747
Matson, Inc.		18,332		705,599
Matthews International Corp., Class A		12,616		617,806
Mobile Mini, Inc.		4,100		126,239
Mueller Industries, Inc.		19,097		564,889
Mueller Water Products, Inc., Class A		26,500		202,990

	SHARES		VALUE (Note 4)
Industrials - 10.8% (continued)
Multi-Color Corp.		13,900	$	1,063,211
MYR Group, Inc. †		5,924		155,209
NCI Building Systems, Inc. †		18,800		198,716
NV5 Holdings, Inc. †(a)		13,579		252,026
On Assignment, Inc. †		7,584		279,850
PAM Transportation Services, Inc. †		6,336		209,405
Park-Ohio Holdings Corp.		7,000		202,020
Patrick Industries, Inc. †		25,350		1,001,071
PGT, Inc. †		33,608		412,706
PowerSecure International, Inc. †		14,419		166,107
Radiant Logistics, Inc. †		36,483		162,714
RBC Bearings, Inc. †		5,606		334,846
Resources Connection, Inc.		13,900		209,473
Rush Enterprises, Inc., Class A †		5,556		134,455
Saia, Inc. †		8,680		268,646
SkyWest, Inc.		25,525		425,757
Sparton Corp. †		9,000		192,600
Standex International Corp.		6,672		502,735
Steelcase, Inc., Class A		50,750		934,307
TASER International, Inc. †(a)		43,030		947,736
Team, Inc. †		4,400		141,328
Tennant Co.		5,900		331,462
Trex Co., Inc. †		21,814		727,061
UniFirst Corp.		3,996		426,813
Universal Forest Products, Inc.		4,557		262,848
US Ecology, Inc.		6,457		281,848
USA Truck, Inc. †		7,500		129,225
Viad Corp.		5,800		168,142
VSE Corp.		4,700		188,329
WageWorks, Inc. †		6,981		314,703
Werner Enterprises, Inc.		13,634		342,213
West Corp.		19,398		434,515
Willdan Group, Inc. †		16,746		169,804
Xerium Technologies, Inc. †		1,411		18,315
XPO Logistics, Inc. †(a)		4,398		104,804
				43,345,989
Information Technology - 18.6%
ACI Worldwide, Inc. †		49,888		1,053,635
Advanced Energy Industries, Inc. †		16,250		427,375
Ambarella, Inc. †(a)		22,649		1,308,886
AVX Corp.		17,500		229,075
Axcelis Technologies, Inc. †		99,000		264,330
Badger Meter, Inc.		3,300		191,598
Barracuda Networks, Inc. †(a)		10,068		156,859
Benefitfocus, Inc. †(a)		3,643		113,844
Blackbaud, Inc.		26,839		1,506,205
Blackhawk Network Holdings, Inc. †		38,176		1,618,281
BroadSoft, Inc. †		17,977		538,591
Brooks Automation, Inc.		36,000		421,560
Cabot Microelectronics Corp. †		4,000		154,960
CACI International, Inc., Class A †		11,600		858,052
Callidus Software, Inc. †		41,370		702,876
Carbonite, Inc. †		13,200		146,916
Cardtronics, Inc. †		7,814		255,518
Cavium, Inc. †		5,482		336,430
CEVA, Inc. †		12,650		234,910
Ciena Corp. †		59,377		1,230,291

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

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	SHARES		VALUE (Note 4)
Information Technology - 18.6% (continued)
Cimpress NV (Netherlands) †(a)		3,151	$	239,823
Cirrus Logic, Inc. †		36,762		1,158,371
Clearfield, Inc. †(a)		15,000		201,450
comScore, Inc. †		26,388		1,217,806
Constant Contact, Inc. †		5,533		134,120
Convergys Corp.		34,508		797,480
Cray, Inc. †		7,714		152,814
CSG Systems International, Inc.		12,521		385,647
CTS Corp.		12,200		225,822
DHI Group, Inc. †		25,100		183,481
Digimarc Corp. †(a)		7,784		237,801
Diodes, Inc. †		7,561		161,579
DTS, Inc. †		16,111		430,164
EarthLink Holdings Corp.		98,874		769,240
Ebix, Inc. (a)		31,209		778,977
Electronics For Imaging, Inc. †		6,900		298,632
Ellie Mae, Inc. †		25,912		1,724,962
Endurance International Group Holdings, Inc. †(a)		74,698		997,965
Entegris, Inc. †		51,536		679,760
Envestnet, Inc. †		5,194		155,664
EPAM Systems, Inc. †		9,750		726,570
Epiq Systems, Inc.		13,174		170,208
ePlus, Inc. †		7,216		570,569
Euronet Worldwide, Inc. †		4,150		307,473
ExlService Holdings, Inc. †		15,533		573,634
Fabrinet (Thailand) †		9,400		172,302
Fair Isaac Corp.		18,834		1,591,473
Fairchild Semiconductor International, Inc. †		14,138		198,498
FARO Technologies, Inc. †		3,800		133,000
Fleetmatics Group PLC (Ireland) †(a)		28,747		1,411,190
FormFactor, Inc. †		30,700		208,146
Gigamon, Inc. †		27,827		556,818
Globant SA (Luxembourg) †(a)		7,835		239,673
Glu Mobile, Inc. †(a)		101,300		442,681
Gogo, Inc. †(a)		32,429		495,515
GSI Group, Inc. †		11,800		150,214
GTT Communications, Inc. †		24,583		571,801
Guidewire Software, Inc. †		6,317		332,148
Hackett Group, Inc./The		26,961		370,714
Heartland Payment Systems, Inc.		15,305		964,368
II-VI, Inc. †		19,798		318,352
Imperva, Inc. †		21,630		1,416,332
Infinera Corp. †		89,900		1,758,444
Infoblox, Inc. †		39,629		633,271
Information Services Group, Inc.		8,157		31,894
Inphi Corp. †		27,451		659,922
Insight Enterprises, Inc. †		9,667		249,892
Integrated Device Technology, Inc. †		10,544		214,043
InterDigital, Inc.		23,400		1,184,040
Internap Corp. †		42,061		257,834
Intersil Corp., Class A		10,965		128,290
Intralinks Holdings, Inc. †		16,496		136,752
Ixia †		11,039		159,955
j2 Global, Inc.		7,093		502,539
Lionbridge Technologies, Inc. †		33,300		164,502

	SHARES		VALUE (Note 4)
Information Technology - 18.6% (continued)
Littelfuse, Inc.		1,800	$	164,070
LiveDeal, Inc. †(a)		23,792		39,971
LogMeIn, Inc. †		17,173		1,170,512
Luxoft Holding, Inc. (Switzerland) †		4,057		256,768
M/A-COM Technology Solutions Holdings, Inc. †		35,551		1,030,623
Manhattan Associates, Inc. †		13,981		871,016
Mattson Technology, Inc. †		78,668		183,296
MAXIMUS, Inc.		7,989		475,825
Mentor Graphics Corp.		9,300		229,059
Mercury Systems, Inc. †		18,800		299,108
Mesa Laboratories, Inc. (a)		1,461		162,755
Methode Electronics, Inc.		6,757		215,548
Microsemi Corp. †		4,690		153,926
MicroStrategy, Inc., Class A †		6,526		1,282,163
MicroVision, Inc. †(a)		33,591		107,155
MKS Instruments, Inc.		21,090		707,148
Monolithic Power Systems, Inc.		22,400		1,146,880
Monotype Imaging Holdings, Inc.		8,200		178,924
Monster Worldwide, Inc. †		18,488		118,693
MTS Systems Corp.		2,200		132,242
Multi-Fineline Electronix, Inc. †		19,878		331,963
NeoPhotonics Corp. †(a)		46,104		313,968
Novatel Wireless, Inc. †(a)		82,852		183,103
NVE Corp.		3,355		162,852
Oclaro, Inc. †		49,751		114,427
OmniVision Technologies, Inc. †		13,058		342,903
OSI Systems, Inc. †		6,164		474,381
Park City Group, Inc. †(a)		1,348		14,248
Paycom Software, Inc. †		42,155		1,513,786
Paylocity Holding Corp. †		30,805		923,842
PC Connection, Inc.		11,500		238,395
Perceptron, Inc. †		647		4,911
Perficient, Inc. †		8,400		129,612
PFSweb, Inc. †(a)		16,898		240,290
Photronics, Inc. †		18,100		163,986
Planar Systems, Inc. †(a)		9,339		54,166
Plantronics, Inc.		17,400		884,790
PMC-Sierra, Inc. †		70,795		479,282
Polycom, Inc. †		12,216		128,024
Progress Software Corp. †		7,042		181,895
Proofpoint, Inc. †		30,250		1,824,680
Q2 Holdings, Inc. †		24,645		609,224
QAD, Inc., Class A		5,645		144,512
Qlik Technologies, Inc. †		10,360		377,622
QLogic Corp. †		29,020		297,455
Qualys, Inc. †		29,523		840,225
Rambus, Inc. †		16,958		200,104
RF Industries Ltd. (a)		6,183		28,318
RingCentral, Inc., Class A †		35,274		640,223
Rogers Corp. †		5,088		270,580
Rubicon Project, Inc./The †		29,433		427,661
Rudolph Technologies, Inc. †		14,942		186,028
Sanmina Corp. †		6,151		131,447
ServiceSource International, Inc. †		27,897		111,588
Sigma Designs, Inc. †		59,878		412,559
Silicon Laboratories, Inc. †		4,733		196,609

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

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	SHARES		VALUE (Note 4)
Information Technology - 18.6% (continued)
Solar3D, Inc. †(a)		19,005	$	52,454
Speed Commerce, Inc. †		25,500		4,947
SPS Commerce, Inc. †		6,789		460,905
Stamps.com, Inc. †		14,844		1,098,604
Super Micro Computer, Inc. †		9,133		248,966
Sykes Enterprises, Inc. †		7,600		193,800
Synchronoss Technologies, Inc. †		18,474		605,947
SYNNEX Corp.		2,883		245,228
Take-Two Interactive Software, Inc. †		52,140		1,497,982
TechTarget, Inc. †		26,500		225,780
Telenav, Inc. †		41,098		320,975
Tessera Technologies, Inc.		37,000		1,199,170
Textura Corp. †(a)		5,970		154,265
TTM Technologies, Inc. †		32,406		201,889
Tyler Technologies, Inc. †		4,742		708,028
Ultra Clean Holdings, Inc. †		36,000		206,640
United Online, Inc. †		19,896		198,960
Universal Display Corp. †		25,342		859,094
VASCO Data Security International, Inc. †(a)		31,140		530,626
Verint Systems, Inc. †		4,758		205,308
Virtusa Corp. †		19,151		982,638
Westell Technologies, Inc., Class A †		16,796		19,147
Xcerra Corp. †		33,800		212,264
XO Group, Inc. †		23,185		327,604
Zendesk, Inc. †(a)		27,895		549,810
Zhone Technologies, Inc. †(a)		20,445		28,419
Zix Corp. †		50,931		214,420
				74,744,018
Materials - 1.9%
A Schulman, Inc.		8,346		270,995
Balchem Corp.		3,133		190,393
Berry Plastics Group, Inc. †		11,617		349,323
Boise Cascade Co. †		12,447		313,913
Clearwater Paper Corp. †		4,164		196,707
Core Molding Technologies, Inc. †		11,679		215,478
Ferro Corp. †		18,052		197,669
Handy & Harman Ltd. †		5,226		125,320
Headwaters, Inc. †		54,114		1,017,343
Innophos Holdings, Inc.		8,582		340,191
Innospec, Inc.		3,800		176,738
Kaiser Aluminum Corp.		2,015		161,704
KMG Chemicals, Inc.		10,063		194,115
Louisiana-Pacific Corp. †		34,435		490,354
Materion Corp.		9,415		282,638
Minerals Technologies, Inc.		12,640		608,742
Neenah Paper, Inc.		6,335		369,204
Quaker Chemical Corp.		3,331		256,754
Sensient Technologies Corp.		6,678		409,361
Trinseo SA †(a)		23,489		593,097
US Concrete, Inc. †		15,000		716,850
				7,476,889
Telecommunication Services - 1.4%
Atlantic Tele-Network, Inc.		4,200		310,506
Boingo Wireless, Inc. †		30,340		251,215
Cincinnati Bell, Inc. †		36,600		114,192

	SHARES		VALUE (Note 4)
Telecommunication Services - 1.4% (continued)
Consolidated Communications Holdings, Inc. (a)		17,961	$	346,109
FairPoint Communications, Inc. †		15,800		243,478
General Communication, Inc., Class A †		22,600		390,076
IDT Corp., Class B		16,700		238,810
inContact, Inc. †		33,446		251,179
Inteliquent, Inc.		35,100		783,783
Iridium Communications, Inc. †(a)		33,997		209,082
Lumos Networks Corp.		13,800		167,808
ORBCOMM, Inc. †		27,400		152,892
Shenandoah Telecommunications Co.		6,500		278,265
Spok Holdings, Inc.		10,576		174,081
Straight Path Communications, Inc., Class B †(a)		24,162		976,386
Vonage Holdings Corp. †		108,093		635,587
				5,523,449
Utilities - 1.7%
American States Water Co.		20,078		831,229
Chesapeake Utilities Corp.		12,750		676,770
Empire District Electric Co./The (a)		6,374		140,419
Laclede Group, Inc./The		7,574		413,010
MGE Energy, Inc.		10,129		417,214
New Jersey Resources Corp.		19,012		570,930
Northwest Natural Gas Co.		5,926		271,648
ONE Gas, Inc.		19,458		882,031
Ormat Technologies, Inc.		11,741		399,546
Southwest Gas Corp.		3,686		214,968
Unitil Corp.		11,800		435,184
WGL Holdings, Inc.		28,098		1,620,412
				6,873,361
TOTAL COMMON STOCKS (cost $370,919,857)				389,283,676
RIGHTS - 0.0% (c)
Health Care - 0.0% (c)
Durata Therapeutics, Inc. (3)†(b)		9,900		10,342
Information Technology - 0.0% (c)
Gerber Scientific, Inc. (3)†(a)(b)		4,000		—
TOTAL RIGHTS (cost $—)				10,342
WARRANTS - 0.0% (c)
Consumer Discretionary - 0.0% (c)
Education Management Corp. (3)†(b)
(cost $—)		6,600		31
MONEY MARKET FUNDS - 2.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(d)
(cost $11,732,024)		11,732,024		11,732,024

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

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SECURITIES LENDING COLLATERAL - 10.9%	SHARES		VALUE (Note 4)
Money Market Funds - 10.9%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (2)(d)(e)
(cost $43,938,129)		43,938,129	$	43,938,129
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 110.7% (cost $426,590,010)				444,964,202
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.7%) (f)			(43,120,828)
NET ASSETS - 100.0%			$	401,843,374

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

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $43,335,173; cash collateral of

$43,938,129 was received with which the Fund purchased a money market fund.

(b) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $10,373 or 0.0% of total net assets.

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

(d) Represents annualized seven-day yield as of the close of the reporting period.

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

(f) Includes appreciation/(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).

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
71	Barclays Capital	E-Mini Russell 2000 Futures		12/2015		$8,159,274		$7,780,890		$(378,384	)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
Barclays Capital
Cash	$ —	$865,406		$865,406

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

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COMMON STOCKS - 97.0%	SHARES		VALUE (Note 4)
Australia - 2.7%
Amcor Ltd.		103,107	$	958,880
AMP Ltd.		53,851		211,504
Aristocrat Leisure Ltd.		41,609		253,066
Aurizon Holdings Ltd.		27,946		98,729
Brambles Ltd.		40,768		280,055
Caltex Australia Ltd.		4,252		93,862
Cochlear Ltd.		4,718		277,615
Commonwealth Bank of Australia		3,082		158,195
CSL Ltd.		7,685		483,642
Dexus Property Group REIT		36,964		186,407
Goodman Group REIT		46,489		192,163
GPT Group/The REIT		128,260		407,633
Harvey Norman Holdings Ltd.		63,440		173,772
Incitec Pivot Ltd.		83,576		230,356
Insurance Australia Group Ltd.		33,454		114,383
Macquarie Group Ltd.		16,720		906,142
Qantas Airways Ltd. †		210,110		551,617
Ramsay Health Care Ltd.		24,395		1,006,146
Scentre Group REIT		119,951		330,141
Stockland REIT		84,500		229,571
Suncorp Group Ltd.		27,579		237,252
Tabcorp Holdings Ltd.		103,175		339,670
Telstra Corp. Ltd.		187,609		741,749
TPG Telecom Ltd.		32,414		248,431
				8,710,981
Austria - 0.3%
ANDRITZ AG		13,046		587,865
Erste Group Bank AG †		14,666		426,207
				1,014,072
Belgium - 2.2%
Ageas		10,271		422,101
Anheuser-Busch InBev SA/NV		42,362		4,505,434
KBC Groep NV		18,728		1,184,396
Proximus		19,238		665,480
UCB SA		2,672		209,332
				6,986,743
Canada - 5.1%
Agrium, Inc. (1)		6,600		591,502
Alimentation Couche-Tard, Inc., Class B (1)		55,631		2,558,317
BCE, Inc. (1)		21,078		862,705
Brookfield Asset Management, Inc., Class A (1)		70,950		2,232,439
Canadian Tire Corp. Ltd., Class A (1)		6,010		540,652
CGI Group, Inc., Class A (1)†		13,259		480,384
CI Financial Corp. (1)		12,100		274,732
Constellation Software, Inc. (1)		2,641		1,106,964
Dollarama, Inc. (1)		19,549		1,320,308
Empire Co., Ltd., Class A (1)		9,000		185,126
Fairfax Financial Holdings Ltd. (1)		786		357,950
Fortis, Inc. (1)		14,462		413,649
George Weston Ltd. (1)		3,136		253,700
Gildan Activewear, Inc. (1)		7,324		221,065
Industrial Alliance Insurance & Financial Services, Inc. (1)		4,583		136,752
Intact Financial Corp. (1)		8,978		630,512

	SHARES		VALUE (Note 4)
Canada - 5.1% (continued)
Jean Coutu Group PJC, Inc./The, Class A (1)		9,100	$	137,131
Loblaw Cos., Ltd. (1)		26,516		1,365,241
Magna International, Inc. (1)		22,203		1,064,979
Metro, Inc. (1)		30,346		826,812
Onex Corp. (1)		2,400		138,533
Open Text Corp. (1)		2,104		94,219
Saputo, Inc. (1)		7,177		157,577
Shaw Communications, Inc., Class B (1)		15,200		294,318
Sun Life Financial, Inc. (1)		4,408		142,166
West Fraser Timber Co., Ltd. (1)		3,400		108,025
				16,495,758
Denmark - 3.4%
Coloplast A/S, Class B		6,595		467,579
Danske Bank A/S		45,188		1,365,597
DSV A/S		13,154		491,525
ISS A/S		9,106		302,472
Novo Nordisk A/S, Class B		103,623		5,591,971
Novozymes A/S, B Shares		4,372		190,803
Pandora A/S		12,250		1,431,033
Tryg A/S		28,927		562,034
Vestas Wind Systems A/S		12,785		664,680
				11,067,694
Finland - 0.8%
Elisa OYJ		15,783		533,894
Kone OYJ, Class B		9,273		352,910
Neste OYJ		13,054		300,437
Nokia OYJ		23,727		162,240
Orion OYJ, Class B		4,687		177,358
Sampo OYJ, A Shares		14,826		717,536
Stora Enso OYJ, R Shares		27,856		210,773
UPM-Kymmene OYJ		14,530		218,106
				2,673,254
France - 9.2%
Accor SA		10,546		494,473
Air Liquide SA		3,961		469,585
Airbus Group SE		55,040		3,259,472
AXA SA		142,147		3,451,182
Cap Gemini SA		13,074		1,167,545
Carrefour SA		7,343		217,620
Christian Dior SE		2,681		502,297
Dassault Systemes		13,270		980,721
Essilor International SA		11,330		1,384,168
Groupe Eurotunnel SE		9,549		130,100
Hermes International		1,920		698,905
Iliad SA		1,060		214,430
Ingenico Group		1,933		233,577
JCDecaux SA		3,627		131,845
Kering		1,110		181,701
Legrand SA		1,775		94,435
L’Oreal SA		10,484		1,822,267
LVMH Moet Hennessy Louis Vuitton SE		16,844		2,867,575
Natixis SA		99,537		551,116
Numericable-SFR SAS †		15,715		727,514
Orange SA		76,912		1,165,929
Pernod Ricard SA		4,394		443,655

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

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	SHARES		VALUE (Note 4)
France - 9.2% (continued)
Peugeot SA †		71,227	$	1,079,272
Renault SA		18,922		1,365,275
Safran SA		24,075		1,810,239
Sanofi		2,231		212,391
Societe BIC SA		1,113		172,949
Sodexo SA		1,964		162,961
Thales SA		5,357		373,517
Valeo SA		5,134		697,079
Veolia Environnement SA		28,559		651,321
Vinci SA		6,608		420,194
Vivendi SA		58,338		1,382,127
Zodiac Aerospace		8,360		191,948
				29,709,385
Germany - 7.7%
Allianz SE		4,469		702,049
Bayer AG		47,106		6,043,626
Brenntag AG		9,176		495,080
Continental AG		2,964		633,069
Daimler AG		40,800		2,970,366
Deutsche Boerse AG		15,486		1,335,575
Deutsche Telekom AG		209,354		3,726,821
Deutsche Wohnen AG		7,701		205,959
Fresenius Medical Care AG & Co. KGaA		21,024		1,643,130
GEA Group AG		19,493		743,276
Hannover Rueck SE		14,104		1,444,688
Infineon Technologies AG		41,345		464,529
Merck KGaA		11,493		1,017,548
OSRAM Licht AG		3,338		172,936
ProSiebenSat.1 Media SE		20,090		986,130
Symrise AG		12,205		735,391
Telefonica Deutschland Holding AG		27,168		166,132
United Internet AG		10,148		514,487
Vonovia SE		26,431		850,709
				24,851,501
Hong Kong - 2.1%
AIA Group Ltd.		317,000		1,648,638
BOC Hong Kong Holdings Ltd.		458,500		1,352,245
Cathay Pacific Airways Ltd.		160,000		301,308
CLP Holdings Ltd.		43,500		371,880
Goldin Financial Holdings Ltd. †		278,000		595,329
Hang Seng Bank Ltd.		8,300		149,719
Henderson Land Development Co., Ltd.		60,429		361,346
Heritage International Holdings Ltd. †		672,000		58,554
Hong Kong & China Gas Co., Ltd.		189,256		354,888
Hong Kong Exchanges and Clearing Ltd.		23,200		532,231
Hysan Development Co., Ltd.		25,000		104,097
Kerry Properties Ltd.		39,000		107,079
Link REIT		17,500		96,345
MTR Corp. Ltd.		64,000		278,272
NWS Holdings Ltd.		114,000		150,271
PCCW Ltd.		299,000		153,912
Sino Land Co., Ltd.		96,000		146,171
Techtronic Industries Co., Ltd.		48,000		178,947
				6,941,232

	SHARES		VALUE (Note 4)
Italy - 2.8%
Atlantia SpA		13,599	$	380,401
Banco Popolare SC †		6,366		94,188
EXOR SpA		10,000		435,948
Finmeccanica SpA †		83,852		1,050,062
Intesa Sanpaolo SpA		1,004,380		3,548,174
Luxottica Group SpA		17,288		1,198,138
Mediobanca SpA		75,831		746,081
Pirelli & C. SpA		26,067		436,206
Prysmian SpA		23,402		483,703
Snam SpA		32,761		168,257
Telecom Italia SpA †		378,548		466,494
UnipolSai SpA		87,754		190,822
				9,198,474
Japan - 34.8%
Acom Co., Ltd. †		135,500		693,337
Aeon Co., Ltd.		53,100		823,788
AEON Financial Service Co., Ltd.		17,500		346,255
Aisin Seiki Co., Ltd.		8,300		278,481
Ajinomoto Co., Inc.		35,000		738,080
Alfresa Holdings Corp.		9,100		155,405
Alps Electric Co., Ltd.		20,400		576,097
ANA Holdings, Inc.		122,000		341,774
Asics Corp.		13,700		326,529
Astellas Pharma, Inc.		15,100		195,456
Bank of Kyoto Ltd./The		73,000		742,464
Bank of Yokohama Ltd./The		73,000		443,696
Calbee, Inc.		10,900		352,724
Casio Computer Co., Ltd.		5,000		91,009
Central Japan Railway Co.		14,100		2,273,311
Chiba Bank Ltd./The		96,000		681,704
Chubu Electric Power Co., Inc.		78,300		1,154,474
Chugai Pharmaceutical Co., Ltd.		22,900		703,333
Daicel Corp.		26,900		330,219
Dai-ichi Life Insurance Co., Ltd./The		115,500		1,838,742
Daiichi Sankyo Co., Ltd.		24,000		416,447
Daiwa House Industry Co., Ltd.		44,200		1,095,756
Dentsu, Inc.		27,200		1,395,907
Don Quijote Holdings Co., Ltd.		11,100		418,200
East Japan Railway Co.		28,000		2,359,438
Eisai Co., Ltd.		26,700		1,575,341
FANUC Corp.		5,000		769,194
Fast Retailing Co., Ltd.		4,700		1,911,769
Fuji Heavy Industries Ltd.		47,900		1,723,657
FUJIFILM Holdings Corp.		37,000		1,383,140
Fukuoka Financial Group, Inc.		165,000		785,871
Gunma Bank Ltd./The		36,000		230,414
Hachijuni Bank Ltd./The		99,000		702,723
Hamamatsu Photonics KK		12,600		285,153
Hiroshima Bank Ltd./The		109,000		629,943
Hitachi Chemical Co., Ltd.		10,000		137,973
Hokuhoku Financial Group, Inc.		179,000		409,853
Hoya Corp.		28,900		946,530
Iida Group Holdings Co., Ltd.		33,100		517,832
Isetan Mitsukoshi Holdings Ltd.		38,400		576,165
Iyo Bank Ltd./The		40,700		467,875
J Front Retailing Co., Ltd.		30,800		498,917
Japan Airlines Co., Ltd.		22,500		796,161

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

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	SHARES		VALUE (Note 4)
Japan - 34.8% (continued)
Japan Airport Terminal Co., Ltd.		14,500	$	626,699
Japan Tobacco, Inc.		47,000		1,457,949
JTEKT Corp.		9,900		138,610
Kansai Electric Power Co., Inc./The †		69,200		769,312
Kao Corp.		15,800		716,227
Kawasaki Heavy Industries Ltd.		74,000		255,473
KDDI Corp.		116,200		2,600,917
Keihan Electric Railway Co., Ltd.		15,000		100,047
Keisei Electric Railway Co., Ltd.		14,000		153,580
Keyence Corp.		2,840		1,268,282
Kikkoman Corp.		18,000		495,776
Koito Manufacturing Co., Ltd.		22,800		745,022
Konica Minolta, Inc.		8,600		90,599
Kose Corp.		8,300		757,535
Kubota Corp.		80,000		1,100,994
Kyowa Hakko Kirin Co., Ltd.		26,000		387,599
Kyushu Electric Power Co., Inc. †		47,800		521,518
M3, Inc.		23,000		457,075
Mabuchi Motor Co., Ltd.		9,000		390,776
Marui Group Co., Ltd.		49,000		591,047
Medipal Holdings Corp.		22,400		355,421
MEIJI Holdings Co., Ltd.		15,200		1,114,625
Minebea Co., Ltd.		39,000		414,001
Mitsubishi Chemical Holdings Corp.		131,400		686,117
Mitsubishi UFJ Financial Group, Inc.		919,300		5,554,631
Mitsui Chemicals, Inc.		74,000		237,168
Mizuho Financial Group, Inc.		1,341,600		2,509,600
MS&AD Insurance Group Holdings, Inc.		48,200		1,293,200
Murata Manufacturing Co., Ltd.		18,200		2,350,976
Nexon Co., Ltd.		44,200		590,935
Nidec Corp.		21,100		1,450,962
Nintendo Co., Ltd.		10,400		1,752,938
Nippon Express Co., Ltd.		34,000		162,464
Nippon Paint Holdings Co., Ltd.		30,000		524,693
Nippon Telegraph & Telephone Corp.		93,200		3,282,843
Nissan Motor Co., Ltd.		63,900		587,535
Nitori Holdings Co., Ltd.		7,700		602,943
Nitto Denko Corp.		18,800		1,125,983
NOK Corp.		19,100		413,242
Nomura Holdings, Inc.		232,500		1,349,515
Nomura Research Institute Ltd.		8,250		316,695
NSK Ltd.		8,700		84,329
NTT Data Corp.		13,000		655,416
NTT DOCOMO, Inc.		70,300		1,185,754
Ono Pharmaceutical Co., Ltd.		7,300		865,528
Oriental Land Co., Ltd.		20,000		1,116,861
Otsuka Corp.		1,900		92,575
Panasonic Corp.		70,300		711,445
Rakuten, Inc.		93,200		1,191,324
Rohm Co., Ltd.		1,900		84,493
Ryohin Keikaku Co., Ltd.		2,400		488,661
Santen Pharmaceutical Co., Ltd.		42,000		563,876
Seibu Holdings, Inc.		27,700		561,345
Sekisui House Ltd.		31,000		485,582
Seven & i Holdings Co., Ltd.		28,500		1,300,545
Seven Bank Ltd.		84,700		366,588
Shikoku Electric Power Co., Inc.		24,300		396,289
Shimadzu Corp.		39,000		563,053

	SHARES		VALUE (Note 4)
Japan - 34.8% (continued)
Shimano, Inc.		5,900	$	828,925
Shimizu Corp.		17,000		145,965
Shionogi & Co., Ltd.		36,500		1,308,349
Shiseido Co., Ltd.		24,300		529,902
Sompo Japan Nipponkoa Holdings, Inc.		43,400		1,260,546
Sony Corp.		97,400		2,387,481
Sumitomo Chemical Co., Ltd.		165,000		834,360
Sumitomo Heavy Industries Ltd.		31,000		122,840
Suruga Bank Ltd.		32,400		602,881
Sysmex Corp.		15,800		834,426
T&D Holdings, Inc.		18,200		214,976
Taiyo Nippon Sanso Corp.		52,800		501,607
Takeda Pharmaceutical Co., Ltd.		5,700		250,072
TDK Corp.		13,500		763,531
Teijin Ltd.		120,000		364,498
Terumo Corp.		4,000		113,211
Tohoku Electric Power Co., Inc.		63,000		853,746
Tokio Marine Holdings, Inc.		56,000		2,092,160
Tokyo Electric Power Co., Inc. †		183,100		1,223,040
Toray Industries, Inc.		74,000		639,748
TOTO Ltd.		20,500		638,855
Toyota Industries Corp.		3,800		180,762
Toyota Motor Corp.		141,700		8,296,240
Trend Micro, Inc.		2,800		98,908
West Japan Railway Co.		18,300		1,146,970
Yakult Honsha Co., Ltd.		5,800		288,912
Yamaguchi Financial Group, Inc.		24,000		294,191
Yamaha Corp.		29,000		642,297
Yamaha Motor Co., Ltd.		36,100		726,269
Yamato Holdings Co., Ltd.		16,500		315,912
Yamazaki Baking Co., Ltd.		8,000		123,270
				112,761,175
Netherlands - 3.5%
Akzo Nobel NV		9,798		637,255
Altice NV, Class A †		49,945		1,045,015
ASML Holding NV		15,275		1,342,717
Heineken Holding NV		3,988		284,330
Heineken NV		14,046		1,137,286
ING Groep NV CVA		278,504		3,945,711
Koninklijke Ahold NV		60,134		1,173,096
Koninklijke KPN NV		222,283		833,653
NN Group NV		6,458		185,391
Randstad Holding NV		11,219		670,569
				11,255,023
Norway - 0.0% (a)
Golar LNG Ltd. (3)(b)		2,009		84,955
Portugal - 0.0% (a)
Jeronimo Martins SGPS SA		8,855		119,510
Singapore - 0.6%
ComfortDelGro Corp. Ltd.		125,500		253,533
DBS Group Holdings Ltd.		36,300		414,340
Jardine Cycle & Carriage Ltd.		6,000		114,001
Singapore Airlines Ltd.		17,200		129,479
Singapore Technologies Engineering Ltd.		155,000		325,188

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

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	SHARES		VALUE (Note 4)
Singapore - 0.6% (continued)
United Overseas Bank Ltd.		27,300	$	356,459
UOL Group Ltd.		23,600		99,920
Yangzijiang Shipbuilding Holdings Ltd.		179,400		143,449
				1,836,369
South Africa - 0.1%
Mondi PLC		10,030		210,221
Spain - 1.9%
Abertis Infraestructuras SA		17,400		275,308
Amadeus IT Holding SA, A Shares		17,437		747,091
Endesa SA		12,725		268,350
Ferrovial SA		38,847		929,227
Iberdrola SA		84,556		563,415
Industria de Diseno Textil SA		79,535		2,666,926
Red Electrica Corp. SA		4,436		368,347
Telefonica SA		23,500		285,102
				6,103,766
Sweden - 2.6%
Assa Abloy AB, Class B		56,499		1,013,353
Atlas Copco AB, A Shares		29,530		710,167
Boliden AB		10,119		158,445
Electrolux AB, Series B		25,955		733,406
Hennes & Mauritz AB, B Shares		5,902		215,638
Hexagon AB, B Shares		13,079		399,584
Husqvarna AB, B Shares		22,273		146,074
ICA Gruppen AB		12,128		410,584
Investor AB, B Shares		34,510		1,185,798
Securitas AB, B Shares		29,331		358,720
Skanska AB, B Shares		15,528		304,856
Svenska Cellulosa AB SCA, Class B		40,527		1,134,032
Svenska Handelsbanken AB, A Shares		17,763		254,808
Tele2 AB, B Shares		31,861		310,728
Telefonaktiebolaget LM Ericsson, B Shares		20,581		201,892
Volvo AB, B Shares		82,877		793,891
				8,331,976
Switzerland - 3.0%
Actelion Ltd. †		8,233		1,046,381
Chocoladefabriken Lindt & Spruengli AG		62		363,514
EMS-Chemie Holding AG		791		325,418
Geberit AG		1,176		359,757
Givaudan SA †		811		1,319,630
Julius Baer Group Ltd. †		17,182		780,269
Lonza Group AG †		3,705		486,155
Novartis AG		6,382		586,582
Partners Group Holding AG		2,201		746,005
Schindler Holding AG		1,395		200,387
Sonova Holding AG		1,208		155,552
Swiss Life Holding AG †		747		166,630
Swiss Re AG		8,242		707,140
Swisscom AG		750		374,301
Syngenta AG		1,180		378,085
Wolseley PLC		9,774		571,720
Zurich Insurance Group AG †		4,200		1,031,126
				9,598,652

	SHARES		VALUE (Note 4)
United Kingdom - 12.8%
3i Group PLC		56,789	$	401,151
Aberdeen Asset Management PLC		54,480		244,723
Aggreko PLC		7,256		104,604
ARM Holdings PLC		22,515		323,478
Ashtead Group PLC		21,861		309,150
Associated British Foods PLC		15,182		768,349
AstraZeneca PLC		3,789		240,293
Aviva PLC		36,331		248,488
BAE Systems PLC		81,669		553,601
Barclays PLC		931,528		3,447,391
Barratt Developments PLC		86,562		845,537
British American Tobacco PLC		2,537		139,981
BT Group PLC		198,034		1,260,396
Bunzl PLC		7,883		211,534
Compass Group PLC		39,030		623,422
Croda International PLC		3,164		129,831
Direct Line Insurance Group PLC		241,246		1,368,868
Dixons Carphone PLC		91,723		589,504
easyJet PLC		20,601		556,105
Experian PLC		30,790		494,280
Fiat Chrysler Automobiles NV †		98,620		1,281,818
Hargreaves Lansdown PLC		13,845		253,202
HSBC Holdings PLC		50,345		379,789
ICAP PLC		22,128		153,260
Imperial Tobacco Group PLC		38,385		1,984,459
Inmarsat PLC		33,918		504,578
International Consolidated Airlines Group SA †		59,476		532,843
ITV PLC		284,289		1,059,390
Kingfisher PLC		42,770		232,337
Legal & General Group PLC		152,969		551,571
London Stock Exchange Group PLC		9,129		334,617
Marks & Spencer Group PLC		86,022		652,974
Meggitt PLC		17,966		129,609
National Grid PLC		39,676		552,573
Next PLC		8,109		934,498
Old Mutual PLC		139,415		399,544
Pearson PLC		28,179		481,662
Persimmon PLC †		30,357		923,957
Prudential PLC		33,052		697,283
Reckitt Benckiser Group PLC		3,848		348,959
RELX NV		175,448		2,866,291
Sage Group PLC/The		65,264		493,760
Schroders PLC		2,193		93,185
Severn Trent PLC		3,568		118,030
Shire PLC		3,830		261,826
Sky PLC		6,035		95,480
Smith & Nephew PLC		33,760		589,829
Sports Direct International PLC †		15,088		173,100
SSE PLC		39,551		895,159
Standard Life PLC		55,872		328,145
Taylor Wimpey PLC		324,580		961,659
Travis Perkins PLC		5,606		167,243
Unilever NV CVA		59,959		2,403,456
United Utilities Group PLC		34,524		483,889
Vodafone Group PLC		1,502,450		4,738,855
Whitbread PLC		10,735		760,536

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

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	SHARES		VALUE (Note 4)
United Kingdom - 12.8% (continued)
WPP PLC		43,221	$	899,819
				41,579,871
United States - 1.4%
Thomson Reuters Corp. (1)		2,372		95,342
Valeant Pharmaceuticals International, Inc. (1)†		24,079		4,297,953
				4,393,295
TOTAL COMMON STOCKS (cost $311,891,624)				313,923,907
MONEY MARKET FUNDS - 2.3%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)
(cost $7,508,280)		7,508,280		7,508,280
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.3% (cost $319,399,904)				321,432,187
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% (d)			2,267,764
NET ASSETS - 100.0%			$	323,699,951

† Non-income producing security.

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

(b) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $84,955 or 0.0% of total net assets.

(c) Represents annualized seven-day yield as of the close of the reporting period.

(d) Includes appreciation/(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).

(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	$	67,083,102		20.7	%
Consumer Staples		31,439,770		9.7
Energy		479,254		0.1
Financials		73,654,326		22.9
Health Care		35,307,143		10.9
Industrials		38,286,291		11.8
Information Technology		19,585,981		6.1
Materials		12,254,673		3.8
Telecommunication Services		25,705,230		7.9
Utilities		10,128,137		3.1
Money Market Funds		7,508,280		2.3
Total Investments In Securities, At Value		321,432,187		99.3
Other Assets in Excess of Liabilities (d)		2,267,764		0.7
Net Assets	$	323,699,951		100.0	%

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
94	Barclays Capital	E-Mini MSCI EAFE Index Futures		12/2015		$7,932,847		$7,752,650		$(180,197)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Barclays Capital
Cash		$—		$696,325		$696,325

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

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COMMON STOCKS - 98.0%	SHARES		VALUE (Note 4)
Brazil - 5.7%
Ambev SA ADR (1)		18,933	$	92,772
BB Seguridade Participacoes SA (1)		2,200		13,701
BRF SA (1)		3,900		69,501
CETIP SA - Mercados Organizados (1)		3,300		27,377
Cielo SA (1)		4,700		43,698
EDP - Energias do Brasil SA (1)		3,800		11,176
Embraer SA ADR (1)		175		4,476
Equatorial Energia SA (1)		2,500		21,428
Fibria Celulose SA ADR (1)		1,425		19,323
JBS SA (1)		3,800		16,093
Kroton Educacional SA (1)		1,400		2,740
Lojas Renner SA (1)		6,400		29,930
Porto Seguro SA (1)		1,400		10,594
Qualicorp SA (1)		900		3,335
Raia Drogasil SA (1)		3,500		34,528
Souza Cruz SA (1)		500		3,361
Ultrapar Participacoes SA (1)		1,800		30,234
WEG SA (1)		2,400		9,365
				443,632
Chile - 1.5%
Cia Cervecerias Unidas SA ADR (1)		471		10,433
Colbun SA (1)		105,746		27,249
Corpbanca SA (1)		1,089,380		9,596
Empresa Nacional de Electricidad SA ADR (1)		129		4,581
Empresas CMPC SA (1)		12,402		31,919
Enersis SA ADR (1)		1,118		14,132
SONDA SA (1)		11,314		16,934
				114,844
China - 30.8%
Air China Ltd., H Shares		14,000		11,088
ANTA Sports Products Ltd.		1,000		2,596
AviChina Industry & Technology Co., Ltd., H Shares		11,000		8,161
Bank of China Ltd., H Shares		374,000		161,281
Bank of Communications Co., Ltd., H Shares		69,000		48,096
China Communications Construction Co., Ltd., H Shares		25,000		31,011
China Construction Bank Corp., H Shares		498,000		332,332
China COSCO Holdings Co., Ltd., H Shares (3)†(a)		16,500		10,513
China Everbright Bank Co., Ltd., H Shares		6,000		2,622
China Galaxy Securities Co., Ltd., H Shares		21,500		15,232
China Huishan Dairy Holdings Co., Ltd.		6,000		2,168
China Life Insurance Co., Ltd., H Shares		54,000		188,156
China Merchants Bank Co., Ltd., H Shares		57,000		138,926
China Minsheng Banking Corp. Ltd., H Shares		112,500		104,278
China Pacific Insurance Group Co., Ltd., H Shares		11,800		44,018
China Railway Construction Corp. Ltd., H Shares		24,500		36,244
China Railway Group Ltd., H Shares		47,000		42,928
China Shipping Container Lines Co., Ltd., H Shares (3)†(a)		28,000		11,250
China Southern Airlines Co., Ltd., H Shares		30,000		21,984
China Vanke Co., Ltd., H Shares		20,600		44,256
CITIC Securities Co., Ltd., H Shares		9,000		16,177

	SHARES		VALUE (Note 4)
China - 30.8% (continued)
CRRC Corp. Ltd., H Shares †(b)		65,000	$	82,892
Evergrande Real Estate Group Ltd. (b)		14,000		8,000
Fosun International Ltd.		18,000		31,081
GOME Electrical Appliances Holding Ltd.		28,000		4,275
Great Wall Motor Co., Ltd., H Shares		7,500		8,368
Haitong Securities Co., Ltd., H Shares		42,400		61,786
Huadian Power International Corp. Ltd., H Shares		12,000		9,416
Industrial & Commercial Bank of China Ltd., H Shares		338,000		195,264
New China Life Insurance Co., Ltd., H Shares		4,400		19,073
PICC Property & Casualty Co., Ltd., H Shares		10,000		19,587
Ping An Insurance Group Co. of China Ltd., H Shares		56,000		279,831
Shanghai Electric Group Co., Ltd., H Shares (b)		38,000		20,789
Shanghai Pharmaceuticals Holding Co., Ltd., H Shares		4,300		9,013
Sihuan Pharmaceutical Holdings Group Ltd. (3)(a)		36,000		19,881
Sinopec Shanghai Petrochemical Co., Ltd., H Shares †		30,000		11,503
Sinopharm Group Co., Ltd., H Shares		2,400		8,442
Tencent Holdings Ltd. (b)		16,900		284,876
ZHuzhou CSR Times Electric Co., Ltd., H Shares		2,000		14,882
Zijin Mining Group Co., Ltd., H Shares		132,000		34,629
ZTE Corp., H Shares		6,000		13,724
				2,410,629
Hong Kong - 7.0%
Alibaba Health Information Technology Ltd. †		20,000		12,827
Alibaba Pictures Group Ltd. †		30,000		6,704
Beijing Enterprises Water Group Ltd. †		6,000		4,197
China Everbright Ltd.		8,000		18,374
China Mobile Ltd. ADR (1)		5,905		351,347
China Overseas Land & Investment Ltd.		20,000		60,808
China Power International Development Ltd.		14,000		9,132
China Resources Land Ltd.		14,000		33,058
China Taiping Insurance Holdings Co., Ltd. †		8,200		25,663
Goldin Properties Holdings Ltd. †		12,000		10,867
Hanergy Thin Film Power Group Ltd. (3)†(a)		86,000		14,414
				547,391
Hungary - 1.4%
MOL Hungarian Oil & Gas PLC		463		20,177
OTP Bank PLC		3,661		70,671
Richter Gedeon Nyrt		1,399		22,242
				113,090
India - 3.1%
Dr. Reddy’s Laboratories Ltd. ADR (1)		917		58,605
Infosys Ltd. ADR (1)		7,569		144,492
Reliance Industries Ltd. GDR 144A (c)		335		8,714
State Bank of India GDR		642		23,379
Tata Motors Ltd. ADR (1)†		400		9,000
				244,190

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

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	SHARES		VALUE (Note 4)
Indonesia - 0.6%
Bank Central Asia Tbk PT		3,400	$	2,854
Bank Negara Indonesia Persero Tbk PT		31,000		8,782
Bank Rakyat Indonesia Persero Tbk PT		5,700		3,375
Indofood CBP Sukses Makmur Tbk PT		5,700		4,834
Kalbe Farma Tbk PT		81,000		7,621
Matahari Department Store Tbk PT		4,200		4,639
Summarecon Agung Tbk PT		75,000		5,760
Unilever Indonesia Tbk PT		3,100		8,053
				45,918
Korea, Republic of - 11.3%
Amorepacific Corp.		172		56,049
AMOREPACIFIC Group		219		30,245
BGF retail Co., Ltd.		47		8,028
Celltrion, Inc. †		640		36,857
CJ CheilJedang Corp.		51		16,433
CJ Corp.		129		28,805
CJ Korea Express Co., Ltd. †		117		19,747
Coway Co., Ltd.		123		8,704
Daewoo Securities Co., Ltd.		2,413		24,448
Dongbu Insurance Co., Ltd.		175		9,076
Dongsuh Cos., Inc.		164		5,090
Hankook Tire Co., Ltd.		139		4,653
Hanmi Pharm Co., Ltd. †		67		21,099
Hanmi Science Co., Ltd. †		66		7,800
Hanssem Co., Ltd.		116		28,086
Hanwha Chemical Corp.		1,067		19,566
Hanwha Corp.		505		16,633
Hanwha Life Insurance Co., Ltd.		717		4,941
Hotel Shilla Co., Ltd.		79		7,700
Hyosung Corp.		268		25,600
Hyundai Development Co.-Engineering & Construction		631		29,138
Hyundai Glovis Co., Ltd.		31		5,876
Hyundai Steel Co.		318		13,861
Kangwon Land, Inc.		651		23,268
KB Financial Group, Inc.		282		8,382
KCC Corp.		25		8,734
KEPCO Plant Service & Engineering Co., Ltd.		186		19,038
Korea Aerospace Industries Ltd.		545		31,393
Korea Electric Power Corp.		283		11,668
Korea Investment Holdings Co., Ltd.		418		21,619
Korea Zinc Co., Ltd.		58		22,808
Korean Air Lines Co., Ltd. †		218		5,778
KT&G Corp.		282		26,555
LG Corp.		197		10,143
LG Display Co., Ltd.		261		4,983
LG Household & Health Care Ltd.		58		41,974
LG Innotek Co., Ltd.		60		4,477
Lotte Chemical Corp.		125		28,645
Mirae Asset Securities Co., Ltd.		758		17,939
NAVER Corp.		10		4,334
NCSoft Corp.		113		18,067
NH Investment & Securities Co., Ltd.		2,532		21,406
Orion Corp.		31		24,687
Samsung Electro-Mechanics Co., Ltd.		43		2,344
Samsung Fire & Marine Insurance Co., Ltd.		35		8,265
Samsung Life Insurance Co., Ltd.		38		3,178

	SHARES		VALUE (Note 4)
Korea, Republic of - 11.3% (continued)
Samsung Securities Co., Ltd.		514	$	19,839
Shinsegae Co., Ltd.		31		6,207
SK Holdings Co., Ltd.		134		27,660
SK Innovation Co., Ltd. †		135		11,244
S-Oil Corp.		227		12,079
Yuhan Corp.		43		8,848
				883,997
Malaysia - 4.3%
AirAsia Bhd		34,600		10,091
DiGi.Com Bhd		21,400		27,018
IHH Healthcare Bhd		54,000		73,300
IJM Corp. Bhd		87,500		64,094
Malaysia Airports Holdings Bhd		3,800		4,547
MISC Bhd		20,600		41,340
Telekom Malaysia Bhd		16,500		25,094
Tenaga Nasional Bhd		17,000		46,496
Westports Holdings Bhd		45,200		43,678
				335,658
Malta - 0.5%
Brait SE †		3,937		40,000
Mexico - 1.4%
El Puerto de Liverpool SAB de CV (1)		200		2,597
Gentera SAB de CV (1)		8,000		13,095
Gruma SAB de CV, Class B (1)		1,500		20,834
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		1,600		13,915
Grupo Aeroportuario del Sureste SAB de CV ADR (1)		105		15,988
Kimberly-Clark de Mexico SAB de CV, Class A (1)		4,400		9,951
Wal-Mart de Mexico SAB de CV (1)		14,200		34,868
				111,248
Peru - 0.5%
Cia de Minas Buenaventura SAA ADR (1)		4,648		27,702
Southern Copper Corp. (1)(b)		300		8,016
				35,718
Poland - 1.6%
Alior Bank SA †		174		3,631
CCC SA		424		18,315
Enea SA		1,321		4,698
Energa SA		3,730		16,555
Eurocash SA		958		11,283
Grupa Azoty SA †		200		4,665
PGE Polska Grupa Energetyczna SA		2,230		7,923
Polski Koncern Naftowy Orlen SA		1,978		34,535
Polskie Gornictwo Naftowe i Gazownictwo SA		6,495		11,165
Powszechny Zaklad Ubezpieczen SA		142		14,580
				127,350
Russia - 1.9%
MMC Norilsk Nickel PJSC ADR		5,060		72,707
Severstal PAO GDR		5,639		59,836
Tatneft PAO ADR		488		13,685
				146,228

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

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Schedule of Investments September 30, 2015

AQR EMERGING MOMENTUM STYLE FUND

	SHARES		VALUE (Note 4)
South Africa - 9.9%
Aspen Pharmacare Holdings Ltd. †		1,180	$	25,107
Capitec Bank Holdings Ltd.		423		15,309
Coronation Fund Managers Ltd.		1,528		7,211
Discovery Ltd.		1,856		18,465
FirstRand Ltd.		19,133		67,989
Foschini Group Ltd./The		1,433		14,553
Gold Fields Ltd. ADR (1)		4,089		10,877
Hyprop Investments Ltd. REIT		1,271		11,071
Impala Platinum Holdings Ltd. †		1,336		3,710
Investec Ltd.		3,387		25,923
Life Healthcare Group Holdings Ltd.		2,629		6,763
Mediclinic International Ltd.		1,448		11,559
Mondi Ltd.		1,156		24,238
Mr Price Group Ltd.		732		10,218
MTN Group Ltd.		279		3,588
Naspers Ltd., N Shares		1,406		176,210
Netcare Ltd.		12,498		32,816
PSG Group Ltd.		2,659		42,705
Redefine Properties Ltd. REIT		9,527		8,053
Remgro Ltd.		2,505		45,688
RMB Holdings Ltd.		6,249		29,792
Sanlam Ltd.		5,572		24,096
Shoprite Holdings Ltd.		540		6,133
SPAR Group Ltd./The		1,247		16,683
Standard Bank Group Ltd.		1,940		18,943
Steinhoff International Holdings Ltd.		8,951		54,963
Telkom SA SOC Ltd.		3,391		16,304
Tiger Brands Ltd.		113		2,488
Truworths International Ltd.		2,329		14,312
Woolworths Holdings Ltd.		3,986		27,897
				773,664
Taiwan - 12.6%
Advantech Co., Ltd.		1,198		8,227
Asia Cement Corp.		7,160		7,023
Asustek Computer, Inc.		1,000		8,598
AU Optronics Corp.		28,000		8,290
Casetek Holdings Ltd.		1,000		4,276
Catcher Technology Co., Ltd.		5,000		53,454
Cathay Financial Holding Co., Ltd.		17,600		24,106
Chailease Holding Co., Ltd.		24,960		39,245
Chang Hwa Commercial Bank Ltd.		29,467		14,551
China Airlines Ltd. †		67,000		22,970
China Development Financial Holding Corp.		73,000		19,693
China Life Insurance Co., Ltd./Taiwan		47,300		36,031
Compal Electronics, Inc.		7,000		3,976
CTBC Financial Holding Co., Ltd.		24,660		12,747
Delta Electronics, Inc.		1,000		4,717
E.Sun Financial Holding Co., Ltd.		14,044		8,278
Eclat Textile Co., Ltd.		2,040		32,392
Eva Airways Corp. †		43,000		24,124
Far EasTone Telecommunications Co., Ltd.		5,000		10,783
Feng TAY Enterprise Co., Ltd.		4,120		25,678
First Financial Holding Co., Ltd.		25,070		11,447
Foxconn Technology Co., Ltd.		8,080		23,224
Fubon Financial Holding Co., Ltd.		59,000		92,361
Highwealth Construction Corp.		20,800		29,461
Hiwin Technologies Corp.		1,060		5,660

	SHARES		VALUE (Note 4)
Taiwan - 12.6% (continued)
Hon Hai Precision Industry Co., Ltd.		10,038	$	26,224
Innolux Corp.		56,000		17,538
Pegatron Corp.		16,000		39,157
Pou Chen Corp.		6,000		9,026
President Chain Store Corp.		1,000		6,237
Standard Foods Corp.		1,000		2,168
Taishin Financial Holding Co., Ltd.		27,880		9,908
Taiwan Cement Corp.		11,000		11,183
Taiwan Mobile Co., Ltd.		3,000		9,185
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		13,492		279,959
Teco Electric and Machinery Co., Ltd.		10,000		7,886
Uni-President Enterprises Corp.		3,000		5,210
Wan Hai Lines Ltd.		29,000		18,361
WPG Holdings Ltd.		6,000		5,796
Zhen Ding Technology Holding Ltd.		3,000		8,599
				987,749
Thailand - 3.3%
Airports of Thailand PCL NVDR		4,200		32,600
Bangkok Dusit Medical Services PCL NVDR		76,000		38,819
BTS Group Holdings PCL NVDR		49,100		13,195
Bumrungrad Hospital PCL NVDR		6,100		36,364
Delta Electronics Thailand PCL NVDR		8,900		21,607
Energy Absolute PCL NVDR		7,000		4,151
IRPC PCL NVDR		191,900		19,954
Kasikornbank PCL NVDR		900		4,251
Krung Thai Bank PCL NVDR		8,800		4,154
Minor International PCL NVDR		11,460		9,096
PTT PCL NVDR		2,300		15,274
Siam Cement PCL/The NVDR		2,400		30,719
Thai Union Group PCL NVDR		41,000		20,822
TMB Bank PCL NVDR		36,400		2,431
True Corp. PCL NVDR †		32,600		8,778
				262,215
Turkey - 0.6%
Eregli Demir ve Celik Fabrikalari TAS		9,337		11,526
Tofas Turk Otomobil Fabrikasi AS		1,578		9,368
Turk Hava Yollari AO †		9,247		24,396
				45,290
TOTAL COMMON STOCKS (cost $8,577,893)				7,668,811
PREFERRED STOCKS - 0.4%
Brazil - 0.4%
Lojas Americanas SA (1)		700		2,864
Suzano Papel e Celulose SA, Series A (1)		5,200		25,301
				28,165
Chile - 0.0% (d)
Embotelladora Andina SA, Series B (1)		876		3,032
TOTAL PREFERRED STOCKS (cost $29,892)				31,197

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

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Schedule of Investments September 30, 2015

AQR EMERGING MOMENTUM STYLE FUND

EXCHANGE-TRADED FUNDS (ETF) - 0.4%	SHARES		VALUE (Note 4)
United States - 0.4%
iShares MSCI Emerging Markets ETF (1)(b) (cost $30,565)		939	$	30,781
RIGHTS - 0.0% (d)
China - 0.0% (d)
Fosun International Ltd. †		2,688		—
Korea, Republic of - 0.0% (d)
Mirae Asset Securities Co., Ltd. †		660		2,896
TOTAL RIGHTS (cost $5,808)				2,896
SECURITIES LENDING COLLATERAL - 4.8%
Money Market Funds - 4.8%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (e)(f)
(cost $371,933)		371,933		371,933
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 103.6% (cost $9,016,091)				8,105,618
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.6%)			(282,254)
NET ASSETS - 100.0%			$	7,823,364

† Non-income producing security.

(a) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $56,058 or 0.7% of total net assets.

(b) All or a portion of the security on loan. The aggregate market value of such securities is $362,771; cash collateral of $371,933 was received with which the Fund purchased a money market fund.

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

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

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

(f) Represents annualized seven-day yield as of the close of the reporting period.

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:

144A - Restricted Security

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	554,360			7.1	%
Consumer Staples		590,509			7.5
Energy		181,211			2.3
Exchange-Traded Funds		30,781			0.4
Financials		2,840,977			36.3
Health Care		428,473			5.5
Industrials		865,822			11.1
Information Technology		1,065,987			13.6
Materials		521,991			6.7
Telecommunication Services		464,924			5.9
Utilities		188,650			2.4
Securities Lending Collateral		371,933			4.8
Total Investments In Securities, At Value		8,105,618			103.6
Liabilities in Excess of Other Assets		(282,254	)		(3.6	)
Net Assets	$	7,823,364			100.0	%

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

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104

Schedule of Investments September 30, 2015

AQR TM LARGE CAP MOMENTUM STYLE FUND

COMMON STOCKS - 97.0%	SHARES		VALUE (Note 4)
Consumer Discretionary - 20.6%
Advance Auto Parts, Inc.		600	$	113,718
Amazon.com, Inc. †		6,330		3,240,264
AutoZone, Inc. †		339		245,378
Best Buy Co., Inc.		4,648		172,534
BorgWarner, Inc.		4,288		178,338
Brunswick Corp.		1,969		94,295
CarMax, Inc. †		1,571		93,192
Carnival Corp.		4,534		225,340
CBS Corp., Class B		4,744		189,286
Charter Communications, Inc., Class A †		1,597		280,832
Chipotle Mexican Grill, Inc. †		642		462,400
Comcast Corp., Class A		6,751		383,997
DISH Network Corp., Class A †		6,730		392,628
Dollar General Corp.		5,246		380,020
Dollar Tree, Inc. †		6,199		413,225
Expedia, Inc.		1,532		180,286
GNC Holdings, Inc., Class A		2,197		88,803
Goodyear Tire & Rubber Co./The		3,168		92,917
GoPro, Inc., Class A †		1,793		55,977
Hanesbrands, Inc.		5,676		164,263
Harman International Industries, Inc.		1,600		153,584
Hilton Worldwide Holdings, Inc.		7,663		175,789
Home Depot, Inc./The		21,375		2,468,599
Johnson Controls, Inc.		4,435		183,432
L Brands, Inc.		6,312		568,901
LKQ Corp. †		2,515		71,325
Lowe’s Cos., Inc.		18,662		1,286,185
Macy’s, Inc.		1,624		83,344
Madison Square Garden Co./The, Class A †		948		68,389
Marriott International, Inc., Class A		2,528		172,410
Mohawk Industries, Inc. †		1,586		288,319
Netflix, Inc. †		8,302		857,264
NIKE, Inc., Class B		13,945		1,714,817
Nordstrom, Inc.		1,100		78,881
Norwegian Cruise Line Holdings Ltd. †		4,573		262,033
O’Reilly Automotive, Inc. †		2,852		713,000
Polaris Industries, Inc.		1,008		120,829
Ross Stores, Inc.		11,170		541,410
Royal Caribbean Cruises Ltd.		796		70,916
ServiceMaster Global Holdings, Inc. †		2,514		84,345
Signet Jewelers Ltd.		800		108,904
Skechers U.S.A., Inc., Class A †		1,860		249,389
Starbucks Corp.		27,242		1,548,435
Target Corp.		10,808		850,157
TEGNA, Inc.		2,894		64,797
Tesla Motors, Inc. †		906		225,050
Time Warner, Inc.		9,213		633,394
TJX Cos., Inc./The		9,649		689,132
Tractor Supply Co.		663		55,904
TripAdvisor, Inc. †		1,729		108,962
Twenty-First Century Fox, Inc., Class A		6,684		180,334
Ulta Salon Cosmetics & Fragrance, Inc. †		1,847		301,707
Under Armour, Inc., Class A †		6,273		607,101
VF Corp.		5,956		406,259
Viacom, Inc., Class B		1,042		44,962
Walt Disney Co./The		23,171		2,368,076
Whirlpool Corp.		1,142		168,171

	SHARES		VALUE (Note 4)
Consumer Discretionary - 20.6% (continued)
Yum! Brands, Inc.		1,045	$	83,548
				26,105,747
Consumer Staples - 9.4%
Altria Group, Inc.		36,875		2,006,000
Archer-Daniels-Midland Co.		2,109		87,418
Constellation Brands, Inc., Class A		4,163		521,249
Costco Wholesale Corp.		8,982		1,298,528
Coty, Inc., Class A		3,028		81,938
CVS Health Corp.		20,976		2,023,764
Dr Pepper Snapple Group, Inc.		5,100		403,155
Keurig Green Mountain, Inc.		2,091		109,025
Kroger Co./The		25,084		904,780
Mondelez International, Inc., Class A		14,319		599,537
Monster Beverage Corp. †		3,934		531,641
PepsiCo, Inc.		5,384		507,711
Pilgrim’s Pride Corp.		3,191		66,309
Reynolds American, Inc.		20,708		916,743
Rite Aid Corp. †		28,118		170,676
Tyson Foods, Inc., Class A		5,589		240,886
Walgreens Boots Alliance, Inc.		15,384		1,278,410
WhiteWave Foods Co./The †		2,600		104,390
				11,852,160
Energy - 1.0%
Cheniere Energy, Inc. †		5,410		261,303
Cimarex Energy Co.		1,073		109,961
Diamondback Energy, Inc. †		1,700		109,820
Energen Corp.		1,000		49,860
EQT Corp.		1,200		77,724
Kinder Morgan, Inc.		11,308		313,006
Marathon Petroleum Corp.		1,801		83,440
Targa Resources Corp.		1,698		87,481
Valero Energy Corp.		2,674		160,707
				1,253,302
Financials - 12.2%
American Express Co.		902		66,865
American Financial Group, Inc.		1,065		73,389
American International Group, Inc.		4,937		280,520
American Tower Corp. REIT		4,634		407,699
Ameriprise Financial, Inc.		1,200		130,956
AvalonBay Communities, Inc. REIT		4,737		828,122
Bank of New York Mellon Corp./The		3,577		140,040
Berkshire Hathaway, Inc., Class B †		4,260		555,504
BlackRock, Inc.		1,012		301,040
Boston Properties, Inc. REIT		5,439		643,978
Capital One Financial Corp.		2,317		168,029
Care Capital Properties, Inc. REIT		1,405		46,267
CBOE Holdings, Inc.		1,623		108,871
Charles Schwab Corp./The		4,132		118,010
CME Group, Inc.		4,272		396,185
Comerica, Inc.		1,500		61,650
Digital Realty Trust, Inc. REIT		3,200		209,024
Discover Financial Services		3,539		183,993
E*TRADE Financial Corp. †		5,200		136,916
Equity Residential REIT		11,412		857,269
Essex Property Trust, Inc. REIT		2,600		580,892

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

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AQR TM LARGE CAP MOMENTUM STYLE FUND

	SHARES		VALUE (Note 4)
Financials - 12.2% (continued)
Extra Space Storage, Inc. REIT		1,500	$	115,740
Federal Realty Investment Trust REIT		700		95,515
Fifth Third Bancorp		6,600		124,806
First Republic Bank/CA		1,824		114,492
General Growth Properties, Inc. REIT		11,239		291,877
Goldman Sachs Group, Inc./The		4,587		797,037
Hartford Financial Services Group, Inc./The		3,282		150,250
HCP, Inc. REIT		5,000		186,250
Huntington Bancshares, Inc.		10,400		110,240
Interactive Brokers Group, Inc., Class A		2,788		110,042
Intercontinental Exchange, Inc.		867		203,736
JPMorgan Chase & Co.		40,795		2,487,271
KeyCorp		8,100		105,381
Lincoln National Corp.		2,367		112,338
LPL Financial Holdings, Inc.		1,500		59,655
McGraw Hill Financial, Inc.		2,820		243,930
Moody’s Corp.		2,313		227,137
Morgan Stanley		10,343		325,804
Principal Financial Group, Inc.		1,500		71,010
Public Storage REIT		3,552		751,710
Realty Income Corp. REIT		1,500		71,085
Retail Properties of America, Inc., Class A REIT		5,600		78,904
Signature Bank †		600		82,536
Simon Property Group, Inc. REIT		1,725		316,917
Springleaf Holdings, Inc. †		2,508		109,650
State Street Corp.		2,150		144,502
SunTrust Banks, Inc.		3,600		137,664
SVB Financial Group †		700		80,878
Synchrony Financial †		3,450		107,985
Travelers Cos., Inc./The		1,000		99,530
UDR, Inc. REIT		2,100		72,408
Ventas, Inc. REIT		5,620		315,057
Vornado Realty Trust REIT		4,200		379,764
Welltower, Inc. REIT		7,492		507,358
				15,483,678
Health Care - 19.8%
Abbott Laboratories		13,215		531,507
AbbVie, Inc.		19,251		1,047,447
Acadia Healthcare Co., Inc. †		889		58,914
Aetna, Inc.		7,757		848,693
Agios Pharmaceuticals, Inc. †		2,377		167,792
Akorn, Inc. †		1,738		49,542
Alexion Pharmaceuticals, Inc. †		2,907		454,626
Align Technology, Inc. †		1,400		79,464
Allergan PLC †		1,701		462,349
Alnylam Pharmaceuticals, Inc. †		2,625		210,945
AmerisourceBergen Corp.		4,065		386,134
Amgen, Inc.		10,855		1,501,464
Anthem, Inc.		5,781		809,340
athenahealth, Inc. †		1,017		135,617
Becton Dickinson and Co.		509		67,524
Biogen, Inc. †		2,125		620,096
BioMarin Pharmaceutical, Inc. †		3,879		408,536
Bluebird Bio, Inc. †		2,025		173,239
Boston Scientific Corp. †		15,571		255,520
Bristol-Myers Squibb Co.		20,297		1,201,582

	SHARES		VALUE (Note 4)
Health Care - 19.8% (continued)
Cardinal Health, Inc.		3,661	$	281,238
Celgene Corp. †		12,610		1,364,024
Centene Corp. †		3,293		178,579
Cerner Corp. †		2,661		159,554
DexCom, Inc. †		2,200		188,892
Edwards Lifesciences Corp. †		1,635		232,448
Eli Lilly & Co.		19,000		1,590,110
Endo International PLC (Ireland) †		1,372		95,052
Express Scripts Holding Co. †		8,478		686,379
Gilead Sciences, Inc.		9,471		929,957
HCA Holdings, Inc. †		8,427		651,913
Hologic, Inc. †		1,160		45,391
Illumina, Inc. †		2,631		462,582
Incyte Corp. †		4,491		495,492
Intercept Pharmaceuticals, Inc. †		400		66,344
Intrexon Corp. †		3,842		122,176
Isis Pharmaceuticals, Inc. †		4,236		171,219
McKesson Corp.		4,104		759,363
Medivation, Inc. †		4,314		183,345
Medtronic PLC (Ireland)		6,510		435,779
Merck & Co., Inc.		4,546		224,527
OPKO Health, Inc. †		4,868		40,940
Pfizer, Inc.		36,157		1,135,691
Puma Biotechnology, Inc. †		1,652		124,495
Quintiles Transnational Holdings, Inc. †		1,288		89,606
Regeneron Pharmaceuticals, Inc. †		2,271		1,056,333
St. Jude Medical, Inc.		2,465		155,517
Tenet Healthcare Corp. †		1,805		66,641
Thermo Fisher Scientific, Inc.		5,346		653,709
United Therapeutics Corp. †		512		67,195
UnitedHealth Group, Inc.		18,553		2,152,334
Vertex Pharmaceuticals, Inc. †		4,034		420,101
Zoetis, Inc.		6,810		280,436
				25,037,693
Industrials - 9.2%
3M Co.		5,664		802,985
A. O. Smith Corp.		2,198		143,288
Acuity Brands, Inc.		600		105,348
Alaska Air Group, Inc.		2,312		183,688
American Airlines Group, Inc.		4,967		192,869
Avis Budget Group, Inc. †		4,091		178,695
B/E Aerospace, Inc.		2,772		121,691
Cummins, Inc.		2,472		268,410
Danaher Corp.		1,449		123,469
Delta Air Lines, Inc.		14,818		664,884
Dover Corp.		2,493		142,550
FedEx Corp.		6,286		905,058
Fortune Brands Home & Security, Inc.		3,256		154,562
General Dynamics Corp.		5,500		758,725
HD Supply Holdings, Inc. †		1,192		34,115
Honeywell International, Inc.		5,345		506,118
Huntington Ingalls Industries, Inc.		1,500		160,725
Illinois Tool Works, Inc.		871		71,692
JetBlue Airways Corp. †		8,441		217,524
Lockheed Martin Corp.		6,291		1,304,187
Macquarie Infrastructure Corp.		800		59,728
Masco Corp.		2,809		70,731

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

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	SHARES		VALUE (Note 4)
Industrials - 9.2% (continued)
Middleby Corp./The †		1,800	$	189,342
Norfolk Southern Corp.		2,055		157,002
Northrop Grumman Corp.		5,646		936,954
Old Dominion Freight Line, Inc. †		1,956		119,316
Parker-Hannifin Corp.		1,500		145,950
Raytheon Co.		6,276		685,716
Rockwell Automation, Inc.		2,600		263,822
SolarCity Corp. †		2,391		102,120
Southwest Airlines Co.		17,404		662,048
Spirit Airlines, Inc. †		3,636		171,983
Textron, Inc.		2,100		79,044
Trinity Industries, Inc.		3,400		77,078
Union Pacific Corp.		516		45,619
United Continental Holdings, Inc. †		6,818		361,695
United Rentals, Inc. †		2,943		176,727
WABCO Holdings, Inc. †		800		83,864
Wabtec Corp.		785		69,119
Xylem, Inc.		2,200		72,270
				11,570,711
Information Technology - 21.6%
Accenture PLC, Class A (Ireland)		883		86,764
Activision Blizzard, Inc.		10,763		332,469
Adobe Systems, Inc. †		8,721		717,041
Akamai Technologies, Inc. †		1,700		117,402
Alliance Data Systems Corp. †		903		233,859
Apple, Inc.		71,837		7,923,621
Applied Materials, Inc.		21,557		316,672
ARRIS Group, Inc. †		2,800		72,716
Autodesk, Inc. †		1,500		66,210
Automatic Data Processing, Inc.		3,680		295,725
Brocade Communications Systems, Inc.		7,800		80,964
CA, Inc.		2,700		73,710
Cisco Systems, Inc.		33,726		885,308
Cognizant Technology Solutions Corp., Class A †		6,809		426,312
Corning, Inc.		17,100		292,752
CoStar Group, Inc. †		500		86,530
eBay, Inc. †		11,450		279,838
Electronic Arts, Inc. †		8,389		568,355
F5 Networks, Inc. †		1,500		173,700
Facebook, Inc., Class A †		10,961		985,394
FireEye, Inc. †		1,492		47,475
Fiserv, Inc. †		2,409		208,643
FleetCor Technologies, Inc. †		1,727		237,670
Fortinet, Inc. †		1,807		76,761
Google, Inc., Class A †		2,342		1,495,063
Hewlett-Packard Co.		9,976		255,485
Intuit, Inc.		2,897		257,109
Jack Henry & Associates, Inc.		1,350		93,974
Juniper Networks, Inc.		7,300		187,683
LinkedIn Corp., Class A †		1,616		307,250
Marvell Technology Group Ltd. (2)		6,200		56,110
MasterCard, Inc., Class A		16,598		1,495,812
Micron Technology, Inc. †		6,574		98,479
Microsoft Corp.		3,555		157,344
NVIDIA Corp.		8,300		204,595
Palo Alto Networks, Inc. †		3,029		520,988

	SHARES		VALUE (Note 4)
Information Technology - 21.6% (continued)
PayPal Holdings, Inc. †		4,017	$	124,688
Qorvo, Inc. †		2,781		125,284
Red Hat, Inc. †		1,240		89,131
Sabre Corp.		1,337		36,340
salesforce.com, inc. †		8,181		568,007
SanDisk Corp.		3,186		173,095
ServiceNow, Inc. †		5,378		373,502
Skyworks Solutions, Inc.		8,005		674,101
Splunk, Inc. †		1,904		105,386
SS&C Technologies Holdings, Inc.		1,261		88,320
SunEdison, Inc. †		11,081		79,562
SunPower Corp. †		3,373		67,595
Tableau Software, Inc., Class A †		2,053		163,788
Texas Instruments, Inc.		11,714		580,077
Total System Services, Inc.		2,043		92,813
Twitter, Inc. †		3,520		94,829
Vantiv, Inc., Class A †		822		36,924
Visa, Inc., Class A		37,976		2,645,408
VMware, Inc., Class A †		2,940		231,643
Western Digital Corp.		4,905		389,653
Workday, Inc., Class A †		2,678		184,407
Xerox Corp.		11,832		115,125
Xilinx, Inc.		2,840		120,416
Yahoo!, Inc. †		11,628		336,165
Zillow Group, Inc., Class C †		2,870		77,490
				27,289,532
Materials - 1.4%
Air Products & Chemicals, Inc.		1,700		216,886
Alcoa, Inc.		18,300		176,778
Ball Corp.		1,400		87,080
Dow Chemical Co./The		2,240		94,976
Ecolab, Inc.		2,147		235,569
EI du Pont de Nemours & Co.		3,708		178,726
PPG Industries, Inc.		3,826		335,502
Royal Gold, Inc.		2,500		117,450
Sherwin-Williams Co./The		961		214,091
Vulcan Materials Co.		775		69,130
Westlake Chemical Corp.		1,100		57,079
				1,783,267
Telecommunication Services - 0.3%
Level 3 Communications, Inc. †		3,900		170,391
T-Mobile US, Inc. †		3,760		149,686
				320,077
Utilities - 1.5%
American Electric Power Co., Inc.		3,727		211,917
CMS Energy Corp.		2,100		74,172
Consolidated Edison, Inc.		2,370		158,435
DTE Energy Co.		3,287		264,176
Edison International		5,703		359,688
Entergy Corp.		1,400		91,140
PG&E Corp.		4,123		217,695
Public Service Enterprise Group, Inc.		1,552		65,432
Sempra Energy		3,095		299,348

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

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	SHARES		VALUE (Note 4)
Utilities - 1.5% (continued)
Xcel Energy, Inc.		5,700	$	201,837
				1,943,840
TOTAL COMMON STOCKS (cost $114,674,244)				122,640,007
MONEY MARKET FUNDS - 2.7%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $3,434,826)		3,434,826		3,434,826
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.7% (cost $118,109,070)				126,074,833
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (b)			409,838
NET ASSETS - 100.0%			$	126,484,671

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

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) Includes appreciation/(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

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
25	Goldman Sachs	S&P 500 E-Mini Futures		12/2015	$	2,435,124	$	2,385,875	$	(49,249	)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Goldman Sachs
Cash		$—		$210,528		$210,528

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

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COMMON STOCKS - 94.5%	SHARES		VALUE (Note 4)
Consumer Discretionary - 14.8%
1-800-Flowers.com, Inc., Class A †		3,613	$	32,878
2U, Inc. †		1,417		50,870
AMC Entertainment Holdings, Inc., Class A		1,905		47,987
American Axle & Manufacturing Holdings, Inc. †		1,298		25,882
American Eagle Outfitters, Inc. (a)		4,324		67,584
America’s Car-Mart, Inc. †		284		9,398
Asbury Automotive Group, Inc. †		660		53,559
Barnes & Noble, Inc.		1,300		15,743
Bassett Furniture Industries, Inc.		576		16,042
Big Lots, Inc.		872		41,786
BJ’s Restaurants, Inc. †		600		25,818
Bloomin’ Brands, Inc.		983		17,871
Bright Horizons Family Solutions, Inc. †		449		28,844
Buckle, Inc./The (a)		400		14,788
Buffalo Wild Wings, Inc. †		261		50,485
Build-A-Bear Workshop, Inc. †		1,000		18,890
Burlington Stores, Inc. †		1,224		62,473
Caleres, Inc.		931		28,423
Capella Education Co.		200		9,904
Carriage Services, Inc.		552		11,918
Carrols Restaurant Group, Inc. †		742		8,830
Cato Corp./The, Class A		400		13,612
Chegg, Inc. †		2,968		21,399
Citi Trends, Inc.		600		14,028
ClubCorp Holdings, Inc.		1,814		38,928
Columbia Sportswear Co.		800		47,032
Cooper Tire & Rubber Co.		576		22,758
Cooper-Standard Holding, Inc. †		400		23,200
Core-Mark Holding Co., Inc.		1,000		65,450
Cracker Barrel Old Country Store, Inc. (a)		609		89,694
Culp, Inc.		327		10,487
Denny’s Corp. †		2,000		22,060
Diamond Resorts International, Inc. †		2,037		47,645
DineEquity, Inc.		299		27,406
Drew Industries, Inc.		234		12,779
Entravision Communications Corp., Class A		2,467		16,381
EW Scripps Co./The, Class A		1,235		21,822
Express, Inc. †		1,369		24,464
Fiesta Restaurant Group, Inc. †		693		31,441
Finish Line, Inc./The, Class A		838		16,173
FTD Cos., Inc. †		500		14,900
Gentherm, Inc. †		1,057		47,480
G-III Apparel Group Ltd. †		1,123		69,244
Global Eagle Entertainment, Inc. †(a)		1,196		13,730
Grand Canyon Education, Inc. †		538		20,439
Gray Television, Inc. †		2,135		27,243
Group 1 Automotive, Inc.		200		17,030
Helen of Troy Ltd. †		942		84,121
Hooker Furniture Corp. (a)		465		10,946
Houghton Mifflin Harcourt Co. †		1,697		34,466
IMAX Corp. (Canada) †(a)		229		7,738
Installed Building Products, Inc. †		1,315		33,243
Isle of Capri Casinos, Inc. †		660		11,510
Jack in the Box, Inc.		1,435		110,552
Kirkland’s, Inc.		900		19,386
Kona Grill, Inc. †		1,191		18,758

	SHARES		VALUE (Note 4)
Consumer Discretionary - 14.8% (continued)
Krispy Kreme Doughnuts, Inc. †		925	$	13,533
Lands’ End, Inc. †(a)		436		11,776
La-Z-Boy, Inc.		430		11,421
Libbey, Inc.		400		13,044
Lithia Motors, Inc., Class A		602		65,082
MarineMax, Inc. †		669		9,453
Marriott Vacations Worldwide Corp.		1,196		81,495
Mattress Firm Holding Corp. †(a)		1,251		52,242
MDC Partners, Inc., Class A		944		17,398
Monro Muffler Brake, Inc.		414		27,966
Motorcar Parts of America, Inc. †		1,306		40,930
NACCO Industries, Inc., Class A		210		9,986
Nautilus, Inc. †		1,157		17,355
New Home Co., Inc./The †		667		8,638
New Media Investment Group, Inc.		1,547		23,917
Nexstar Broadcasting Group, Inc., Class A		356		16,857
Nutrisystem, Inc.		1,800		47,736
Overstock.com, Inc. †		485		8,323
Oxford Industries, Inc.		148		10,934
Papa John’s International, Inc.		1,424		97,516
Papa Murphy’s Holdings, Inc. †(a)		974		14,298
Penn National Gaming, Inc. †(a)		999		16,763
Performance Sports Group Ltd. †		1,435		19,258
Pool Corp.		699		50,538
Popeyes Louisiana Kitchen, Inc. †		873		49,202
Red Robin Gourmet Burgers, Inc. †		219		16,587
Rent-A-Center, Inc.		400		9,700
Rentrak Corp. †(a)		300		16,221
Restoration Hardware Holdings, Inc. †		349		32,565
Ruth’s Hospitality Group, Inc.		972		15,785
Scientific Games Corp., Class A †(a)		2,062		21,548
Select Comfort Corp. †		1,997		43,694
Sequential Brands Group, Inc. †		674		9,753
Skullcandy, Inc. †		1,954		10,806
Sonic Corp.		1,127		25,865
Sportsman’s Warehouse Holdings, Inc. †		1,609		19,823
Standard Motor Products, Inc.		641		22,358
Stein Mart, Inc.		1,340		12,971
Steven Madden Ltd. †		651		23,840
Strattec Security Corp.		300		18,918
Texas Roadhouse, Inc.		2,000		74,400
Tile Shop Holdings, Inc. †(a)		792		9,488
Tilly’s, Inc., A Shares †		1,588		11,688
Tower International, Inc. †		753		17,891
Tuesday Morning Corp. †		1,155		6,249
Universal Electronics, Inc. †		400		16,812
World Wrestling Entertainment, Inc., Class A (a)		1,183		19,993
ZAGG, Inc. †		1,866		12,670
Zoe’s Kitchen, Inc. †(a)		509		20,100
Zumiez, Inc. †		1,129		17,646
				2,990,550
Consumer Staples - 3.4%
Boston Beer Co., Inc./The, Class A †		72		15,164
Calavo Growers, Inc.		300		13,392
Cal-Maine Foods, Inc. (a)		1,202		65,641
Coca-Cola Bottling Co. Consolidated		202		39,063

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

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	SHARES		VALUE (Note 4)
Consumer Staples - 3.4% (continued)
Diamond Foods, Inc. †		500	$	15,430
Fresh Del Monte Produce, Inc.		1,300		51,363
Fresh Market, Inc./The †(a)		265		5,986
HRG Group, Inc. †		3,776		44,292
Ingles Markets, Inc., Class A		500		23,915
J&J Snack Foods Corp.		384		43,645
John B. Sanfilippo & Son, Inc.		300		15,378
Natural Health Trends Corp. (a)		1,142		37,321
Post Holdings, Inc. †		874		51,653
Revlon, Inc., Class A †		830		24,444
Sanderson Farms, Inc.		700		47,999
SpartanNash Co.		755		19,517
SUPERVALU, Inc. †		3,000		21,540
USANA Health Sciences, Inc. †		300		40,209
Vector Group Ltd.		4,541		102,678
WD-40 Co.		200		17,814
				696,444
Energy - 0.8%
Alon USA Energy, Inc.		841		15,197
Delek US Holdings, Inc.		600		16,620
Green Plains, Inc.		616		11,987
Matrix Service Co. †		700		15,729
Newpark Resources, Inc. †		1,331		6,815
Nordic American Tankers Ltd. (Norway)		1,290		19,608
Pacific Ethanol, Inc. †(a)		900		5,841
REX American Resources Corp. †(a)		300		15,186
RigNet, Inc. †(a)		451		11,501
Ship Finance International Ltd. (Norway) (a)		1,000		16,250
Synergy Resources Corp. †		1,416		13,877
Teekay Tankers Ltd., Class A		2,395		16,525
				165,136
Financials - 18.6%
Acadia Realty Trust REIT		1,244		37,407
Access National Corp. (a)		511		10,409
Actua Corp. †		900		10,584
American Assets Trust, Inc. REIT		1,348		55,079
American Equity Investment Life Holding Co.		641		14,942
Ameris Bancorp		1,531		44,016
AMERISAFE, Inc.		315		15,665
Argo Group International Holdings Ltd.		600		33,954
Ashford Hospitality Trust, Inc. REIT		1,500		9,150
Astoria Financial Corp.		1,400		22,540
Banc of California, Inc.		1,402		17,203
Bank of the Ozarks, Inc.		985		43,104
Banner Corp.		455		21,735
BGC Partners, Inc., Class A		6,967		57,269
BNC Bancorp		978		21,741
BofI Holding, Inc. †		488		62,869
Boston Private Financial Holdings, Inc.		1,225		14,332
Capital Bank Financial Corp., Class A †		2,887		87,274
Cash America International, Inc.		692		19,355
Cathay General Bancorp		829		24,837
Cedar Realty Trust, Inc. REIT		1,989		12,352
Central Pacific Financial Corp.		835		17,510
Chatham Lodging Trust REIT		1,619		34,776

	SHARES		VALUE (Note 4)
Financials - 18.6% (continued)
Chesapeake Lodging Trust REIT		734	$	19,128
CNO Financial Group, Inc.		725		13,637
ConnectOne Bancorp, Inc.		900		17,370
CoreSite Realty Corp. REIT		1,387		71,347
Cowen Group, Inc., Class A †		3,463		15,791
CubeSmart REIT		2,871		78,120
Customers Bancorp, Inc. †		1,237		31,791
CVB Financial Corp.		1,182		19,739
CyrusOne, Inc. REIT		3,157		103,108
DCT Industrial Trust, Inc. REIT		572		19,254
DuPont Fabros Technology, Inc. REIT		1,100		28,468
Eagle Bancorp, Inc. †		980		44,590
EastGroup Properties, Inc. REIT		329		17,825
Education Realty Trust, Inc. REIT		1,567		51,633
Enstar Group Ltd. †		155		23,250
Essent Group Ltd. †		2,194		54,521
FBL Financial Group, Inc., Class A		241		14,826
FCB Financial Holdings, Inc., Class A †		399		13,015
Federated National Holding Co.		2,074		49,817
FelCor Lodging Trust, Inc. REIT		3,003		21,231
Fidelity Southern Corp.		1,125		23,782
First American Financial Corp.		1,911		74,663
First Defiance Financial Corp.		453		16,562
First Interstate BancSystem, Inc., Class A		2,290		63,754
GAIN Capital Holdings, Inc.		1,922		13,992
GAMCO Investors, Inc., Class A		344		18,886
GEO Group, Inc./The REIT		1,257		37,383
Gladstone Commercial Corp. REIT		800		11,288
Greenlight Capital Re Ltd., Class A †		400		8,912
Hanmi Financial Corp.		1,300		32,760
HCI Group, Inc.		313		12,135
Healthcare Realty Trust, Inc. REIT		560		13,916
Heritage Insurance Holdings, Inc. †		770		15,192
Hersha Hospitality Trust REIT		1,090		24,699
HFF, Inc., Class A		1,079		36,427
Hilltop Holdings, Inc. †		800		15,848
Hingham Institution for Savings (a)		91		10,559
Home BancShares, Inc.		1,005		40,702
HomeStreet, Inc. †		693		16,008
HomeTrust Bancshares, Inc. †		439		8,143
Hudson Pacific Properties, Inc. REIT		2,172		62,532
Impac Mortgage Holdings, Inc. †(a)		1,013		16,563
Independent Bank Corp./MI		1,043		15,395
Independent Bank Group, Inc.		300		11,529
Investment Technology Group, Inc.		682		9,098
Investors Bancorp, Inc.		7,598		93,759
Janus Capital Group, Inc.		800		10,880
KCG Holdings, Inc., Class A †		843		9,248
Kennedy-Wilson Holdings, Inc.		1,600		35,472
Ladenburg Thalmann Financial Services, Inc. †(a)		5,000		10,550
Lakeland Financial Corp.		500		22,575
LegacyTexas Financial Group, Inc.		492		14,996
LendingTree, Inc. †		622		57,865
Maiden Holdings Ltd.		1,054		14,630
Marcus & Millichap, Inc. †		1,307		60,109
MarketAxess Holdings, Inc.		370		34,366

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

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	SHARES		VALUE (Note 4)
Financials - 18.6% (continued)
MB Financial, Inc.		627	$	20,465
Meta Financial Group, Inc.		618		25,814
National Health Investors, Inc. REIT		101		5,806
Navigators Group, Inc./The †		200		15,596
Nelnet, Inc., Class A		400		13,844
Opus Bank		274		10,478
Pebblebrook Hotel Trust REIT		369		13,081
PennyMac Financial Services, Inc., Class A †		835		13,360
Physicians Realty Trust REIT		3,036		45,813
Pinnacle Financial Partners, Inc.		881		43,530
Primerica, Inc.		641		28,890
PrivateBancorp, Inc.		981		37,602
PS Business Parks, Inc. REIT (a)		147		11,669
QCR Holdings, Inc.		485		10,607
QTS Realty Trust, Inc., Class A REIT		1,071		46,792
Ramco-Gershenson Properties Trust REIT		1,967		29,525
RE/MAX Holdings, Inc., Class A		657		23,639
Retail Opportunity Investments Corp. REIT		2,273		37,595
Rexford Industrial Realty, Inc. REIT		1,134		15,638
Ryman Hospitality Properties, Inc. REIT		1,068		52,578
Sabra Health Care REIT, Inc.		554		12,842
Seacoast Banking Corp of Florida †		1,142		16,765
Selective Insurance Group, Inc.		415		12,890
ServisFirst Bancshares, Inc.		845		35,093
Simmons First National Corp., Class A		600		28,758
South State Corp.		302		23,215
Southside Bancshares, Inc.		840		23,142
Sovran Self Storage, Inc. REIT		786		74,120
State Bank Financial Corp.		950		19,646
Stonegate Bank		988		31,428
Summit Hotel Properties, Inc. REIT		2,630		30,692
Sun Communities, Inc. REIT		1,200		81,312
Talmer Bancorp, Inc., Class A		2,155		35,881
Terreno Realty Corp. REIT		915		17,971
Territorial Bancorp, Inc.		231		6,015
TriState Capital Holdings, Inc. †		475		5,923
United Community Banks, Inc.		2,308		47,176
United Insurance Holdings Corp.		2,600		34,190
Universal Health Realty Income Trust REIT		283		13,284
Universal Insurance Holdings, Inc.		1,100		32,494
Walker & Dunlop, Inc. †		776		20,238
Washington Real Estate Investment Trust REIT (a)		1,600		39,888
Waterstone Financial, Inc.		2,000		26,960
Webster Financial Corp.		1,302		46,390
WesBanco, Inc.		352		11,070
Western Alliance Bancorp †		2,469		75,823
Whitestone REIT		665		7,667
Wilshire Bancorp, Inc.		1,800		18,918
WisdomTree Investments, Inc. (a)		3,311		53,406
				3,757,261
Health Care - 23.3%
AAC Holdings, Inc. †(a)		541		12,037
Abaxis, Inc.		657		28,901
ABIOMED, Inc. †		1,317		122,165
ACADIA Pharmaceuticals, Inc. †		669		22,124
Accelerate Diagnostics, Inc. †		1,539		24,901

	SHARES		VALUE (Note 4)
Health Care - 23.3% (continued)
Acceleron Pharma, Inc. †(a)		500	$	12,450
Aceto Corp.		1,044		28,658
Adamas Pharmaceuticals, Inc. †		448		7,500
Addus HomeCare Corp. †		1,246		38,813
Adeptus Health, Inc., Class A †		632		51,040
Advaxis, Inc. †(a)		2,125		21,739
Aerie Pharmaceuticals, Inc. †(a)		811		14,387
Affymetrix, Inc. †		1,156		9,872
Agenus, Inc. †		3,037		13,970
Air Methods Corp. †		300		10,227
Albany Molecular Research, Inc. †(a)		622		10,835
Alder Biopharmaceuticals, Inc. †		1,603		52,514
AMAG Pharmaceuticals, Inc. †		1,000		39,730
Amedisys, Inc. †		745		28,288
Amicus Therapeutics, Inc. †		3,379		47,272
AMN Healthcare Services, Inc. †		1,210		36,312
Amphastar Pharmaceuticals, Inc. †		1,011		11,819
Amsurg Corp. †		500		38,855
Anacor Pharmaceuticals, Inc. †		722		84,987
Analogic Corp.		156		12,798
ANI Pharmaceuticals, Inc. †(a)		574		22,679
Anika Therapeutics, Inc. †		794		25,273
Anthera Pharmaceuticals, Inc. †		2,206		13,435
Aratana Therapeutics, Inc. †		475		4,018
ARIAD Pharmaceuticals, Inc. †		4,416		25,789
Array BioPharma, Inc. †(a)		4,750		21,660
Assembly Biosciences, Inc. †(a)		704		6,730
Asterias Biotherapeutics, Inc. †		1,225		4,741
AtriCure, Inc. †		800		17,528
BioCryst Pharmaceuticals, Inc. †		1,562		17,807
BioSpecifics Technologies Corp. †		174		7,576
BioTelemetry, Inc. †		1,700		20,808
Cambrex Corp. †		1,200		47,616
Cantel Medical Corp.		420		23,814
Capital Senior Living Corp. †		432		8,662
Cara Therapeutics, Inc. †		330		4,716
Cardiovascular Systems, Inc. †		542		8,585
Catalent, Inc. †		601		14,604
Catalyst Pharmaceuticals, Inc. †		9,282		27,846
Celldex Therapeutics, Inc. †(a)		1,396		14,714
Cellular Biomedicine Group, Inc. †(a)		975		16,507
Cempra, Inc. †		2,144		59,689
Cerus Corp. †(a)		3,201		14,533
Chemed Corp.		500		66,735
Chimerix, Inc. †		1,789		68,340
Clovis Oncology, Inc. †		353		32,462
Concert Pharmaceuticals, Inc. †		1,751		32,866
CONMED Corp.		500		23,870
Corcept Therapeutics, Inc. †		2,685		10,096
CorMedix, Inc. †(a)		2,893		5,757
CorVel Corp. †		404		13,049
Cross Country Healthcare, Inc. †		1,400		19,054
CTI BioPharma Corp. †		3,700		5,402
Cyberonics, Inc. †		400		24,312
Cynosure, Inc., Class A †		663		19,917
Durect Corp. †(a)		2,981		5,813
Dyax Corp. †		2,187		41,750

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

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	SHARES		VALUE (Note 4)
Health Care - 23.3% (continued)
Dynavax Technologies Corp. †		1,030	$	25,276
Eagle Pharmaceuticals, Inc. †		849		62,851
Emergent BioSolutions, Inc. †		500		14,245
Enanta Pharmaceuticals, Inc. †(a)		400		14,456
Ensign Group, Inc./The		1,000		42,630
Esperion Therapeutics, Inc. †(a)		972		22,929
Exact Sciences Corp. †(a)		2,262		40,693
ExamWorks Group, Inc. †		961		28,100
Exelixis, Inc. †		2,734		15,338
Fibrocell Science, Inc. †		1,204		4,635
Five Prime Therapeutics, Inc. †		1,269		19,530
Flexion Therapeutics, Inc. †		708		10,521
GenMark Diagnostics, Inc. †		1,549		12,191
Genomic Health, Inc. †(a)		455		9,628
Geron Corp. †(a)		3,240		8,942
Globus Medical, Inc., Class A †		1,343		27,746
Greatbatch, Inc. †		400		22,568
Halozyme Therapeutics, Inc. †		3,321		44,601
HealthEquity, Inc. †		516		15,248
HealthStream, Inc. †		397		8,659
Healthways, Inc. †		1,200		13,344
Heska Corp. †		716		21,824
ICU Medical, Inc. †		559		61,210
IGI Laboratories, Inc. †(a)		4,300		28,122
Ignyta, Inc. †(a)		1,451		12,740
ImmunoGen, Inc. †		1,324		12,710
Impax Laboratories, Inc. †		1,600		56,336
Infinity Pharmaceuticals, Inc. †		1,367		11,551
Inogen, Inc. †		1,089		52,871
Inovio Pharmaceuticals, Inc. †		1,375		7,947
Insmed, Inc. †		1,900		35,283
Insys Therapeutics, Inc. †(a)		2,497		71,065
Intersect ENT, Inc. †		422		9,875
Intra-Cellular Therapies, Inc. †		1,374		55,015
iRadimed Corp. †		217		5,286
Ironwood Pharmaceuticals, Inc. †		1,353		14,098
K2M Group Holdings, Inc. †		1,170		21,762
Kindred Healthcare, Inc.		600		9,450
Kite Pharma, Inc. †(a)		1,171		65,201
Lannett Co., Inc. †(a)		1,002		41,603
LDR Holding Corp. †		1,323		45,683
Ligand Pharmaceuticals, Inc. †		567		48,564
Lion Biotechnologies, Inc. †(a)		1,693		9,752
Loxo Oncology, Inc. †		281		4,912
MacroGenics, Inc. †		1,039		22,255
Masimo Corp. †		819		31,581
Medicines Co./The †		290		11,008
Medidata Solutions, Inc. †		471		19,834
Merit Medical Systems, Inc. †		612		14,633
Merrimack Pharmaceuticals, Inc. †		4,483		38,150
MiMedx Group, Inc. †(a)		4,489		43,319
Mirati Therapeutics, Inc. †		693		23,853
Molina Healthcare, Inc. †		800		55,080
Momenta Pharmaceuticals, Inc. †		1,517		24,894
Nanosphere, Inc. †		99		161
Natus Medical, Inc. †		1,478		58,307
Nektar Therapeutics †		909		9,963

	SHARES		VALUE (Note 4)
Health Care - 23.3% (continued)
NeoGenomics, Inc. †		1,062	$	6,085
Neurocrine Biosciences, Inc. †		1,600		63,664
NewLink Genetics Corp. †		1,335		47,846
Novavax, Inc. †		8,398		59,374
NuVasive, Inc. †		896		43,205
NxStage Medical, Inc. †		1,351		21,305
Ocular Therapeutix, Inc. †		366		5,146
Omeros Corp. †(a)		2,021		22,150
Omnicell, Inc. †		1,035		32,188
Ophthotech Corp. †		940		38,089
Organovo Holdings, Inc. †(a)		2,400		6,432
Osiris Therapeutics, Inc. †		672		12,412
OvaScience, Inc. †(a)		883		7,497
Pacific Biosciences of California, Inc. †(a)		2,694		9,860
PAREXEL International Corp. †		228		14,118
Peregrine Pharmaceuticals, Inc. †		9,591		9,783
Pernix Therapeutics Holdings, Inc. †(a)		1,894		5,985
Pfenex, Inc. †		427		6,409
PharMerica Corp. †		900		25,623
Phibro Animal Health Corp., Class A		1,158		36,628
Portola Pharmaceuticals, Inc. †		1,745		74,372
POZEN, Inc. †		1,300		7,586
Prestige Brands Holdings, Inc. †		735		33,193
Progenics Pharmaceuticals, Inc. †		3,435		19,648
Prothena Corp. PLC (Ireland) †		329		14,917
Providence Service Corp./The †		400		17,432
PTC Therapeutics, Inc. †		1,287		34,363
Radius Health, Inc. †		1,323		91,697
RadNet, Inc. †		2,500		13,875
Raptor Pharmaceutical Corp. †		1,845		11,162
Regulus Therapeutics, Inc. †		2,561		16,749
Relypsa, Inc. †		1,289		23,859
Repligen Corp. †		1,200		33,420
Retrophin, Inc. †		1,553		31,464
Rockwell Medical, Inc. †(a)		1,724		13,292
RTI Surgical, Inc. †		2,746		15,597
Sage Therapeutics, Inc. †(a)		768		32,502
Sagent Pharmaceuticals, Inc. †		600		9,198
Sarepta Therapeutics, Inc. †		705		22,638
Select Medical Holdings Corp.		2,344		25,292
Sorrento Therapeutics, Inc. †		1,268		10,639
Spectranetics Corp./The †		1,257		14,820
STERIS Corp.		619		40,216
Sucampo Pharmaceuticals, Inc., Class A †		1,836		36,481
Supernus Pharmaceuticals, Inc. †		2,382		33,419
Surgical Care Affiliates, Inc. †		493		16,116
Synergy Pharmaceuticals, Inc. †(a)		2,921		15,481
TESARO, Inc. †		1,320		52,932
Tetraphase Pharmaceuticals, Inc. †(a)		2,643		19,717
TG Therapeutics, Inc. †(a)		2,524		25,442
TherapeuticsMD, Inc. †		4,274		25,046
Trevena, Inc. †		521		5,392
Ultragenyx Pharmaceutical, Inc. †		397		38,235
US Physical Therapy, Inc.		280		12,569
Vascular Solutions, Inc. †		769		24,923
Vital Therapies, Inc. †(a)		1,708		6,900
Xencor, Inc. †		1,298		15,875

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

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	SHARES		VALUE (Note 4)
Health Care - 23.3% (continued)
XenoPort, Inc. †		1,877	$	6,513
Zafgen, Inc. †		960		30,672
Zeltiq Aesthetics, Inc. †		2,122		67,968
ZIOPHARM Oncology, Inc. †(a)		5,258		47,375
ZS Pharma, Inc. †		650		42,679
				4,706,441
Industrials - 9.0%
AAON, Inc.		1,050		20,349
AAR Corp.		688		13,051
Advanced Drainage Systems, Inc. (a)		332		9,605
Aerojet Rocketdyne Holdings, Inc. †(a)		588		9,514
Air Transport Services Group, Inc. †		1,277		10,918
Aircastle Ltd.		1,474		30,379
Albany International Corp., Class A		329		9,413
Allegiant Travel Co.		618		133,642
Allied Motion Technologies, Inc. (a)		729		12,954
American Woodmark Corp. †		564		36,587
Apogee Enterprises, Inc.		791		35,318
ARC Document Solutions, Inc. †		1,784		10,615
ArcBest Corp.		1,099		28,321
Argan, Inc.		730		25,316
Astronics Corp. †		515		20,821
Atlas Air Worldwide Holdings, Inc. †		400		13,824
Builders FirstSource, Inc. †		1,831		23,217
CEB, Inc.		456		31,163
Comfort Systems USA, Inc.		727		19,818
Continental Building Products, Inc. †		1,526		31,344
Covenant Transportation Group, Inc., Class A †		1,000		17,970
Curtiss-Wright Corp.		182		11,360
Deluxe Corp.		267		14,883
Douglas Dynamics, Inc.		715		14,200
Ducommun, Inc. †		564		11,319
Dycom Industries, Inc. †		848		61,361
Echo Global Logistics, Inc. †		1,722		33,751
EnerSys		213		11,413
Engility Holdings, Inc.		470		12,117
Enphase Energy, Inc. †		1,813		6,708
EnPro Industries, Inc.		400		15,668
Exponent, Inc.		286		12,744
Federal Signal Corp.		2,000		27,420
G&K Services, Inc., Class A		400		26,648
Gibraltar Industries, Inc. †		704		12,918
Greenbrier Cos., Inc./The		214		6,872
Hawaiian Holdings, Inc. †		1,800		44,424
HC2 Holdings, Inc. †(a)		962		6,744
Healthcare Services Group, Inc.		518		17,457
Heartland Express, Inc. (a)		2,500		49,850
HNI Corp.		700		30,030
Hub Group, Inc., Class A †		700		25,487
Huron Consulting Group, Inc. †		402		25,137
Hyster-Yale Materials Handling, Inc.		348		20,125
Insperity, Inc.		534		23,459
Interface, Inc.		687		15,416
John Bean Technologies Corp.		400		15,300
Kforce, Inc.		539		14,165
Kimball International, Inc., Class B		1,371		12,970

	SHARES		VALUE (Note 4)
Industrials - 9.0% (continued)
Knight Transportation, Inc.		2,562	$	61,488
Korn/Ferry International		1,020		33,731
Lydall, Inc. †		699		19,914
Marten Transport Ltd.		800		12,936
Masonite International Corp. †		877		53,129
Meritor, Inc. †		1,638		17,412
Mobile Mini, Inc.		427		13,147
Mueller Industries, Inc.		332		9,821
Multi-Color Corp.		444		33,962
NN, Inc.		927		17,149
Nortek, Inc. †		191		12,092
NV5 Holdings, Inc. †(a)		842		15,627
Park-Ohio Holdings Corp.		324		9,351
Patrick Industries, Inc. †		1,644		64,922
PGT, Inc. †		881		10,819
Plug Power, Inc. †(a)		4,900		8,967
Ply Gem Holdings, Inc. †		466		5,452
Radiant Logistics, Inc. †		1,689		7,533
RBC Bearings, Inc. †		181		10,811
Saia, Inc. †		643		19,901
Standex International Corp.		200		15,070
Steelcase, Inc., Class A		1,047		19,275
TASER International, Inc. †(a)		1,681		37,024
Tennant Co.		497		27,921
Trex Co., Inc. †		402		13,399
TriNet Group, Inc. †		382		6,418
UniFirst Corp.		100		10,681
US Ecology, Inc.		349		15,234
VSE Corp.		200		8,014
WageWorks, Inc. †		382		17,221
Werner Enterprises, Inc.		1,200		30,120
West Corp.		1,653		37,027
XPO Logistics, Inc. †(a)		948		22,591
				1,822,244
Information Technology - 18.5%
ACI Worldwide, Inc. †		1,294		27,329
Advanced Energy Industries, Inc. †		716		18,831
Alliance Fiber Optic Products, Inc.		1,541		26,336
Ambarella, Inc. †(a)		1,886		108,992
Aspen Technology, Inc. †		281		10,653
Axcelis Technologies, Inc. †		7,009		18,714
Barracuda Networks, Inc. †(a)		1,047		16,312
Blackbaud, Inc.		610		34,233
Blackhawk Network Holdings, Inc. †		2,462		104,364
BroadSoft, Inc. †		878		26,305
Cabot Microelectronics Corp. †		300		11,622
CACI International, Inc., Class A †		241		17,827
Callidus Software, Inc. †		2,014		34,218
Cardtronics, Inc. †		345		11,282
Cavium, Inc. †		740		45,414
Ciena Corp. †		1,152		23,869
Cirrus Logic, Inc. †		963		30,344
Clearfield, Inc. †(a)		1,561		20,964
comScore, Inc. †		900		41,535
Constant Contact, Inc. †		446		10,811
Cray, Inc. †		1,006		19,929
CTS Corp.		722		13,364

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

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Schedule of Investments September 30, 2015

AQR TM SMALL CAP MOMENTUM STYLE FUND

	SHARES		VALUE (Note 4)
Information Technology - 18.5% (continued)
Diebold, Inc.		339	$	10,092
Diodes, Inc. †		696		14,874
DTS, Inc. †		339		9,051
EarthLink Holdings Corp.		3,871		30,116
Ebix, Inc.		1,032		25,759
Electronics For Imaging, Inc. †		983		42,544
Ellie Mae, Inc. †		1,511		100,587
Endurance International Group Holdings, Inc. †(a)		4,120		55,043
Entegris, Inc. †		1,000		13,190
Envestnet, Inc. †		566		16,963
EPAM Systems, Inc. †		847		63,118
ePlus, Inc. †		336		26,568
Euronet Worldwide, Inc. †		640		47,418
ExlService Holdings, Inc. †		374		13,812
Fabrinet (Thailand) †		1,300		23,829
Fair Isaac Corp.		683		57,714
Fairchild Semiconductor International, Inc. †		958		13,450
FARO Technologies, Inc. †		279		9,765
Fleetmatics Group PLC (Ireland) †		1,685		82,717
Gigamon, Inc. †		1,325		26,513
Globant SA (Luxembourg) †		182		5,567
Glu Mobile, Inc. †		5,554		24,271
Gogo, Inc. †		1,942		29,674
GTT Communications, Inc. †		809		18,817
Guidewire Software, Inc. †		230		12,093
Heartland Payment Systems, Inc.		574		36,168
Immersion Corp. †		870		9,770
Imperva, Inc. †		1,093		71,570
Infinera Corp. †		3,609		70,592
Infoblox, Inc. †		1,650		26,367
Inphi Corp. †		1,489		35,796
Insight Enterprises, Inc. †		700		18,095
Integrated Device Technology, Inc. †		1,575		31,973
InterDigital, Inc.		800		40,480
Intersil Corp., Class A		2,200		25,740
Intralinks Holdings, Inc. †		1,674		13,877
j2 Global, Inc.		800		56,680
Littelfuse, Inc.		300		27,345
LogMeIn, Inc. †		1,174		80,020
Luxoft Holding, Inc. (Switzerland) †		96		6,076
M/A-COM Technology Solutions Holdings, Inc. †		1,823		52,849
Manhattan Associates, Inc. †		1,052		65,540
Mattson Technology, Inc. †		5,468		12,740
MAXIMUS, Inc.		274		16,319
Mentor Graphics Corp.		559		13,768
Methode Electronics, Inc.		887		28,295
Microsemi Corp. †		1,200		39,384
MicroStrategy, Inc., Class A †		200		39,294
MKS Instruments, Inc.		500		16,765
Monolithic Power Systems, Inc.		1,143		58,522
Monotype Imaging Holdings, Inc.		488		10,648
Multi-Fineline Electronix, Inc. †		601		10,037
NeoPhotonics Corp. †(a)		2,298		15,649
NetScout Systems, Inc. †		776		27,447
Novatel Wireless, Inc. †(a)		2,918		6,449

	SHARES		VALUE (Note 4)
Information Technology - 18.5% (continued)
OmniVision Technologies, Inc. †		1,005	$	26,391
OSI Systems, Inc. †		155		11,929
Paycom Software, Inc. †		2,074		74,477
Paylocity Holding Corp. †		1,310		39,287
Perficient, Inc. †		546		8,425
PFSweb, Inc. †		842		11,973
Photronics, Inc. †		1,352		12,249
Plantronics, Inc.		393		19,984
Plexus Corp. †		600		23,148
PMC-Sierra, Inc. †		3,800		25,726
Power Integrations, Inc.		424		17,880
Proofpoint, Inc. †		1,637		98,744
Q2 Holdings, Inc. †		1,155		28,552
QAD, Inc., Class A		564		14,438
Qlik Technologies, Inc. †		645		23,510
QLogic Corp. †		1,610		16,503
Qualys, Inc. †		1,867		53,135
Quantum Corp. †		7,641		5,328
Rambus, Inc. †		3,205		37,819
RingCentral, Inc., Class A †		1,294		23,486
Rogers Corp. †		300		15,954
Rubicon Project, Inc./The †		1,827		26,546
Ruckus Wireless, Inc. †		1,132		13,448
Sanmina Corp. †		1,891		40,411
ServiceSource International, Inc. †		2,114		8,456
Sigma Designs, Inc. †		1,966		13,546
SPS Commerce, Inc. †		460		31,229
Stamps.com, Inc. †		678		50,179
Super Micro Computer, Inc. †		1,470		40,072
Synaptics, Inc. †		155		12,781
Synchronoss Technologies, Inc. †		968		31,750
SYNNEX Corp.		700		59,542
Take-Two Interactive Software, Inc. †		2,243		64,441
Tech Data Corp. †		434		29,729
Telenav, Inc. †		1,979		15,456
Tessera Technologies, Inc.		1,800		58,338
Textura Corp. †		640		16,538
TTM Technologies, Inc. †		1,385		8,629
TubeMogul, Inc. †		807		8,490
Tyler Technologies, Inc. †		137		20,455
Universal Display Corp. †		1,034		35,053
VASCO Data Security International, Inc. †(a)		1,100		18,744
Verint Systems, Inc. †		900		38,835
VirnetX Holding Corp. †		80		285
Virtusa Corp. †		479		24,578
WebMD Health Corp. †		472		18,804
Xcerra Corp. †		1,800		11,304
Zendesk, Inc. †		1,688		33,270
				3,730,895
Materials - 2.2%
A Schulman, Inc.		500		16,235
Berry Plastics Group, Inc. †		1,831		55,058
Boise Cascade Co. †		1,132		28,549
Calgon Carbon Corp.		582		9,068
Chemtura Corp. †		364		10,418
Clearwater Paper Corp. †		200		9,448
Core Molding Technologies, Inc. †		709		13,081

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

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	SHARES		VALUE (Note 4)
Materials - 2.2% (continued)
Ferro Corp. †		2,400	$	26,280
FutureFuel Corp.		1,187		11,728
Headwaters, Inc. †		2,139		40,213
Innophos Holdings, Inc.		300		11,892
Kaiser Aluminum Corp.		329		26,402
Minerals Technologies, Inc.		800		38,528
PH Glatfelter Co.		528		9,092
Sensient Technologies Corp.		1,100		67,430
Trinseo SA †(a)		750		18,937
US Concrete, Inc. †		1,314		62,796
				455,155
Telecommunication Services - 1.2%
8x8, Inc. †		1,152		9,527
Atlantic Tele-Network, Inc.		181		13,381
Boingo Wireless, Inc. †		1,931		15,989
Cogent Communications Holdings, Inc.		519		14,096
Consolidated Communications Holdings, Inc.		1,600		30,832
Globalstar, Inc. †		6,697		10,514
IDT Corp., Class B		755		10,797
Inteliquent, Inc.		1,436		32,066
Iridium Communications, Inc. †(a)		3,284		20,197
Lumos Networks Corp.		1,202		14,616
Straight Path Communications, Inc., Class B †(a)		1,332		53,826
Vonage Holdings Corp. †		2,700		15,876
				241,717
Utilities - 2.7%
American States Water Co.		700		28,980
Avista Corp.		1,423		47,315
Chesapeake Utilities Corp.		258		13,695
El Paso Electric Co.		544		20,030
Empire District Electric Co./The		1,300		28,639
Laclede Group, Inc./The		900		49,077
New Jersey Resources Corp.		440		13,213
Northwest Natural Gas Co.		500		22,920
NorthWestern Corp.		700		37,681
ONE Gas, Inc.		1,878		85,130
PNM Resources, Inc.		2,086		58,512
Portland General Electric Co.		872		32,238
Southwest Gas Corp.		400		23,328
WGL Holdings, Inc.		1,400		80,738
				541,496
TOTAL COMMON STOCKS (cost $18,291,689)				19,107,339
EXCHANGE-TRADED FUNDS (ETF) - 4.1%
iShares Russell 2000 ETF (a)
(cost $843,751)		7,692		839,966
MONEY MARKET FUNDS - 3.3%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b)
(cost $662,689)		662,689		662,689

SECURITIES LENDING COLLATERAL - 10.0%	SHARES		VALUE (Note 4)
Money Market Funds - 10.0%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (2)(b)(c)
(cost $2,011,744)		2,011,744	$	2,011,744
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 111.9% (cost $21,809,873)				22,621,738
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.9%)			(2,405,050)
NET ASSETS - 100.0%			$	20,216,688

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

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $1,978,864; cash collateral of $2,011,744 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of the close of the reporting period.

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

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

(2) Level 2 security (See Note 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.

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COMMON STOCKS - 93.9%	SHARES		VALUE (Note 4)
Australia - 3.2%
Amcor Ltd.		28,362	$	263,762
Australia & New Zealand Banking Group Ltd.		2,199		42,014
Brambles Ltd.		11,872		81,554
Commonwealth Bank of Australia		3,536		181,498
Crown Resorts Ltd.		11,649		81,479
CSL Ltd.		2,131		134,111
Insurance Australia Group Ltd.		28,183		96,361
Qantas Airways Ltd. †		37,326		97,995
Ramsay Health Care Ltd.		11,496		474,141
Scentre Group REIT		123,001		338,536
Suncorp Group Ltd.		11,005		94,672
Telstra Corp. Ltd.		102,357		404,688
				2,290,811
Austria - 0.2%
ANDRITZ AG		2,003		90,257
voestalpine AG		1,869		64,261
				154,518
Belgium - 2.5%
Anheuser-Busch InBev SA/NV		10,965		1,166,189
KBC Groep NV		4,858		307,230
Proximus		5,258		181,884
UCB SA		1,538		120,491
				1,775,794
Canada - 5.6%
Agrium, Inc. (1)		400		35,849
Alimentation Couche-Tard, Inc., Class B (1)		12,723		585,096
BCE, Inc. (1)		3,936		161,097
BlackBerry Ltd. (1)†		5,191		31,858
Brookfield Asset Management, Inc., Class A (1)		12,450		391,739
Canadian Pacific Railway Ltd. (1)		327		46,934
Canadian Tire Corp. Ltd., Class A (1)		2,137		192,242
CGI Group, Inc., Class A (1)†		2,369		85,831
CI Financial Corp. (1)		9,647		219,036
Constellation Software, Inc. (1)		749		313,940
Dollarama, Inc. (1)		5,438		367,274
Fortis, Inc. (1)		4,800		137,292
Gildan Activewear, Inc. (1)		8,622		260,243
Jean Coutu Group PJC, Inc./The, Class A (1)		3,300		49,729
Loblaw Cos., Ltd. (1)		6,778		348,982
Magna International, Inc. (1)		5,714		274,075
Methanex Corp. (1)		1,018		33,732
Metro, Inc. (1)		1,705		46,455
Open Text Corp. (1)		1,410		63,141
Rogers Communications, Inc., Class B (1)		3,763		129,653
Saputo, Inc. (1)		3,000		65,867
Sun Life Financial, Inc. (1)		6,406		206,605
				4,046,670
Denmark - 3.6%
AP Moeller - Maersk A/S, Class B		103		158,773
Coloplast A/S, Class B		5,113		362,506
Danske Bank A/S		4,267		128,950
Novo Nordisk A/S, Class B		23,244		1,254,353
Pandora A/S		2,888		337,373

	SHARES		VALUE (Note 4)
Denmark - 3.6% (continued)
Tryg A/S		11,965	$	232,473
Vestas Wind Systems A/S		2,491		129,505
				2,603,933
Finland - 1.0%
Kone OYJ, Class B		885		33,681
Nokia OYJ		32,155		219,869
Sampo OYJ, A Shares		8,956		433,445
				686,995
France - 5.6%
Accor SA		917		42,996
Airbus Group SE		10,257		607,420
AXA SA		15,660		380,209
Cap Gemini SA		1,863		166,371
Credit Agricole SA		3,215		37,013
Dassault Systemes		2,145		158,526
Essilor International SA		726		88,694
Hermes International		304		110,660
Iliad SA		718		145,246
JCDecaux SA		894		32,498
L’Oreal SA		1,023		177,812
LVMH Moet Hennessy Louis Vuitton SE		1,666		283,625
Numericable-SFR SAS †		3,839		177,724
Orange SA		18,570		281,508
Peugeot SA †		19,662		297,930
Renault SA		4,326		312,133
Safran SA		2,841		213,619
Sanofi		811		77,207
Unibail-Rodamco SE REIT		780		202,163
Valeo SA		1,866		253,360
				4,046,714
Germany - 7.8%
Allianz SE		2,321		364,613
Bayer AG		10,060		1,290,682
Brenntag AG		387		20,880
Continental AG		680		145,238
Daimler AG		10,455		761,156
Deutsche Boerse AG		4,625		398,879
Deutsche Telekom AG		57,759		1,028,198
Fresenius Medical Care AG & Co. KGaA		3,351		261,897
GEA Group AG		2,774		105,774
Hannover Rueck SE		2,177		222,992
Infineon Technologies AG		9,947		111,759
Merck KGaA		2,173		192,390
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		264		49,306
OSRAM Licht AG		395		20,464
ProSiebenSat.1 Media SE		4,809		236,053
Symrise AG		928		55,915
Telefonica Deutschland Holding AG		3,254		19,898
ThyssenKrupp AG		5,297		93,079
United Internet AG		883		44,767
Vonovia SE		6,457		207,825
				5,631,765

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

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	SHARES		VALUE (Note 4)
Hong Kong - 2.7%
AIA Group Ltd.		104,400	$	542,958
BOC Hong Kong Holdings Ltd.		108,000		318,522
Cathay Pacific Airways Ltd.		44,000		82,860
Cheung Kong Property Holdings Ltd.		7,000		51,284
CK Hutchison Holdings Ltd.		7,000		91,053
CLP Holdings Ltd.		8,000		68,392
Goldin Financial Holdings Ltd. †		58,000		124,205
Henderson Land Development Co., Ltd.		16,500		98,665
Heritage International Holdings Ltd. †		162,000		14,116
Hong Kong Exchanges and Clearing Ltd.		8,700		199,587
Link REIT		10,500		57,807
MTR Corp. Ltd.		19,500		84,786
PCCW Ltd.		75,000		38,607
Sun Hung Kai Properties Ltd.		4,000		52,173
Wharf Holdings Ltd./The		16,000		90,279
Wheelock & Co., Ltd.		9,000		39,086
				1,954,380
Italy - 2.3%
Enel SpA		9,323		41,599
Finmeccanica SpA †		22,460		281,262
Intesa Sanpaolo SpA		226,877		801,488
Luxottica Group SpA		2,330		161,480
Mediobanca SpA		10,729		105,560
Pirelli & C. SpA		2,692		45,048
Prysmian SpA		2,292		47,374
Snam SpA		36,381		186,849
				1,670,660
Japan - 33.6%
Acom Co., Ltd. †		32,200		164,764
Aeon Co., Ltd.		8,300		128,765
AEON Financial Service Co., Ltd.		2,300		45,508
Aisin Seiki Co., Ltd.		2,500		83,880
Ajinomoto Co., Inc.		8,000		168,704
Alps Electric Co., Ltd.		900		25,416
ANA Holdings, Inc.		27,000		75,638
Asics Corp.		2,100		50,052
Astellas Pharma, Inc.		10,400		134,618
Bank of Kyoto Ltd./The		14,000		142,390
Bank of Yokohama Ltd./The		19,000		115,483
Bridgestone Corp.		2,800		96,897
Calbee, Inc.		3,700		119,732
Casio Computer Co., Ltd.		2,500		45,505
Central Japan Railway Co.		3,100		499,806
Chiba Bank Ltd./The		25,000		177,527
Chubu Electric Power Co., Inc.		15,300		225,587
Chugai Pharmaceutical Co., Ltd.		4,700		144,352
COLOPL, Inc.		1,700		27,342
Daicel Corp.		3,400		41,738
Dai-ichi Life Insurance Co., Ltd./The		25,800		410,732
Daikin Industries Ltd.		1,500		84,129
Daiwa House Industry Co., Ltd.		6,800		168,578
Denso Corp.		800		33,887
Dentsu, Inc.		5,500		282,261
Don Quijote Holdings Co., Ltd.		900		33,908
East Japan Railway Co.		5,800		488,741
Eisai Co., Ltd.		5,500		324,509

	SHARES		VALUE (Note 4)
Japan - 33.6% (continued)
Electric Power Development Co., Ltd.		1,300	$	39,675
FANUC Corp.		2,200		338,445
Fast Retailing Co., Ltd.		900		366,083
Fuji Heavy Industries Ltd.		9,100		327,459
FUJIFILM Holdings Corp.		6,400		239,246
Fujitsu Ltd.		20,000		86,996
Fukuoka Financial Group, Inc.		51,000		242,906
Hachijuni Bank Ltd./The		18,000		127,768
Hino Motors Ltd.		11,000		112,099
Hiroshima Bank Ltd./The		17,000		98,248
Hokuhoku Financial Group, Inc.		64,000		146,540
Hoya Corp.		9,000		294,767
Iida Group Holdings Co., Ltd.		6,600		103,253
Isetan Mitsukoshi Holdings Ltd.		6,500		97,528
J Front Retailing Co., Ltd.		3,400		55,075
Japan Airlines Co., Ltd.		6,400		226,464
Japan Airport Terminal Co., Ltd.		3,700		159,916
Japan Tobacco, Inc.		6,200		192,325
JFE Holdings, Inc.		2,100		27,581
JTEKT Corp.		11,400		159,611
Kansai Electric Power Co., Inc./The †		8,300		92,273
Kao Corp.		2,400		108,794
Kawasaki Heavy Industries Ltd.		10,000		34,523
KDDI Corp.		24,900		557,339
Keihan Electric Railway Co., Ltd.		13,000		86,707
Keisei Electric Railway Co., Ltd.		8,000		87,760
Keyence Corp.		900		401,920
Kikkoman Corp.		4,000		110,172
Koito Manufacturing Co., Ltd.		5,000		163,382
Konica Minolta, Inc.		5,700		60,048
Kose Corp.		1,400		127,777
Kubota Corp.		13,000		178,911
Kyowa Hakko Kirin Co., Ltd.		5,000		74,538
Kyushu Electric Power Co., Inc. †		2,800		30,549
M3, Inc.		5,800		115,262
Mabuchi Motor Co., Ltd.		3,400		147,627
Marui Group Co., Ltd.		9,800		118,209
Mazda Motor Corp.		2,500		39,503
Medipal Holdings Corp.		1,600		25,387
MEIJI Holdings Co., Ltd.		3,000		219,992
Minebea Co., Ltd.		10,000		106,154
Mitsubishi Chemical Holdings Corp.		18,900		98,688
Mitsubishi Electric Corp.		7,000		64,124
Mitsubishi UFJ Financial Group, Inc.		205,900		1,244,097
Mitsui Chemicals, Inc.		10,000		32,050
Mixi, Inc.		1,700		58,179
Mizuho Financial Group, Inc.		237,000		443,333
MS&AD Insurance Group Holdings, Inc.		10,400		279,031
Murata Manufacturing Co., Ltd.		3,700		477,946
Nexon Co., Ltd.		9,200		123,000
NGK Insulators Ltd.		2,000		38,271
Nidec Corp.		4,100		281,941
Nintendo Co., Ltd.		2,200		370,814
Nippon Paint Holdings Co., Ltd.		9,000		157,408
Nippon Telegraph & Telephone Corp.		20,300		715,040
Nissan Motor Co., Ltd.		16,600		152,630
Nitori Holdings Co., Ltd.		1,800		140,948

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

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	SHARES		VALUE (Note 4)
Japan - 33.6% (continued)
Nitto Denko Corp.		3,800	$	227,592
NOK Corp.		2,200		47,599
Nomura Holdings, Inc.		35,700		207,216
NSK Ltd.		5,900		57,189
NTT Data Corp.		2,100		105,875
NTT DOCOMO, Inc.		14,700		247,946
Olympus Corp.		900		28,078
Omron Corp.		3,200		96,327
Ono Pharmaceutical Co., Ltd.		2,000		237,131
Oriental Land Co., Ltd.		3,800		212,204
Panasonic Corp.		22,400		226,691
Rakuten, Inc.		15,400		196,850
Ryohin Keikaku Co., Ltd.		300		61,083
Santen Pharmaceutical Co., Ltd.		4,000		53,702
Seibu Holdings, Inc.		5,100		103,352
Seiko Epson Corp.		3,400		48,097
Sekisui House Ltd.		1,400		21,930
Seven & i Holdings Co., Ltd.		3,000		136,900
Shimadzu Corp.		5,000		72,186
Shimano, Inc.		1,300		182,645
Shimizu Corp.		12,000		103,034
Shin-Etsu Chemical Co., Ltd.		1,000		51,284
Shionogi & Co., Ltd.		7,500		268,839
SMC Corp.		300		65,688
Sompo Japan Nipponkoa Holdings, Inc.		9,700		281,735
Sony Corp.		20,400		500,047
Sumitomo Chemical Co., Ltd.		33,000		166,872
Sumitomo Heavy Industries Ltd.		7,000		27,738
Suruga Bank Ltd.		11,000		204,682
Suzuki Motor Corp.		4,800		147,600
Sysmex Corp.		2,500		132,029
Taiyo Nippon Sanso Corp.		11,700		111,152
TDK Corp.		2,500		141,395
Teijin Ltd.		9,000		27,337
Tohoku Electric Power Co., Inc.		13,100		177,525
Tokio Marine Holdings, Inc.		11,200		418,432
Tokyo Electric Power Co., Inc. †		39,300		262,509
Toray Industries, Inc.		5,000		43,226
TOTO Ltd.		3,500		109,073
Toyo Seikan Group Holdings Ltd.		3,000		47,752
Toyota Motor Corp.		36,600		2,142,854
Unicharm Corp.		3,700		65,534
USS Co., Ltd.		4,900		81,497
West Japan Railway Co.		4,100		256,971
Yamaguchi Financial Group, Inc.		3,000		36,774
Yamaha Corp.		6,000		132,889
Yamaha Motor Co., Ltd.		7,100		142,840
Yamato Holdings Co., Ltd.		2,100		40,207
				24,104,869
Netherlands - 3.5%
Altice NV, Class A †		12,143		254,072
ASML Holding NV		5,818		511,419
Heineken NV		3,124		252,946
ING Groep NV CVA		75,289		1,066,659
Koninklijke Ahold NV		9,236		180,176
Koninklijke KPN NV		29,416		110,322
NN Group NV		755		21,674

	SHARES		VALUE (Note 4)
Netherlands - 3.5% (continued)
Randstad Holding NV		1,696	$	101,371
				2,498,639
Norway - 0.0% (a)
Golar LNG Ltd. (3)(b)		70		2,960
Portugal - 0.1%
EDP - Energias de Portugal SA		18,666		68,384
Singapore - 0.1%
ComfortDelGro Corp. Ltd.		16,200		32,727
DBS Group Holdings Ltd.		2,900		33,101
Super Group Ltd.		64,300		34,871
				100,699
Spain - 2.3%
Abertis Infraestructuras SA		2,967		46,945
Amadeus IT Holding SA, A Shares		2,904		124,422
Ferrovial SA		10,815		258,697
Gas Natural SDG SA		4,011		78,263
Iberdrola SA		49,748		331,482
Industria de Diseno Textil SA		23,937		802,643
				1,642,452
Sweden - 2.8%
Assa Abloy AB, Class B		13,497		242,079
Atlas Copco AB, A Shares		9,439		226,999
Electrolux AB, Series B		4,582		129,473
Hennes & Mauritz AB, B Shares		3,205		117,099
ICA Gruppen AB		3,756		127,156
Investment AB Kinnevik, B Shares		4,637		132,550
Investor AB, B Shares		4,857		166,891
Skandinaviska Enskilda Banken AB, Class A		9,336		99,851
Skanska AB, B Shares		15,522		304,739
Svenska Cellulosa AB SCA, Class B		4,247		118,840
Svenska Handelsbanken AB, A Shares		9,726		139,518
Telefonaktiebolaget LM Ericsson, B Shares		17,992		176,495
				1,981,690
Switzerland - 3.3%
Actelion Ltd. †		2,690		341,888
EMS-Chemie Holding AG		460		189,244
Givaudan SA †		360		585,779
Novartis AG		3,931		361,306
Partners Group Holding AG		1,371		464,686
Swiss Re AG		1,118		95,921
Swisscom AG		346		172,677
Zurich Insurance Group AG †		532		130,609
				2,342,110
United Kingdom - 12.4%
3i Group PLC		5,219		36,866
ARM Holdings PLC		11,962		171,861
Ashtead Group PLC		4,765		67,385
Associated British Foods PLC		8,836		447,183
AstraZeneca PLC		5,411		343,158
Barclays PLC		24,559		90,888
Barratt Developments PLC		28,853		281,836
British American Tobacco PLC		4,134		228,096
Bunzl PLC		3,162		84,850

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

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AQR TM INTERNATIONAL MOMENTUM STYLE FUND

	SHARES		VALUE (Note 4)
United Kingdom - 12.4% (continued)
Capita PLC		4,384	$	79,622
Compass Group PLC		4,990		79,705
Diageo PLC		1,887		50,698
Direct Line Insurance Group PLC		42,210		239,506
Dixons Carphone PLC		18,897		121,451
Experian PLC		1,929		30,967
Fiat Chrysler Automobiles NV †		30,340		394,346
HSBC Holdings PLC		10,509		79,277
Imperial Tobacco Group PLC		8,407		434,632
Inmarsat PLC		6,370		94,763
International Consolidated Airlines Group SA †		16,323		146,237
ITV PLC		79,090		294,725
Kingfisher PLC		13,199		71,700
Legal & General Group PLC		45,149		162,797
London Stock Exchange Group PLC		1,581		57,950
Marks & Spencer Group PLC		12,540		95,188
National Grid PLC		39,004		543,214
Next PLC		1,489		171,596
Pearson PLC		4,138		70,731
Persimmon PLC †		4,571		139,125
Prudential PLC		20,491		432,289
Reckitt Benckiser Group PLC		500		45,343
RELX NV		42,556		695,237
SABMiller PLC		6,977		395,092
Sage Group PLC/The		8,974		67,893
Shire PLC		6,046		413,316
Smith & Nephew PLC		3,009		52,571
Sports Direct International PLC †		6,364		73,012
SSE PLC		1,950		44,134
Taylor Wimpey PLC		76,759		227,420
Travis Perkins PLC		1,058		31,563
Unilever NV CVA		20,068		804,426
United Utilities Group PLC		6,524		91,440
Vodafone Group PLC		112,703		355,475
Whitbread PLC		1,309		92,738
				8,932,302
United States - 1.3%
Valeant Pharmaceuticals International, Inc. (1)†		5,058		902,822
TOTAL COMMON STOCKS (cost $69,359,748)				67,439,167
EXCHANGE-TRADED FUNDS (ETF) - 5.0%
United States - 5.0%
iShares MSCI EAFE ETF (1)
(cost $3,582,469)		62,341		3,573,386
MONEY MARKET FUNDS - 2.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)
(cost $2,052,955)		2,052,955		2,052,955
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 101.8% (cost $74,995,172)				73,065,508
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.8%)			(1,260,744)
NET ASSETS - 100.0%			$	71,804,764

† Non-income producing security.

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

(b) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $2,960 or 0.0% of total net assets.

(c) Represents annualized seven-day yield as of the close of the reporting period.

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	$	14,771,867			20.6	%
Consumer Staples		6,938,284			9.7
Energy		2,960			0.0	(a)
Exchange-Traded Funds		3,573,386			5.0
Financials		15,438,065			21.4
Health Care		8,504,747			11.8
Industrials		7,782,492			10.8
Information Technology		4,582,940			6.4
Materials		2,354,302			3.3
Telecommunication Services		4,644,342			6.5
Utilities		2,419,168			3.4
Money Market Funds		2,052,955			2.9
Total Investments In Securities, At Value		73,065,508			101.8
Liabilities in Excess of Other Assets		(1,260,744	)		(1.8	)
Net Assets	$	71,804,764			100.0	%

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

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AQR LARGE CAP DEFENSIVE STYLE FUND

COMMON STOCKS - 89.9%	SHARES		VALUE (Note 4)
Consumer Discretionary - 11.8%
Amazon.com, Inc. †		2,912	$	1,490,624
AutoZone, Inc. †		1,660		1,201,558
Bed Bath & Beyond, Inc. †		7,721		440,251
Chipotle Mexican Grill, Inc. †		1,659		1,194,895
Dollar Tree, Inc. †		13,270		884,578
Domino’s Pizza, Inc.		7,900		852,489
Expedia, Inc.		4,827		568,041
Gap, Inc./The		12,632		360,012
Home Depot, Inc./The		12,813		1,479,773
L Brands, Inc.		987		88,958
Lowe’s Cos., Inc.		11,809		813,876
Madison Square Garden Co./The, Class A †		2,779		200,477
McDonald’s Corp.		25,171		2,480,099
Michaels Cos., Inc./The †		1,740		40,194
NIKE, Inc., Class B		10,758		1,322,911
O’Reilly Automotive, Inc. †		4,649		1,162,250
Panera Bread Co., Class A †		2,624		507,508
Priceline Group, Inc./The †		389		481,139
Ralph Lauren Corp.		1,522		179,840
Sally Beauty Holdings, Inc. †		1,344		31,920
Scripps Networks Interactive, Inc., Class A		408		20,070
Starbucks Corp.		21,420		1,217,513
Target Corp.		7,850		617,481
Time Warner, Inc.		2,875		197,656
TJX Cos., Inc./The		10,375		740,982
Tractor Supply Co.		2,856		240,818
TripAdvisor, Inc. †		5,959		375,536
Walt Disney Co./The		8,000		817,600
Williams-Sonoma, Inc.		7,798		595,377
Yum! Brands, Inc.		21,360		1,707,732
				22,312,158
Consumer Staples - 19.5%
Altria Group, Inc.		44,024		2,394,906
Archer-Daniels-Midland Co.		8,366		346,771
Brown-Forman Corp., Class B		5,402		523,454
Church & Dwight Co., Inc.		15,271		1,281,237
Clorox Co./The		7,601		878,144
Coca-Cola Co./The		32,767		1,314,612
Colgate-Palmolive Co.		40,162		2,548,680
Costco Wholesale Corp.		14,923		2,157,418
CVS Health Corp.		12,019		1,159,593
Dr Pepper Snapple Group, Inc.		5,100		403,155
Estee Lauder Cos., Inc./The, Class A		17,617		1,421,340
General Mills, Inc.		13,854		777,625
Hershey Co./The		10,137		931,388
Hormel Foods Corp.		11,749		743,829
Kellogg Co.		1,576		104,883
Kimberly-Clark Corp.		18,670		2,035,777
Kroger Co./The		29,402		1,060,530
McCormick & Co., Inc.		11,780		968,080
Mead Johnson Nutrition Co.		8,502		598,541
Monster Beverage Corp. †		8,803		1,189,637
PepsiCo, Inc.		27,057		2,551,475
Philip Morris International, Inc.		19,684		1,561,532
Procter & Gamble Co./The		36,026		2,591,710
Reynolds American, Inc.		62,318		2,758,818
Sysco Corp.		33,344		1,299,416

	SHARES		VALUE (Note 4)
Consumer Staples - 19.5% (continued)
Walgreens Boots Alliance, Inc.		8,655	$	719,230
Wal-Mart Stores, Inc.		39,011		2,529,473
				36,851,254
Energy - 0.4%
Exxon Mobil Corp.		8,656		643,574
Marathon Petroleum Corp.		1,770		82,004
				725,578
Financials - 13.4%
ACE Ltd. (Switzerland)		6,764		699,398
Alleghany Corp. †		1,115		521,943
American Express Co.		5,042		373,763
Aon PLC (United Kingdom)		9,700		859,517
Arch Capital Group Ltd. †		13,532		994,196
Arthur J Gallagher & Co.		888		36,657
Bank of Hawaii Corp.		18,263		1,159,518
BB&T Corp.		11,600		412,960
Commerce Bancshares, Inc.		13,070		595,469
Cullen/Frost Bankers, Inc.		7,749		492,681
Everest Re Group Ltd.		7,870		1,364,186
M&T Bank Corp.		11,117		1,355,718
Markel Corp. †		2,100		1,683,906
Marsh & McLennan Cos., Inc.		21,331		1,113,905
Mercury General Corp.		11,027		556,974
New York Community Bancorp, Inc.		85,179		1,538,333
Northern Trust Corp.		11,714		798,426
People’s United Financial, Inc.		85,844		1,350,326
PNC Financial Services Group, Inc./The		9,746		869,343
ProAssurance Corp.		717		35,183
Progressive Corp./The		31,400		962,096
RenaissanceRe Holdings Ltd.		9,300		988,776
Signature Bank †		2,833		389,707
TFS Financial Corp.		14,968		258,198
Travelers Cos., Inc./The		16,543		1,646,525
US Bancorp		39,516		1,620,551
Wells Fargo & Co.		39,562		2,031,509
White Mountains Insurance Group Ltd.		823		615,028
				25,324,792
Health Care - 14.1%
Abbott Laboratories		16,148		649,473
AbbVie, Inc.		16,789		913,489
Aetna, Inc.		13,432		1,469,595
Alexion Pharmaceuticals, Inc. †		5,107		798,684
Align Technology, Inc. †		1,519		86,218
AmerisourceBergen Corp.		10,001		949,995
Amgen, Inc.		786		108,720
Anthem, Inc.		4,271		597,940
athenahealth, Inc. †		1,051		140,151
Baxter International, Inc.		9,229		303,173
Becton Dickinson and Co.		3,902		517,639
Bristol-Myers Squibb Co.		23,257		1,376,814
Bruker Corp. †		1,833		30,116
Cardinal Health, Inc.		4,424		339,852
Celgene Corp. †		2,471		267,288
Centene Corp. †		10,776		584,382
Cerner Corp. †		1,797		107,748

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

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AQR LARGE CAP DEFENSIVE STYLE FUND

	SHARES		VALUE (Note 4)
Health Care - 14.1% (continued)
CR Bard, Inc.		5,104	$	950,926
DexCom, Inc. †		4,648		399,077
Edwards Lifesciences Corp. †		5,469		777,528
Eli Lilly & Co.		29,178		2,441,907
Express Scripts Holding Co. †		1,500		121,440
Henry Schein, Inc. †		5,650		749,868
IDEXX Laboratories, Inc. †		1,566		116,275
Intuitive Surgical, Inc. †		634		291,374
Johnson & Johnson		27,074		2,527,358
Laboratory Corp of America Holdings †		4,244		460,347
McKesson Corp.		2,261		418,353
Medtronic PLC (Ireland)		3,608		241,519
Merck & Co., Inc.		27,805		1,373,289
Mettler-Toledo International, Inc. †		1,556		443,055
Patterson Cos., Inc.		5,297		229,095
Pfizer, Inc.		46,470		1,459,623
Quintiles Transnational Holdings, Inc. †		542		37,707
Sirona Dental Systems, Inc. †		2,082		194,334
St. Jude Medical, Inc.		704		44,415
Stryker Corp.		17,409		1,638,187
United Therapeutics Corp. †		797		104,598
UnitedHealth Group, Inc.		17,378		2,016,022
Zimmer Biomet Holdings, Inc.		1,077		101,163
Zoetis, Inc.		10,114		416,495
				26,795,232
Industrials - 9.1%
3M Co.		16,119		2,285,191
Boeing Co./The		1,634		213,972
CH Robinson Worldwide, Inc.		1,600		108,448
Cintas Corp.		4,682		401,481
Covanta Holding Corp.		21,628		377,408
Danaher Corp.		5,049		430,225
Emerson Electric Co.		5,898		260,515
Equifax, Inc.		3,815		370,742
Fastenal Co.		4,600		168,406
FedEx Corp.		3,300		475,134
General Dynamics Corp.		2,685		370,396
General Electric Co.		9,009		227,207
Honeywell International, Inc.		3,896		368,912
Landstar System, Inc.		6,905		438,260
Lockheed Martin Corp.		5,300		1,098,743
Northrop Grumman Corp.		4,718		782,952
Raytheon Co.		6,945		758,811
Republic Services, Inc.		19,794		815,513
Robert Half International, Inc.		642		32,845
Rockwell Automation, Inc.		1,008		102,282
Rockwell Collins, Inc.		2,530		207,055
Rollins, Inc.		12,533		336,762
Stericycle, Inc. †		16,806		2,341,244
Union Pacific Corp.		4,600		406,686
United Parcel Service, Inc., Class B		11,473		1,132,270
United Technologies Corp.		2,137		190,172
Waste Connections, Inc.		4,300		208,894
Waste Management, Inc.		34,990		1,742,852
WW Grainger, Inc.		2,712		583,107
				17,236,485

	SHARES		VALUE (Note 4)
Information Technology - 10.0%
Accenture PLC, Class A (Ireland)		10,600	$	1,041,556
Amdocs Ltd.		500		28,440
Apple, Inc.		5,361		591,318
Autodesk, Inc. †		5,391		237,959
Automatic Data Processing, Inc.		17,029		1,368,450
eBay, Inc. †		1,882		45,996
F5 Networks, Inc. †		4,918		569,504
FactSet Research Systems, Inc.		7,520		1,201,771
Gartner, Inc. †		9,599		805,644
Google, Inc., Class A †		1,473		940,319
Intel Corp.		19,388		584,354
International Business Machines Corp.		8,621		1,249,786
Intuit, Inc.		16,163		1,434,466
Jack Henry & Associates, Inc.		1,800		125,298
Linear Technology Corp.		16,666		672,473
MasterCard, Inc., Class A		11,622		1,047,375
Microsoft Corp.		25,465		1,127,081
NetApp, Inc.		28,092		831,523
NVIDIA Corp.		13,244		326,465
Oracle Corp.		1,755		63,391
Palo Alto Networks, Inc. †		2,771		476,612
Paychex, Inc.		30,150		1,436,045
Splunk, Inc. †		1,155		63,929
Tableau Software, Inc., Class A †		2,526		201,524
Teradata Corp. †		6,838		198,029
Texas Instruments, Inc.		3,934		194,812
Visa, Inc., Class A		28,596		1,991,997
VMware, Inc., Class A †		330		26,001
				18,882,118
Materials - 0.9%
Avery Dennison Corp.		1,360		76,935
EI du Pont de Nemours & Co.		2,210		106,522
International Flavors & Fragrances, Inc.		1,127		116,374
NewMarket Corp.		383		136,731
PPG Industries, Inc.		5,000		438,450
Praxair, Inc.		626		63,764
Sherwin-Williams Co./The		3,670		817,603
				1,756,379
Telecommunication Services - 2.3%
AT&T, Inc.		58,664		1,911,273
Verizon Communications, Inc. (NYSE)		54,556		2,373,732
				4,285,005
Utilities - 8.4%
AGL Resources, Inc.		7,400		451,696
American Electric Power Co., Inc.		15,879		902,880
American Water Works Co., Inc.		20,801		1,145,719
Aqua America, Inc.		13,249		350,701
Atmos Energy Corp.		11,600		674,888
Consolidated Edison, Inc.		12,218		816,773
Dominion Resources, Inc.		15,626		1,099,758
DTE Energy Co.		3,510		282,099
Duke Energy Corp.		15,796		1,136,364
NextEra Energy, Inc.		10,575		1,031,591
PG&E Corp.		600		31,680
Pinnacle West Capital Corp.		3,094		198,449

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

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Schedule of Investments September 30, 2015

AQR LARGE CAP DEFENSIVE STYLE FUND

	SHARES		VALUE (Note 4)
Utilities - 8.4% (continued)
Public Service Enterprise Group, Inc.		41,321	$	1,742,094
Questar Corp.		43,352		841,462
Sempra Energy		12,921		1,249,719
Southern Co./The		40,337		1,803,064
UGI Corp.		1,112		38,720
Vectren Corp.		31,004		1,302,478
WEC Energy Group, Inc.		7,466		389,875
Xcel Energy, Inc.		14,091		498,962
				15,988,972
TOTAL COMMON STOCKS (cost $143,721,368)				170,157,973
MONEY MARKET FUNDS - 9.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $18,079,824)		18,079,824		18,079,824
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 99.5% (cost $161,801,192)				188,237,797
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (b)			968,513
NET ASSETS - 100.0%			$	189,206,310

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

† Non-income producing security.

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) Includes appreciation/(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:

NYSE - New York Stock Exchange

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
183	Goldman Sachs	S&P 500 E-Mini Futures		12/2015		$17,663,388		$17,464,605		$(198,783	)

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Goldman Sachs
Cash		$—		$1,188,284		$1,188,284

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

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Schedule of Investments September 30, 2015

AQR INTERNATIONAL DEFENSIVE STYLE FUND

COMMON STOCKS - 95.0%	SHARES		VALUE (Note 4)
Australia - 15.9%
AGL Energy Ltd.		35,574	$	400,370
Amcor Ltd.		12,922		120,173
APA Group		20,729		125,108
ASX Ltd.		2,877		76,809
Aurizon Holdings Ltd.		32,955		116,425
Australia & New Zealand Banking Group Ltd.		8,913		170,293
Boral Ltd.		14,636		54,434
Brambles Ltd.		40,110		275,535
Caltex Australia Ltd.		8,514		187,946
Coca-Cola Amatil Ltd.		15,165		96,139
Cochlear Ltd.		2,349		138,219
Commonwealth Bank of Australia		1,776		91,159
Crown Resorts Ltd.		2,043		14,290
CSL Ltd.		2,708		170,423
Flight Centre Travel Group Ltd.		4,566		116,299
Iluka Resources Ltd.		4,402		19,339
Incitec Pivot Ltd.		17,862		49,232
Insurance Australia Group Ltd.		35,624		121,803
Medibank Pvt Ltd.		107,992		183,978
National Australia Bank Ltd.		3,694		78,176
Newcrest Mining Ltd. †		12,792		115,112
Orica Ltd.		4,865		51,634
Ramsay Health Care Ltd.		5,526		227,914
REA Group Ltd.		822		25,741
Sonic Healthcare Ltd.		14,967		192,511
Suncorp Group Ltd.		10,272		88,366
Sydney Airport		18,501		77,755
Tatts Group Ltd.		72,906		193,433
Telstra Corp. Ltd.		123,680		488,993
TPG Telecom Ltd.		5,105		39,126
Transurban Group		20,147		141,126
Wesfarmers Ltd.		17,836		493,043
Westpac Banking Corp.		2,508		52,685
Woodside Petroleum Ltd.		5,598		114,571
Woolworths Ltd.		28,282		495,744
WorleyParsons Ltd.		12,526		52,437
				5,456,341
Austria - 0.1%
OMV AG		1,409		34,284
Belgium - 1.0%
Colruyt SA †		2,324		112,009
Proximus		6,096		210,873
Umicore SA		954		36,792
				359,674
Canada - 16.7%
Agnico Eagle Mines Ltd. (1)		8,589		217,734
Agrium, Inc. (1)		1,300		116,508
Alimentation Couche-Tard, Inc., Class B (1)		9,091		418,070
ARC Resources Ltd. (1)		3,338		44,123
Bank of Montreal (1)		3,003		163,775
Bank of Nova Scotia/The (1)		4,080		179,862
Barrick Gold Corp. (1)		14,889		94,723
BCE, Inc. (1)		11,533		472,036
Canadian Imperial Bank of Commerce (1)		3,183		228,689
Canadian National Railway Co. (1)		3,265		185,404
Canadian Natural Resources Ltd. (1)		500		9,738

	SHARES		VALUE (Note 4)
Canada - 16.7% (continued)
Canadian Tire Corp. Ltd., Class A (1)		588	$	52,896
Dollarama, Inc. (1)		4,800		324,184
Eldorado Gold Corp. (1)		44,612		143,079
Empire Co., Ltd., Class A (1)		12,234		251,647
Enbridge, Inc. (1)		1,142		42,402
Fairfax Financial Holdings Ltd. (1)		100		45,541
Fortis, Inc. (1)		700		20,022
Franco-Nevada Corp. (1)		2,963		130,576
Goldcorp, Inc. (1)		6,874		86,176
Husky Energy, Inc. (1)		5,900		92,004
Imperial Oil Ltd. (1)		7,787		246,710
Intact Financial Corp. (1)		3,904		274,172
Keyera Corp. (1)		1,228		33,817
Kinross Gold Corp. (1)†		76,824		133,557
Loblaw Cos., Ltd. (1)		2,096		107,918
Metro, Inc. (1)		9,822		267,612
National Bank of Canada (1)		5,046		161,079
Potash Corp of Saskatchewan, Inc. (1)		2,340		48,098
Power Financial Corp. (1)		5,416		124,189
Rogers Communications, Inc., Class B (1)		4,737		163,213
Royal Bank of Canada (1)		4,402		243,405
Saputo, Inc. (1)		3,300		72,454
Shaw Communications, Inc., Class B (1)		4,406		85,314
Silver Wheaton Corp. (1)		14,395		173,020
Toronto-Dominion Bank/The (1)		5,898		232,473
TransCanada Corp. (1)		1,197		37,852
Yamana Gold, Inc. (1)		15,953		26,897
				5,750,969
Denmark - 1.6%
Coloplast A/S, Class B		3,086		218,794
DSV A/S		2,449		91,512
Novo Nordisk A/S, Class B		4,374		236,041
Novozymes A/S, B Shares		140		6,110
				552,457
Finland - 0.3%
Kone OYJ, Class B		1,603		61,007
Sampo OYJ, A Shares		796		38,524
				99,531
France - 4.5%
Air Liquide SA		37		4,386
Atos SE		474		36,435
Cie Generale des Etablissements Michelin		282		25,801
CNP Assurances		4,625		64,264
Danone SA		4,618		291,503
Dassault Systemes		2,643		195,331
Electricite de France SA		3,830		67,628
Engie		1,139		18,430
Essilor International SA		289		35,307
Iliad SA		455		92,043
L’Oreal SA		1,386		240,906
Pernod Ricard SA		898		90,670
Sanofi		751		71,495
SCOR SE		2,005		72,000
SES SA FDR		361		11,393
Sodexo SA		910		75,507

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

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	SHARES		VALUE (Note 4)
France - 4.5% (continued)
TOTAL SA		3,147	$	141,561
				1,534,660
Germany - 2.5%
adidas AG		610		49,183
Bayer AG		871		111,748
Beiersdorf AG		3,124		276,914
Deutsche Post AG		1,190		32,966
E.ON SE		782		6,711
Fresenius Medical Care AG & Co. KGaA		1,716		134,114
Hannover Rueck SE		529		54,186
HUGO BOSS AG		510		57,345
Merck KGaA		458		40,550
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		180		33,618
SAP SE		1,098		71,132
				868,467
Hong Kong - 3.8%
BOC Hong Kong Holdings Ltd.		21,500		63,410
CLP Holdings Ltd.		37,500		320,586
Hang Seng Bank Ltd.		14,700		265,165
HKT Trust & HKT Ltd.		7,000		8,331
Hong Kong & China Gas Co., Ltd.		118,459		222,131
MGM China Holdings Ltd.		11,200		13,047
MTR Corp. Ltd.		52,500		228,270
SJM Holdings Ltd.		212,000		150,936
WH Group Ltd. 144A †(a)		22,000		10,948
Yue Yuen Industrial Holdings Ltd.		3,500		13,022
				1,295,846
Italy - 0.6%
Assicurazioni Generali SpA		362		6,623
Eni SpA		575		9,045
Luxottica Group SpA		2,742		190,033
				205,701
Japan - 16.9%
Ajinomoto Co., Inc.		1,000		21,088
Asahi Group Holdings Ltd.		1,400		45,421
Astellas Pharma, Inc.		13,000		168,273
Bandai Namco Holdings, Inc.		7,500		174,065
Bridgestone Corp.		3,500		121,122
Brother Industries Ltd.		8,400		101,254
Calbee, Inc.		3,700		119,732
Canon, Inc.		5,700		164,887
Chugai Pharmaceutical Co., Ltd.		4,800		147,424
COLOPL, Inc.		5,800		93,286
Dai Nippon Printing Co., Ltd.		1,000		9,662
Daihatsu Motor Co., Ltd.		1,700		19,665
Eisai Co., Ltd.		2,100		123,903
FamilyMart Co., Ltd.		3,300		150,456
Fuji Heavy Industries Ltd.		1,400		50,378
GungHo Online Entertainment, Inc.		76,500		227,241
Hitachi Metals Ltd.		7,300		84,774
Hoya Corp.		2,500		81,880
Inpex Corp.		4,000		35,763
ITOCHU Corp.		1,300		13,743
Japan Airlines Co., Ltd.		5,900		208,771

	SHARES		VALUE (Note 4)
Japan - 16.9% (continued)
Japan Tobacco, Inc.		1,800	$	55,836
JX Holdings, Inc.		21,800		78,718
Kakaku.com, Inc.		900		14,616
Kao Corp.		4,300		194,923
Konica Minolta, Inc.		4,300		45,299
Kuraray Co., Ltd.		1,300		16,202
Lawson, Inc.		900		66,404
Marubeni Corp.		1,200		5,879
Mitsubishi Motors Corp.		7,400		56,597
Mitsubishi Tanabe Pharma Corp.		300		5,294
Nexon Co., Ltd.		3,300		44,120
NH Foods Ltd.		1,000		20,407
Nippon Express Co., Ltd.		12,000		57,340
Nippon Telegraph & Telephone Corp.		200		7,045
Nissin Foods Holdings Co., Ltd.		2,900		133,409
Nitori Holdings Co., Ltd.		2,500		195,761
Nitto Denko Corp.		1,100		65,882
Nomura Research Institute Ltd.		1,870		71,784
NTT DOCOMO, Inc.		3,500		59,035
Omron Corp.		900		27,092
Ono Pharmaceutical Co., Ltd.		300		35,570
Osaka Gas Co., Ltd.		76,000		288,148
Otsuka Corp.		600		29,234
Otsuka Holdings Co., Ltd.		8,300		265,032
Recruit Holdings Co., Ltd.		7,800		233,878
Sanrio Co., Ltd.		1,200		32,780
Santen Pharmaceutical Co., Ltd.		6,500		87,266
Secom Co., Ltd.		600		36,084
Seven & i Holdings Co., Ltd.		800		36,507
Shimamura Co., Ltd.		2,700		290,829
Shin-Etsu Chemical Co., Ltd.		800		41,027
Shiseido Co., Ltd.		600		13,084
Sumitomo Dainippon Pharma Co., Ltd.		1,100		10,997
Suzuki Motor Corp.		400		12,300
Sysmex Corp.		800		42,249
Takeda Pharmaceutical Co., Ltd.		1,000		43,872
Toho Gas Co., Ltd.		27,000		159,213
Tokyo Gas Co., Ltd.		56,000		270,890
Toyo Suisan Kaisha Ltd.		5,000		189,560
Trend Micro, Inc.		3,200		113,038
Unicharm Corp.		1,200		21,254
West Japan Railway Co.		700		43,873
Yamato Holdings Co., Ltd.		7,200		137,853
				5,818,969
Netherlands - 1.3%
Aegon NV		15,225		87,302
Koninklijke Ahold NV		16,757		326,896
NN Group NV		640		18,373
Randstad Holding NV		201		12,014
				444,585
Norway - 1.1%
Norsk Hydro ASA		6,286		20,961
Orkla ASA		5,852		43,277
Statoil ASA		5,809		84,690
Telenor ASA		11,356		212,205
Yara International ASA		330		13,164
				374,297

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

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	SHARES		VALUE (Note 4)
Portugal - 0.1%
EDP - Energias de Portugal SA		10,308	$	37,764
Singapore - 5.0%
ComfortDelGro Corp. Ltd.		16,500		33,333
DBS Group Holdings Ltd.		16,400		187,195
Genting Singapore PLC		87,600		44,745
Golden Agri-Resources Ltd.		139,000		32,309
Keppel Corp. Ltd.		17,500		83,693
Oversea-Chinese Banking Corp. Ltd.		37,100		229,734
Singapore Airlines Ltd.		18,600		140,018
Singapore Telecommunications Ltd.		162,400		411,053
StarHub Ltd.		41,100		100,074
United Overseas Bank Ltd.		12,900		168,437
Wilmar International Ltd.		158,200		286,250
Yangzijiang Shipbuilding Holdings Ltd.		26,500		21,190
				1,738,031
Spain - 1.5%
Enagas SA		1,116		32,002
Endesa SA		3,730		78,659
Gas Natural SDG SA		4,471		87,239
Iberdrola SA		19,499		129,926
Industria de Diseno Textil SA		4,730		158,604
Telefonica SA		3,067		37,209
				523,639
Sweden - 3.3%
Boliden AB		4,866		76,193
Elekta AB, B Shares		2,486		16,548
Hennes & Mauritz AB, B Shares		8,294		303,033
ICA Gruppen AB		3,047		103,154
Svenska Cellulosa AB SCA, Class B		3,372		94,356
Swedish Match AB		6,532		197,453
Tele2 AB, B Shares		11,168		108,917
TeliaSonera AB		46,084		248,751
				1,148,405
Switzerland - 5.1%
Coca-Cola HBC AG †		1,073		22,714
Kuehne + Nagel International AG		2,322		298,578
Nestle SA		4,807		361,514
Novartis AG		3,246		298,346
Roche Holding AG		701		186,096
SGS SA		71		124,065
Swiss Life Holding AG †		81		18,068
Swiss Re AG		2,641		226,590
Swisscom AG		229		114,286
Zurich Insurance Group AG †		426		104,586
				1,754,843
United Kingdom - 13.3%
Admiral Group PLC		4,533		103,098
Aggreko PLC		4,381		63,157
Associated British Foods PLC		6,170		312,259
AstraZeneca PLC		3,542		224,629
BP PLC		15,556		78,921
British American Tobacco PLC		2,943		162,382
BT Group PLC		27,999		178,201
Burberry Group PLC		2,556		52,982

	SHARES		VALUE (Note 4)
United Kingdom - 13.3% (continued)
Centrica PLC		66,140	$	229,772
Compass Group PLC		11,100		177,299
Diageo PLC		926		24,879
easyJet PLC		547		14,766
Experian PLC		561		9,006
GKN PLC		4,783		19,428
GlaxoSmithKline PLC		4,957		95,144
HSBC Holdings PLC		34,351		259,134
Imperial Tobacco Group PLC		2,019		104,380
J Sainsbury PLC		42,531		168,204
Marks & Spencer Group PLC		4,636		35,191
National Grid PLC		20,399		284,100
Next PLC		481		55,431
Pearson PLC		795		13,589
Reckitt Benckiser Group PLC		3,113		282,305
Royal Dutch Shell PLC, B Shares		8,717		206,116
Royal Mail PLC		33,723		234,319
SABMiller PLC		623		35,279
Sage Group PLC/The		3,363		25,443
Shire PLC		288		19,688
Sky PLC		13,247		209,581
Smith & Nephew PLC		14,510		253,508
SSE PLC		9,272		209,853
Tate & Lyle PLC		5,428		48,367
Unilever NV CVA		4,882		195,695
United Utilities Group PLC		2,762		38,712
Whitbread PLC		1,298		91,959
WM Morrison Supermarkets PLC		19,883		50,035
				4,566,812
United States - 0.4%
Thomson Reuters Corp. (1)		3,338		134,170
TOTAL COMMON STOCKS (cost $34,209,244)				32,699,445
PREFERRED STOCKS - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA
(cost $133,153)		1,444		148,726
EXCHANGE-TRADED FUNDS (ETF) - 3.4%
United States - 3.4%
iShares MSCI EAFE ETF (1)
(cost $1,190,525)		20,425		1,170,761
MONEY MARKET FUNDS - 0.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b)
(cost $264,443)		264,443		264,443
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.6% (cost $35,797,365)				34,283,375
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4%			137,225
NET ASSETS - 100.0%			$	34,420,600

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

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† Non-income producing security.

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

(b) Represents annualized seven-day yield as of the close of the reporting period.

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:

144A - Restricted Security

CVA - Dutch Certificate of Shares

FDR - Fiduciary Depositary Receipt

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	3,647,932		10.6	%
Consumer Staples		7,294,090		21.1
Energy		1,530,698		4.4
Exchange-Traded Funds		1,170,761		3.4
Financials		4,516,761		13.1
Health Care		3,682,835		10.7
Industrials		2,991,222		8.7
Information Technology		1,260,192		3.7
Materials		1,945,785		5.7
Telecommunication Services		2,951,391		8.6
Utilities		3,027,265		8.8
Money Market Funds		264,443		0.8
Total Investments In Securities, At Value		34,283,375		99.6
Other Assets in Excess of Liabilities		137,225		0.4
Net Assets	$	34,420,600		100.0	%

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

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COMMON STOCKS - 97.0%	SHARES		VALUE (Note 4)
Brazil - 7.7%
Ambev SA ADR (1)		68,019	$	333,293
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1)		32,000		88,788
BRF SA (1)		9,400		167,514
Cia Energetica de Minas Gerais ADR (1)		25,021		44,537
Cia Paranaense de Energia ADR (1)(a)		2,663		21,863
Cielo SA (1)		2,536		23,579
Localiza Rent a Car SA (1)		15,110		93,073
Natura Cosmeticos SA (1)		17,100		83,893
Odontoprev SA (1)		147,500		364,239
Qualicorp SA (1)		7,900		29,273
Souza Cruz SA (1)		25,500		171,415
Telefonica Brasil SA ADR (1)		3,051		27,856
TOTVS SA (1)		8,100		59,925
Tractebel Energia SA (1)		31,200		265,056
Ultrapar Participacoes SA ADR (1)(a)		11,660		194,955
WEG SA (1)		34,580		134,936
				2,104,195
Chile - 8.0%
Banco de Chile (1)		3,902,370		406,757
Banco Santander Chile ADR (1)		8,450		153,959
Cencosud SA (1)		36,858		71,774
Corpbanca SA (1)		3,385,732		29,823
Empresa Nacional de Electricidad SA ADR (1)(a)		10,944		388,621
Empresas COPEC SA (1)		41,134		373,237
Enersis SA ADR (1)		30,012		379,352
SACI Falabella (1)		63,745		394,998
				2,198,521
China - 0.6%
ANTA Sports Products Ltd.		54,000		140,174
Belle International Holdings Ltd.		19,000		16,524
China Communications Services Corp. Ltd., H Shares		24,000		9,264
				165,962
Hong Kong - 0.9%
Guangdong Investment Ltd.		76,000		113,447
Sino Biopharmaceutical Ltd.		108,000		133,743
				247,190
India - 1.4%
Dr. Reddy’s Laboratories Ltd. ADR (1)		3,284		209,880
Infosys Ltd. ADR (1)		8,264		157,760
				367,640
Indonesia - 4.4%
Bank Central Asia Tbk PT		119,600		100,414
Indofood Sukses Makmur Tbk PT		118,700		44,672
Kalbe Farma Tbk PT		3,430,500		322,786
Perusahaan Gas Negara Persero Tbk PT		844,700		146,167
Semen Indonesia Persero Tbk PT		500,100		309,293
Telekomunikasi Indonesia Persero Tbk PT ADR (1)		6,245		222,634
Unilever Indonesia Tbk PT		21,500		55,849
United Tractors Tbk PT		11,100		13,288
				1,215,103

	SHARES		VALUE (Note 4)
Korea, Republic of - 12.8%
Amorepacific Corp.		251	$	81,793
Cheil Worldwide, Inc. †		9,226		142,548
Coway Co., Ltd.		2,050		145,060
Dongbu Insurance Co., Ltd.		9,086		471,235
Hyundai Glovis Co., Ltd.		1,059		200,728
Hyundai Marine & Fire Insurance Co., Ltd.		10,105		257,826
Kangwon Land, Inc.		6,617		236,501
KEPCO Plant Service & Engineering Co., Ltd.		1,227		125,587
Kia Motors Corp.		9,785		443,566
KT&G Corp.		439		41,339
LG Chem Ltd.		458		111,018
LG Display Co., Ltd.		803		15,330
LG Household & Health Care Ltd.		86		62,237
S-1 Corp.		5,048		397,751
Samsung Electronics Co., Ltd. GDR		575		271,934
Samsung Fire & Marine Insurance Co., Ltd.		1,325		312,888
Samsung Life Insurance Co., Ltd.		2,063		172,519
SK Hynix, Inc.		601		17,141
				3,507,001
Malaysia - 14.6%
AMMB Holdings Bhd		120,200		124,921
Axiata Group Bhd		271,500		358,624
British American Tobacco Malaysia Bhd		2,700		37,074
Dialog Group Bhd		188,600		68,865
DiGi.Com Bhd		319,800		403,761
Genting Malaysia Bhd		32,900		31,088
IHH Healthcare Bhd		209,200		283,971
IJM Corp. Bhd		15,800		11,574
IOI Corp. Bhd		125,000		115,690
Malayan Banking Bhd		144,300		281,509
Maxis Bhd		253,100		377,571
Petronas Dagangan Bhd		13,700		68,159
Petronas Gas Bhd		80,300		402,435
Public Bank Bhd		88,900		354,483
Sime Darby Bhd		154,900		274,341
Telekom Malaysia Bhd		254,600		387,201
Tenaga Nasional Bhd		134,500		367,862
Westports Holdings Bhd		52,200		50,442
				3,999,571
Mexico - 11.8%
America Movil SAB de CV, Class L ADR (1)		1,212		20,058
Arca Continental SAB de CV (1)		71,400		402,005
Coca-Cola Femsa SAB de CV ADR (1)		2,897		200,994
El Puerto de Liverpool SAB de CV (1)		10,400		135,056
Gentera SAB de CV (1)		139,000		227,516
Gruma SAB de CV, Class B (1)(a)		30,400		422,240
Grupo Aeroportuario del Pacifico SAB de CV ADR (1)		4,912		426,558
Grupo Aeroportuario del Sureste SAB de CV ADR (1)		969		147,550
Grupo Financiero Banorte SAB de CV, Class O (1)		18,800		92,082
Grupo Financiero Inbursa SAB de CV, Class O (1)		35,200		72,753
Grupo Lala SAB de CV (1)		37,900		89,544

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

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	SHARES		VALUE (Note 4)
Mexico - 11.8% (continued)
Industrias Penoles SAB de CV (1)		5,530	$	75,379
Kimberly-Clark de Mexico SAB de CV, Class A (1)		125,100		282,910
Promotora y Operadora de Infraestructura SAB de CV (1)†		20,900		229,957
Wal-Mart de Mexico SAB de CV (1)		168,100		412,770
				3,237,372
Poland - 5.6%
Bank Pekao SA		9,562		388,647
Bank Zachodni WBK SA †		492		38,055
Energa SA		32,281		143,271
Orange Polska SA		120,107		229,613
PGE Polska Grupa Energetyczna SA		100,796		358,138
Polskie Gornictwo Naftowe i Gazownictwo SA		4,665		8,019
Powszechna Kasa Oszczednosci Bank Polski SA †		1,563		12,120
Powszechny Zaklad Ubezpieczen SA		3,513		360,694
				1,538,557
South Africa - 12.8%
Bidvest Group Ltd./The		16,896		398,754
FirstRand Ltd.		41,745		148,341
Kumba Iron Ore Ltd.		1,285		7,308
Mr Price Group Ltd.		23,619		329,710
Nedbank Group Ltd.		5,788		91,917
Netcare Ltd.		113,890		299,041
Pick n Pay Stores Ltd.		19,621		94,113
RMB Holdings Ltd.		81,180		387,027
Sasol Ltd.		1,486		41,627
Shoprite Holdings Ltd.		26,846		304,887
SPAR Group Ltd./The		20,243		270,817
Standard Bank Group Ltd.		22,776		222,389
Telkom SA SOC Ltd.		22,480		108,081
Tiger Brands Ltd.		8,525		187,704
Truworths International Ltd.		60,093		369,272
Vodacom Group Ltd.		24,261		241,328
				3,502,316
Taiwan - 11.2%
Advantech Co., Ltd.		25,000		171,679
Asustek Computer, Inc.		34,000		292,332
Cheng Shin Rubber Industry Co., Ltd.		16,000		26,310
China Steel Corp.		104,359		60,987
Chunghwa Telecom Co., Ltd. ADR (1)		13,483		407,456
Far EasTone Telecommunications Co., Ltd.		189,000		407,614
First Financial Holding Co., Ltd.		15,975		7,294
Hon Hai Precision Industry Co., Ltd.		40,530		105,883
HTC Corp.		29,000		56,141
Inotera Memories, Inc. †		30,000		18,860
Kinsus Interconnect Technology Corp.		65,000		125,087
Lite-On Technology Corp.		30,869		28,439
MediaTek, Inc.		5,000		37,208
Mega Financial Holding Co., Ltd.		148,000		102,805
Pegatron Corp.		8,000		19,578
President Chain Store Corp.		63,000		392,911
Realtek Semiconductor Corp.		62,442		106,306

	SHARES		VALUE (Note 4)
Taiwan - 11.2% (continued)
Taiwan Mobile Co., Ltd.		108,000	$	330,653
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)		2,895		60,071
Uni-President Enterprises Corp.		176,172		305,932
				3,063,546
Thailand - 3.3%
Advanced Info Service PCL NVDR		55,600		346,775
Bangkok Dusit Medical Services PCL NVDR		50,000		25,539
BTS Group Holdings PCL NVDR		950,800		255,525
Delta Electronics Thailand PCL NVDR		38,900		94,441
Siam Cement PCL/The NVDR		13,000		166,394
				888,674
Turkey - 1.9%
BIM Birlesik Magazalar AS		13,048		231,354
Eregli Demir ve Celik Fabrikalari TAS		19,919		24,588
Turk Telekomunikasyon AS		127,627		251,900
				507,842
TOTAL COMMON STOCKS (cost $30,748,241)				26,543,490
PREFERRED STOCKS - 0.3%
Brazil - 0.3%
Cia Brasileira de Distribuicao (1)		800		10,059
Cia Energetica de Sao Paulo, Series B (1)		15,800		60,617
TOTAL PREFERRED STOCKS (cost $165,141)				70,676
MONEY MARKET FUNDS - 2.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b)
(cost $709,325)		709,325		709,325
SECURITIES LENDING COLLATERAL - 2.8%
Money Market Funds - 2.8%
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (b)(c)
(cost $762,700)		762,700		762,700
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 102.7% (cost $32,385,407)				28,086,191
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.7%) (d)			(736,618)
NET ASSETS - 100.0%			$	27,349,573

† Non-income producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $755,626; cash collateral of $762,700 was received with which the Fund purchased a money market fund.

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

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(b) Represents annualized seven-day yield as of the close of the reporting period.

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

(d) Includes appreciation/(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:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	2,410,807			8.8	%
Consumer Staples		4,874,783			17.8
Energy		685,998			2.5
Financials		4,906,759			18.0
Health Care		1,668,472			6.1
Industrials		2,828,929			10.3
Information Technology		1,661,693			6.1
Materials		754,967			2.8
Telecommunication Services		4,130,390			15.1
Utilities		2,691,368			9.8
Money Market Funds		709,325			2.6
Securities Lending Collateral		762,700			2.8
Total Investments In Securities, At Value		28,086,191			102.7
Liabilities in Excess of Other Assets (d)		(736,618	)		(2.7	)
Net Assets	$	27,349,573			100.0	%

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
18	J.P. Morgan	E-Mini MSCI Emerging Markets Index Futures		12/2015		$709,962		$711,990		$2,028

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
J.P. Morgan
Cash	$—	$58,090		$58,090

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

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COMMON STOCKS - 87.7%	SHARES		VALUE (Note 4)
Australia - 1.4%
Asciano Ltd.		52,264	$	309,419
ASX Ltd.		1,555		41,515
Australia & New Zealand Banking Group Ltd.		20,973		400,713
BHP Billiton Ltd.		25,910		409,230
Boral Ltd.		66,155		246,042
Computershare Ltd.		3,819		28,518
Dexus Property Group REIT		6,812		34,352
Federation Centres REIT		25,640		49,512
Flight Centre Travel Group Ltd.		8,882		226,230
Goodman Group REIT		14,552		60,151
GPT Group/The REIT (Escrow) (3)†(a)		96,388		—
GPT Group/The REIT		14,949		47,511
Harvey Norman Holdings Ltd.		38,061		104,255
Lend Lease Group		44,864		397,188
Macquarie Group Ltd.		18,475		1,001,255
Mirvac Group REIT		30,051		36,487
National Australia Bank Ltd.		18,772		397,270
Newcrest Mining Ltd. †		6,113		55,010
Qantas Airways Ltd. †		127,269		334,129
Scentre Group REIT		45,297		124,671
Stockland REIT		18,057		49,057
Telstra Corp. Ltd.		35,604		140,767
Westfield Corp. REIT		15,829		111,384
				4,604,666
Belgium - 0.9%
Ageas		17,255		709,119
Delhaize Group		950		84,208
KBC Groep NV		10,780		681,749
Proximus		43,687		1,511,219
				2,986,295
Canada - 2.1%
Alimentation Couche-Tard, Inc., Class B (1)		7,800		358,701
Bank of Montreal (1)		5,180		282,503
Bank of Nova Scotia/The (1)		3,199		141,024
BlackBerry Ltd. (1)†		15,669		96,163
Brookfield Asset Management, Inc., Class A (1)		7,203		226,642
Cameco Corp. (1)		14,860		181,171
Canadian Imperial Bank of Commerce (1)		5,300		380,790
Canadian National Railway Co. (1)		3,800		215,784
Canadian Tire Corp. Ltd., Class A (1)		1,100		98,955
CGI Group, Inc., Class A (1)†		7,266		263,253
Constellation Software, Inc. (1)		1,359		569,619
Crescent Point Energy Corp. (1)		3,000		34,327
Dollarama, Inc. (1)		8,200		553,815
Fairfax Financial Holdings Ltd. (1)		1,273		579,732
Great-West Lifeco, Inc. (1)		2,245		53,782
Magna International, Inc. (1)		17,181		824,096
Manulife Financial Corp. (1)		17,400		269,117
National Bank of Canada (1)		3,800		121,304
Power Corp. of Canada (1)		2,746		56,937
RioCan Real Estate Investment Trust REIT (1)		2,100		40,080
Royal Bank of Canada (1)		5,424		299,915

	SHARES		VALUE (Note 4)
Canada - 2.1% (continued)
Suncor Energy, Inc. (1)		38,982	$	1,042,538
West Fraser Timber Co., Ltd. (1)		7,112		225,964
				6,916,212
Denmark - 0.9%
DSV A/S		6,183		231,040
ISS A/S		8,901		295,662
Novo Nordisk A/S, Class B		26,461		1,427,956
Pandora A/S		8,263		965,276
Vestas Wind Systems A/S		2,026		105,330
				3,025,264
Finland - 0.6%
Nokia OYJ		31,442		214,994
Orion OYJ, Class B		24,802		938,517
Stora Enso OYJ, R Shares		14,947		113,097
UPM-Kymmene OYJ		43,423		651,810
				1,918,418
France - 3.8%
Airbus Group SE		3,662		216,864
Atos SE		5,225		401,627
AXA SA		5,038		122,317
BNP Paribas SA		3,297		194,108
Cap Gemini SA		11,570		1,033,233
CNP Assurances		19,110		265,531
Dassault Systemes		2,084		154,018
Eutelsat Communications SA		4,858		149,000
Klepierre REIT		1,740		78,861
Lagardere SCA		6,968		193,078
Natixis SA		21,230		117,546
Orange SA		29,526		447,592
Peugeot SA †		138,687		2,101,465
Sanofi		21,061		2,005,010
SCOR SE		17,540		629,866
Societe BIC SA		2,699		419,397
Societe Generale SA		14,280		638,188
Thales SA		6,355		443,102
TOTAL SA		12,094		544,023
Unibail-Rodamco SE REIT		1,072		277,845
Valeo SA		1,605		217,922
Vinci SA		8,065		512,843
Vivendi SA		58,611		1,388,595
				12,552,031
Germany - 3.0%
Allianz SE		5,912		928,734
Deutsche Boerse AG		1,565		134,972
Deutsche Lufthansa AG †		12,997		180,928
Deutsche Post AG		13,027		360,887
Evonik Industries AG		19,209		643,167
Fresenius SE & Co. KGaA		5,283		354,636
Hannover Rueck SE		11,225		1,149,789
Infineon Technologies AG		9,616		108,040
K+S AG		1,756		58,920
LANXESS AG		3,846		180,081
Merck KGaA		14,897		1,318,926
METRO AG		19,958		552,196

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

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	SHARES		VALUE (Note 4)
Germany - 3.0% (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		3,761	$	702,422
OSRAM Licht AG		25,614		1,327,020
ProSiebenSat.1 Media SE		22,217		1,090,535
SAP SE		9,891		640,776
Siemens AG		2,417		215,927
TUI AG		11,631		214,901
				10,162,857
Hong Kong - 0.6%
AIA Group Ltd.		28,800		149,782
ASM Pacific Technology Ltd.		1,882		12,344
Cheung Kong Infrastructure Holdings Ltd.		4,749		42,564
Cheung Kong Property Holdings Ltd.		30,201		221,262
First Pacific Co., Ltd.		18,000		10,997
Hong Kong Exchanges and Clearing Ltd.		9,069		208,052
Kerry Properties Ltd.		108,500		297,898
Link REIT		18,829		103,662
New World Development Co., Ltd.		108,000		105,180
NWS Holdings Ltd.		12,500		16,477
PCCW Ltd.		32,406		16,681
Sino Land Co., Ltd.		104,000		158,352
Swire Pacific Ltd., Class A		5,318		59,607
Techtronic Industries Co., Ltd.		25,000		93,201
Wheelock & Co., Ltd.		26,000		112,916
Yue Yuen Industrial Holdings Ltd.		70,123		260,890
				1,869,865
Ireland - 0.2%
Accenture PLC, Class A (1)		1,527		150,043
XL Group PLC (1)		11,315		410,961
				561,004
Italy - 1.4%
Atlantia SpA		11,543		322,889
Banco Popolare SC †		40,962		606,050
Eni SpA		44,060		693,079
Finmeccanica SpA †		40,354		505,345
Intesa Sanpaolo SpA		90,630		320,169
Mediobanca SpA		16,365		161,011
Pirelli & C. SpA		61,320		1,026,130
Prysmian SpA		29,005		599,513
UniCredit SpA		57,305		357,251
				4,591,437
Japan - 7.8%
Aeon Mall Co., Ltd.		1,100		16,897
Ajinomoto Co., Inc.		18,000		379,584
Astellas Pharma, Inc.		34,700		449,160
Bandai Namco Holdings, Inc.		13,400		310,997
Brother Industries Ltd.		12,600		151,881
Central Japan Railway Co.		3,200		515,929
Chubu Electric Power Co., Inc.		26,200		386,299
Daicel Corp.		11,900		146,082
Dai-ichi Life Insurance Co., Ltd./The		8,400		133,727
Daito Trust Construction Co., Ltd.		686		69,701
Daiwa House Industry Co., Ltd.		4,151		102,907
Daiwa Securities Group, Inc.		22,000		142,351

	SHARES		VALUE (Note 4)
Japan - 7.8% (continued)
Don Quijote Holdings Co., Ltd.		3,800	$	143,168
East Japan Railway Co.		2,512		211,675
Fuji Heavy Industries Ltd.		10,033		361,032
FUJIFILM Holdings Corp.		12,144		453,969
Fujitsu Ltd.		59,115		257,138
Hachijuni Bank Ltd./The		21,000		149,062
Hakuhodo DY Holdings, Inc.		35,000		331,828
Hitachi High-Technologies Corp.		9,658		209,128
Hokuhoku Financial Group, Inc.		95,000		217,520
Hoya Corp.		14,906		488,200
Hulic Co., Ltd.		2,600		23,520
Isetan Mitsukoshi Holdings Ltd.		10,500		157,545
Japan Airlines Co., Ltd.		48,400		1,712,630
Japan Real Estate Investment Corp. REIT		10		46,063
Japan Retail Fund Investment Corp. REIT		19		36,762
Japan Tobacco, Inc.		14,700		455,997
JTEKT Corp.		7,688		107,640
Kamigumi Co., Ltd.		28,000		229,435
Kao Corp.		3,300		149,592
KDDI Corp.		10,100		226,069
Koito Manufacturing Co., Ltd.		12,400		405,187
Konami Corp.		10,700		231,251
Konica Minolta, Inc.		71,800		756,396
Medipal Holdings Corp.		6,200		98,375
MEIJI Holdings Co., Ltd.		8,200		601,311
Mitsubishi Chemical Holdings Corp.		24,000		125,318
Mitsubishi Electric Corp.		36,000		329,780
Mitsubishi Estate Co., Ltd.		9,764		199,454
Mitsubishi Tanabe Pharma Corp.		15,600		275,304
Mitsubishi UFJ Financial Group, Inc.		105,449		637,148
Mitsui Fudosan Co., Ltd.		7,598		208,272
Mixi, Inc.		15,900		544,146
Mizuho Financial Group, Inc.		95,400		178,455
MS&AD Insurance Group Holdings, Inc.		21,100		566,110
Murata Manufacturing Co., Ltd.		1,600		206,679
Nexon Co., Ltd.		42,300		565,533
NHK Spring Co., Ltd.		46,700		452,826
Nintendo Co., Ltd.		2,100		353,959
Nippon Building Fund, Inc. REIT		12		58,066
Nippon Express Co., Ltd.		93,000		444,387
Nippon Prologis REIT, Inc.		15		27,217
Nippon Telegraph & Telephone Corp.		6,896		242,902
Nippon Yusen KK		119,000		275,775
Nitto Denko Corp.		3,100		185,667
NOK Corp.		19,800		428,387
Nomura Holdings, Inc.		47,700		276,868
Nomura Real Estate Holdings, Inc.		1,700		34,177
ORIX Corp.		59,590		768,672
Otsuka Corp.		6,600		321,576
Otsuka Holdings Co., Ltd.		9,500		303,350
Panasonic Corp.		51,400		520,174
Rakuten, Inc.		8,200		104,816
Resona Holdings, Inc.		41,000		208,905
Santen Pharmaceutical Co., Ltd.		26,200		351,751
Sekisui Chemical Co., Ltd.		9,000		94,730
Sekisui House Ltd.		5,000		78,320
Seven & i Holdings Co., Ltd.		2,830		129,142
Shimadzu Corp.		11,000		158,810

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

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	SHARES		VALUE (Note 4)
Japan - 7.8% (continued)
Shimamura Co., Ltd.		2,600	$	280,058
Shionogi & Co., Ltd.		12,700		455,234
Sompo Japan Nipponkoa Holdings, Inc.		15,000		435,673
Sony Corp.		23,100		566,230
Sumitomo Heavy Industries Ltd.		152,000		602,314
Sumitomo Mitsui Financial Group, Inc.		11,749		445,526
Sumitomo Realty & Development Co., Ltd.		3,624		115,343
Suzuken Co., Ltd.		7,700		256,772
T&D Holdings, Inc.		32,800		387,429
Takashimaya Co., Ltd.		18,000		145,438
TDK Corp.		2,700		152,706
Teijin Ltd.		77,000		233,886
Tokio Marine Holdings, Inc.		2,500		93,400
Tokyo Electric Power Co., Inc. †		83,470		557,549
Tokyo Tatemono Co., Ltd.		2,000		23,846
Tokyu Corp.		15,000		110,079
Tokyu Fudosan Holdings Corp.		5,000		33,268
Toyo Suisan Kaisha Ltd.		4,000		151,648
Toyoda Gosei Co., Ltd.		6,400		125,791
United Urban Investment Corp. REIT		12		16,026
West Japan Railway Co.		2,000		125,352
Yamaha Corp.		6,600		146,178
				25,982,430
Netherlands - 1.4%
Aegon NV		57,417		329,237
ASML Holding NV		2,938		258,259
Boskalis Westminster		10,032		439,126
Delta Lloyd NV		10,479		88,052
ING Groep NV CVA		34,347		486,612
Koninklijke Ahold NV		71,282		1,390,572
NN Group NV		14,925		428,456
Wolters Kluwer NV		41,765		1,288,005
				4,708,319
Singapore - 0.0% (b)
Ascendas Real Estate Investment Trust REIT		16,478		27,147
CapitaLand Commercial Trust Ltd. REIT		16,000		15,106
CapitaLand Mall Trust REIT		19,494		26,067
Sembcorp Industries Ltd.		7,777		18,981
Singapore Exchange Ltd.		6,967		34,465
Singapore Technologies Engineering Ltd.		12,103		25,392
UOL Group Ltd.		3,340		14,141
				161,299
South Africa - 0.1%
Investec PLC		16,447		125,933
Mondi PLC		17,535		367,519
				493,452
Spain - 0.6%
Banco Bilbao Vizcaya Argentaria SA		15,367		129,941
Banco Santander SA		175,643		933,966
Iberdrola SA		110,198		734,273
Industria de Diseno Textil SA		2,660		89,194
				1,887,374

	SHARES		VALUE (Note 4)
Sweden - 1.6%
Boliden AB		22,125	$	346,437
Electrolux AB, Series B		56,975		1,609,932
Husqvarna AB, B Shares		120,631		791,139
Investment AB Kinnevik, B Shares		2,409		68,862
Investor AB, B Shares		3,849		132,255
Skandinaviska Enskilda Banken AB, Class A		26,676		285,306
Svenska Cellulosa AB SCA, Class B		13,092		366,342
Swedish Match AB		36,337		1,098,415
Tele2 AB, B Shares		22,832		222,671
Telefonaktiebolaget LM Ericsson, B Shares		34,123		334,734
TeliaSonera AB		34,247		184,858
				5,440,951
Switzerland - 2.7%
Actelion Ltd. †		835		106,125
Baloise Holding AG		1,693		194,025
Credit Suisse Group AG †		14,192		341,131
Lonza Group AG †		5,497		721,294
Nestle SA		26,603		2,000,697
Novartis AG		14,848		1,364,708
Roche Holding AG		5,827		1,546,903
Sika AG		107		330,049
Swiss Life Holding AG †		5,316		1,185,814
Swiss Re AG		11,436		981,176
Zurich Insurance Group AG †		592		145,340
				8,917,262
United Kingdom - 7.1%
3i Group PLC		16,669		117,748
AstraZeneca PLC		11,156		707,498
Aviva PLC		15,730		107,586
Barclays PLC		353,271		1,307,382
BG Group PLC		29,060		419,216
BP PLC		144,625		733,737
British American Tobacco PLC		6,784		374,312
British Land Co. PLC/The REIT		13,261		168,410
BT Group PLC		267,814		1,704,514
Delphi Automotive PLC (1)		8,229		625,733
Direct Line Insurance Group PLC		191,087		1,084,258
Dixons Carphone PLC		61,718		396,662
Fiat Chrysler Automobiles NV †		13,858		180,120
GlaxoSmithKline PLC		24,172		463,955
Hammerson PLC REIT		10,329		97,533
HSBC Holdings PLC		67,310		507,768
ICAP PLC		16,897		117,030
Imperial Tobacco Group PLC		48,713		2,518,405
International Consolidated Airlines Group SA †		91,663		821,205
ITV PLC		57,194		213,131
Kingfisher PLC		181,194		984,289
Land Securities Group PLC REIT		8,648		164,865
Lloyds Banking Group PLC		156,323		177,968
Michael Kors Holdings Ltd. (1)†		17,276		729,738
Next PLC		1,302		150,045
Persimmon PLC †		56,462		1,718,498
Randgold Resources Ltd.		1,514		89,213

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

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	SHARES		VALUE (Note 4)
United Kingdom - 7.1% (continued)
Reckitt Benckiser Group PLC		8,186	$	742,354
Royal Bank of Scotland Group PLC †		109,905		524,368
Royal Dutch Shell PLC, A Shares		31,097		734,108
Royal Dutch Shell PLC, B Shares		19,975		472,314
Taylor Wimpey PLC		362,533		1,074,105
Travis Perkins PLC		20,474		610,798
Unilever NV CVA		8,694		348,499
Unilever PLC		10,377		422,653
Vodafone Group PLC		234,558		739,816
William Hill PLC		83,449		443,835
WPP PLC		34,071		709,325
				23,502,994
United States - 51.5%
3M Co. (1)		2,916		413,401
Aetna, Inc. (1)		16,400		1,794,324
Akamai Technologies, Inc. (1)†		3,125		215,813
Alleghany Corp. (1)†		1,097		513,517
Allstate Corp./The (1)		41,811		2,435,073
Alnylam Pharmaceuticals, Inc. (1)†		1,680		135,005
Altria Group, Inc. (1)		46,468		2,527,859
Amazon.com, Inc. (1)†		3,229		1,652,893
American Airlines Group, Inc. (1)		16,765		650,985
American Electric Power Co., Inc. (1)		4,718		268,265
American International Group, Inc. (1)		24,432		1,388,226
American Tower Corp. REIT (1)		4,100		360,718
AmerisourceBergen Corp. (1)		22,848		2,170,332
Amgen, Inc. (1)		15,670		2,167,474
Anthem, Inc. (1)		15,300		2,142,000
Apple, Inc. (1)		52,696		5,812,369
Archer-Daniels-Midland Co. (1)		35,219		1,459,828
Ashland, Inc. (1)		1,186		119,335
Assurant, Inc. (1)		15,628		1,234,768
AvalonBay Communities, Inc. REIT (1)		1,311		229,189
Avery Dennison Corp. (1)		11,000		622,270
Avnet, Inc. (1)		13,101		559,151
Axis Capital Holdings Ltd. (1)		8,247		443,029
Baker Hughes, Inc. (1)		3,500		182,140
Bank of New York Mellon Corp./The (1)		10,400		407,160
Berkshire Hathaway, Inc., Class B (1)†		11,132		1,451,613
Best Buy Co., Inc. (1)		35,141		1,304,434
Biogen, Inc. (1)†		6,575		1,918,651
BioMarin Pharmaceutical, Inc. (1)†		2,600		273,832
Boeing Co./The (1)		3,294		431,349
Boston Properties, Inc. REIT (1)		2,763		327,139
Bristol-Myers Squibb Co. (1)		15,284		904,813
Broadcom Corp., Class A (1)		4,664		239,870
Bunge Ltd. (1)		4,679		342,971
Capital One Financial Corp. (1)		4,000		290,080
Cardinal Health, Inc. (1)		12,888		990,056
Carnival Corp. (1)		25,966		1,290,510
Celgene Corp. (1)†		10,986		1,188,356
Cigna Corp. (1)		2,408		325,128
Cintas Corp. (1)		8,459		725,359
Cisco Systems, Inc. (1)		41,232		1,082,340
Citigroup, Inc. (1)		35,256		1,749,050
Citrix Systems, Inc. (1)†		2,703		187,264
Coca-Cola Co./The (1)		31,760		1,274,211

	SHARES		VALUE (Note 4)
United States - 51.5% (continued)
Cognizant Technology Solutions Corp., Class A (1)†		10,379	$	649,829
Comcast Corp., Class A (1)		13,500		767,880
Comerica, Inc. (1)		49,090		2,017,599
Crown Castle International Corp. REIT (1)		4,000		315,480
CSX Corp. (1)		15,104		406,298
CVS Health Corp. (1)		25,728		2,482,237
Darden Restaurants, Inc. (1)		19,644		1,346,400
Delta Air Lines, Inc. (1)		48,928		2,195,399
Dick’s Sporting Goods, Inc. (1)		15,402		764,093
Discover Financial Services (1)		2,468		128,311
Dollar General Corp. (1)		8,800		637,472
Dow Chemical Co./The (1)		9,924		420,778
Dr Pepper Snapple Group, Inc. (1)		4,000		316,200
DTE Energy Co. (1)		8,800		707,256
E*TRADE Financial Corp. (1)†		5,807		152,898
eBay, Inc. (1)†		17,655		431,488
Edison International (1)		10,456		659,460
Edwards Lifesciences Corp. (1)†		12,200		1,734,474
Electronic Arts, Inc. (1)†		24,747		1,676,609
Eli Lilly & Co. (1)		2,461		205,961
EMC Corp. (1)		5,896		142,447
Equifax, Inc. (1)		6,865		667,141
Equinix, Inc. REIT (1)		628		171,695
Equity Residential REIT (1)		3,548		266,526
Everest Re Group Ltd. (1)		811		140,579
Exxon Mobil Corp. (1)		5,797		431,007
Facebook, Inc., Class A (1)†		8,027		721,627
FedEx Corp. (1)		2,562		368,877
Fidelity National Information Services, Inc. (1)		15,800		1,059,864
Fifth Third Bancorp (1)		73,818		1,395,898
FireEye, Inc. (1)†		3,762		119,707
Fiserv, Inc. (1)†		5,100		441,711
Flextronics International Ltd. (1)†		48,668		512,961
Foot Locker, Inc. (1)		3,476		250,168
Gap, Inc./The (1)		3,362		95,817
General Dynamics Corp. (1)		12,600		1,738,170
Gilead Sciences, Inc. (1)		32,242		3,165,842
Goldman Sachs Group, Inc./The (1)		1,938		336,747
Goodyear Tire & Rubber Co./The (1)		11,989		351,637
Google, Inc., Class A (1)†		2,094		1,336,747
Google, Inc., Class C (1)†		2,784		1,693,841
Hartford Financial Services Group, Inc./The (1)		16,969		776,841
HCA Holdings, Inc. (1)†		7,682		594,280
HCP, Inc. REIT (1)		4,772		177,757
Hewlett-Packard Co. (1)		32,634		835,757
HollyFrontier Corp. (1)		16,592		810,353
Home Depot, Inc./The (1)		19,100		2,205,859
Honeywell International, Inc. (1)		1,532		145,065
Hormel Foods Corp. (1)		11,364		719,455
Host Hotels & Resorts, Inc. REIT (1)		9,300		147,033
Humana, Inc. (1)		436		78,044
Huntington Bancshares, Inc. (1)		69,528		736,997
Incyte Corp. (1)†		3,925		433,045
Intel Corp. (1)		19,200		578,688
International Business Machines Corp. (1)		4,223		612,208

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

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	SHARES		VALUE (Note 4)
United States - 51.5% (continued)
International Paper Co. (1)		26,396	$	997,505
Interpublic Group of Cos., Inc./The (1)		29,446		563,302
Invesco Ltd. (1)		4,065		126,950
Isis Pharmaceuticals, Inc. (1)†		3,804		153,758
Johnson & Johnson (1)		20,263		1,891,551
JPMorgan Chase & Co. (1)		16,450		1,002,957
KeyCorp (1)		262,525		3,415,450
Kimberly-Clark Corp. (1)		12,263		1,337,158
Kimco Realty Corp. REIT (1)		6,500		158,795
Kraft Heinz Co./The (1)		5,100		359,958
Kroger Co./The (1)		29,220		1,053,965
L Brands, Inc. (1)		6,300		567,819
L-3 Communications Holdings, Inc. (1)		3,166		330,910
Lincoln National Corp. (1)		11,896		564,584
Lockheed Martin Corp. (1)		3,909		810,375
Lowe’s Cos., Inc. (1)		28,739		1,980,692
LyondellBasell Industries NV, Class A (1)		8,348		695,889
Macy’s, Inc. (1)		4,153		213,132
Mallinckrodt PLC (1)†		4,480		286,451
ManpowerGroup, Inc. (1)		13,248		1,084,879
Marathon Petroleum Corp. (1)		35,240		1,632,669
Marvell Technology Group Ltd.		70,118		634,568
Masco Corp. (1)		16,193		407,740
MasterCard, Inc., Class A (1)		3,623		326,505
McKesson Corp. (1)		6,049		1,119,246
Mead Johnson Nutrition Co. (1)		7,759		546,234
Medivation, Inc. (1)†		17,998		764,915
Merck & Co., Inc. (1)		42,226		2,085,542
Micron Technology, Inc. (1)†		21,824		326,924
Microsoft Corp. (1)		69,650		3,082,709
Mondelez International, Inc., Class A (1)		16,200		678,294
Morgan Stanley (1)		16,410		516,915
Mosaic Co./The (1)		18,589		578,304
Nasdaq, Inc. (1)		5,794		308,994
Netflix, Inc. (1)†		5,920		611,299
NIKE, Inc., Class B (1)		15,884		1,953,255
Northrop Grumman Corp. (1)		13,379		2,220,245
NVIDIA Corp. (1)		4,003		98,674
Oracle Corp. (1)		16,645		601,217
PartnerRe Ltd. (1)		401		55,691
PayPal Holdings, Inc. (1)†		9,806		304,378
PepsiCo, Inc. (1)		12,928		1,219,110
Pfizer, Inc. (1)		99,726		3,132,394
Philip Morris International, Inc. (1)		26,773		2,123,902
Phillips 66 (1)		5,511		423,465
Pinnacle West Capital Corp. (1)		4,134		265,155
PNC Financial Services Group, Inc./The (1)		24,907		2,221,704
Procter & Gamble Co./The (1)		10,208		734,364
Prologis, Inc. REIT (1)		5,080		197,612
Public Service Enterprise Group, Inc. (1)		33,850		1,427,116
Public Storage REIT (1)		1,569		332,047
Quest Diagnostics, Inc. (1)		3,272		201,130
Quintiles Transnational Holdings, Inc. (1)†		16,066		1,117,712
Rackspace Hosting, Inc. (1)†		12,188		300,800
Raytheon Co. (1)		8,915		974,053
Regions Financial Corp. (1)		17,648		159,008
Rite Aid Corp. (1)†		51,250		311,088

	SHARES		VALUE (Note 4)
United States - 51.5% (continued)
Robert Half International, Inc. (1)		4,242	$	217,021
Ross Stores, Inc. (1)		16,490		799,270
SEI Investments Co. (1)		2,147		103,550
Simon Property Group, Inc. REIT (1)		3,242		595,620
Skyworks Solutions, Inc. (1)		4,422		372,377
Southwest Airlines Co. (1)		62,231		2,367,267
Staples, Inc. (1)		41,521		487,041
Starwood Hotels & Resorts Worldwide, Inc. (1)		6,815		453,061
SunTrust Banks, Inc. (1)		16,460		629,430
Target Corp. (1)		1,765		138,835
Tesoro Corp. (1)		4,529		440,400
Textron, Inc. (1)		2,544		95,756
Time Warner Cable, Inc. (1)		2,386		427,977
Time Warner, Inc. (1)		4,715		324,156
TJX Cos., Inc./The (1)		6,100		435,662
Total System Services, Inc. (1)		3,186		144,740
Travelers Cos., Inc./The (1)		11,778		1,172,264
United Continental Holdings, Inc. (1)†		42,458		2,252,397
United Technologies Corp. (1)		4,488		399,387
United Therapeutics Corp. (1)†		9,299		1,220,401
UnitedHealth Group, Inc. (1)		27,624		3,204,660
Universal Health Services, Inc., Class B (1)		1,300		162,253
Unum Group (1)		27,673		887,750
US Bancorp (1)		3,140		128,771
Valeant Pharmaceuticals International, Inc. (1)†		2,574		459,443
Valero Energy Corp. (1)		28,437		1,709,064
Ventas, Inc. REIT (1)		4,800		269,088
Verizon Communications, Inc.		10,211		446,199
Vertex Pharmaceuticals, Inc. (1)†		4,657		484,980
VF Corp. (1)		11,376		775,957
Viacom, Inc., Class B (1)		17,067		736,441
Visa, Inc., Class A (1)		2,714		189,057
Vornado Realty Trust REIT (1)		2,748		248,474
Wal-Mart Stores, Inc. (1)		26,178		1,697,382
Walt Disney Co./The (1)		2,000		204,400
Wells Fargo & Co. (1)		54,324		2,789,537
Welltower, Inc. REIT (1)		3,000		203,160
Western Digital Corp. (1)		6,630		526,687
WestRock Co. (1)		7,450		383,228
Weyerhaeuser Co. REIT (1)		5,685		155,428
Whirlpool Corp. (1)		1,731		254,907
Williams Cos., Inc./The (1)		6,415		236,393
Wyndham Worldwide Corp. (1)		2,000		143,800
Xerox Corp. (1)		21,389		208,115
Yum! Brands, Inc. (1)		2,313		184,924
Zoetis, Inc. (1)		29,649		1,220,946
				171,057,377
TOTAL COMMON STOCKS (cost $269,473,880)				291,339,507

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

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PREFERRED STOCKS - 0.2%	SHARES		VALUE (Note 4)
Germany - 0.2%
Henkel AG & Co. KGaA		3,557	$	366,355
Porsche Automobil Holding SE		9,570		407,162
TOTAL PREFERRED STOCKS (cost $1,140,219)				773,517
WARRANTS - 0.0% (b)
Hong Kong - 0.0% (b)
Sun Hung Kai Properties Ltd. †
(cost $—)		20		19
MONEY MARKET FUNDS - 9.6%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.100% (c)(d)		360		360
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)		31,455,172		31,455,172
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)		330,000		330,000
TOTAL MONEY MARKET FUNDS (cost $31,785,532)				31,785,532
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.5% (cost $302,399,631)				323,898,575
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% (e)			8,246,583
NET ASSETS - 100.0%			$	332,145,158

† Non-income producing security.

(a) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets.

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

(c) Represents annualized seven-day yield as of the close of the reporting period.

(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.

(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	$	46,106,461		13.9	%
Consumer Staples		31,675,197		9.5
Energy		10,720,005		3.2
Financials		64,955,124		19.5
Health Care		51,360,670		15.5
Industrials		32,095,127		9.7
Information Technology		34,655,835		10.4
Materials		8,224,801		2.5
Telecommunication Services		7,271,885		2.2
Utilities		5,047,938		1.5
Money Market Funds		31,785,532		9.6
Total Investments In Securities, At Value		323,898,575		97.5
Other Assets in Excess of Liabilities (e)		8,246,583		2.5
Net Assets	$	332,145,158		100.0	%

Total return swap contracts outstanding as of September 30, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Hang Seng Index October Futures	10/2015	HKD		30,595,949		$(57,743	)
Goldman Sachs	Swiss Market Index December Futures	12/2015	CHF		4,521,317		(110,270	)
							$(168,013	)

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

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Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
159	Barclays Capital	CAC40 Index Futures		10/2015		$8,081,071			$7,908,829			$(172,242	)
55	Barclays Capital	DAX Index Futures		12/2015		15,296,668			14,841,097			(455,571	)
66	Barclays Capital	Hang Seng Index Futures		10/2015		8,945,446			8,853,311			(92,135	)
40	Barclays Capital	IBEX 35 Index Futures		10/2015		4,324,011			4,264,132			(59,879	)
33	Barclays Capital	MSCI Singapore Index Futures		10/2015		1,456,874			1,449,352			(7,522	)
70	Barclays Capital	SPI 200 Index Futures		12/2015		6,160,927			6,150,223			(10,704	)
59	Barclays Capital	TOPIX Index Futures		12/2015		7,133,650			6,941,899			(191,751	)
						51,398,647			50,408,843			(989,804	)
Short Contracts:
47	Barclays Capital	Amsterdam Index Futures		10/2015		$(4,507,916	)		$(4,424,624	)		$83,292
20	Barclays Capital	FTSE 100 Index Futures		12/2015		(1,794,116	)		(1,820,897	)		(26,781	)
79	Barclays Capital	FTSE/MIB Index Futures		12/2015		(9,494,926	)		(9,374,321	)		120,605
71	Barclays Capital	OMXS30 Index Futures		10/2015		(1,237,445	)		(1,200,730	)		36,715
15	Barclays Capital	S&P 500 E-Mini Futures		12/2015		(1,452,569	)		(1,431,525	)		21,044
49	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		12/2015		(5,788,356	)		(5,727,989	)		60,367
						(24,275,328	)		(23,980,086	)		295,242
						$27,123,319			$26,428,757			$(694,562	)

Forward foreign currency exchange contracts outstanding as of September 30, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/16/15	CitiBank	AUD		17,198,500		$12,093,883		$12,022,310		$(71,573	)
Australian Dollar, Expiring 12/16/15	Credit Suisse International	AUD		17,198,500		12,093,386		12,022,310		(71,076	)
Canadian Dollar, Expiring 12/16/15	CitiBank	CAD		3,028,500		2,283,564		2,268,658		(14,906	)
Canadian Dollar, Expiring 12/16/15	Credit Suisse International	CAD		3,033,500		2,286,906		2,272,404		(14,502	)
Swiss Franc, Expiring 12/16/15	CitiBank	CHF		3,015,000		3,138,198		3,102,380		(35,818	)
Swiss Franc, Expiring 12/16/15	Credit Suisse International	CHF		3,116,000		3,241,567		3,206,307		(35,260	)
Danish Krone, Expiring 12/16/15	CitiBank	DKK		688,500		103,969		103,304		(665	)
Danish Krone, Expiring 12/16/15	Credit Suisse International	DKK		688,500		103,950		103,304		(646	)
Euro, Expiring 12/16/15	CitiBank	EUR		12,966,500		14,529,819		14,507,991		(21,828	)
Euro, Expiring 12/16/15	Credit Suisse International	EUR		12,966,500		14,529,671		14,507,990		(21,681	)
British Pound, Expiring 12/16/15	CitiBank	GBP		573,500		879,574		867,296		(12,278	)

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
British Pound, Expiring 12/16/15	Credit Suisse International	GBP		573,500		$ 879,478		$ 867,296		$ (12,182	)
Hong Kong Dollar, Expiring 12/16/15	CitiBank	HKD		7,890,000		1,017,957		1,018,012		55
Hong Kong Dollar, Expiring 12/16/15	Credit Suisse International	HKD		7,890,000		1,017,909		1,018,012		103
Israeli Shekel, Expiring 12/16/15	CitiBank	ILS		1,759,500		446,379		448,999		2,620
Israeli Shekel, Expiring 12/16/15	Credit Suisse International	ILS		1,759,499		446,377		448,999		2,622
Japanese Yen, Expiring 12/16/15	CitiBank	JPY		3,510,713,500		29,257,679		29,304,156		46,477
Japanese Yen, Expiring 12/16/15	Credit Suisse International	JPY		3,510,713,500		29,257,028		29,304,156		47,128
Norwegian Krone, Expiring 12/16/15	CitiBank	NOK		1,900,000		223,295		222,912		(383	)
Norwegian Krone, Expiring 12/16/15	Credit Suisse International	NOK		1,900,000		223,265		222,912		(353	)
New Zealand Dollar, Expiring 12/16/15	CitiBank	NZD		4,081,500		2,564,561		2,594,966		30,405
New Zealand Dollar, Expiring 12/16/15	Credit Suisse International	NZD		4,081,500		2,563,480		2,594,966		31,486
Swedish Krona, Expiring 12/16/15	CitiBank	SEK		54,705,500		6,496,222		6,548,035		51,813
Swedish Krona, Expiring 12/16/15	Credit Suisse International	SEK		54,705,499		6,496,227		6,548,034		51,807
Singapore Dollar, Expiring 12/16/15	CitiBank	SGD		1,031,500		730,140		722,991		(7,149	)
Singapore Dollar, Expiring 12/16/15	Credit Suisse International	SGD		1,031,500		730,137		722,991		(7,146	)
						$147,634,621		$147,571,691		$(62,930	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/16/15	CitiBank	AUD		(2,895,000	)		$(2,051,050	)		$(2,023,699	)		$27,351
Australian Dollar, Expiring 12/16/15	Credit Suisse International	AUD		(3,108,000	)		(2,203,815	)		(2,172,592	)		31,223
Canadian Dollar, Expiring 12/16/15	CitiBank	CAD		(7,400,001	)		(5,601,284	)		(5,543,363	)		57,921
Canadian Dollar, Expiring 12/16/15	Credit Suisse International	CAD		(7,550,001	)		(5,715,171	)		(5,655,728	)		59,443
Swiss Franc, Expiring 12/16/15	CitiBank	CHF		(9,902,500	)		(10,220,517	)		(10,189,492	)		31,025
Swiss Franc, Expiring 12/16/15	Credit Suisse International	CHF		(9,902,500	)		(10,220,517	)		(10,189,492	)		31,025
Danish Krone, Expiring 12/16/15	CitiBank	DKK		(2,039,000	)		(305,785	)		(305,936	)		(151	)
Danish Krone, Expiring 12/16/15	Credit Suisse International	DKK		(4,285,000	)		(647,408	)		(642,932	)		4,476
Euro, Expiring 12/16/15	CitiBank	EUR		(1,161,500	)		(1,310,783	)		(1,299,582	)		11,201
Euro, Expiring 12/16/15	Credit Suisse International	EUR		(3,132,500	)		(3,547,843	)		(3,504,899	)		42,944

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

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
British Pound, Expiring 12/16/15	CitiBank	GBP		(12,696,002	)		$ (19,396,231	)		$ (19,199,973	)		$ 196,258
British Pound, Expiring 12/16/15	Credit Suisse International	GBP		(13,486,001	)		(20,623,651	)		(20,394,676	)		228,975
Hong Kong Dollar, Expiring 12/16/15	CitiBank	HKD		(226,000	)		(29,155	)		(29,160	)		(5	)
Hong Kong Dollar, Expiring 12/16/15	Credit Suisse International	HKD		(226,000	)		(29,159	)		(29,160	)		(1	)
Israeli Shekel, Expiring 12/16/15	CitiBank	ILS		(124,500	)		(31,743	)		(31,771	)		(28	)
Israeli Shekel, Expiring 12/16/15	Credit Suisse International	ILS		(124,500	)		(31,745	)		(31,771	)		(26	)
Japanese Yen, Expiring 12/16/15	CitiBank	JPY		(140,394,000	)		(1,172,419	)		(1,171,878	)		541
Japanese Yen, Expiring 12/16/15	Credit Suisse International	JPY		(317,753,000	)		(2,654,089	)		(2,652,305	)		1,784
Norwegian Krone, Expiring 12/16/15	CitiBank	NOK		(95,795,500	)		(11,602,244	)		(11,238,951	)		363,293
Norwegian Krone, Expiring 12/16/15	Credit Suisse International	NOK		(95,795,499	)		(11,602,809	)		(11,238,952	)		363,857
New Zealand Dollar, Expiring 12/16/15	CitiBank	NZD		(5,306,500	)		(3,367,167	)		(3,373,806	)		(6,639	)
New Zealand Dollar, Expiring 12/16/15	Credit Suisse International	NZD		(5,306,499	)		(3,367,677	)		(3,373,805	)		(6,128	)
Swedish Krona, Expiring 12/16/15	CitiBank	SEK		(3,679,500	)		(437,240	)		(440,422	)		(3,182	)
Swedish Krona, Expiring 12/16/15	Credit Suisse International	SEK		(3,679,500	)		(437,285	)		(440,422	)		(3,137	)
Singapore Dollar, Expiring 12/16/15	CitiBank	SGD		(7,000	)		(4,875	)		(4,906	)		(31	)
Singapore Dollar, Expiring 12/16/15	Credit Suisse International	SGD		(7,000	)		(4,874	)		(4,906	)		(32	)
							(116,616,536	)		(115,184,579	)		1,431,957
							$31,018,085			$32,387,112			$1,369,027

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. (Continued)

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Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Barclays Capital
Cash		$—			$7,279,847		$7,279,847
Citibank
Cash		(580,000	)		—		(580,000	)
Credit Suisse International
Cash		(700,000	)		—		(700,000	)
Goldman Sachs
Money Market Funds		330,000			—		330,000

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

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COMMON STOCKS - 89.5%	SHARES		VALUE (Note 4)
Australia - 4.9%
AMP Ltd.		94,579	$	371,467
Asciano Ltd.		84,298		499,070
ASX Ltd.		10,285		274,584
Aurizon Holdings Ltd.		272,767		963,644
Australia & New Zealand Banking Group Ltd.		242,705		4,637,152
Bendigo & Adelaide Bank Ltd.		107,174		749,015
BHP Billiton Ltd.		190,282		3,005,371
Boral Ltd.		83,713		311,343
CIMIC Group Ltd.		62,685		1,041,380
Cochlear Ltd.		3,464		203,828
Computershare Ltd.		15,439		115,291
Dexus Property Group REIT		47,299		238,526
Federation Centres REIT		193,958		374,541
Flight Centre Travel Group Ltd.		48,515		1,235,706
Goodman Group REIT		110,663		457,427
GPT Group/The REIT (Escrow) (3)†(a)		143,427		—
GPT Group/The REIT		113,631		361,139
Harvey Norman Holdings Ltd.		162,654		445,536
Lend Lease Group		184,864		1,636,632
Macquarie Group Ltd.		75,794		4,107,664
Mirvac Group REIT		214,560		260,512
National Australia Bank Ltd.		250,834		5,308,379
Newcrest Mining Ltd. †		41,734		375,555
Qantas Airways Ltd. †		1,819,873		4,777,847
Scentre Group REIT		302,378		832,235
Sonic Healthcare Ltd.		98,692		1,269,410
Stockland REIT		127,919		347,532
Telstra Corp. Ltd.		238,366		942,427
Westfield Corp. REIT		118,519		833,982
				35,977,195
Belgium - 2.1%
Ageas		43,860		1,802,489
Delhaize Group		8,535		756,548
Groupe Bruxelles Lambert SA		2,641		199,301
KBC Groep NV		48,628		3,075,332
Proximus		281,115		9,724,321
				15,557,991
Denmark - 2.4%
DSV A/S		16,207		605,606
Novo Nordisk A/S, Class B		195,922		10,572,847
Pandora A/S		42,087		4,916,563
Vestas Wind Systems A/S		30,118		1,565,806
				17,660,822
Finland - 1.3%
Nokia OYJ		208,399		1,424,991
Orion OYJ, Class B		107,666		4,074,119
Stora Enso OYJ, R Shares		98,594		746,014
UPM-Kymmene OYJ		202,242		3,035,797
				9,280,921
France - 9.4%
Aeroports de Paris		2,791		316,779
Airbus Group SE		18,981		1,124,056
Atos SE		10,486		806,021

	SHARES		VALUE (Note 4)
France - 9.4% (continued)
AXA SA		32,976	$	800,623
BNP Paribas SA		3,518		207,119
Cap Gemini SA		60,063		5,363,794
CNP Assurances		43,334		602,119
Essilor International SA		9,612		1,174,283
Eutelsat Communications SA		6,907		211,845
Klepierre REIT		3,675		166,560
Lagardere SCA		94,830		2,627,662
Legrand SA		16,807		894,184
L’Oreal SA		10,279		1,786,635
Natixis SA		77,764		430,563
Numericable-SFR SAS †		5,025		232,629
Orange SA		147,501		2,236,006
Peugeot SA †		691,447		10,477,202
Safran SA		11,131		836,958
Sanofi		139,320		13,263,279
SCOR SE		60,067		2,157,023
Societe BIC SA		19,978		3,104,377
Societe Generale SA		87,326		3,902,686
Thales SA		52,059		3,629,813
Unibail-Rodamco SE REIT		7,665		1,986,645
Valeo SA		14,593		1,981,395
Veolia Environnement SA		18,219		415,505
Vinci SA		48,581		3,089,201
Vivendi SA		238,426		5,648,720
				69,473,682
Germany - 7.4%
Allianz SE		52,401		8,231,830
BASF SE		13,201		1,009,657
Bayer AG		29,085		3,731,560
Deutsche Bank AG		17,984		485,338
Deutsche Boerse AG		12,335		1,063,820
Deutsche Lufthansa AG †		77,629		1,080,657
Evonik Industries AG		56,024		1,875,828
Fresenius Medical Care AG & Co. KGaA		16,917		1,322,148
Fresenius SE & Co. KGaA		21,127		1,418,209
Hannover Rueck SE		49,557		5,076,176
Infineon Technologies AG		63,427		712,630
LANXESS AG		18,094		847,216
Merck KGaA		97,343		8,618,392
METRO AG		70,345		1,946,300
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		27,458		5,128,182
OSRAM Licht AG		98,639		5,110,326
ProSiebenSat.1 Media SE		81,423		3,996,698
Siemens AG		11,869		1,060,341
TUI AG		20,032		370,123
United Internet AG		18,957		961,090
Vonovia SE		14,469		465,700
				54,512,221
Hong Kong - 2.3%
AIA Group Ltd.		387,400		2,014,771
ASM Pacific Technology Ltd.		14,204		93,161
BOC Hong Kong Holdings Ltd.		68,000		200,551
Cheung Kong Infrastructure Holdings Ltd.		37,827		339,034
Cheung Kong Property Holdings Ltd.		217,462		1,593,197

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

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	SHARES		VALUE (Note 4)
Hong Kong - 2.3% (continued)
CLP Holdings Ltd.		108,000	$	923,288
First Pacific Co., Ltd.		144,000		87,978
Hong Kong & China Gas Co., Ltd.		399,000		748,194
Hong Kong Exchanges and Clearing Ltd.		66,154		1,517,639
Hysan Development Co., Ltd.		76,000		316,454
Kerry Properties Ltd.		371,000		1,018,620
Li & Fung Ltd.		1,150,000		880,939
Link REIT		139,382		767,358
New World Development Co., Ltd.		1,411,896		1,375,024
NWS Holdings Ltd.		86,000		113,363
PCCW Ltd.		131,000		67,433
Power Assets Holdings Ltd.		80,000		757,030
Sino Land Co., Ltd.		968,000		1,473,887
Swire Pacific Ltd., Class A		41,030		459,886
Techtronic Industries Co., Ltd.		120,500		449,231
Wheelock & Co., Ltd.		60,000		260,576
Yue Yuen Industrial Holdings Ltd.		455,609		1,695,077
				17,152,691
Italy - 2.6%
Atlantia SpA		53,567		1,498,413
Banco Popolare SC †		214,824		3,178,413
Eni SpA		27,752		436,549
Finmeccanica SpA †		230,296		2,883,952
Intesa Sanpaolo SpA		451,438		1,594,795
Mediobanca SpA		124,994		1,229,783
Pirelli & C. SpA		279,400		4,675,486
Prysmian SpA		179,626		3,712,745
				19,210,136
Japan - 21.4%
Ajinomoto Co., Inc.		183,000		3,859,103
Alfresa Holdings Corp.		106,900		1,825,577
Astellas Pharma, Inc.		283,800		3,673,531
Bandai Namco Holdings, Inc.		98,300		2,281,417
Bank of Yokohama Ltd./The		88,000		534,867
Brother Industries Ltd.		46,200		556,896
Calbee, Inc.		17,100		553,356
Central Japan Railway Co.		7,100		1,144,717
Chiba Bank Ltd./The		55,000		390,560
Chubu Electric Power Co., Inc.		81,900		1,207,553
Daicel Corp.		94,100		1,155,154
Dai-ichi Life Insurance Co., Ltd./The		109,200		1,738,447
Daiichi Sankyo Co., Ltd.		17,900		310,600
Daito Trust Construction Co., Ltd.		5,187		527,024
Daiwa House Industry Co., Ltd.		17,295		428,758
Dentsu, Inc.		3,900		200,148
Don Quijote Holdings Co., Ltd.		23,400		881,612
Eisai Co., Ltd.		5,500		324,509
Fuji Heavy Industries Ltd.		106,121		3,818,710
FUJIFILM Holdings Corp.		41,043		1,534,277
Fujitsu Ltd.		75,000		326,235
Fukuoka Financial Group, Inc.		193,000		919,231
GungHo Online Entertainment, Inc.		71,000		210,903
Gunma Bank Ltd./The		53,000		339,221
Hachijuni Bank Ltd./The		109,000		773,705
Hakuhodo DY Holdings, Inc.		154,300		1,462,889
Hitachi High-Technologies Corp.		40,500		876,959

	SHARES		VALUE (Note 4)
Japan - 21.4% (continued)
Hokuhoku Financial Group, Inc.		286,000	$	654,849
Hoya Corp.		99,300		3,252,263
Hulic Co., Ltd.		16,200		146,550
Isetan Mitsukoshi Holdings Ltd.		85,600		1,284,368
J Front Retailing Co., Ltd.		13,300		215,441
Japan Airlines Co., Ltd.		287,400		10,169,628
Japan Real Estate Investment Corp. REIT		84		386,928
Japan Retail Fund Investment Corp. REIT		149		288,294
Japan Tobacco, Inc.		87,000		2,698,757
JTEKT Corp.		70,870		992,251
Kajima Corp.		235,000		1,247,113
Kamigumi Co., Ltd.		25,000		204,852
Kao Corp.		60,100		2,724,384
KDDI Corp.		54,600		1,222,118
Koito Manufacturing Co., Ltd.		14,800		483,611
Konica Minolta, Inc.		340,900		3,591,301
Kyowa Hakko Kirin Co., Ltd.		54,000		805,013
Marui Group Co., Ltd.		17,000		205,057
Medipal Holdings Corp.		156,000		2,475,251
MEIJI Holdings Co., Ltd.		58,000		4,253,174
Mitsubishi Chemical Holdings Corp.		72,300		377,521
Mitsubishi Electric Corp.		180,000		1,648,897
Mitsubishi Estate Co., Ltd.		77,020		1,573,328
Mitsubishi Tanabe Pharma Corp.		66,900		1,180,629
Mitsubishi UFJ Financial Group, Inc.		773,991		4,676,639
Mitsui Fudosan Co., Ltd.		59,205		1,622,891
Mixi, Inc.		95,500		3,268,301
Mizuho Financial Group, Inc.		1,401,300		2,621,274
MS&AD Insurance Group Holdings, Inc.		123,500		3,313,489
Murata Manufacturing Co., Ltd.		21,600		2,790,170
Nexon Co., Ltd.		207,900		2,779,535
NHK Spring Co., Ltd.		155,400		1,506,833
Nintendo Co., Ltd.		14,100		2,376,580
Nippon Building Fund, Inc. REIT		84		406,462
Nippon Express Co., Ltd.		591,000		2,824,008
Nippon Telegraph & Telephone Corp.		38,038		1,339,837
Nippon Yusen KK		709,000		1,643,061
Nitto Denko Corp.		24,600		1,473,361
NOK Corp.		112,200		2,427,526
Nomura Holdings, Inc.		288,200		1,672,818
Nomura Real Estate Holdings, Inc.		8,000		160,833
Obayashi Corp.		110,000		938,541
ORIX Corp.		207,200		2,672,744
Otsuka Holdings Co., Ltd.		90,700		2,896,192
Panasonic Corp.		94,000		951,292
Rakuten, Inc.		92,700		1,184,933
Santen Pharmaceutical Co., Ltd.		190,700		2,560,263
Sekisui House Ltd.		32,000		501,246
Shimadzu Corp.		118,000		1,703,597
Shimamura Co., Ltd.		14,200		1,529,546
Shimizu Corp.		74,000		635,378
Shionogi & Co., Ltd.		121,400		4,351,603
Sompo Japan Nipponkoa Holdings, Inc.		21,100		612,846
Sony Corp.		132,200		3,240,503
Sumitomo Chemical Co., Ltd.		257,000		1,299,579
Sumitomo Heavy Industries Ltd.		639,000		2,532,096
Sumitomo Mitsui Financial Group, Inc.		38,136		1,446,129
Sumitomo Realty & Development Co., Ltd.		24,261		772,166

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

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	SHARES		VALUE (Note 4)
Japan - 21.4% (continued)
Suzuken Co., Ltd.		57,640	$	1,922,123
Sysmex Corp.		11,600		612,616
T&D Holdings, Inc.		30,000		354,356
TDK Corp.		6,400		361,970
Teijin Ltd.		769,000		2,335,825
Tokio Marine Holdings, Inc.		6,200		231,632
Tokyo Electric Power Co., Inc. †		716,100		4,783,282
Tokyu Fudosan Holdings Corp.		26,483		176,205
Toyota Motor Corp.		33,878		1,983,486
West Japan Railway Co.		31,800		1,993,095
Yamaha Corp.		81,000		1,794,002
Yamazaki Baking Co., Ltd.		51,000		785,848
				158,004,249
Netherlands - 3.0%
Aegon NV		306,932		1,759,992
ASML Holding NV		19,567		1,719,997
Boskalis Westminster		30,605		1,339,659
Heineken NV		15,576		1,261,168
ING Groep NV CVA		247,726		3,509,663
Koninklijke Ahold NV		348,862		6,805,614
Koninklijke Vopak NV		20,218		808,381
NN Group NV		26,840		770,502
Wolters Kluwer NV		132,393		4,082,912
				22,057,888
Singapore - 0.5%
Ascendas Real Estate Investment Trust REIT		123,637		203,686
CapitaLand Commercial Trust Ltd. REIT		120,000		113,298
CapitaLand Mall Trust REIT		145,994		195,219
ComfortDelGro Corp. Ltd.		207,800		419,794
Sembcorp Industries Ltd.		60,017		146,476
Singapore Airlines Ltd.		43,800		329,719
Singapore Exchange Ltd.		52,472		259,575
Singapore Technologies Engineering Ltd.		93,265		195,669
United Overseas Bank Ltd.		102,097		1,333,092
UOL Group Ltd.		28,000		118,549
				3,315,077
South Africa - 0.4%
Investec PLC		176,451		1,351,069
Mondi PLC		74,081		1,552,677
				2,903,746
Spain - 1.8%
ACS Actividades de Construccion y Servicios SA		28,084		808,034
Banco Bilbao Vizcaya Argentaria SA		281,558		2,380,808
Banco Santander SA		522,409		2,777,864
Endesa SA		24,668		520,208
Ferrovial SA		65,564		1,568,302
Iberdrola SA		390,122		2,599,469
Industria de Diseno Textil SA		88,308		2,961,097
				13,615,782
Sweden - 3.3%
Boliden AB		207,224		3,244,745
Electrolux AB, Series B		181,986		5,142,345

	SHARES		VALUE (Note 4)
Sweden - 3.3% (continued)
Husqvarna AB, B Shares		422,150	$	2,768,602
Investor AB, B Shares		19,364		665,366
Skanska AB, B Shares		80,133		1,573,228
Svenska Cellulosa AB SCA, Class B		104,227		2,916,494
Swedish Match AB		186,644		5,641,977
Tele2 AB, B Shares		99,117		966,649
Telefonaktiebolaget LM Ericsson, B Shares		170,974		1,677,191
				24,596,597
Switzerland - 8.8%
Actelion Ltd. †		5,886		748,087
Adecco SA †		9,341		684,094
Baloise Holding AG		10,572		1,211,594
Coca-Cola HBC AG †		18,346		388,360
Credit Suisse Group AG †		113,160		2,720,009
Julius Baer Group Ltd. †		18,979		861,875
Lonza Group AG †		41,130		5,396,912
Nestle SA		249,250		18,745,018
Novartis AG		120,694		11,093,213
Roche Holding AG		33,065		8,777,817
Sika AG		72		222,089
Swiss Life Holding AG †		28,095		6,267,017
Swiss Re AG		48,536		4,164,250
Wolseley PLC		10,587		619,276
Zurich Insurance Group AG †		13,966		3,428,741
				65,328,352
United Kingdom - 17.9%
3i Group PLC		59,955		423,516
ARM Holdings PLC		78,966		1,134,522
AstraZeneca PLC		86,984		5,516,403
Aviva PLC		167,647		1,146,634
Barclays PLC		2,406,325		8,905,307
BG Group PLC		191,456		2,761,922
BP PLC		402,926		2,044,194
British American Tobacco PLC		88,796		4,899,385
British Land Co. PLC/The REIT		57,695		732,705
BT Group PLC		1,269,160		8,077,625
Direct Line Insurance Group PLC		1,247,250		7,077,093
Dixons Carphone PLC		89,661		576,251
easyJet PLC		122,399		3,304,047
Fiat Chrysler Automobiles NV †		152,157		1,977,668
GlaxoSmithKline PLC		165,094		3,168,798
Hammerson PLC REIT		28,872		272,629
HSBC Holdings PLC		962,623		7,261,756
ICAP PLC		148,175		1,026,268
Imperial Tobacco Group PLC		230,841		11,934,207
International Consolidated Airlines Group SA †		351,079		3,145,304
ITV PLC		109,996		409,895
Kingfisher PLC		617,663		3,355,294
Land Securities Group PLC REIT		47,078		897,493
Lloyds Banking Group PLC		790,194		899,605
Marks & Spencer Group PLC		91,774		696,636
Persimmon PLC †		289,889		8,823,166
Randgold Resources Ltd.		3,761		221,617
Reckitt Benckiser Group PLC		38,287		3,472,088

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

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	SHARES		VALUE (Note 4)
United Kingdom - 17.9% (continued)
RELX PLC		63,746	$	1,093,336
Rio Tinto Ltd.		25,795		887,463
Royal Bank of Scotland Group PLC †		764,995		3,649,868
Royal Dutch Shell PLC, A Shares		209,058		4,935,242
Royal Dutch Shell PLC, B Shares		146,511		3,464,291
Sage Group PLC/The		156,415		1,183,370
Schroders PLC		19,386		823,752
Shire PLC		9,039		617,924
Standard Chartered PLC		142,306		1,381,072
Taylor Wimpey PLC		1,048,976		3,107,883
Travis Perkins PLC		49,950		1,490,152
Unilever NV CVA		17,475		700,485
Unilever PLC		76,998		3,136,113
Vodafone Group PLC		2,443,437		7,706,809
William Hill PLC		219,461		1,167,233
WPP PLC		146,920		3,058,732
				132,565,753
TOTAL COMMON STOCKS (cost $637,361,039)				661,213,103
PREFERRED STOCKS - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA		4,168		429,285
Porsche Automobil Holding SE		59,140		2,516,151
TOTAL PREFERRED STOCKS (cost $4,916,642)				2,945,436
WARRANTS - 0.0% (b)
Hong Kong - 0.0% (b)
Sun Hung Kai Properties Ltd. †
(cost $—)		79		77
MONEY MARKET FUNDS - 6.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)		44,568,015		44,568,015
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)		3,820,056		3,820,056
TOTAL MONEY MARKET FUNDS (cost $48,388,071)				48,388,071
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 96.4% (cost $690,665,752)				712,546,687
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.6% (e)			26,264,363
NET ASSETS - 100.0%			$	738,811,050

† Non-income producing security.

(a) Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets.

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

(c) Represents annualized seven-day yield as of the close of the reporting period.

(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	$	101,885,913		13.8	%
Consumer Staples		79,694,301		10.8
Energy		14,450,579		2.0
Financials		171,693,413		23.2
Health Care		107,157,401		14.5
Industrials		79,505,906		10.8
Information Technology		35,568,781		4.8
Materials		23,976,814		3.2
Telecommunication Services		37,931,944		5.1
Utilities		12,293,564		1.7
Money Market Funds		48,388,071		6.5
Total Investments In Securities, At Value		712,546,687		96.4
Other Assets in Excess of Liabilities (e)		26,264,363		3.6
Net Assets	$	738,811,050		100.0	%

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

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Total return swap contracts outstanding as of September 30, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Hang Seng Index October Futures	10/2015	HKD		45,324,713			$(80,239	)
Goldman Sachs	Swiss Market Index December Futures	12/2015	CHF		(18,622,524	)		469,438
							$389,199

Open futures contracts outstanding at September 30, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
455	Barclays Capital	CAC40 Index Futures		10/2015		$23,103,968			$22,632,183			$(471,785	)
172	Barclays Capital	DAX Index Futures		12/2015		47,860,738			46,412,159			(1,448,579	)
245	Barclays Capital	Hang Seng Index Futures		10/2015		33,321,531			32,864,562			(456,969	)
141	Barclays Capital	IBEX 35 Index Futures		10/2015		15,234,144			15,031,068			(203,076	)
139	Barclays Capital	MSCI Singapore Index Futures		10/2015		6,139,032			6,104,845			(34,187	)
77	Barclays Capital	SPI 200 Index Futures		12/2015		6,783,204			6,765,245			(17,959	)
158	Barclays Capital	TOPIX Index Futures		12/2015		19,089,776			18,590,172			(499,604	)
						151,532,393			148,400,234			(3,132,159	)
Short Contracts:
135	Barclays Capital	Amsterdam Index Futures		10/2015		$(12,851,696	)		$(12,709,028	)		$142,668
353	Barclays Capital	FTSE 100 Index Futures		12/2015		(32,164,122	)		(32,138,835	)		25,287
168	Barclays Capital	FTSE/MIB Index Futures		12/2015		(20,170,697	)		(19,935,265	)		235,432
547	Barclays Capital	OMXS30 Index Futures		10/2015		(9,507,921	)		(9,250,695	)		257,226
						(74,694,436	)		(74,033,823	)		660,613
						$76,837,957			$74,366,411			$(2,471,546	)

Forward foreign currency exchange contracts outstanding as of September 30, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT SEPTEMBER 30, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/16/15	CitiBank	AUD		16,236,550		$11,383,133		$11,349,875		$(33,258	)
Australian Dollar, Expiring 12/16/15	Credit Suisse International	AUD		16,236,550		11,382,494		11,349,874		(32,620	)
Swiss Franc, Expiring 12/16/15	CitiBank	CHF		1,820,000		1,874,772		1,872,747		(2,025	)
Swiss Franc, Expiring 12/16/15	Credit Suisse International	CHF		7,282,000		7,481,332		7,493,046		11,714
Danish Krone, Expiring 12/16/15	CitiBank	DKK		413,000		62,472		61,967		(505	)
Danish Krone, Expiring 12/16/15	Credit Suisse International	DKK		1,154,000		174,180		173,149		(1,031	)

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 12/16/15	CitiBank	EUR		43,306,700			$ 48,527,988			$ 48,455,109			$ (72,879	)
Euro, Expiring 12/16/15	Credit Suisse International	EUR		43,306,700			48,527,875			48,455,109			(72,766	)
British Pound, Expiring 12/16/15	CitiBank	GBP		1,140,000			1,743,487			1,724,005			(19,482	)
British Pound, Expiring 12/16/15	Credit Suisse International	GBP		1,843,000			2,814,076			2,787,141			(26,935	)
Hong Kong Dollar, Expiring 12/16/15	CitiBank	HKD		27,341,500			3,527,390			3,527,754			364
Hong Kong Dollar, Expiring 12/16/15	Credit Suisse International	HKD		27,341,500			3,527,358			3,527,754			396
Israeli Shekel, Expiring 12/16/15	CitiBank	ILS		9,973,500			2,530,850			2,545,095			14,245
Israeli Shekel, Expiring 12/16/15	Credit Suisse International	ILS		9,973,500			2,530,839			2,545,095			14,256
Japanese Yen, Expiring 12/16/15	CitiBank	JPY		9,649,826,900			80,410,720			80,547,743			137,023
Japanese Yen, Expiring 12/16/15	Credit Suisse International	JPY		9,649,826,900			80,409,235			80,547,743			138,508
Swedish Krona, Expiring 12/16/15	CitiBank	SEK		82,947,500			9,849,891			9,928,493			78,602
Swedish Krona, Expiring 12/16/15	Credit Suisse International	SEK		82,947,500			9,849,897			9,928,492			78,595
Singapore Dollar, Expiring 12/16/15	CitiBank	SGD		4,503,150			3,187,226			3,156,313			(30,913	)
Singapore Dollar, Expiring 12/16/15	Credit Suisse International	SGD		4,503,150			3,187,232			3,156,313			(30,919	)
							$332,982,447			$333,132,817			$150,370
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 12/16/15	CitiBank	AUD		(4,498,500	)		$(3,187,535	)		$(3,144,597	)		$42,938
Australian Dollar, Expiring 12/16/15	Credit Suisse International	AUD		(5,325,500	)		(3,766,484	)		(3,722,697	)		43,787
Swiss Franc, Expiring 12/16/15	CitiBank	CHF		(33,730,900	)		(34,815,703	)		(34,708,484	)		107,219
Swiss Franc, Expiring 12/16/15	Credit Suisse International	CHF		(33,730,900	)		(34,815,955	)		(34,708,484	)		107,471
Danish Krone, Expiring 12/16/15	CitiBank	DKK		(15,262,500	)		(2,288,182	)		(2,290,026	)		(1,844	)
Danish Krone, Expiring 12/16/15	Credit Suisse International	DKK		(15,262,500	)		(2,288,321	)		(2,290,026	)		(1,705	)
Euro, Expiring 12/16/15	CitiBank	EUR		(14,457,500	)		(16,309,871	)		(16,176,244	)		133,627
Euro, Expiring 12/16/15	Credit Suisse International	EUR		(21,158,500	)		(23,839,112	)		(23,673,875	)		165,237
British Pound, Expiring 12/16/15	CitiBank	GBP		(41,705,850	)		(63,672,581	)		(63,071,130	)		601,451
British Pound, Expiring 12/16/15	Credit Suisse International	GBP		(41,705,850	)		(63,673,253	)		(63,071,130	)		602,123
Hong Kong Dollar, Expiring 12/16/15	CitiBank	HKD		(1,740,500	)		(224,517	)		(224,569	)		(52	)

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

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT SEPTEMBER 30, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 12/16/15	Credit Suisse International	HKD		(11,432,500	)		$ (1,474,965	)		$ (1,475,085	)		$ (120	)
Israeli Shekel, Expiring 12/16/15	CitiBank	ILS		(421,000	)		(107,254	)		(107,433	)		(179	)
Israeli Shekel, Expiring 12/16/15	Credit Suisse International	ILS		(421,000	)		(107,255	)		(107,433	)		(178	)
Japanese Yen, Expiring 12/16/15	CitiBank	JPY		(532,436,000	)		(4,446,330	)		(4,444,278	)		2,052
Japanese Yen, Expiring 12/16/15	Credit Suisse International	JPY		(1,093,417,000	)		(9,125,074	)		(9,126,823	)		(1,749	)
Swedish Krona, Expiring 12/16/15	CitiBank	SEK		(17,667,000	)		(2,099,705	)		(2,114,671	)		(14,966	)
Swedish Krona, Expiring 12/16/15	Credit Suisse International	SEK		(23,059,000	)		(2,744,195	)		(2,760,072	)		(15,877	)
Singapore Dollar, Expiring 12/16/15	CitiBank	SGD		(184,000	)		(128,728	)		(128,966	)		(238	)
Singapore Dollar, Expiring 12/16/15	Credit Suisse International	SGD		(184,000	)		(128,687	)		(128,968	)		(281	)
							(269,243,707	)		(267,474,991	)		1,768,716
							$63,738,740			$65,657,826			$1,919,086

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

SEK - Swedish Krona

SGD - Singapore Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Barclays Capital
Cash		$—			$22,360,095		$22,360,095
CitiBank
Cash		(910,000	)		—		(910,000	)
Credit Suisse International
Cash		(1,030,000	)		—		(1,030,000	)
Goldman Sachs
Money Market Funds		3,820,000			—		3,820,000

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

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Statements of Assets and Liabilities September 30, 2015

	AQR LARGE CAP MULTI-STYLE FUND			AQR SMALL CAP MULTI-STYLE FUND			AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities, at cost	$	1,145,198,890		$	46,798,715		$	310,243,407		$	230,554,091
Investments in securities, at value*	$	1,110,327,752		$	44,899,268		$	285,714,229		$	195,921,162
Cash		438,000			—			2,055			721,996
Foreign currency, at value‡		—			—			568,884			1,065,370
Variation margin on derivative instruments		552,330			—			—			—
Deposits with brokers for futures contracts		1,047,813			—			—			—
Receivables:
Securities sold		—			1,925,010			43,471,597			5,839,791
Foreign tax reclaim		—			—			148,114			—
Dividends		715,047			32,334			937,582			440,689
Capital shares sold		1,977,263			143,477			977,230			381,840
Due from Investment Advisor		—			2,678			—			1,133
Prepaid expenses		50,961			24,362			26,707			25,157
Total Assets		1,115,109,166			47,027,129			331,846,398			204,397,138
LIABILITIES:
Due to custodian		—			1,462,601			—			—
Payables:
Securities purchased		—			41,596			45,468,733			8,252,597
Collateral received on securities loaned		—			3,593,902			—			6,988,846
Accrued investment advisory fees		55,139			—			37,008			—
Accrued distribution fees—Class N		12,402			1,619			877			917
Accrued Trustee fees		403			75			58			—
Capital shares redeemed		488,838			64,792			228,684			57,111
Other accrued expenses and liabilities		325,061			53,680			142,969			108,327
Total Liabilities		881,843			5,218,265			45,878,329			15,407,798
Net Assets	$	1,114,227,323		$	41,808,864		$	285,968,069		$	188,989,340
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,159,632,529		$	44,429,911		$	317,447,123		$	230,301,579
Undistributed (accumulated) net investment income (loss)		7,912,780			212,998			3,852,002			3,917,919
Undistributed (accumulated) net realized gain (loss)		(18,166,276	)		(934,598	)		(10,768,566	)		(10,591,071	)
Net unrealized appreciation (depreciation)		(35,151,710	)		(1,899,447	)		(24,562,490	)		(34,639,087	)
Net Assets	$	1,114,227,323		$	41,808,864		$	285,968,069		$	188,989,340
NET ASSETS:
Class I	$	490,709,396		$	26,634,015		$	40,046,714		$	48,992,270
Class N		59,732,833			5,680,507			4,141,773			4,493,741
Class R6		563,785,094			9,494,342			241,779,582			135,503,329
SHARES OUTSTANDING:
Class I		37,047,708			2,165,764			3,920,915			5,981,726
Class N		4,528,366			463,666			406,162			549,846
Class R6		42,554,777			771,282			23,695,163			16,527,847
NET ASSET VALUE:
Class I	$	13.25		$	12.30		$	10.21		$	8.19
Class N	$	13.19		$	12.25		$	10.20		$	8.17
Class R6	$	13.25		$	12.31		$	10.20		$	8.20
* Includes market value of securities out on loan	$	—		$	3,578,221		$	—		$	6,800,176
‡ Foreign currency at cost	$	—		$	—		$	571,841		$	1,066,632

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

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Statements of Assets and Liabilities September 30, 2015

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities, at cost	$	31,155,786		$	4,020,493		$	48,852,989		$	23,765,682
Investments in securities, at value*	$	29,317,463		$	3,800,316		$	45,213,948		$	21,344,837
Cash		277,062			—			300			—
Foreign currency, at value‡		—			—			158,880			151,290
Receivables:
Securities sold		—			—			4,423,207			1,221,798
Foreign tax reclaim		—			—			5,212			—
Dividends		20,777			2,370			149,555			39,086
Capital shares sold		191,803			41,871			115,834			90,008
Due from Investment Advisor		16,281			12,739			12,887			16,838
Prepaid expenses		26,271			25,466			26,038			29,176
Total Assets		29,849,657			3,882,762			50,105,861			22,893,033
LIABILITIES:
Due to custodian		—			—			—			788,131
Payables:
Securities purchased		865,072			89,228			5,283,217			1,711,676
Collateral received on securities loaned		—			261,756			—			1,077,831
Accrued distribution fees—Class N		28			27			30			186
Accrued Trustee fees		54			—			27			10
Capital shares redeemed		7,952			—			10,962			2,790
Other accrued expenses and liabilities		51,358			41,264			83,018			64,034
Total Liabilities		924,464			392,275			5,377,254			3,644,658
Net Assets	$	28,925,193		$	3,490,487		$	44,728,607		$	19,248,375
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	30,737,176		$	3,698,626		$	48,635,070		$	21,995,413
Undistributed (accumulated) net investment income (loss)		131,665			20,214			580,570			260,708
Undistributed (accumulated) net realized gain (loss)		(105,325	)		(8,176	)		(845,657	)		(586,241	)
Net unrealized appreciation (depreciation)		(1,838,323	)		(220,177	)		(3,641,376	)		(2,421,505	)
Net Assets	$	28,925,193		$	3,490,487		$	44,728,607		$	19,248,375
NET ASSETS:
Class I	$	2,086,959		$	1,701,874		$	3,212,688		$	2,986,440
Class N		135,064			128,309			143,086			880,892
Class R6		26,703,170			1,660,304			41,372,833			15,381,043
SHARES OUTSTANDING:
Class I		221,606			184,697			341,610			359,225
Class N		14,363			13,941			15,231			106,116
Class R6		2,833,532			180,000			4,395,156			1,849,302
NET ASSET VALUE:
Class I	$	9.42		$	9.21		$	9.40		$	8.31
Class N	$	9.40		$	9.20		$	9.39		$	8.30
Class R6	$	9.42		$	9.22		$	9.41		$	8.32
* Includes market value of securities out on loan	$	—		$	261,113		$	—		$	1,070,320
‡ Foreign currency at cost	$	—		$	—		$	158,666		$	151,402

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

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Statements of Assets and Liabilities September 30, 2015

	AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
ASSETS:
Investments in securities, at cost	$	885,534,637	$	426,590,010	$	319,399,904		$	9,016,091
Investments in securities, at value*	$	1,004,699,869	$	444,964,202	$	321,432,187		$	8,105,618
Cash		—		—		1,219			—
Foreign currency, at value‡		396		—		1,996,860			—
Deposits with brokers for futures contracts		993,884		362,772		367,138			—
Variation margin on derivative instruments		369,360		124,250		148,990			—
Receivables:
Securities sold		—		302,611		—			733,633
Foreign tax reclaim		—		—		644,795			—
Dividends		734,511		280,563		887,996			14,952
Capital shares sold		630,971		432,294		200,995			28,326
Due from Investment Advisor		—		—		—			18,457
Prepaid expenses		45,709		43,616		36,368			20,693
Total Assets		1,007,474,700		446,510,308		325,716,548			8,921,679
LIABILITIES:
Due to custodian		—		302,390		—			123,681
Foreign currency due to custodian, at value‡		—		—		—			83,150
Payables:
Securities purchased		—		—		1,465,554			433,457
Collateral received on securities loaned		—		43,938,129		—			371,933
Accrued investment advisory fees		148,521		55,216		66,903			—
Accrued distribution fees—Class N		14,498		1,767		7,460			234
Accrued Trustee fees		147		22		30			—
Capital shares redeemed		1,437,020		200,746		339,167			9,032
Other accrued expenses and liabilities		251,766		168,664		137,483			76,828
Total Liabilities		1,851,952		44,666,934		2,016,597			1,098,315
Net Assets	$	1,005,622,748	$	401,843,374	$	323,699,951		$	7,823,364
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	818,717,353	$	380,089,253	$	337,524,140		$	9,816,023
Undistributed (accumulated) net investment income (loss)		7,544,244		1,891,375		4,894,430			165,138
Undistributed (accumulated) net realized gain (loss)		60,598,531		1,866,938		(20,501,091	)		(1,247,180	)
Net unrealized appreciation (depreciation)		118,762,620		17,995,808		1,782,472			(910,617	)
Net Assets	$	1,005,622,748	$	401,843,374	$	323,699,951		$	7,823,364
NET ASSETS:
Class I	$	874,115,361	$	316,232,108	$	257,298,868		$	6,611,551
Class N		68,534,632		8,195,340		35,342,747			1,131,634
Class R6		62,972,755		77,415,926		31,058,336			80,179
SHARES OUTSTANDING:
Class I		43,794,416		16,557,893		19,429,009			797,764
Class N		3,440,002		431,529		2,678,581			136,798
Class R6		3,158,235		4,056,213		2,346,761			9,662
NET ASSET VALUE:
Class I	$	19.96	$	19.10	$	13.24		$	8.29
Class N	$	19.92	$	18.99	$	13.19		$	8.27
Class R6	$	19.94	$	19.09	$	13.23		$	8.30
* Includes market value of securities out on loan	$	—	$	43,335,173	$	—		$	362,771
‡ Foreign currency at cost	$	430	$	—	$	2,005,468		$	(83,160	)

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

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149

Statements of Assets and Liabilities September 30, 2015

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
ASSETS:
Investments in securities, at cost	$	118,109,070		$	21,809,873		$	74,995,172		$	161,801,192
Investments in securities, at value*	$	126,074,833		$	22,621,738		$	73,065,508		$	188,237,797
Cash		—			—			231			75,000
Foreign currency, at value‡		—			—			174,823			—
Deposits with brokers for futures contracts		118,529			—			—			676,571
Variation margin on derivative instruments		42,750			—			—			312,930
Receivables:
Securities sold		—			834,165			—			—
Foreign tax reclaim		—			—			105,126			—
Dividends		110,911			20,432			198,183			208,614
Capital shares sold		182,499			76,941			135,071			274,133
Due from Investment Advisor		42,577			4,811			37,907			3,362
Prepaid expenses		23,291			21,084			21,599			28,881
Total Assets		126,595,390			23,579,171			73,738,448			189,817,288
LIABILITIES:
Due to custodian		3,000			—			—			—
Payables:
Securities purchased		—			1,302,123			1,804,970			—
Collateral received on securities loaned		—			2,011,744			—			—
Accrued distribution fees—Class N		30			27			21			5,731
Accrued Trustee fees		9			8			—			67
Capital shares redeemed		41,178			—			57,048			505,882
Other accrued expenses and liabilities		66,502			48,581			71,645			99,298
Total Liabilities		110,719			3,362,483			1,933,684			610,978
Net Assets	$	126,484,671		$	20,216,688		$	71,804,764		$	189,206,310
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	119,206,162		$	19,608,049		$	80,399,116		$	144,061,131
Undistributed (accumulated) net investment income (loss)		1,077,518			108,541			1,024,613			2,088,036
Undistributed (accumulated) net realized gain (loss)		(1,715,523	)		(311,767	)		(7,678,806	)		16,819,321
Net unrealized appreciation (depreciation)		7,916,514			811,865			(1,940,159	)		26,237,822
Net Assets	$	126,484,671		$	20,216,688		$	71,804,764		$	189,206,310
NET ASSETS:
Class I	$	56,140,635		$	19,992,338		$	23,699,389		$	158,468,032
Class N		146,622			126,937			102,554			30,629,474
Class R6		70,197,414			97,413			48,002,821			108,804
SHARES OUTSTANDING:
Class I		3,613,144			1,377,919			2,026,170			10,821,982
Class N		9,457			8,788			8,782			2,092,861
Class R6		4,517,716			6,717			4,102,795			7,440
NET ASSET VALUE:
Class I	$	15.54		$	14.51		$	11.70		$	14.64
Class N	$	15.50		$	14.44		$	11.68		$	14.64
Class R6	$	15.54		$	14.50		$	11.70		$	14.62
* Includes market value of securities out on loan	$	—		$	1,978,864		$	—		$	—
‡ Foreign currency at cost	$	—		$	—		$	175,011		$	—

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

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150

Statements of Assets and Liabilities September 30, 2015

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND
ASSETS:
Investments in securities, at cost	$	35,797,365		$	32,385,407		$	302,399,631	$	690,665,752
Investments in securities, at value*	$	34,283,375		$	28,086,191		$	323,898,575	$	712,546,687
Foreign currency, at value‡		194,772			87,001			900,056		2,377,285
Due from brokers		—			—			—		246,041
Unrealized appreciation on forward foreign currency exchange contracts		—			—			1,369,027		1,919,086
OTC swaps, at value		—			—			—		389,199
Deposits with brokers for futures contracts		—			38,608			6,098,521		18,586,302
Variation margin on derivative instruments		—			21,510			486,768		1,302,247
Receivables:
Securities sold		—			—			2,017,576		402,726
Foreign tax reclaim		38,361			4,983			679,216		2,697,882
Dividends		97,971			107,180			432,539		1,280,583
Capital shares sold		104,254			80,102			43,472		91,151
Due from Investment Advisor		3,576			35,066			—		—
Prepaid expenses		22,355			23,087			18,068		41,247
Total Assets		34,744,664			28,483,728			335,943,818		741,880,436
LIABILITIES:
Due to custodian		—			—			1,679		—
Due to brokers		—			—			1,304,404		1,982,301
OTC swaps, at value		—			—			168,013		—
Payables:
Securities purchased		239,958			—			2,021,260		402,747
Collateral received on securities loaned		—			762,700			—		—
Accrued investment advisory fees		—			—			110,562		277,889
Accrued shareholder servicing fees		—			—			20,494		94,947
Accrued distribution fees—Class N		29			11			151		7,547
Accrued Trustee fees		13			—			103		—
Capital shares redeemed		17,912			289,232			49,677		66,525
Other accrued expenses and liabilities		66,152			82,212			122,317		237,430
Total Liabilities		324,064			1,134,155			3,798,660		3,069,386
Net Assets	$	34,420,600		$	27,349,573		$	332,145,158	$	738,811,050
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	35,883,434		$	39,817,693		$	295,508,549	$	706,270,032
Undistributed (accumulated) net investment income (loss)		617,686			921,629			4,287,622		12,683,216
Undistributed (accumulated) net realized gain (loss)		(562,246	)		(9,087,381	)		10,240,003		(1,572,402	)
Net unrealized appreciation (depreciation)		(1,518,274	)		(4,302,368	)		22,108,984		21,430,204
Net Assets	$	34,420,600		$	27,349,573		$	332,145,158	$	738,811,050
NET ASSETS:
Class I	$	34,191,354		$	27,220,974		$	34,185,582	$	320,807,361
Class N		140,678			53,513			764,755		36,173,944
Class R6		88,568			75,086			85,017,192		32,647,739
Class Y		—			—			212,177,629		349,182,006
SHARES OUTSTANDING:
Class I		3,121,519			3,314,071			4,380,799		33,377,117
Class N		12,556			6,419			98,923		3,703,495
Class R6		8,096			9,146			10,836,304		3,212,966
Class Y		—			—			26,995,455		34,301,988
NET ASSET VALUE:
Class I	$	10.95		$	8.21		$	7.80	$	9.61
Class N	$	11.20		$	8.34		$	7.73	$	9.77
Class R6	$	10.94		$	8.21		$	7.85	$	10.16
Class Y		—			—		$	7.86	$	10.18
* Includes market value of securities out on loan	$	—		$	755,626		$	—	$	—
‡ Foreign currency at cost	$	195,731		$	88,015		$	904,658	$	2,409,154

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

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151

Statements of Operations September 30, 2015

	AQR LARGE CAP MULTI-STYLE FUND			AQR SMALL CAP MULTI-STYLE FUND			AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015
INVESTMENT INCOME:
Dividend income†		$12,144,715			$413,536			$5,407,978			$4,417,164
Securities lending income, net		—			31,610			—			21,623
Total Income		12,144,715			445,146			5,407,978			4,438,787
EXPENSES:
Investment advisory fees		2,205,132			137,003			748,203			537,172
Shareholder servicing fees		304,701			12,768			44,481			14,846
Custody fees		55,638			26,321			95,152			105,470
Administration & accounting fees		179,686			7,033			41,165			21,359
Legal fees		36,945			858			6,855			11,963
Audit & tax fees		41,266			40,650			47,298			50,390
Shareholder reporting fees		137,271			949			36,121			29,008
Transfer agent fees		418,921			36,033			47,278			33,571
Trustee fees		25,464			1,059			5,269			2,473
Offering costs		—			—			—			7,976
Distribution fees—Class N		120,628			12,717			7,750			9,241
Registration fees		82,648			47,082			48,596			54,446
Pricing fee		1,701			7,308			19,988			19,793
Other expenses		128,428			6,378			35,043			23,188
Total Expenses		3,738,429			336,159			1,183,199			920,896
Less fee waivers and/or reimbursements		(415,132	)		(135,285	)		(259,362	)		(291,446	)
Net Expenses		3,323,297			200,874			923,837			629,450
Net Investment Income (Loss)		8,821,418			244,272			4,484,141			3,809,337
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(16,506,556	)		(858,740	)		(10,608,574	)		(10,193,687	)
Foreign currency and foreign currency transactions		—			—			(132,865	)		(132,126	)
Futures contracts		(1,033,285	)		—			—			—
Net realized gain (loss)		(17,539,841	)		(858,740	)		(10,741,439	)		(10,325,813	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(42,648,394	)		(2,230,520	)		(24,798,041	)		(34,008,348	)
Foreign currency and foreign currency translations		—			—			(28,135	)		(5,270	)
Futures contracts		(280,572	)		—			—			—
Net change in unrealized appreciation (depreciation)		(42,928,966	)		(2,230,520	)		(24,826,176	)		(34,013,618	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(60,468,807	)		(3,089,260	)		(35,567,615	)		(44,339,431	)
Net increase (decrease) in net assets resulting from operations		$(51,647,389	)	$	(2,844,988	)	$	(31,083,474	)	$	(40,530,094	)
†  Net of foreign taxes withheld of		$—			$67			$440,176			$434,918

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

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152

Statements of Operations September 30, 2015

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
	FOR THE PERIOD 02/11/15*- 09/30/15			FOR THE PERIOD 02/11/15*- 09/30/15			FOR THE PERIOD 02/11/15*- 09/30/15			FOR THE PERIOD 02/11/15*- 09/30/15
INVESTMENT INCOME:
Dividend income†		$160,898			$21,220			$680,117			$309,911
Securities lending income, net		—			2,220			—			2,412
Total Income		160,898			23,440			680,117			312,323
EXPENSES:
Investment advisory fees		28,634			7,631			91,890			43,310
Shareholder servicing fees		530			402			719			1,055
Custody fees		21,974			6,532			52,202			37,507
Administration & accounting fees		2,275			366			4,921			1,723
Legal fees		1,152			956			2,235			645
Audit & tax fees		37,914			37,914			43,937			50,365
Shareholder reporting fees		5,050			3,293			12,363			6,691
Transfer agent fees		10,959			10,409			11,071			11,895
Trustee fees		269			44			540			198
Offering costs		6,308			6,290			6,302			8,116
Distribution fees—Class N		191			185			201			1,668
Registration fees		32,547			32,497			32,667			32,841
Pricing fee		1,676			2,956			8,690			8,689
Other expenses		5,992			3,554			8,023			4,917
Total Expenses		155,471			113,029			275,761			209,620
Less fee waivers and/or reimbursements		(119,887	)		(103,628	)		(170,648	)		(157,254	)
Net Expenses		35,584			9,401			105,113			52,366
Net Investment Income (Loss)		125,314			14,039			575,004			259,957
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(105,465	)		(8,431	)		(820,967	)		(574,369	)
Foreign currency and foreign currency transactions		—			—			(25,804	)		(20,091	)
Net realized gain (loss)		(105,465	)		(8,431	)		(846,771	)		(594,460	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(1,838,323	)		(220,177	)		(3,639,041	)		(2,420,845	)
Foreign currency and foreign currency translations		—			—			(2,335	)		(660	)
Net change in unrealized appreciation (depreciation)		(1,838,323	)		(220,177	)		(3,641,376	)		(2,421,505	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(1,943,788	)		(228,608	)		(4,488,147	)		(3,015,965	)
Net increase (decrease) in net assets resulting from operations	$	(1,818,474	)	$	(214,569	)	$	(3,913,143	)	$	(2,756,008	)
†  Net of foreign taxes withheld of		$—			$—			$70,649			$29,948

* Commencement of operations.

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

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153

Statements of Operations September 30, 2015

	AQR LARGE CAP MOMENTUM STYLE FUND			AQR SMALL CAP MOMENTUM STYLE FUND			AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015
INVESTMENT INCOME:
Dividend income†		$16,252,791			$4,271,003			$8,586,915			$250,578
Securities lending income, net		—			847,901			—			1,472
Total Income		16,252,791			5,118,904			8,586,915			252,050
EXPENSES:
Investment advisory fees		2,701,224			1,592,253			1,258,598			47,806
Shareholder servicing fees		803,365			259,965			240,914			5,995
Custody fees		49,869			51,465			85,731			44,998
Administration & accounting fees		272,939			98,351			84,105			1,993
Legal fees		100,994			33,304			33,769			6,485
Audit & tax fees		45,720			41,622			51,327			49,815
Shareholder reporting fees		198,188			77,803			68,062			4,925
Transfer agent fees		954,729			366,388			309,475			19,865
Trustee fees		49,859			16,981			15,470			395
Offering costs		—			—			—			7,830
Distribution fees—Class N		201,178			21,377			101,226			3,127
Interest expense		972			583			—			—
Registration fees		81,876			69,514			65,060			52,186
Pricing fee		2,278			11,081			20,405			19,976
Other expenses		66,811			35,487			20,555			2,656
Total Expenses		5,530,002			2,676,174			2,354,697			268,052
Less fee waivers and/or reimbursements		(537,386	)		(233,980	)		(264,239	)		(197,334	)
Net Expenses		4,992,616			2,442,194			2,090,458			70,718
Net Investment Income (Loss)		11,260,175			2,676,710			6,496,457			181,332
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		60,062,179			2,949,403			(19,268,065	)		(1,209,364	)
Foreign currency and foreign currency transactions		210			—			(191,152	)		(13,026	)
Futures contracts		97,579			(939,015	)		(572,610	)		—
Net realized gain (loss)		60,159,968			2,010,388			(20,031,827	)		(1,222,390	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(65,950,193	)		(9,834,873	)		(15,338,194	)		(761,783	)
Foreign currency and foreign currency translations		(51	)		—			(15,560	)		(1,038	)
Futures contracts		(351,253	)		(358,294	)		(176,545	)		—
Net change in unrealized appreciation (depreciation)		(66,301,497	)		(10,193,167	)		(15,530,299	)		(762,821	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(6,141,529	)		(8,182,779	)		(35,562,126	)		(1,985,211	)
Net increase (decrease) in net assets resulting from operations		$5,118,646			$(5,506,069	)	$	(29,065,669	)	$	(1,803,879	)
†  Net of foreign taxes withheld of		$3,038			$1,755			$851,757			$24,608

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

AQR Funds Annual Report September 2015

154

Statements of Operations September 30, 2015

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015
INVESTMENT INCOME:
Dividend income†		$1,925,896			$217,323			$1,672,490			$3,931,570
Securities lending income, net		—			37,432			—			—
Total Income		1,925,896			254,755			1,672,490			3,931,570
EXPENSES:
Investment advisory fees		333,482			80,883			265,921			468,906
Shareholder servicing fees		88,413			13,139			47,996			149,248
Custody fees		14,460			18,844			34,457			6,033
Administration & accounting fees		31,489			4,817			16,976			47,265
Legal fees		11,120			1,910			7,259			17,033
Audit & tax fees		40,735			40,203			46,237			42,707
Shareholder reporting fees		24,451			7,757			14,913			28,603
Transfer agent fees		112,074			35,366			68,374			187,632
Trustee fees		5,478			839			3,139			9,053
Distribution fees—Class N		370			342			276			53,257
Interest expense		—			—			81			389
Registration fees		46,204			42,835			45,091			58,770
Pricing fee		1,638			8,451			20,180			660
Other expenses		10,515			2,996			5,805			13,529
Total Expenses		720,429			258,382			576,705			1,083,085
Less fee waivers and/or reimbursements		(185,193	)		(134,959	)		(186,218	)		(185,988	)
Net Expenses		535,236			123,423			390,487			897,097
Net Investment Income (Loss)		1,390,660			131,332			1,282,003			3,034,473
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(1,714,723	)		(175,799	)		(6,816,527	)		17,542,494
Foreign currency and foreign currency transactions		—			—			(27,191	)		—
Futures contracts		389,528			—			—			52,127
Net realized gain (loss)		(1,325,195	)		(175,799	)		(6,843,718	)		17,594,621
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(734,317	)		26,802			(1,539,122	)		416,778
Foreign currency and foreign currency translations		—			—			2,432			—
Futures contracts		(49,249	)		—			—			(149,568	)
Net change in unrealized appreciation (depreciation)		(783,566	)		26,802			(1,536,690	)		267,210
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(2,108,761	)		(148,997	)		(8,380,408	)		17,861,831
Net increase (decrease) in net assets resulting from operations		$(718,101	)		$(17,665	)		$(7,098,405	)	$	20,896,304
†   Net of foreign taxes withheld of		$286			$167			$173,884			$—

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

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155

Statements of Operations September 30, 2015

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND			AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2015
INVESTMENT INCOME:
Dividend income†		$952,144			$1,871,874			$7,461,149			$22,705,974
Securities lending income, net		—			6,238			—			—
Total Income		952,144			1,878,112			7,461,149			22,705,974
EXPENSES:
Investment advisory fees		119,902			365,256			1,248,699			3,613,729
Shareholder servicing fees		21,812			62,035			190,434			1,151,842
Custody fees		18,916			80,637			48,525			134,380
Administration & accounting fees		7,953			17,346			59,921			202,331
Legal fees		2,515			7,384			18,040			82,168
Audit & tax fees		45,143			50,095			50,689			64,404
Shareholder reporting fees		11,941			17,837			29,567			81,215
Transfer agent fees		49,286			102,002			24,339			315,194
Trustee fees		1,432			3,255			14,251			37,513
Distribution fees—Class N		447			999			3,078			98,041
Interest expense		—			253			—			—
Recoupment of waiver		—			—			4,502			—
Registration fees		51,961			54,953			47,177			65,638
Pricing fee		20,113			16,918			20,999			19,690
Other expenses		2,696			8,002			24,088			54,027
Total Expenses		354,117			786,972			1,784,309			5,920,172
Less fee waivers and/or reimbursements		(163,935	)		(251,856	)		(3,417	)		—
Net Expenses		190,182			535,116			1,780,892			5,920,172
Net Investment Income (Loss)		761,962			1,342,996			5,680,257			16,785,802
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(518,039	)		(8,187,914	)		17,482,069			8,550,419
Foreign currency and foreign currency transactions		(24,207	)		(242,597	)		(158,813	)		(1,282,336	)
Forward foreign currency exchange contracts		—			—			(2,730,586	)		(12,872,380	)
Futures contracts		—			(287,894	)		(640,053	)		(414,760	)
Swap contracts		—			—			227,354			3,742,644
Net realized gain (loss)		(542,246	)		(8,718,405	)		14,179,971			(2,276,413	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(2,714,136	)		(4,661,745	)		(29,851,610	)		(56,386,404	)
Foreign currency and foreign currency translations		849			3,792			(121,322	)		(76,686	)
Forward foreign currency exchange contracts		—			—			4,244,504			10,039,194
Futures contracts		—			2,028			(551,939	)		(1,700,173	)
Swap contracts		—			—			103,200			1,277,479
Net change in unrealized appreciation (depreciation)		(2,713,287	)		(4,655,925	)		(26,177,167	)		(46,846,590	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(3,255,533	)		(13,374,330	)		(11,997,196	)		(49,123,003	)
Net increase (decrease) in net assets resulting from operations	$	(2,493,571	)	$	(12,031,334	)		$(6,316,939	)	$	(32,337,201	)
†  Net of foreign taxes withheld of		$77,041			$150,717			$316,211			$1,896,698

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

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156

Statements of Changes in Net Assets September 30, 2015

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	8,821,418		$	943,356		$	244,272		$	20,120
Net realized gain (loss)		(17,539,841	)		1,299,259			(858,740	)		124,643
Net change in unrealized appreciation (depreciation)		(42,928,966	)		7,207,415			(2,230,520	)		(108,107	)
Net increase (decrease) in net assets resulting from operations		(51,647,389	)		9,450,030			(2,844,988	)		36,656
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,256,118	)		(119,019	)		(32,992	)		(7,632	)
Class N		(147,772	)		(13,149	)		(293	)		(4,611	)
Class R6		(289,685	)		—			(274	)		—
Total		(1,693,575	)		(132,168	)		(33,559	)		(12,243	)
Net realized gain:
Class I		(1,427,011	)		(165,118	)		(159,558	)		(25,099	)
Class N		(190,661	)		(22,150	)		(25,739	)		(22,781	)
Class R6		(294,996	)		—			(1,122	)		—
Total		(1,912,668	)		(187,268	)		(186,419	)		(47,880	)
Total distributions		(3,606,243	)		(319,436	)		(219,978	)		(60,123	)
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		453,462,208			147,028,800			26,053,038			7,472,586
Reinvestment of distributions		2,314,801			284,137			192,314			32,731
Cost of shares redeemed		(113,786,483	)		(9,053,445	)		(6,229,549	)		(1,394,579	)
Net increase (decrease) from capital transactions		341,990,526			138,259,492			20,015,803			6,110,738
CLASS N
Proceeds from shares sold		62,739,741			12,485,844			12,604,768			2,686,574
Reinvestment of distributions		337,887			35,299			25,695			27,392
Cost of shares redeemed		(11,001,877	)		(4,397,128	)		(7,706,384	)		(2,853,830	)
Net increase (decrease) from capital transactions		52,075,751			8,124,015			4,924,079			(139,864	)
CLASS R6
Proceeds from shares sold		604,806,891			43,024,955	(b)		10,426,076			100,000	(b)
Reinvestment of distributions		584,681			—			1,396			—
Cost of shares redeemed		(48,619,870	)		(110,245	)		(105,385	)		—
Net increase (decrease) from capital transactions		556,771,702			42,914,710			10,322,087			100,000
Net increase (decrease) in net assets resulting from capital transactions		950,837,979			189,298,217			35,261,969			6,070,874
Total increase (decrease) in net assets		895,584,347			198,428,811			32,197,003			6,047,407
NET ASSETS:
Beginning of period		218,642,976			20,214,165			9,611,861			3,564,454
End of period	$	1,114,227,323		$	218,642,976		$	41,808,864		$	9,611,861
Undistributed accumulated net investment income (loss)	$	7,912,780		$	860,755		$	212,998		$	10,915

The accompanying notes are an integral part of these financial statements. (continued on p. 158)

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157

Statements of Changes in Net Assets September 30, 2015

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		12,425,605			1,695,462			667,089			183,811
Shares sold		32,729,614			11,405,876			1,971,201			590,429
Shares issued on reinvestment of distributions		165,579			23,482			14,805			2,579
Shares redeemed		(8,273,090	)		(699,215	)		(487,331	)		(109,730	)
Shares outstanding, end of period		37,047,708			12,425,605			2,165,764			667,089
CLASS N
Shares outstanding, beginning of period		774,591			126,521			104,362			116,378
Shares sold		4,524,196			995,837			958,712			212,517
Shares issued on reinvestment of distributions		24,221			2,920			1,981			2,160
Shares redeemed		(794,642	)		(350,687	)		(601,389	)		(226,693	)
Shares outstanding, end of period		4,528,366			774,591			463,666			104,362
CLASS R6
Shares outstanding, beginning of period		3,162,925			—	(b)		7,722			—	(b)
Shares sold		42,819,832			3,171,171			771,282			7,722
Shares issued on reinvestment of distributions		41,823			—			107			—
Shares redeemed		(3,469,803	)		(8,246	)		(7,829	)		—
Shares outstanding, end of period		42,554,777			3,162,925			771,282			7,722

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

(b) Commencement of offering class of shares effective July 10, 2014.

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

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158

Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE PERIOD 5/13/14*- 9/30/14
OPERATIONS:
Net investment income (loss)	$	4,484,141		$	594,297		$	3,809,337		$	104,365
Net realized gain (loss)		(10,741,439	)		272,909			(10,325,813	)		(112,270	)
Net change in unrealized appreciation (depreciation)		(24,826,176	)		(1,099,036	)		(34,013,618	)		(625,469	)
Net increase (decrease) in net assets resulting from operations		(31,083,474	)		(231,830	)		(40,530,094	)		(633,374	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(403,490	)		(141,411	)		(141,008	)		—
Class N		(26,584	)		(15,916	)		(22,750	)		—
Class R6		(577,980	)		—			(690	)		—
Total		(1,008,054	)		(157,327	)		(164,448	)		—
Net realized gain:
Class I		(166,855	)		—			—			—
Class N		(13,559	)		—			—			—
Class R6		(214,047	)		—			—			—
Total		(394,461	)		—			—			—
Total distributions		(1,402,515	)		(157,327	)		(164,448	)		—
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		28,507,436			14,427,190			51,143,674			12,126,995
Reinvestment of distributions		569,269			141,411			141,008			—
Cost of shares redeemed		(11,623,854	)		(3,730,566	)		(10,102,839	)		(20,114	)
Net increase (decrease) from capital transactions		17,452,851			10,838,035			41,181,843			12,106,881
CLASS N
Proceeds from shares sold		5,611,389			1,369,545			6,496,864			2,486,920
Reinvestment of distributions		39,182			15,916			22,750			—
Cost of shares redeemed		(3,746,127	)		(810,724	)		(3,479,794	)		(5,760	)
Net increase (decrease) from capital transactions		1,904,444			574,737			3,039,820			2,481,160
CLASS R6
Proceeds from shares sold		268,169,384			27,011,110	(b)		182,921,207			100,000	(b)
Reinvestment of distributions		792,027			—			690			—
Cost of shares redeemed		(25,761,136	)		(102,584	)		(11,514,345	)		—
Net increase (decrease) from capital transactions		243,200,275			26,908,526			171,407,552			100,000
Net increase (decrease) in net assets resulting from capital transactions		262,557,570			38,321,298			215,629,215			14,688,041
Total increase (decrease) in net assets		230,071,581			37,932,141			174,934,673			14,054,667
NET ASSETS:
Beginning of period		55,896,488			17,964,347			14,054,667			—
End of period	$	285,968,069		$	55,896,488		$	188,989,340		$	14,054,667
Undistributed accumulated net investment income (loss)	$	3,852,002		$	625,820		$	3,917,919		$	114,542

The accompanying notes are an integral part of these financial statements. (continued on p. 160)

AQR Funds Annual Report September 2015

159

Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE PERIOD 5/13/14*- 9/30/14
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		2,331,110			1,401,327			1,161,585			—
Shares sold		2,593,860			1,236,200			5,827,607			1,163,451
Shares issued on reinvestment of distributions		52,661			12,372			14,582			—
Shares redeemed		(1,056,716	)		(318,789	)		(1,022,048	)		(1,866	)
Shares outstanding, end of period		3,920,915			2,331,110			5,981,726			1,161,585
CLASS N
Shares outstanding, beginning of period		240,807			191,136			239,916			—
Shares sold		501,312			117,386			667,815			240,482
Shares issued on reinvestment of distributions		3,621			1,392			2,355			—
Shares redeemed		(339,578	)		(69,107	)		(360,240	)		(566	)
Shares outstanding, end of period		406,162			240,807			549,846			239,916
CLASS R6
Shares outstanding, beginning of period		2,303,191			—	(b)		9,551			—	(b)
Shares sold		23,663,755			2,312,075			17,730,277			9,551
Shares issued on reinvestment of distributions		73,404			—			71			—
Shares redeemed		(2,345,187	)		(8,884	)		(1,212,052	)		—
Shares outstanding, end of period		23,695,163			2,303,191			16,527,847			9,551

* Commencement of operations.

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

(b) Commencement of offering class of shares effective July 10, 2014.

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

AQR Funds Annual Report September 2015

160

Statements of Changes in Net Assets September 30, 2015

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
	FOR THE PERIOD 2/11/15*- 9/30/15			FOR THE PERIOD 2/11/15*- 9/30/15			FOR THE PERIOD 2/11/15*- 9/30/15			FOR THE PERIOD 2/11/15*- 9/30/15
OPERATIONS:
Net investment income (loss)	$	125,314		$	14,039		$	575,004		$	259,957
Net realized gain (loss)		(105,465	)		(8,431	)		(846,771	)		(594,460	)
Net change in unrealized appreciation (depreciation)		(1,838,323	)		(220,177	)		(3,641,376	)		(2,421,505	)
Net increase (decrease) in net assets resulting from operations		(1,818,474	)		(214,569	)		(3,913,143	)		(2,756,008	)
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		2,399,875			1,942,079			3,758,322			3,658,322
Cost of shares redeemed		(187,312	)		(177,223	)		(322,336	)		(262,727	)
Net increase (decrease) from capital transactions		2,212,563			1,764,856			3,435,986			3,395,595
CLASS N
Proceeds from shares sold		246,921			240,900			262,560			1,206,418
Cost of shares redeemed		(102,252	)		(100,700	)		(107,281	)		(122,033	)
Net increase (decrease) from capital transactions		144,669			140,200			155,279			1,084,385
CLASS R6
Proceeds from shares sold		31,455,583			3,612,600			49,173,048			18,938,392
Cost of shares redeemed		(3,069,148	)		(1,812,600	)		(4,122,563	)		(1,413,989	)
Net increase (decrease) from capital transactions		28,386,435			1,800,000			45,050,485			17,524,403
Net increase (decrease) in net assets resulting from capital transactions		30,743,667			3,705,056			48,641,750			22,004,383
Total increase (decrease) in net assets		28,925,193			3,490,487			44,728,607			19,248,375
NET ASSETS:
Beginning of period		—			—			—			—
End of period	$	28,925,193		$	3,490,487		$	44,728,607		$	19,248,375
Undistributed accumulated net investment income (loss)	$	131,665		$	20,214		$	580,570		$	260,708
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		—			—			—			—
Shares sold		240,148			202,916			372,890			389,114
Shares redeemed		(18,542	)		(18,219	)		(31,280	)		(29,889	)
Shares outstanding, end of period		221,606			184,697			341,610			359,225
CLASS N
Shares outstanding, beginning of period		—			—			—			—
Shares sold		24,461			23,941			25,323			120,009
Shares redeemed		(10,098	)		(10,000	)		(10,092	)		(13,893	)
Shares outstanding, end of period		14,363			13,941			15,231			106,116
CLASS R6
Shares outstanding, beginning of period		—			—			—			—
Shares sold		3,139,230			360,000			4,790,830			1,985,791
Shares redeemed		(305,698	)		(180,000	)		(395,674	)		(136,489	)
Shares outstanding, end of period		2,833,532			180,000			4,395,156			1,849,302

* Commencement of operations.

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

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

AQR Funds Annual Report September 2015

161

Statements of Changes in Net Assets September 30, 2015

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	11,260,175		$	5,087,759		$	2,676,710		$	8,449
Net realized gain (loss)		60,159,968			101,076,923			2,010,388			34,792,987
Net change in unrealized appreciation (depreciation)		(66,301,497	)		35,512,263			(10,193,167	)		(28,508,882	)
Net increase (decrease) in net assets resulting from operations		5,118,646			141,676,945			(5,506,069	)		6,292,554
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(5,966,543	)		(5,167,616	)		(520,487	)		(710,780	)
Class N		(274,098	)		(276,437	)		—			(7,577	)
Class R6		(3,434	)		—			(776	)		—
Total		(6,244,075	)		(5,444,053	)		(521,263	)		(718,357	)
Net realized gain:
Class I		(84,910,757	)		(33,760,872	)		(34,089,287	)		(16,031,831	)
Class N		(7,008,345	)		(3,094,983	)		(840,081	)		(173,722	)
Class R6		(37,242	)		—			(24,737	)		—
Total		(91,956,344	)		(36,855,855	)		(34,954,105	)		(16,205,553	)
Total distributions		(98,200,419	)		(42,299,908	)		(35,475,368	)		(16,923,910	)
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		211,226,314			274,204,732			161,169,039			95,966,031
Reinvestment of distributions		90,741,389			38,899,012			34,230,950			16,540,167
Cost of shares redeemed		(298,024,764	)		(170,601,504	)		(149,534,654	)		(43,807,285	)
Net increase (decrease) from capital transactions		3,942,939			142,502,240			45,865,335			68,698,913
CLASS N
Proceeds from shares sold		16,481,731			17,442,474			2,574,174			6,515,783
Reinvestment of distributions		7,275,650			3,371,420			840,081			181,300
Cost of shares redeemed		(28,023,112	)		(19,840,237	)		(1,567,273	)		(750,386	)
Net increase (decrease) from capital transactions		(4,265,731	)		973,657			1,846,982			5,946,697
CLASS R6
Proceeds from shares sold		73,727,793			131,980	(b)		90,053,626			100,000	(b)
Reinvestment of distributions		40,676			—			25,513			—
Cost of shares redeemed		(7,379,515	)		—			(3,424,682	)		—
Net increase (decrease) from capital transactions		66,388,954			131,980			86,654,457			100,000
Net increase (decrease) in net assets resulting from capital transactions		66,066,162			143,607,877			134,366,774			74,745,610
Total increase (decrease) in net assets		(27,015,611	)		242,984,914			93,385,337			64,114,254
NET ASSETS:
Beginning of period		1,032,638,359			789,653,445			308,458,037			244,343,783
End of period	$	1,005,622,748		$	1,032,638,359		$	401,843,374		$	308,458,037
Undistributed accumulated net investment income (loss)	$	7,544,244		$	3,514,799		$	1,891,375		$	(21,760	)

The accompanying notes are an integral part of these financial statements. (continued on p. 163)

AQR Funds Annual Report September 2015

162

Statements of Changes in Net Assets September 30, 2015

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		43,544,682			36,612,813			14,280,666			11,146,293
Shares sold		9,913,694			13,062,922			7,627,885			4,362,937
Shares issued on reinvestment of distributions		4,352,105			1,906,814			1,676,344			752,852
Shares redeemed		(14,016,065	)		(8,037,867	)		(7,027,002	)		(1,981,416	)
Shares outstanding, end of period		43,794,416			43,544,682			16,557,893			14,280,666
CLASS N
Shares outstanding, beginning of period		3,628,327			3,583,368			342,381			76,765
Shares sold		775,166			824,822			122,447			292,076
Shares issued on reinvestment of distributions		348,952			165,266			41,282			8,271
Shares redeemed		(1,312,443	)		(945,129	)		(74,581	)		(34,731	)
Shares outstanding, end of period		3,440,002			3,628,327			431,529			342,381
CLASS R6
Shares outstanding, beginning of period		5,987			—	(b)		4,529			—	(b)
Shares sold		3,496,747			5,987			4,213,475			4,529
Shares issued on reinvestment of distributions		1,954			—			1,251			—
Shares redeemed		(346,453	)		—			(163,042	)		—
Shares outstanding, end of period		3,158,235			5,987			4,056,213			4,529

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

(b) Commencement of offering class of shares effective July 10, 2014.

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

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163

Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE PERIOD 5/13/14*- 9/30/14
OPERATIONS:
Net investment income (loss)	$	6,496,457		$	5,343,481		$	181,332		$	56,227
Net realized gain (loss)		(20,031,827	)		8,360,764			(1,222,390	)		(38,390	)
Net change in unrealized appreciation (depreciation)		(15,530,299	)		(17,399,020	)		(762,821	)		(147,796	)
Net increase (decrease) in net assets resulting from operations		(29,065,669	)		(3,694,775	)		(1,803,879	)		(129,959	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(5,801,763	)		(3,959,589	)		(65,400	)		—
Class N		(766,472	)		(609,999	)		(8,023	)		—
Class R6		(2,173	)		—			(894	)		—
Total		(6,570,408	)		(4,569,588	)		(74,317	)		—
Net realized gain:
Class I		(3,099,138	)		—			—			—
Class N		(466,349	)		—			—			—
Class R6		(1,071	)		—			—			—
Total		(3,566,558	)		—			—			—
Total distributions		(10,136,966	)		(4,569,588	)		(74,317	)		—
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		97,248,698			122,678,856			4,293,630			6,393,787
Reinvestment of distributions		8,899,111			3,958,755			65,400			—
Cost of shares redeemed		(96,079,086	)		(58,524,145	)		(2,372,015	)		(10,053	)
Net increase (decrease) from capital transactions		10,068,723			68,113,466			1,987,015			6,383,734
CLASS N
Proceeds from shares sold		7,066,299			8,948,915			378,938			1,034,945
Reinvestment of distributions		1,232,821			609,999			8,023			—
Cost of shares redeemed		(8,527,367	)		(10,024,019	)		(63,400	)		—
Net increase (decrease) from capital transactions		(228,247	)		(465,105	)		323,561			1,034,945
CLASS R6
Proceeds from shares sold		35,571,124			100,000	(b)		1,370			100,000	(b)
Reinvestment of distributions		3,244			—			894			—
Cost of shares redeemed		(2,500,800	)		—			—			—
Net increase (decrease) from capital transactions		33,073,568			100,000			2,264			100,000
Net increase (decrease) in net assets resulting from capital transactions		42,914,044			67,748,361			2,312,840			7,518,679
Total increase (decrease) in net assets		3,711,409			59,483,998			434,644			7,388,720
NET ASSETS:
Beginning of period		319,988,542			260,504,544			7,388,720			—
End of period	$	323,699,951		$	319,988,542		$	7,823,364		$	7,388,720
Undistributed accumulated net investment income (loss)	$	4,894,430		$	4,582,405		$	165,138		$	57,182

The accompanying notes are an integral part of these financial statements. (continued on p. 165)

AQR Funds Annual Report September 2015

164

Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE PERIOD 5/13/14*- 9/30/14
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		18,723,227			14,326,003			625,023			—
Shares sold		6,823,888			7,953,475			424,961			625,968
Shares issued on reinvestment of distributions		637,472			258,404			6,877			—
Shares redeemed		(6,755,578	)		(3,814,655	)		(259,097	)		(945	)
Shares outstanding, end of period		19,429,009			18,723,227			797,764			625,023
CLASS N
Shares outstanding, beginning of period		2,690,049			2,721,721			103,336			—
Shares sold		497,298			580,437			39,542			103,336
Shares issued on reinvestment of distributions		88,501			39,895			844			—
Shares redeemed		(597,267	)		(652,004	)		(6,924	)		—
Shares outstanding, end of period		2,678,581			2,690,049			136,798			103,336
CLASS R6
Shares outstanding, beginning of period		6,435			—	(b)		9,407			—	(b)
Shares sold		2,511,328			6,435			161			9,407
Shares issued on reinvestment of distributions		233			—			94			—
Shares redeemed		(171,235	)		—			—			—
Shares outstanding, end of period		2,346,761			6,435			9,662			9,407

* Commencement of operations.

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

(b) Commencement of offering class of shares effective July 10, 2014.

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

AQR Funds Annual Report September 2015

165

Statements of Changes in Net Assets September 30, 2015

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	1,390,660		$	380,075		$	131,332		$	4,561
Net realized gain (loss)		(1,325,195	)		1,570,147			(175,799	)		418,735
Net change in unrealized appreciation (depreciation)		(783,566	)		6,934,858			26,802			(703,349	)
Net increase (decrease) in net assets resulting from operations		(718,101	)		8,885,080			(17,665	)		(280,053	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(570,768	)		(128,737	)		(14,503	)		(21,215	)
Class N		(366	)		(55	)		—			(33	)
Class R6		(587	)		—			(257	)		—
Total		(571,721	)		(128,792	)		(14,760	)		(21,248	)
Net realized gain:
Class I		(1,895,534	)		(317,031	)		(537,085	)		(139,024	)
Class N		(2,336	)		(940	)		(4,583	)		(2,068	)
Class R6		(1,710	)		—			(3,495	)		—
Total		(1,899,580	)		(317,971	)		(545,163	)		(141,092	)
Total distributions		(2,471,301	)		(446,763	)		(559,923	)		(162,340	)
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		46,249,904			79,287,715			13,596,226			14,374,949
Reinvestment of distributions		2,465,957			445,768			551,580			160,239
Cost of shares redeemed		(94,078,583	)		(8,524,640	)		(8,271,400	)		(6,173,028	)
Net increase (decrease) from capital transactions		(45,362,722	)		71,208,843			5,876,406			8,362,160
CLASS N
Proceeds from shares sold		59,000			1,500			—			1,448
Reinvestment of distributions		2,702			995			4,583			2,101
Cost of shares redeemed		(48,058	)		—			—			—
Net increase (decrease) from capital transactions		13,644			2,495			4,583			3,549
CLASS R6
Proceeds from shares sold		86,282,195			100,000	(b)		—			100,000	(b)
Reinvestment of distributions		2,297			—			3,752			—
Cost of shares redeemed		(12,835,621	)		—			—			—
Net increase (decrease) from capital transactions		73,448,871			100,000			3,752			100,000
Net increase (decrease) in net assets resulting from capital transactions		28,099,793			71,311,338			5,884,741			8,465,709
Total increase (decrease) in net assets		24,910,391			79,749,655			5,307,153			8,023,316
NET ASSETS:
Beginning of period		101,574,280			21,824,625			14,909,535			6,886,219
End of period	$	126,484,671		$	101,574,280		$	20,216,688		$	14,909,535
Undistributed accumulated net investment income (loss)	$	1,077,518		$	320,304		$	108,541		$	(6,613	)

The accompanying notes are an integral part of these financial statements. (continued on p. 167)

AQR Funds Annual Report September 2015

166

Statements of Changes in Net Assets September 30, 2015

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		6,375,044			1,596,498			998,131			455,448
Shares sold		2,855,438			5,314,373			875,065			943,530
Shares issued on reinvestment of distributions		151,565			30,365			35,910			10,358
Shares redeemed		(5,768,903	)		(566,192	)		(531,187	)		(411,205	)
Shares outstanding, end of period		3,613,144			6,375,044			1,377,919			998,131
CLASS N
Shares outstanding, beginning of period		8,660			8,489			8,489			8,251
Shares sold		3,546			103			—			102
Shares issued on reinvestment of distributions		166			68			299			136
Shares redeemed		(2,915	)		—			—			—
Shares outstanding, end of period		9,457			8,660			8,788			8,489
CLASS R6
Shares outstanding, beginning of period		6,337			—(b	)		6,472			—	(b)
Shares sold		5,283,178			6,337			—			6,472
Shares issued on reinvestment of distributions		141			—			245			—
Shares redeemed		(771,940	)		—			—			—
Shares outstanding, end of period		4,517,716			6,337			6,717			6,472

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares.

(b) Commencement of offering class of shares effective July 10, 2014.

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

AQR Funds Annual Report September 2015

167

Statements of Changes in Net Assets September 30, 2015

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	1,282,003		$	1,013,561		$	3,034,473		$	3,314,889
Net realized gain (loss)		(6,843,718	)		(426,846	)		17,594,621			4,860,334
Net change in unrealized appreciation (depreciation)		(1,536,690	)		(1,693,193	)		267,210			24,266,505
Net increase (decrease) in net assets resulting from operations		(7,098,405	)		(1,106,478	)		20,896,304			32,441,728
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,175,400	)		(171,579	)		(3,243,005	)		(1,166,110	)
Class N		(1,938	)		(189	)		(320,128	)		(124,307	)
Class R6		(1,973	)		—			(2,267	)		—
Total		(1,179,311	)		(171,768	)		(3,565,400	)		(1,290,417	)
Net realized gain:
Class I		(271,071	)		(457,829	)		(4,763,948	)		(590,291	)
Class N		(502	)		(1,358	)		(581,240	)		(75,618	)
Class R6		(428	)		—			(2,984	)		—
Total		(272,001	)		(459,187	)		(5,348,172	)		(665,909	)
Total distributions		(1,451,312	)		(630,955	)		(8,913,572	)		(1,956,326	)
CAPITAL TRANSACTIONS:
CLASS I (a)
Proceeds from shares sold		34,627,692			74,819,447			86,200,229			61,663,509
Reinvestment of distributions		1,446,199			629,408			8,002,469			1,756,401
Cost of shares redeemed		(88,358,791	)		(9,509,891	)		(171,466,612	)		(21,323,604	)
Net increase (decrease) from capital transactions		(52,284,900	)		65,938,964			(77,263,914	)		42,096,306
CLASS N
Proceeds from shares sold		—			—			26,517,517			7,749,037
Reinvestment of distributions		2,440			1,547			901,368			199,925
Cost of shares redeemed		—			—			(26,705,671	)		(3,257,910	)
Net increase (decrease) from capital transactions		2,440			1,547			713,214			4,691,052
CLASS R6
Proceeds from shares sold		58,393,918			100,000	(b)		—			100,000	(c)
Reinvestment of distributions		2,401			—			5,251			—
Cost of shares redeemed		(7,591,717	)		—			—			—
Net increase (decrease) from capital transactions		50,804,602			100,000			5,251			100,000
Net increase (decrease) in net assets resulting from capital transactions		(1,477,858	)		66,040,511			(76,545,449	)		46,887,358
Total increase (decrease) in net assets		(10,027,575	)		64,303,078			(64,562,717	)		77,372,760
NET ASSETS:
Beginning of period		81,832,339			17,529,261			253,769,027			176,396,267
End of period	$	71,804,764		$	81,832,339		$	189,206,310		$	253,769,027
Undistributed accumulated net investment income (loss)	$	1,024,613		$	974,879		$	2,088,036		$	2,622,469

The accompanying notes are an integral part of these financial statements. (continued on p. 169)

AQR Funds Annual Report September 2015

168

Statements of Changes in Net Assets September 30, 2015

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I (a)
Shares outstanding, beginning of period		6,235,784			1,321,265			15,984,434			12,763,386
Shares sold		2,765,327			5,579,502			5,842,476			4,666,997
Shares issued on reinvestment of distributions		117,101			47,539			551,514			135,525
Shares redeemed		(7,092,042	)		(712,522	)		(11,556,442	)		(1,581,474	)
Shares outstanding, end of period		2,026,170			6,235,784			10,821,982			15,984,434
CLASS N
Shares outstanding, beginning of period		8,584			8,468			2,054,040			1,700,634
Shares sold		—			—			1,775,969			579,637
Shares issued on reinvestment of distributions		198			116			62,035			15,426
Shares redeemed		—			—			(1,799,183	)		(241,657	)
Shares outstanding, end of period		8,782			8,584			2,092,861			2,054,040
CLASS R6
Shares outstanding, beginning of period		7,321			—	(b)		7,077			—	(c)
Shares sold		4,688,648			7,321			—			7,077
Shares issued on reinvestment of distributions		194			—			363			—
Shares redeemed		(593,368	)		—			—			—
Shares outstanding, end of period		4,102,795			7,321			7,440			7,077

(a) Effective April 1, 2015, Class L Shares were renamed Class I Shares for AQR TM International Momentum Style Fund.

(b) Commencement of offering class of shares effective July 10, 2014.

(c) Commencement of offering class of shares effective September 2, 2014.

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

AQR Funds Annual Report September 2015

169

Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	761,962		$	647,668		$	1,342,996		$	1,217,488
Net realized gain (loss)		(542,246	)		666,194			(8,718,405	)		(86,716	)
Net change in unrealized appreciation (depreciation)		(2,713,287	)		213,563			(4,655,925	)		(141,210	)
Net increase (decrease) in net assets resulting from operations		(2,493,571	)		1,527,425			(12,031,334	)		989,562
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(709,481	)		(298,045	)		(1,397,556	)		(351,637	)
Class N		—			(20,141	)		—			(27,047	)
Class R6		(2,619	)		—			(1,702	)		—
Total		(712,100	)		(318,186	)		(1,399,258	)		(378,684	)
Net realized gain:
Class I		(631,276	)		(203,528	)		—			(270	)
Class N		(3,943	)		(15,609	)		—			(26	)
Class R6		(2,162	)		—			—			—
Total		(637,381	)		(219,137	)		—			(296	)
Total distributions		(1,349,481	)		(537,323	)		(1,399,258	)		(378,980	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		17,136,089			13,162,903			52,553,380			55,390,696
Reinvestment of distributions		1,337,505			501,573			1,392,152			351,907
Cost of shares redeemed		(7,791,797	)		(4,900,870	)		(83,482,698	)		(15,823,368	)
Net increase (decrease) from capital transactions		10,681,797			8,763,606			(29,537,166	)		39,919,235
CLASS N
Proceeds from shares sold		40,193			619,886			17,599			2,747,201
Reinvestment of distributions		3,943			35,750			—			27,073
Cost of shares redeemed		(339,848	)		(1,420,052	)		(882,569	)		(4,288,740	)
Net increase (decrease) from capital transactions		(295,712	)		(764,416	)		(864,970	)		(1,514,466	)
CLASS R6
Proceeds from shares sold		—			100,000	(a)		—			100,000	(a)
Reinvestment of distributions		4,781			—			1,702			—
Net increase (decrease) from capital transactions		4,781			100,000			1,702			100,000
Net increase (decrease) in net assets resulting from capital transactions		10,390,866			8,099,190			(30,400,434	)		38,504,769
Total increase (decrease) in net assets		6,547,814			9,089,292			(43,831,026	)		39,115,351
NET ASSETS:
Beginning of period		27,872,786			18,783,494			71,180,599			32,065,248
End of period	$	34,420,600		$	27,872,786		$	27,349,573		$	71,180,599
Undistributed accumulated net investment income (loss)	$	617,686		$	570,218		$	921,629		$	1,037,144

The accompanying notes are an integral part of these financial statements. (continued on p. 171)

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Statements of Changes in Net Assets September 30, 2015

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,208,372			1,483,573			6,698,530			2,870,660
Shares sold		1,458,582			1,077,372			5,361,095			5,330,312
Shares issued on reinvestment of distributions		115,902			42,833			144,865			35,261
Shares redeemed		(661,337	)		(395,406	)		(8,890,419	)		(1,537,703	)
Shares outstanding, end of period		3,121,519			2,208,372			3,314,071			6,698,530
CLASS N
Shares outstanding, beginning of period		37,419			97,048			97,323			252,784
Shares sold		3,258			51,469			1,781			268,249
Shares issued on reinvestment of distributions		333			3,053			—			2,710
Shares redeemed		(28,454	)		(114,151	)		(92,685	)		(426,420	)
Shares outstanding, end of period		12,556			37,419			6,419			97,323
CLASS R6
Shares outstanding, beginning of period		7,680			—	(a)		8,969			—	(a)
Shares sold		—			7,680			—			8,969
Shares issued on reinvestment of distributions		416			—			177			—
Shares outstanding, end of period		8,096			7,680			9,146			8,969

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets September 30, 2015

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
OPERATIONS:
Net investment income (loss)	$	5,680,257		$	5,269,670		$	16,785,802		$	22,167,199
Net realized gain (loss)		14,179,971			37,464,970			(2,276,413	)		48,333,903
Net change in unrealized appreciation (depreciation)		(26,177,167	)		(10,474,096	)		(46,846,590	)		(56,188,588	)
Net increase (decrease) in net assets resulting from operations		(6,316,939	)		32,260,544			(32,337,201	)		14,312,514
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(44,059	)		(36,899	)		(7,468,588	)		(4,237,446	)
Class N		(33,397	)		(18,310	)		(1,067,058	)		(546,390	)
Class R6		(1,362,728	)		—			(3,120,675	)		—
Class Y		(4,184,608	)		(7,647,702	)		(12,814,382	)		(10,825,380	)
Total		(5,624,792	)		(7,702,911	)		(24,470,703	)		(15,609,216	)
Net realized gain:
Class I		(252,903	)		(501,061	)		(12,413,847	)		(16,832,213	)
Class N		(201,754	)		(279,116	)		(1,953,495	)		(2,380,187	)
Class R6		(7,229,201	)		—			(4,966,615	)		—
Class Y		(20,189,254	)		(95,565,434	)		(19,017,323	)		(37,157,362	)
Total		(27,873,112	)		(96,345,611	)		(38,351,280	)		(56,369,762	)
Total distributions		(33,497,904	)		(104,048,522	)		(62,821,983	)		(71,978,978	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		36,134,787			1,438,596			152,854,438			65,273,533
Reinvestment of distributions		290,801			537,960			17,337,012			18,516,502
Cost of shares redeemed		(2,514,719	)		(397,127	)		(60,857,843	)		(59,389,281	)
Net increase (decrease) from capital transactions		33,910,869			1,579,429			109,333,607			24,400,754
CLASS N
Proceeds from shares sold		1,427,222			776,669			8,515,077			14,334,638
Reinvestment of distributions		235,151			297,426			2,881,032			2,900,390
Cost of shares redeemed		(1,826,441	)		(458,917	)		(9,639,791	)		(7,023,943	)
Net increase (decrease) from capital transactions		(164,068	)		615,178			1,756,318			10,211,085
CLASS R6
Proceeds from shares sold		10,400,000			72,600,000	(a)		1,925,813			151,263,962	(a)
Reinvestment of distributions		8,591,929			—			8,087,290			—
Cost of shares redeemed		—			(105,977	)		(74,041,677	)		(43,566,107	)
Net increase (decrease) from capital transactions		18,991,929			72,494,023			(64,028,574	)		107,697,855
CLASS Y
Proceeds from shares sold		2,812,030			—			—			—
Reinvestment of distributions		24,373,862			103,213,136			31,831,705			47,982,742
Cost of shares redeemed		(272,727	)		(70,579,444	)		(34,988,570	)		(159,763,962	)
Redemption fees		5,514			70,534			35,000			8,625
Net increase (decrease) from capital transactions		26,918,679			32,704,226			(3,121,865	)		(111,772,595	)
Net increase (decrease) in net assets resulting from capital transactions		79,657,409			107,392,856			43,939,486			30,537,099
Total increase (decrease) in net assets		39,842,566			35,604,878			(51,219,698	)		(27,129,365	)
NET ASSETS:
Beginning of period		292,302,592			256,697,714			790,030,748			817,160,113
End of period	$	332,145,158		$	292,302,592		$	738,811,050		$	790,030,748
Undistributed accumulated net investment income (loss)	$	4,287,622		$	4,114,595		$	12,683,217		$	18,305,482

The accompanying notes are an integral part of these financial statements. (continued on p. 173)

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Statements of Changes in Net Assets September 30, 2015

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014			FOR THE YEAR ENDED SEPTEMBER 30, 2015			FOR THE YEAR ENDED SEPTEMBER 30, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		279,524			94,701			22,556,156			20,333,041
Shares sold		4,367,231			164,697			14,903,085			5,586,553
Shares issued on reinvestment of distributions		35,946			63,067			1,742,414			1,641,534
Shares redeemed		(301,902	)		(42,941	)		(5,824,538	)		(5,004,972	)
Shares outstanding, end of period		4,380,799			279,524			33,377,117			22,556,156
CLASS N
Shares outstanding, beginning of period		127,426			53,682			3,527,546			2,654,916
Shares sold		162,394			86,939			801,790			1,212,704
Shares issued on reinvestment of distributions		29,284			35,033			284,406			252,647
Shares redeemed		(220,181	)		(48,228	)		(910,247	)		(592,721	)
Shares outstanding, end of period		98,923			127,426			3,703,495			3,527,546
CLASS R6
Shares outstanding, beginning of period		8,489,461			—	(a)		8,984,668			—	(a)
Shares sold		1,288,724			8,500,955			183,148			12,579,407
Shares issued on reinvestment of distributions		1,058,119			—			770,218			—
Shares redeemed		—			(11,494	)		(6,725,068	)		(3,594,739	)
Shares outstanding, end of period		10,836,304			8,489,461			3,212,966			8,984,668
CLASS Y
Shares outstanding, beginning of period		23,708,830			19,044,183			34,443,561			43,655,846
Shares sold		322,420			—			—			—
Shares issued on reinvestment of distributions		2,998,015			12,057,609			3,031,591			4,045,762
Shares redeemed		(33,810	)		(7,392,962	)		(3,173,164	)		(13,258,047	)
Shares outstanding, end of period		26,995,455			23,708,830			34,301,988			34,443,561

(a) Commencement of offering class of shares effective January 8, 2014.

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

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173

Financial Highlights September 30, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR LARGE CAP MULTI-STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.36		0.16			(0.15	)		0.01			(0.06	)		(0.06	)		(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.09		0.15			2.21			2.36			(0.04	)		(0.05	)		(0.09	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.06	7		1.03			1.09			—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.33		0.13			(0.16	)		(0.03	)		(0.05	)		(0.06	)		(0.11	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.09		0.11			2.21			2.32			(0.03	)		(0.05	)		(0.08	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.04	7		1.05			1.09			—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.36		0.18			(0.17	)		0.01			(0.06	)		(0.06	)		(0.12	)
FOR THE PERIOD 7/10/1410—9/30/14		$13.32		0.04			0.00	11		0.04			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.34		0.12	17		0.02	12		0.14			(0.03	)		(0.15	)		(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.05	13		0.57			0.62			(0.04	)		(0.12	)		(0.16	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.03	7		1.85			1.88			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.30		0.09	17		0.01	12		0.10			(0.00	)11		(0.15	)		(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.87		0.01	13		0.56			0.57			(0.02	)		(0.12	)		(0.14	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.01	7		1.86			1.87			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.35		0.15	17		0.00	11,12		0.15			(0.04	)		(0.15	)		(0.19	)
FOR THE PERIOD 7/10/1410—9/30/14		$12.95		0.01	13		(0.61	)12		(0.60	)		—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.47		0.27	17		(1.26	)		(0.99	)		(0.19	)		(0.08	)		(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.28		0.28			0.01	12		0.29			(0.10	)		—			(0.10	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.13	7		1.15			1.28			—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.44		0.24	17		(1.25	)		(1.01	)		(0.15	)		(0.08	)		(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.27		0.24			0.01	12		0.25			(0.08	)		—			(0.08	)
FOR THE PERIOD 3/26/136—9/30/13		$10.00		0.15	7		1.12			1.27			—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.47		0.30	17		(1.28	)		(0.98	)		(0.21	)		(0.08	)		(0.29	)
FOR THE PERIOD 7/10/1410—9/30/14		$11.94		0.13			(0.60	)		(0.47	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.27			(1.97	)		(1.70	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 5/13/146—9/30/14		$10.00		0.14			(0.18	)		(0.04	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.95		0.29			(2.01	)		(1.72	)		(0.06	)		—			(0.06	)
FOR THE PERIOD 5/13/146—9/30/14		$10.00		0.14			(0.19	)		(0.05	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.45			(2.14	)		(1.69	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 7/10/1410—9/30/14		$10.47		0.05			(0.56	)		(0.51	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I16
FOR THE PERIOD 2/11/156—9/30/15		$10.00		0.08			(0.66	)		(0.58	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N
FOR THE PERIOD 2/11/156—9/30/15		$10.00		0.06			(0.66	)		(0.60	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6
FOR THE PERIOD 2/11/156—9/30/15		$10.00		0.08			(0.66	)		(0.58	)		—			—			—

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

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174

Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$13.25		0.03	%		$490,709		0.49	%		0.49	%		0.54	%		1.17	%		59	%
	$13.36		21.39	%		$166,058		0.54	%		0.54	%		0.71	%		1.17	%		277	%
	$11.09		10.90	%		$18,811		0.54	%		0.54	%		1.80	%8,9		1.09	%7		223	%
	$13.19		(0.25	)%		$59,733		0.74	%		0.74	%		0.79	%		0.93	%		59	%
	$13.33		21.05	%		$10,328		0.79	%		0.79	%		1.14	%		0.90	%		277	%
	$11.09		10.90	%		$1,403		0.79	%		0.79	%		4.30	%8,9		0.72	%7		223	%
	$13.25		0.07	%		$563,785		0.36	%		0.36	%		0.42	%		1.28	%		59	%
	$13.36		0.30	%		$42,256		0.44	%		0.44	%		0.61	%		1.23	%		277	%
	$12.30		1.02	%		$26,634		0.68	%		0.68	%		1.17	%		0.88	%17		228	%
	$12.34		5.13	%		$8,233		0.75	%		0.75	%		2.58	%		0.37	%13		189	%
	$11.88		18.80	%		$2,184		0.75	%		0.75	%		5.84	%8		0.45	%7		70	%
	$12.25		0.72	%		$5,681		0.93	%		0.93	%		1.40	%		0.65	%17		228	%
	$12.30		4.78	%		$1,284		1.00	%		1.00	%		3.27	%		0.11	%13		189	%
	$11.87		18.70	%		$1,381		1.00	%		1.00	%		6.40	%8		0.17	%7		70	%
	$12.31		1.06	%		$9,494		0.55	%		0.55	%		0.96	%		1.17	%17		228	%
	$12.35		(4.63	)%		$95		0.65	%		0.65	%		2.34	%		0.45	%13		189	%
	$10.21		(8.78	)%		$40,047		0.64	%		0.64	%		0.82	%		2.45	%17		236	%
	$11.47		2.53	%		$26,729		0.70	%		0.70	%		1.38	%		2.36	%		204	%
	$11.28		12.80	%		$15,810		0.70	%		0.70	%		2.16	%8		2.25	%7		218	%
	$10.20		(8.92	)%		$4,142		0.88	%		0.88	%		1.06	%		2.19	%17		236	%
	$11.44		2.19	%		$2,756		0.95	%		0.95	%		1.85	%		2.02	%		204	%
	$11.27		12.70	%		$2,154		0.95	%		0.95	%		4.10	%8		2.65	%7		218	%
	$10.20		(8.68	)%		$241,780		0.51	%		0.51	%		0.66	%		2.70	%17		236	%
	$11.47		(3.94	)%		$26,412		0.60	%		0.60	%		1.34	%		5.13	%		204	%
	$8.19		(17.14	)%		$48,992		0.79	%		0.79	%		1.39	%		2.79	%		317	%
	$9.96		(0.40	)%		$11,572		0.85	%		0.85	%		3.30	%8,9		3.49	%		154	%
	$8.17		(17.34	)%		$4,494		1.04	%		1.04	%		1.61	%		2.98	%		317	%
	$9.95		(0.50	)%		$2,388		1.10	%		1.10	%		3.55	%8,9		3.49	%		154	%
	$8.20		(17.06	)%		$135,503		0.65	%		0.65	%		0.89	%		4.66	%		317	%
	$9.96		(4.87	)%		$95		0.75	%		0.75	%		2.73	%8,9		2.09	%		154	%
	$9.42		(5.80	)%		$2,087		0.46	%		0.46	%		1.66	%8		1.20	%		207	%
	$9.40		(6.00	)%		$135		0.70	%		0.70	%		2.48	%8		0.99	%		207	%
	$9.42		(5.80	)%		$26,703		0.36	%		0.36	%		1.41	%8		1.33	%		207	%

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

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175

Financial Highlights September 30, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I16
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.05			(0.84	)		(0.79	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.04			(0.84	)		(0.80	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.06			(0.84	)		(0.78	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I16
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.18			(0.78	)		(0.60	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.15			(0.76	)		(0.61	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.18			(0.77	)		(0.59	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS I16
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.21			(1.90	)		(1.69	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS N
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.19			(1.89	)		(1.70	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS R6
FOR THE PERIOD 2/11/156—9/30/15	$	10.00		0.22			(1.90	)		(1.68	)		—			—			—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.89		0.23			(0.10	)		0.13			(0.14	)		(1.92	)		(2.06	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	19.65		0.12			3.12			3.24			(0.13	)		(0.87	)		(1.00	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.06		0.12	7		3.47			3.59			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	13.89		0.26	14		2.16			2.42			(0.25	)		—			(0.25	)
FOR THE YEAR ENDED DECEMBER 31, 2011†	$	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	)
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.85		0.17			(0.10	)		0.07			(0.08	)		(1.92	)		(2.00	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	19.61		0.06			3.13			3.19			(0.08	)		(0.87	)		(0.95	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.05		0.09	7		3.47			3.56			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12	$	16.02		0.01	14		0.02			0.03			—			—			—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.89		0.23			(0.08	)		0.15			(0.18	)		(1.92	)		(2.10	)
FOR THE PERIOD 7/10/1410—9/30/14	$	21.90		0.04			(0.05	)12		(0.01	)		—			—			—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.09		0.15	17		0.26	12		0.41			(0.04	)		(2.36	)		(2.40	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	21.77		0.00	11,13		0.73			0.73			(0.06	)		(1.35	)		(1.41	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.43		0.09	7		5.25			5.34			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	13.89		0.22	14		2.50			2.72			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2011†	$	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	)
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.00		0.09	17		0.26	12		0.35			—			(2.36	)		(2.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	21.73		(0.06	)13		0.73			0.67			(0.05	)		(1.35	)		(1.40	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.43		0.03	7		5.27			5.30			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12	$	16.09		0.02	14		0.32			0.34			—			—			—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.10		0.13	17		0.29	12		0.42			(0.07	)		(2.36	)		(2.43	)
FOR THE PERIOD 7/10/1410—9/30/14	$	22.08		0.01	13		(0.99	)12		(0.98	)		—			—			—

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

AQR Funds Annual Report September 2015

176

Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.21		(7.90	)%		$1,702		0.65	%		0.65	%		5.66	%8		0.77	%		98	%
	$9.20		(8.00	)%		$128		0.92	%		0.92	%		6.53	%8		0.59	%		98	%
	$9.22		(7.80	)%		$1,660		0.57	%		0.57	%		6.28	%8		0.96	%		98	%
	$9.40		(6.00	)%		$3,213		0.61	%		0.61	%		1.42	%8		2.85	%		172	%
	$9.39		(6.10	)%		$143		0.81	%		0.81	%		2.65	%8		2.28	%		172	%
	$9.41		(5.90	)%		$41,373		0.51	%		0.51	%		1.22	%8		2.81	%		172	%
	$8.31		(16.90	)%		$2,986		0.77	%		0.77	%		2.66	%8		3.46	%		173	%
	$8.30		(17.00	)%		$881		1.03	%		1.03	%		3.06	%8		3.08	%		173	%
	$8.32		(16.80	)%		$15,381		0.67	%		0.67	%		2.46	%8		3.66	%		173	%
	$19.96		0.18	%		$874,115		0.45	%		0.45	%		0.50	%		1.06	%		90	%
	$21.89		16.86	%		$953,235		0.49	%		0.49	%		0.55	%		0.55	%		83	%
	$19.65		22.35	%		$719,389		0.49	%		0.49	%		0.55	%8		0.88	%7		62	%
	$16.06		17.49	%		$490,442		0.50	%		0.49	%		0.58	%		1.69	%14		68	%
	$13.89		(2.68	)%		$302,755		0.50	%		0.49	%		0.67	%		1.07	%		162	%
	$14.40		18.60	%		$124,491		0.49	%		0.49	%		0.98	%		1.37	%		180	%
	$19.92		(0.10	)%		$68,535		0.70	%		0.70	%		0.77	%		0.81	%		90	%
	$21.85		16.59	%		$79,272		0.74	%		0.74	%		0.83	%		0.30	%		83	%
	$19.61		22.18	%		$70,265		0.74	%		0.74	%		0.83	%8		0.64	%7		62	%
	$16.05		0.19	%		$58,422		0.75	%		0.74	%		0.82	%		1.19	%14		68	%
	$19.94		0.28	%		$62,973		0.31	%		0.31	%		0.36	%		1.09	%		90	%
	$21.89		(0.05	)%		$131		0.39	%		0.39	%		0.48	%		0.75	%		83	%
	$19.10		1.17	%		$316,232		0.63	%		0.62	%		0.68	%		0.69	%17		86	%
	$21.09		3.07	%		$301,173		0.65	%		0.65	%		0.68	%		0.01	%13		83	%
	$21.77		32.50	%		$242,675		0.65	%		0.65	%		0.68	%8,9		0.60	%7		49	%
	$16.43		19.62	%		$145,770		0.66	%		0.65	%		0.72	%		1.44	%14		73	%
	$13.89		(2.62	)%		$100,534		0.66	%		0.65	%		0.85	%		0.26	%		121	%
	$14.39		27.69	%		$54,505		0.65	%		0.65	%		1.85	%		0.66	%		380	%
	$18.99		0.89	%		$8,195		0.88	%		0.87	%		0.94	%		0.43	%17		86	%
	$21.00		2.83	%		$7,189		0.90	%		0.90	%		1.04	%		(0.26	)%13		83	%
	$21.73		32.26	%		$1,668		0.90	%		0.90	%		4.82	%8,9		0.18	%7		49	%
	$16.43		2.11	%		$10		0.90	%		0.90	%		135.33	%15		3.36	%14		73	%
	$19.09		1.25	%		$77,416		0.50	%		0.50	%		0.59	%		0.62	%17		86	%
	$21.10		(4.44	)%		$96		0.55	%		0.55	%		0.63	%		0.13	%13		83	%

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

AQR Funds Annual Report September 2015

177

Financial Highlights September 30, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.95		0.28			(1.51	)		(1.23	)		(0.31	)		(0.17	)		(0.48	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	15.29		0.27	13		(0.36	)		(0.09	)		(0.25	)		—			(0.25	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	13.09		0.22	7		1.98			2.20			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	11.37		0.29			1.74			2.03			(0.31	)		—			(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2011†	$	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	)
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.89		0.25			(1.51	)		(1.26	)		(0.27	)		(0.17	)		(0.44	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	15.25		0.22	13		(0.35	)		(0.13	)		(0.23	)		—			(0.23	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	13.08		0.25	7		1.92			2.17			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12	$	12.95		—			0.13			0.13			—			—			—
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.94		0.33			(1.53	)		(1.20	)		(0.34	)		(0.17	)		(0.51	)
FOR THE PERIOD 7/10/1410—9/30/14	$	15.54		0.05	13		(0.65	)		(0.60	)		—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.02		0.20			(1.84	)		(1.64	)		(0.09	)		—			(0.09	)
FOR THE PERIOD 5/13/146—9/30/14	$	10.00		0.09			(0.07	)		0.02			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.01		0.16			(1.82	)		(1.66	)		(0.08	)		—			(0.08	)
FOR THE PERIOD 5/13/146—9/30/14	$	10.00		0.09			(0.08	)		0.01			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.02		0.19			(1.81	)		(1.62	)		(0.10	)		—			(0.10	)
FOR THE PERIOD 7/10/1410—9/30/14	$	10.63		0.05			(0.66	)12		(0.61	)		—			—			—
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.90		0.18			(0.19	)		(0.01	)		(0.08	)		(0.27	)		(0.35	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.60		0.09			2.36			2.45			(0.04	)		(0.11	)		(0.15	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.13		0.09	7		2.38			2.47			—			—			—
FOR THE PERIOD 1/27/126—12/31/12	$	10.00		0.19	14		1.17			1.36			(0.14	)		(0.09	)		(0.23	)
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.86		0.15			(0.20	)		(0.05	)		(0.04	)		(0.27	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.57		0.04			2.37			2.41			(0.01	)		(0.11	)		(0.12	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.13		0.07	7		2.37			2.44			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12	$	11.12		0.01	14		0.00	11		0.01			—			—			—
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.90		0.19			(0.19	)		0.00	11		(0.09	)		(0.27	)		(0.36	)
FOR THE PERIOD 7/10/1410—9/30/14	$	15.78		0.03			0.09			0.12			—			—			—

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

AQR Funds Annual Report September 2015

178

Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$13.24		(8.40	)%		$257,299		0.60	%		0.60	%		0.68	%		1.95	%		112	%
	$14.95		(0.64	)%		$279,838		0.65	%		0.65	%		0.71	%		1.73	%13		98	%
	$15.29		16.81	%		$219,002		0.65	%		0.65	%		0.73	%8		2.09	%7		76	%
	$13.09		17.92	%		$127,673		0.66	%		0.65	%		0.80	%		2.41	%		116	%
	$11.37		(14.42	)%		$77,225		0.66	%		0.65	%		0.97	%		2.23	%		203	%
	$13.62		14.20	%		$62,091		0.65	%		0.65	%		1.46	%		1.44	%		269	%
	$13.19		(8.62	)%		$35,343		0.85	%		0.85	%		0.94	%		1.71	%		112	%
	$14.89		(0.91	)%		$40,054		0.90	%		0.90	%		1.00	%		1.42	%13		98	%
	$15.25		16.59	%		$41,503		0.90	%		0.90	%		1.03	%8		2.28	%7		76	%
	$13.08		1.00	%		$11		0.90	%		0.90	%		132.42	%15		0.25	%		116	%
	$13.23		(8.24	)%		$31,058		0.46	%		0.46	%		0.55	%		2.31	%		112	%
	$14.94		(3.86	)%		$96		0.55	%		0.55	%		0.64	%		1.38	%13		98	%
	$8.29		(16.45	)%		$6,612		0.75	%		0.75	%		2.92	%		2.06	%		159	%
	$10.02		0.20	%		$6,260		0.80	%		0.80	%		4.03	%8,9		2.27	%		72	%
	$8.27		(16.72	)%		$1,132		1.00	%		1.00	%		3.17	%		1.68	%		159	%
	$10.01		0.10	%		$1,034		1.05	%		1.05	%		4.18	%8,9		2.13	%		72	%
	$8.30		(16.34	)%		$80		0.66	%		0.66	%		3.02	%		1.93	%		159	%
	$10.02		(5.74	)%		$94		0.70	%		0.70	%		3.73	%8,9		2.01	%		72	%
	$15.54		(0.16	)%		$56,141		0.48	%		0.48	%		0.65	%		1.08	%		62	%
	$15.90		18.15	%		$101,336		0.54	%		0.54	%		0.69	%		0.57	%		153	%
	$13.60		22.19	%		$21,709		0.54	%		0.54	%		1.41	%8,9		1.00	%7		178	%
	$11.13		13.67	%		$6,041		0.55	%		0.54	%		4.57	%		1.89	%14		93	%
	$15.50		(0.39	)%		$147		0.64	%		0.64	%		0.75	%		0.89	%		62	%
	$15.86		17.81	%		$137		0.79	%		0.79	%		1.60	%		0.30	%		153	%
	$13.57		21.92	%		$115		0.79	%		0.79	%		4.11	%8,9		0.71	%7		178	%
	$11.13		0.09	%		$10		0.79	%		0.79	%		15.32	%15		2.41	%14		93	%
	$15.54		(0.09	)%		$70,197		0.31	%		0.31	%		0.43	%		1.15	%		62	%
	$15.90		0.76	%		$101		0.44	%		0.44	%		0.67	%		0.77	%		153	%

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

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	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.11	17		0.23	12		0.34			(0.01	)		(0.54	)		(0.55	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$14.85		0.01			0.15			0.16			(0.04	)		(0.25	)		(0.29	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.15		0.05	7		3.65			3.70			—			—			—
FOR THE PERIOD 1/27/126—12/31/12		$10.00		0.19	14		1.11			1.30			(0.15	)		—			(0.15	)
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.67		0.07	17		0.24	12		0.31			—			(0.54	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$14.81		(0.03	)		0.14			0.11			(0.00	)11		(0.25	)		(0.25	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.15		0.03	7		3.63			3.66			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12		$10.91		0.02	14		0.22			0.24			—			—			—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.12	17		0.24	12		0.36			(0.04	)		(0.54	)		(0.58	)
FOR THE PERIOD 7/10/1410—9/30/14		$15.45		0.01			(0.74	)12		(0.73	)		—			—			—
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I16
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.09		0.20			(1.28	)		(1.08	)		(0.25	)		(0.06	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.18		0.23	13		(0.10	)		0.13			(0.06	)		(0.16	)		(0.22	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.24		0.20			1.74			1.94			—			—			—
FOR THE PERIOD 1/27/126—12/31/12		$10.00		0.23			1.22			1.45			(0.19	)		(0.02	)		(0.21	)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.06		0.21			(1.30	)		(1.09	)		(0.23	)		(0.06	)		(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.15		0.17	13		(0.08	)		0.09			(0.02	)		(0.16	)		(0.18	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.24		0.20			1.71			1.91			—			—			—
FOR THE PERIOD 12/17/1210—12/31/12		$11.14		—			0.10			0.10			—			—			—
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.09		0.31			(1.37	)		(1.06	)		(0.27	)		(0.06	)		(0.33	)
FOR THE PERIOD 7/10/1410—9/30/14		$13.66		0.03	13		(0.60	)		(0.57	)		—			—			—
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.07		0.24			1.04			1.28			(0.29	)		(0.42	)		(0.71	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$12.20		0.20			1.79			1.99			(0.08	)		(0.04	)		(0.12	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.16		0.15			1.89			2.04			—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.14	14		0.10			0.24			(0.07	)		(0.01	)		(0.08	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.04		0.20			1.05			1.25			(0.23	)		(0.42	)		(0.65	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$12.19		0.17			1.79			1.96			(0.07	)		(0.04	)		(0.11	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.18		0.13			1.88			2.01			—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.08	14		0.15			0.23			(0.04	)		(0.01	)		(0.05	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.07		0.26			1.03			1.29			(0.32	)		(0.42	)		(0.74	)
FOR THE PERIOD 9/02/1410—9/30/14		$14.13		0.02			(0.08	)12		(0.06	)		—			—			—

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

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Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$14.51		2.13	%		$19,992		0.64	%		0.64	%		1.34	%		0.68	%17		111	%
	$14.72		0.98	%		$14,690		0.70	%		0.70	%		1.61	%		0.04	%		154	%
	$14.85		33.18	%		$6,764		0.70	%		0.70	%		2.67	%8,9		0.49	%7		81	%
	$11.15		13.01	%		$3,435		0.71	%		0.70	%		5.77	%		1.91	%14		93	%
	$14.44		1.90	%		$127		0.86	%		0.86	%		1.49	%		0.45	%17		111	%
	$14.67		0.69	%		$125		0.95	%		0.95	%		2.44	%		(0.21	)%		154	%
	$14.81		32.83	%		$122		0.95	%		0.95	%		5.05	%8,9		0.26	%7		81	%
	$11.15		2.20	%		$10		0.95	%		0.95	%		12.32	%		4.19	%14		93	%
	$14.50		2.23	%		$97		0.54	%		0.54	%		1.24	%		0.77	%17		111	%
	$14.72		(4.72	)%		$95		0.60	%		0.60	%		1.65	%		0.22	%		154	%
	$11.70		(8.36	)%		$23,699		0.65	%		0.65	%		0.94	%		1.57	%		147	%
	$13.09		0.97	%		$81,624		0.70	%		0.70	%		0.91	%		1.73	%13		185	%
	$13.18		17.26	%		$17,418		0.70	%		0.70	%		2.31	%8,9		2.14	%		154	%
	$11.24		14.46	%		$5,739		0.71	%		0.70	%		5.28	%		2.38	%		131	%
	$11.68		(8.51	)%		$103		0.79	%		0.78	%		1.03	%		1.69	%		147	%
	$13.06		0.69	%		$112		0.95	%		0.95	%		1.92	%		1.26	%13		185	%
	$13.15		16.99	%		$111		0.95	%		0.95	%		5.00	%8,9		2.19	%		154	%
	$11.24		0.90	%		$10		0.95	%		0.95	%		15.82	%15		0.15	%		131	%
	$11.70		(8.25	)%		$48,003		0.46	%		0.46	%		0.70	%		2.40	%		147	%
	$13.09		(4.17	)%		$96		0.60	%		0.60	%		0.94	%		1.13	%13		185	%
	$14.64		9.13	%		$158,468		0.45	%		0.45	%		0.55	%		1.65	%		24	%
	$14.07		16.44	%		$224,826		0.49	%		0.49	%		0.62	%		1.51	%		16	%
	$12.20		20.08	%		$155,660		0.52	%		0.52	%		0.93	%8		1.69	%		106	%
	$10.16		2.34	%		$7,842		0.75	%		0.75	%		3.90	%		2.90	%14		141	%
	$14.64		8.97	%		$30,629		0.70	%		0.70	%		0.81	%		1.38	%		24	%
	$14.04		16.16	%		$28,843		0.74	%		0.74	%		0.92	%		1.26	%		16	%
	$12.19		19.74	%		$20,736		0.77	%		0.77	%		1.48	%8		1.44	%		106	%
	$10.18		2.29	%		$421		1.00	%		1.00	%		9.36	%		1.70	%14		141	%
	$14.62		9.23	%		$109		0.35	%		0.34	%		0.45	%		1.76	%		24	%
	$14.07		(0.42	)%		$100		0.39	%		0.39	%		0.54	%		1.69	%		16	%

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

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Financial Highlights September 30, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.37		0.28			(1.10	)		(0.82	)		(0.32	)		(0.28	)		(0.60	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.31			0.47			0.78			(0.17	)		(0.12	)		(0.29	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.67		0.23			0.98			1.21			—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.10			0.67			0.77			(0.06	)		(0.04	)		(0.10	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.35		0.23			(1.10	)		(0.87	)		—			(0.28	)		(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.27			0.47			0.74			(0.15	)		(0.12	)		(0.27	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.69		0.20			0.99			1.19			—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.08			0.68			0.76			(0.03	)		(0.04	)		(0.07	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.37		0.29			(1.10	)		(0.81	)		(0.34	)		(0.28	)		(0.62	)
FOR THE PERIOD 9/02/1410—9/30/14		$13.02		0.03			(0.68	)12		(0.65	)		—			—			—
AQR EMERGING DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.46		0.19			(2.26	)		(2.07	)		(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$10.27		0.25	13		0.03	12		0.28			(0.09	)		(0.00	)11		(0.09	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.92		0.20			(0.85	)		(0.65	)		—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.10			0.94			1.04			(0.09	)		(0.03	)		(0.12	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.45		0.12			(2.23	)		(2.11	)		—			—			—
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$10.26		0.18	13		0.08	12		0.26			(0.07	)		(0.00	)11		(0.07	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.93		0.16			(0.83	)		(0.67	)		—			—			—
FOR THE PERIOD 7/09/126—12/31/12		$10.00		0.08			0.94			1.02			(0.06	)		(0.03	)		(0.09	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.46		0.21			(2.27	)		(2.06	)		(0.19	)		—			(0.19	)
FOR THE PERIOD 9/02/1410—9/30/14		$11.15		0.03	13		(0.72	)		(0.69	)		—			—			—
AQR GLOBAL EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.91		0.12	17		(0.23	)		(0.11	)		(0.15	)		(0.85	)		(1.00	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.33		0.15	13		1.13			1.28			(0.39	)		(5.31	)		(5.70	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.35		0.14			1.84			1.98			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.99		0.20			1.69			1.89			(0.29	)		(0.24	)		(0.53	)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.97		0.21			(0.95	)		(0.74	)		(0.11	)		(0.13	)		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.00		0.16			1.25			1.41			(0.36	)		(0.08	)		(0.44	)
AQR GLOBAL EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.85		0.10	17		(0.23	)		(0.13	)		(0.14	)		(0.85	)		(0.99	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.27		0.12	13		1.12			1.24			(0.35	)		(5.31	)		(5.66	)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.32		0.11			1.84			1.95			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.97		0.16			1.70			1.86			(0.27	)		(0.24	)		(0.51	)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.97		0.16			(0.94	)		(0.78	)		(0.09	)		(0.13	)		(0.22	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.00		0.13			1.25			1.38			(0.33	)		(0.08	)		(0.41	)
AQR GLOBAL EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.96		0.14	17		(0.24	)		(0.10	)		(0.16	)		(0.85	)		(1.01	)
FOR THE PERIOD 1/08/1410—9/30/14		$8.70		0.15	13		0.11			0.26			—			—			—
AQR GLOBAL EQUITY FUND CLASS Y
FOR THE YEAR ENDED SEPTEMBER 30, 2015†		$8.97		0.16	17		(0.24	)		(0.08	)		(0.18	)		(0.85	)		(1.03	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014†		$13.38		0.18	13		1.15			1.33			(0.43	)		(5.31	)		(5.74	)
NINE MONTHS ENDED SEPTEMBER 30, 2013†		$11.35		0.18			1.85			2.03			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012†		$10.00		0.24			1.70			1.94			(0.35	)		(0.24	)		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.99		0.24			(0.94	)		(0.70	)		(0.16	)		(0.13	)		(0.29	)
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.00		0.18			1.27			1.45			(0.38	)		(0.08	)		(0.46	)

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

AQR Funds Annual Report September 2015

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Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.95		(6.89	)%		$34,191		0.60	%		0.60	%		1.11	%		2.40	%		47	%
	$12.37		6.68	%		$27,316		0.65	%		0.65	%		1.24	%		2.53	%		57	%
	$11.88		11.34	%		$17,631		0.73	%		0.73	%		2.01	%8,9		2.68	%		115	%
	$10.67		7.69	%		$5,366		0.90	%		0.90	%		5.00	%		1.91	%		81	%
	$11.20		(7.15	)%		$141		0.86	%		0.86	%		1.43	%		1.94	%		47	%
	$12.35		6.32	%		$462		0.90	%		0.90	%		1.85	%		2.18	%		57	%
	$11.88		11.13	%		$1,153		1.00	%		1.00	%		4.15	%8,9		2.34	%		115	%
	$10.69		7.62	%		$850		1.15	%		1.15	%		6.96	%		1.61	%		81	%
	$10.94		(6.78	)%		$89		0.50	%		0.50	%		1.01	%		2.45	%		47	%
	$12.37		(4.99	)%		$95		0.55	%		0.55	%		1.23	%		3.49	%		57	%
	$8.21		(20.07	)%		$27,221		0.76	%		0.76	%		1.12	%		1.92	%		117	%
	$10.46		2.78	%		$70,070		0.85	%		0.85	%		1.23	%		2.35	%13		124	%
	$10.27		(5.95	)%		$29,471		0.96	%		0.96	%		2.08	%8		2.55	%		181	%
	$10.92		10.39	%		$5,402		1.15	%		1.15	%		4.14	%		1.92	%		38	%
	$8.34		(20.19	)%		$54		1.03	%		1.03	%		1.40	%		1.22	%		117	%
	$10.45		2.60	%		$1,017		1.10	%		1.10	%		1.68	%		1.73	%13		124	%
	$10.26		(6.13	)%		$2,594		1.25	%		1.25	%		3.50	%8		2.06	%		181	%
	$10.93		10.22	%		$1,804		1.40	%		1.40	%		5.41	%		1.67	%		38	%
	$8.21		(19.96	)%		$75		0.66	%		0.65	%		1.08	%		2.16	%		117	%
	$10.46		(6.19	)%		$94		0.70	%		0.70	%		1.36	%		4.04	%13		124	%
	$7.80		(1.64	)%		$34,186		0.90	%		0.90	%		0.90	%		1.49	%17		73	%
	$8.91		11.55	%		$2,492		0.91	%		0.91	%		1.14	%		1.62	%13		90	%
	$13.33		17.44	%		$1,263		0.95	%		0.95	%		2.27	%8,9		1.46	%		71	%
	$11.35		18.95	%		$626		0.95	%		0.94	%		1.41	%		1.83	%		87	%
	$9.99		(6.68	)%		$2,103		0.96	%		0.95	%		2.03	%		1.90	%		59	%
	$10.97		14.12	%		$1,842		0.79	%		0.79	%		0.79	%		1.41	%		72	%
	$7.73		(1.86	)%		$765		1.17	%		1.17	%		1.17	%		1.18	%17		73	%
	$8.85		11.17	%		$1,128		1.21	%		1.21	%		1.60	%		1.28	%13		90	%
	$13.27		17.23	%		$712		1.25	%		1.25	%		3.06	%8,9		1.14	%		71	%
	$11.32		18.67	%		$518		1.25	%		1.24	%		1.87	%		1.51	%		87	%
	$9.97		(7.03	)%		$2,019		1.27	%		1.26	%		3.22	%		1.46	%		59	%
	$10.97		13.83	%		$1,498		1.10	%		1.10	%		1.10	%		1.28	%		72	%
	$7.85		(1.47	)%		$85,017		0.70	%		0.70	%		0.71	%		1.69	%17		73	%
	$8.96		2.99	%		$76,031		0.70	%		0.70	%		0.73	%		2.23	%13		90	%
	$7.86		(1.29	)%		$212,178		0.51	%		0.51	%		0.51	%		1.88	%17		73	%
	$8.97		11.99	%		$212,652		0.54	%		0.54	%		0.54	%		1.79	%13		90	%
	$13.38		17.89	%		$254,723		0.51	%		0.51	%		0.51	%8,9		1.88	%		71	%
	$11.35		19.45	%		$474,413		0.51	%		0.50	%		0.51	%		2.24	%		87	%
	$10.00		(6.22	)%		$397,662		0.52	%		0.51	%		0.52	%		2.21	%		59	%
	$10.99		14.54	%		$424,346		0.50	%		0.50	%		0.71	%		1.81	%		72	%

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

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	PER SHARE OPERATING PERFORMANCE
	Change in Net Assets Resulting from Operations1											Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.99		0.21			(0.71	)		(0.50	)		(0.33	)		(0.55	)		(0.88	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.28	13		(0.09	)		0.19			(0.22	)		(0.86	)		(1.08	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.24		0.17			1.47			1.64			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	8.60		0.20			1.76			1.96			(0.32	)		—			(0.32	)
FOR THE YEAR ENDED DECEMBER 31, 2011†	$	10.45		0.21			(1.78	)		(1.57	)		(0.21	)		(0.07	)		(0.28	)
FOR THE YEAR ENDED DECEMBER 31, 2010†	$	9.78		0.16			0.84			1.00			(0.24	)		(0.09	)		(0.33	)
AQR INTERNATIONAL EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.15		0.17			(0.70	)		(0.53	)		(0.30	)		(0.55	)		(0.85	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	12.06		0.25	13		(0.10	)		0.15			(0.20	)		(0.86	)		(1.06	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.43		0.13			1.50			1.63			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	8.76		0.19			1.76			1.95			(0.28	)		—			(0.28	)
FOR THE YEAR ENDED DECEMBER 31, 2011	$	10.61		0.20			(1.83	)		(1.63	)		(0.15	)		(0.07	)		(0.22	)
FOR THE YEAR ENDED DECEMBER 31, 2010	$	9.91		0.14			0.88			1.02			(0.23	)		(0.09	)		(0.32	)
AQR INTERNATIONAL EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.56		0.18			(0.68	)		(0.50	)		(0.35	)		(0.55	)		(0.90	)
FOR THE PERIOD 1/08/1410—9/30/14	$	12.08		0.34	13		(0.86	)		(0.52	)		—			—			—
AQR INTERNATIONAL EQUITY FUND CLASS Y
FOR THE YEAR ENDED SEPTEMBER 30, 2015†	$	11.58		0.25			(0.73	)		(0.48	)		(0.37	)		(0.55	)		(0.92	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014†	$	12.45		0.31	13		(0.07	)		0.24			(0.25	)		(0.86	)		(1.11	)
NINE MONTHS ENDED SEPTEMBER 30, 2013†	$	10.71		0.21			1.53			1.74			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012†	$	8.98		0.25			1.83			2.08			(0.35	)		—			(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2011†	$	10.89		0.28			(1.88	)		(1.60	)		(0.24	)		(0.07	)		(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2010†	$	10.16		0.20			0.89			1.09			(0.27	)		(0.09	)		(0.36	)

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

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Financial Highlights September 30, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
$	9.61		(4.79	)%	$	320,807		0.92	%		0.92	%		0.92	%		1.98	%		84	%
$	10.99		1.33	%	$	247,847		0.90	%		0.90	%		0.90	%		2.41	%13		71	%
$	11.88		16.02	%	$	241,467		0.90	%		0.90	%		0.90	%8		2.11	%		59	%
$	10.24		22.87	%	$	196,971		0.91	%		0.90	%		0.91	%		2.17	%		74	%
$	8.60		(15.00	)%	$	138,229		0.94	%		0.93	%		0.94	%		2.13	%		60	%
$	10.45		10.40	%	$	85,969		0.90	%		0.90	%		1.03	%		1.72	%		93	%
$	9.77		(4.99	)%	$	36,174		1.21	%		1.21	%		1.21	%		1.61	%		84	%
$	11.15		0.96	%	$	39,336		1.25	%		1.25	%		1.25	%		2.11	%13		71	%
$	12.06		15.63	%	$	32,011		1.29	%		1.29	%		1.29	%8		1.52	%		59	%
$	10.43		22.41	%	$	15,562		1.28	%		1.27	%		1.28	%		2.00	%		74	%
$	8.76		(15.27	)%	$	1,167		1.35	%		1.34	%		2.18	%		1.96	%		60	%
$	10.61		10.40	%	$	1,472		1.25	%		1.25	%		3.50	%		1.51	%		93	%
$	10.16		(4.59	)%	$	32,648		0.75	%		0.75	%		0.75	%		1.61	%		84	%
$	11.56		(4.30	)%	$	103,882		0.74	%		0.74	%		0.74	%		3.90	%13		71	%
$	10.18		(4.35	)%	$	349,182		0.55	%		0.55	%		0.55	%		2.30	%		84	%
$	11.58		1.71	%	$	398,966		0.54	%		0.54	%		0.54	%		2.54	%13		71	%
$	12.45		16.25	%	$	543,667		0.55	%		0.55	%		0.55	%8		2.45	%		59	%
$	10.71		23.26	%	$	474,564		0.56	%		0.55	%		0.56	%		2.52	%		74	%
$	8.98		(14.66	)%	$	348,681		0.58	%		0.57	%		0.58	%		2.63	%		60	%
$	10.89		10.84	%	$	371,799		0.55	%		0.55	%		0.77	%		2.02	%		93	%

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

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Financial Highlights September 30, 2015

 * Annualized for periods less than one year.

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

 ^ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on SEC method.

 ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

 ² Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

 ³ Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

 ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

 ⁵ Portfolio turnover is not annualized.

 ⁶ Commencement of operations.

 ⁷ 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 Large Cap Multi-Style Fund—Class I		$0.06		0.98	%
AQR Large Cap Multi-Style Fund—Class N		0.04		0.61
AQR Small Cap Multi-Style Fund—Class I		0.03		0.38
AQR Small Cap Multi-Style Fund—Class N		0.01		0.10
AQR International Multi-Style Fund—Class I		0.13		2.08
AQR International Multi-Style Fund—Class N		0.15		2.48
AQR Large Cap Momentum Style Fund—Class I		0.11		0.80
AQR Large Cap Momentum Style Fund—Class N		0.08		0.56
AQR Small Cap Momentum Style Fund—Class I		0.07		0.52
AQR Small Cap Momentum Style Fund—Class N		0.01		0.10
AQR International Momentum Style Fund—Class I		0.21		1.97
AQR International Momentum Style Fund—Class N		0.23		2.16
AQR TM Large Cap Momentum Style Fund—Class I		0.09		0.92
AQR TM Large Cap Momentum Style Fund—Class N		0.07		0.63
AQR TM Small Cap Momentum Style Fund—Class I		0.04		0.37
AQR TM Small Cap Momentum Style Fund—Class N		0.01		0.14

 ⁸ Certain expenses incurred by the Fund were not annualized for the period.

 ⁹ Ratios are disproportionate between classes due to size of net assets and fixed expenses.

¹⁰  Commencement of offering of shares.

¹¹  Amount is less than $.005 per share.

¹²  The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

¹³  For the period ended September 30, 2014 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 Multi-Style Fund—Class I		$0.04			0.28	%
AQR Small Cap Multi-Style Fund—Class N		(0.00	)		0.02
AQR Small Cap Multi-Style Fund—Class R6		(0.00	)		0.36
AQR Small Cap Momentum Style Fund—Class I		(0.02	)		(0.07	)
AQR Small Cap Momentum Style Fund—Class N		(0.08	)		(0.34	)
AQR Small Cap Momentum Style Fund—Class R6		(0.01	)		0.05
AQR International Momentum Style Fund—Class I		0.25			1.57
AQR International Momentum Style Fund—Class N		0.20			1.26
AQR International Momentum Style Fund—Class R6		0.03			1.22
AQR TM International Momentum Style Fund—Class I		0.22			1.63
AQR TM International Momentum Style Fund—Class N		0.16			1.16
AQR TM International Momentum Style Fund—Class R6		0.02			1.03
AQR Emerging Defensive Style Fund—Class I		0.23			2.13
AQR Emerging Defensive Style Fund—Class N		0.16			1.51

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

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Financial Highlights September 30, 2015

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Emerging Defensive Style Fund—Class R6	$	0.01		3.82	%
AQR Global Equity Fund—Class I		0.14		1.50
AQR Global Equity Fund—Class N		0.11		1.16
AQR Global Equity Fund—Class Y		0.17		1.67
AQR Global Equity Fund—Class R6		0.14		2.11
AQR International Equity Fund—Class I		0.26		2.22
AQR International Equity Fund—Class N		0.23		1.92
AQR International Equity Fund—Class Y		0.29		2.35
AQR International Equity Fund—Class R6		0.32		3.71

¹⁴  For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Large Cap Momentum Style Fund—Class I .		$0.24		1.57	%
AQR Large Cap Momentum Style Fund—Class N		0.01		1.07
AQR Small Cap Momentum Style Fund—Class I		0.15		1.01
AQR Small Cap Momentum Style Fund—Class N		0.02		2.93
AQR TM Large Cap Momentum Style Fund—Class I		0.17		1.76
AQR TM Large Cap Momentum Style Fund—Class N		0.01		2.28
AQR TM Small Cap Momentum Style Fund—Class I		0.12		1.26
AQR TM Small Cap Momentum Style Fund—Class N		0.02		3.54
AQR Large Cap Defensive Style Fund—Class I		0.11		2.58
AQR Large Cap Defensive Style Fund—Class N		0.05		1.38

¹⁵  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.

¹⁶  Effective April 1, 2015, Class L Shares were renamed Class I Shares.

¹⁷  For the period ended September 30, 2015 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 Multi-Style Fund—Class I		$0.10		0.76	%
AQR Small Cap Multi-Style Fund—Class N		0.07		0.53
AQR Small Cap Multi-Style Fund—Class R6		0.13		1.05
AQR International Multi-Style Fund—Class I		0.25		2.28
AQR International Multi-Style Fund—Class N		0.22		2.02
AQR International Multi-Style Fund—Class R6		0.28		2.53
AQR Small Cap Momentum Style Fund—Class I		0.13		0.58
AQR Small Cap Momentum Style Fund—Class N		0.07		0.32
AQR Small Cap Momentum Style Fund—Class R6		0.11		0.51
AQR TM Small Cap Momentum Style Fund—Class I		0.09		0.57
AQR TM Small Cap Momentum Style Fund—Class N		0.05		0.34
AQR TM Small Cap Momentum Style Fund—Class R6		0.10		0.66
AQR Global Equity Fund—Class I		0.10		1.26
AQR Global Equity Fund—Class N		0.08		0.95
AQR Global Equity Fund—Class R6		0.12		1.46
AQR Global Equity Fund—Class Y		0.14		1.65

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

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187

Notes to Financial Statements September 30, 2015

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”). As of September 30, 2015, the Trust consists of thirty-three active series, twenty of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund. The remaining active series, which have a fiscal year-end of December 31st, are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment advisor of each Fund.

Effective January 28, 2015, the Board of Trustees (“Board”) of the AQR Funds approved changing the names of the following Funds:

NAME—PRIOR TO NAME CHANGE	NAME—AFTER NAME CHANGE
AQR Core Equity Fund	AQR Large Cap Multi-Style Fund
AQR Small Cap Core Equity Fund	AQR Small Cap Multi-Style Fund
AQR International Core Equity Fund	AQR International Multi-Style Fund
AQR Emerging Core Equity Fund	AQR Emerging Multi-Style Fund
AQR Momentum Fund	AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Fund	AQR Small Cap Momentum Style Fund
AQR International Momentum Fund	AQR International Momentum Style Fund
AQR Emerging Momentum Fund	AQR Emerging Momentum Style Fund
AQR Tax-Managed Momentum Fund	AQR TM Large Cap Momentum Style Fund
AQR Tax-Managed Small Cap Momentum Fund	AQR TM Small Cap Momentum Style Fund
AQR Tax-Managed International Momentum Fund	AQR TM International Momentum Style Fund
AQR U.S. Defensive Equity Fund	AQR Large Cap Defensive Style Fund
AQR International Defensive Equity Fund	AQR International Defensive Style Fund
AQR Emerging Defensive Equity Fund	AQR Emerging Defensive Style Fund

AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund commenced operations on February 11, 2015.

The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-term after-tax capital appreciation.

Effective April 1, 2015, the Board of Trustees of the AQR Funds approved the reclassification of Class L shares as Class I shares for the following Funds: AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, and AQR TM International Momentum Style Fund.

The Funds offer the following classes of shares:

FUND	CLASSES OFFERED
AQR Large Cap Multi-Style Fund	Class I, Class N and Class R6
AQR Small Cap Multi-Style Fund	Class I, Class N and Class R6
AQR International Multi-Style Fund	Class I, Class N and Class R6
AQR Emerging Multi-Style Fund	Class I, Class N and Class R6
AQR TM Large Cap Multi-Style Fund	Class I, Class N and Class R6
AQR TM Small Cap Multi-Style Fund	Class I, Class N and Class R6
AQR TM International Multi-Style Fund	Class I, Class N and Class R6
AQR TM Emerging Multi-Style Fund	Class I, Class N and Class R6

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188

Notes to Financial Statements September 30, 2015

FUND	CLASSES OFFERED
AQR Large Cap Momentum Style Fund	Class I, Class N and Class R6
AQR Small Cap Momentum Style Fund	Class I, Class N and Class R6
AQR International Momentum Style Fund	Class I, Class N and Class R6
AQR Emerging Momentum Style Fund	Class I, Class N and Class R6
AQR TM Large Cap Momentum Style Fund	Class I, Class N and Class R6
AQR TM Small Cap Momentum Style Fund	Class I, Class N and Class R6
AQR TM International Momentum Style Fund	Class I, Class N and Class R6
AQR Large Cap Defensive Style Fund	Class I, Class N and Class R6
AQR International Defensive Style Fund	Class I, Class N and Class R6
AQR Emerging Defensive Style Fund	Class I, Class N and Class R6
AQR Global Equity Fund	Class I, Class N, Class Y and Class R6
AQR International Equity Fund	Class I, Class N, Class Y and Class R6

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 GAAP requires the Advisor to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 4.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s).

Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties.

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to assets and voting privileges (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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

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

Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for federal income tax is necessary.

The 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, 2015, the Funds had no examinations in progress.

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

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Fund’s financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

3. Securities and Other Investments

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for

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other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. 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 instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash valued at 102% to 105% of the market value of the securities on loan. The Funds invest cash collateral in money market funds as indicated on the Schedule of Investments, and record a liability in the Statements of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. 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. Loans are subject to termination by the Funds or the borrower at any time. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. 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. 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 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 the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. This amount is recorded as Securities lending income, net on the Statements of Operations. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on derivative instruments. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

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International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern over-the-counter (“OTC”) derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government and other securities or money market funds as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.

Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of the Fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which have been invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.

4. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board.

The Board has delegated responsibility for applying approved valuation policies to the Advisor. The Advisor monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Advisor has established a Valuation Committee (the “VC”) whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and determine in good faith the fair value of portfolio holdings after consideration of all relevant factors. The Advisor performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. 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  —  Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level  2  —  Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

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Level  3  —  Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades and are therefore considered Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Advisor determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depository Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time the Funds calculate their net asset value.

Fixed income securities and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in less than 60 days are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of estimated future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Advisor in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

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The value of each total return swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:

AQR LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	1,068,716,575		$	1,523,613	$	—	$	1,070,240,188
Money Market Funds		—			40,087,564		—		40,087,564
Total Assets	$	1,068,716,575		$	41,611,177	$	—	$	1,110,327,752
LIABILITIES
Futures Contracts*	$	(280,572	)	$	—	$	—	$	(280,572	)
Total Liabilities	$	(280,572	)	$	—	$	—	$	(280,572	)
AQR SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	40,470,423		$	—	$	—	$	40,470,423
Exchange-Traded Funds		834,943			—		—		834,943
Securities Lending Collateral		—			3,593,902		—		3,593,902
Total Assets	$	41,305,366		$	3,593,902	$	—	$	44,899,268
AQR INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	20,037,907		$	255,339,504	$	—	$	275,377,411
Exchange-Traded Funds		7,327,731			—		—		7,327,731
Money Market Funds		—			3,009,087		—		3,009,087
Total Assets	$	27,365,638		$	258,348,591	$	—	$	285,714,229
AQR EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	25,863,018		$	154,209,267	$	13,254	$	180,085,539
Exchange-Traded Funds		3,306,059			—		—		3,306,059
Preferred Stocks†		2,377,007			—		—		2,377,007
Rights†		—			96,372		—		96,372
Securities Lending Collateral		—			6,988,846		—		6,988,846
Money Market Funds		—			3,067,339		—		3,067,339
Total Assets	$	31,546,084		$	164,361,824	$	13,254	$	195,921,162

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AQR TM LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	26,724,343		$	12,570	$	—		$	26,736,913
Exchange-Traded Funds		1,732,144			—		—			1,732,144
Money Market Funds		—			848,406		—			848,406
Total Assets	$	28,456,487		$	860,976	$	—		$	29,317,463
AQR TM SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	3,257,532		$	—	$	—		$	3,257,532
Exchange-Traded Funds		127,873			—		—			127,873
Securities Lending Collateral		—			261,756		—			261,756
Money Market Funds		—			153,155		—			153,155
Total Assets	$	3,385,405		$	414,911	$	—		$	3,800,316
AQR TM INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	2,760,014		$	40,031,746	$	—		$	42,791,760
Exchange-Traded Funds		1,254,219			—		—			1,254,219
Money Market Funds		—			1,167,969		—			1,167,969
Total Assets	$	4,014,233		$	41,199,715	$	—		$	45,213,948
AQR TM EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	2,565,704		$	14,730,368	$	—		$	17,296,072
Exchange-Traded Funds		1,384,332			—		—			1,384,332
Preferred Stocks†		222,885			—		—			222,885
Rights†		—			8,825		—			8,825
Securities Lending Collateral		—			1,077,831		—			1,077,831
Money Market Funds		—			1,354,892		—			1,354,892
Total Assets	$	4,172,921		$	17,171,916	$	—		$	21,344,837
AQR LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	974,628,655		$	484,175	$	—		$	975,112,830
Money Market Funds		—			29,587,039		—			29,587,039
Total Assets	$	974,628,655		$	30,071,214	$	—		$	1,004,699,869
LIABILITIES
Futures Contracts*	$	(402,578	)	$	—	$	—		$	(402,578	)
Total Liabilities	$	(402,578	)	$	—	$	—		$	(402,578	)
AQR SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	389,283,676		$	—	$	—	(a)	$	389,283,676
Rights		—			—		10,342			10,342
Securities Lending Collateral		—			43,938,129		—			43,938,129
Warrants		—			—		31			31
Money Market Funds		—			11,732,024		—			11,732,024
Total Assets	$	389,283,676		$	55,670,153	$	10,373		$	444,964,202
LIABILITIES
Futures Contracts*	$	(378,384	)	$	—	$	—		$	(378,384	)
Total Liabilities	$	(378,384	)	$	—	$	—		$	(378,384	)

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Notes to Financial Statements September 30, 2015

AQR INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	20,889,053		$	292,949,899	$	84,955	$	313,923,907
Money Market Funds		—			7,508,280		—		7,508,280
Total Assets	$	20,889,053		$	300,458,179	$	84,955	$	321,432,187
LIABILITIES
Futures Contracts*	$	(180,197	)	$	—	$	—	$	(180,197	)
Total Liabilities	$	(180,197	)	$	—	$	—	$	(180,197	)
AQR EMERGING MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	1,559,722		$	6,053,031	$	56,058	$	7,668,811
Exchange-Traded Funds		30,781			—		—		30,781
Preferred Stocks†		31,197			—		—		31,197
Rights†		—			2,896		—		2,896
Securities Lending Collateral		—			371,933		—		371,933
Total Assets	$	1,621,700		$	6,427,860	$	56,058	$	8,105,618
AQR TM LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	122,583,897		$	56,110	$	—	$	122,640,007
Money Market Funds		—			3,434,826		—		3,434,826
Total Assets	$	122,583,897		$	3,490,936	$	—	$	126,074,833
LIABILITIES
Futures Contracts*	$	(49,249	)	$	—	$	—	$	(49,249	)
Total Liabilities	$	(49,249	)	$	—	$	—	$	(49,249	)
AQR TM SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	19,107,339		$	—	$	—	$	19,107,339
Exchange-Traded Funds		839,966			—		—		839,966
Securities Lending Collateral		—			2,011,744		—		2,011,744
Money Market Funds		—			662,689		—		662,689
Total Assets	$	19,947,305		$	2,674,433	$	—	$	22,621,738
AQR TM INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	4,949,492		$	62,486,715	$	2,960	$	67,439,167
Exchange-Traded Funds		3,573,386			—		—		3,573,386
Money Market Funds		—			2,052,955		—		2,052,955
Total Assets	$	8,522,878		$	64,539,670	$	2,960	$	73,065,508
AQR LARGE CAP DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	170,157,973		$	—	$	—	$	170,157,973
Money Market Funds		—			18,079,824		—		18,079,824
Total Assets	$	170,157,973		$	18,079,824	$	—	$	188,237,797
LIABILITIES
Futures Contracts*	$	(198,783	)	$	—	$	—	$	(198,783	)
Total Liabilities	$	(198,783	)	$	—	$	—	$	(198,783	)

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196

Notes to Financial Statements September 30, 2015

AQR INTERNATIONAL DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	5,885,139		$	26,814,306		$	—		$	32,699,445
Exchange-Traded Funds		1,170,761			—			—			1,170,761
Preferred Stocks†		—			148,726			—			148,726
Money Market Funds		—			264,443			—			264,443
Total Assets	$	7,055,900		$	27,227,475		$	—		$	34,283,375
AQR EMERGING DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	8,597,889		$	17,945,601		$	—		$	26,543,490
Preferred Stocks†		70,676			—			—			70,676
Securities Lending Collateral		—			762,700			—			762,700
Money Market Funds		—			709,325			—			709,325
Futures Contracts*		2,028			—			—			2,028
Total Assets	$	8,670,593		$	19,417,626		$	—		$	28,088,219
AQR GLOBAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	178,809,297		$	112,530,210		$	—	(a)	$	291,339,507
Preferred Stocks†		—			773,517			—			773,517
Warrants†		—			19			—			19
Money Market Funds		—			31,785,532			—			31,785,532
Forward Foreign Currency Exchange Contracts*		—			1,369,027			—			1,369,027
Total Assets	$	178,809,297		$	146,458,305		$	—	(a)	$	325,267,602
LIABILITIES
Futures Contracts*	$	(694,562	)	$	—		$	—		$	(694,562	)
Total Return Swap Contracts*		—			(168,013	)		—			(168,013	)
Total Liabilities	$	(694,562	)	$	(168,013	)	$	—		$	(862,575	)
AQR INTERNATIONAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	661,213,103		$	—	(a)	$	661,213,103
Preferred Stocks†		—			2,945,436			—			2,945,436
Warrants†		—			77			—			77
Money Market Funds		—			48,388,071			—			48,388,071
Forward Foreign Currency Exchange Contracts*		—			1,919,086			—			1,919,086
Total Return Swap Contracts*		—			389,199			—			389,199
Total Assets	$	—		$	714,854,972		$	—	(a)	$	714,854,972
LIABILITIES
Futures Contracts*	$	(2,471,546	)	$	—		$	—		$	(2,471,546	)
Total Liabilities	$	(2,471,546	)	$	—		$	—		$	(2,471,546	)

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

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

(a) Security has zero value.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of, or increase in, available market inputs to determine price. During the period ended, AQR Large Cap Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR TM Large Cap Momentum Style Fund and AQR Global Equity Fund

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Notes to Financial Statements September 30, 2015

had one investment each, which transferred levels between 1 and 2. There were no transfers of investments between levels for any of the remaining Funds.

There were no Level 3 securities held at period end, except where noted in AQR Emerging Momentum Style Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Emerging Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund.

The following table includes a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR EMERGING MOMENTUM STYLE FUND	COMMON STOCK
Balance as of September 30, 2014	$	—
Net amortization/(accretion)		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(7,946	)
Purchases1		21,214
Sales2		—
Transfers in to Level 3		42,790
Transfers out of Level 3		—
Balance as of September 30, 2015	$	56,058
Change in Unrealized appreciation/(depreciation) for securities still held at September 30, 2015	$	(7,946	)

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

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

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended September 30, 2015 for the AQR Emerging Momentum Style Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	FAIR VALUE AT 9/30/15	VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stock	$19,881	Fundamental Analysis	Beta	0.17%	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At September 30, 2015, the value of these securities was $36,177. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

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198

Notes to Financial Statements September 30, 2015

5. Federal Income Tax Matters

At September 30, 2015, the cost of 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 Large Cap Multi-Style Fund	$	1,147,115,007	$	35,147,802	$	(71,935,057	)	$	(36,787,255	)
AQR Small Cap Multi-Style Fund		47,028,656		1,916,920		(4,046,308	)		(2,129,388	)
AQR International Multi-Style Fund		312,407,225		3,276,470		(29,969,466	)		(26,692,996	)
AQR Emerging Multi-Style Fund		234,261,691		1,100,039		(39,440,568	)		(38,340,529	)
AQR TM Large Cap Multi-Style Fund		31,296,020		300,706		(2,279,263	)		(1,978,557	)
AQR TM Small Cap Multi-Style Fund		4,024,128		113,613		(337,425	)		(223,812	)
AQR TM International Multi-Style Fund		49,212,346		500,098		(4,498,496	)		(3,998,398	)
AQR TM Emerging Multi-Style Fund		24,040,944		180,704		(2,876,811	)		(2,696,107	)
AQR Large Cap Momentum Style Fund		885,897,177		152,747,534		(33,944,842	)		118,802,692
AQR Small Cap Momentum Style Fund		426,621,162		52,072,569		(33,729,529	)		18,343,040
AQR International Momentum Style Fund		319,841,645		21,182,072		(19,591,530	)		1,590,542
AQR Emerging Momentum Style Fund		9,115,454		215,019		(1,224,855	)		(1,009,836	)
AQR TM Large Cap Momentum Style Fund		118,107,163		13,128,649		(5,160,979	)		7,967,670
AQR TM Small Cap Momentum Style Fund		21,926,548		2,456,487		(1,761,297	)		695,190
AQR TM International Momentum Style Fund		75,232,580		3,605,657		(5,772,729	)		(2,167,072	)
AQR Large Cap Defensive Style Fund		161,834,160		29,154,090		(2,750,453	)		26,403,637
AQR International Defensive Style Fund		36,012,727		2,587,736		(4,317,088	)		(1,729,352	)
AQR Emerging Defensive Style Fund		32,422,278		1,042,267		(5,378,354	)		(4,336,087	)
AQR Global Equity Fund		305,649,888		35,315,878		(17,067,191	)		18,248,687
AQR International Equity Fund		695,341,280		60,505,127		(43,299,720	)		17,205,407

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”) and non-taxable dividends from Real Estate Investment Trusts (“REIT”).

As of September 30, 2015, 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 Large Cap Multi-Style Fund	$	7,912,780	$	1,494		$	(36,787,255	)	$	(16,532,225	)	$	—	$	(45,405,206	)
AQR Small Cap Multi-Style Fund		214,186		191			(2,129,388	)		(706,036	)		—		(2,621,047	)
AQR International Multi-Style Fund		4,229,379		(596,590	)		(26,674,735	)		(8,437,108	)		—		(31,479,054	)
AQR Emerging Multi-Style Fund		3,999,452		(139,986	)		(38,347,314	)		(6,824,391	)		—		(41,312,239	)
AQR TM Large Cap Multi-Style Fund		166,519		55			(1,978,557	)		—			—		(1,811,983	)
AQR TM Small Cap Multi-Style Fund		20,233		(4,560	)		(223,812	)		—			—		(208,139	)
AQR TM International Multi-Style Fund		606,131		(516,968	)		(3,995,626	)		—			—		(3,906,463	)
AQR TM Emerging Multi-Style Fund		271,822		(321,790	)		(2,697,070	)		—			—		(2,747,038	)
AQR Large Cap Momentum Style Fund		7,544,244		60,558,493			118,802,658			—			—		186,905,395

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199

Notes to Financial Statements September 30, 2015

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 Small Cap Momentum Style Fund	$	1,962,418	$	1,448,662		$	18,343,041		$	—		$	—		$	21,754,121
AQR International Momentum Style Fund		5,077,538		(2,177,134	)		1,520,928			(18,245,521	)		—			(13,824,189	)
AQR Emerging Momentum Style Fund		185,744		(13,655	)		(1,010,325	)		(1,154,423	)		—			(1,992,659	)
AQR TM Large Cap Momentum Style Fund		1,077,518		—			7,967,671			(1,766,680	)		—			7,278,509
AQR TM Small Cap Momentum Style Fund		111,959		(83,308	)		695,190			(115,202	)		—			608,639
AQR TM International Momentum Style Fund		1,051,323		(2,778,747	)		(2,177,567	)		(4,689,361	)		—			(8,594,352	)
AQR Large Cap Defensive Style Fund		3,930,014		14,811,528			26,403,637			—			—			45,145,179
AQR International Defensive Style Fund		660,269		(2,827	)		(1,733,636	)		(386,640	)		—			(1,462,834	)
AQR Emerging Defensive Style Fund		949,703		(237,187	)		(4,341,267	)		(8,839,369	)		—			(12,468,120	)
AQR Global Equity Fund		4,760,479		17,527,986			16,385,157			(2,030,856	)		(6,157	)		36,636,609
AQR International Equity Fund		15,067,599		8,880,941			9,133,033			(540,555	)		—			32,541,018

The differences between book basis and tax basis components of net assets are primarily attributable to wash sales loss deferrals, qualified late-year loss deferrals, post October capital loss deferrals, mark to market on forward foreign currency exchange contracts, mark to market on future contracts, mark to market on PFIC investments, capital loss carryover and non-taxable dividends from REIT investments.

As of September 30, 2015, 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 Large Cap Multi-Style Fund	$	(75,818	)	$	75,818		$	—
AQR Small Cap Multi-Style Fund		(8,630	)		8,630			—
AQR International Multi-Style Fund		(249,905	)		249,905			—
AQR Emerging Multi-Style Fund		158,488			(144,229	)		(14,259	)
AQR TM Large Cap Multi-Style Fund		6,351			140			(6,491	)
AQR TM Small Cap Multi-Style Fund		6,175			255			(6,430	)
AQR TM International Multi-Style Fund		5,566			1,114			(6,680	)
AQR TM Emerging Multi-Style Fund		751			8,219			(8,970	)
AQR Large Cap Momentum Style Fund		(986,655	)		986,655			—
AQR Small Cap Momentum Style Fund		(242,312	)		242,312			—
AQR International Momentum Style Fund		385,976			(385,976	)		—
AQR Emerging Momentum Style Fund		941			13,430			(14,371	)
AQR TM Large Cap Momentum Style Fund		(61,725	)		61,725			—
AQR TM Small Cap Momentum Style Fund		(1,418	)		1,418			—
AQR TM International Momentum Style Fund		(52,958	)		52,958			—
AQR Large Cap Defensive Style Fund		(3,506	)		3,506			—
AQR International Defensive Style Fund		(2,394	)		2,394			—
AQR Emerging Defensive Style Fund		(59,253	)		59,253			—
AQR Global Equity Fund		117,562			(169,606	)		52,044
AQR International Equity Fund		2,062,635			(2,111,944	)		49,309

AQR Funds Annual Report September 2015

200

Notes to Financial Statements September 30, 2015

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 redesignation of distributions, PFIC investments, REIT investments and certain non-deductible expenses.

The tax character of distributions paid during the fiscal year-ends or periods ended September 30, 2015 and September 30, 2014 were as follows:

	SEPTEMBER 30, 2015				SEPTEMBER 30, 2014
FUND	ORDINARY INCOME		CAPITAL GAINS		ORDINARY INCOME		CAPITAL GAINS
AQR Large Cap Multi-Style Fund	$	2,933,755	$	672,488	$	319,367	$	69
AQR Small Cap Multi-Style Fund		131,837		88,141		60,042		81
AQR International Multi-Style Fund		1,324,144		78,371		157,327		—
AQR Emerging Multi-Style Fund		164,448		—		—		—
AQR Large Cap Momentum Style Fund		24,560,783		73,639,636		15,842,942		26,456,966
AQR Small Cap Momentum Style Fund		7,189,881		28,285,487		7,799,115		9,124,795
AQR International Momentum Style Fund		6,554,908		3,582,058		4,569,588		—
AQR Emerging Momentum Style Fund		74,317		—		—		—
AQR TM Large Cap Momentum Style Fund		1,263,697		1,207,604		353,859		92,904
AQR TM Small Cap Momentum Style Fund		13,062		546,861		119,846		42,494
AQR TM International Momentum Style Fund		1,179,477		271,835		474,514		156,441
AQR Large Cap Defensive Style Fund		6,386,436		2,527,136		1,761,198		195,128
AQR International Defensive Style Fund		862,765		486,716		507,585		29,738
AQR Emerging Defensive Style Fund		1,399,258		—		378,685		295
AQR Global Equity Fund		8,844,660		24,653,244		45,140,308		58,908,214
AQR International Equity Fund		25,286,786		37,535,197		48,309,584		23,669,394

During the period ended September 30, 2015, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG TERM
AQR Emerging Multi-Style Fund	$	—	$	160

As of September 30, 2015, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG TERM
AQR International Multi-Style Fund	$	486,787	$	109,803
AQR Emerging Multi-Style Fund		129,898		10,088
AQR TM Small Cap Multi-Style Fund		4,560		—
AQR TM International Multi-Style Fund		497,100		19,868
AQR TM Emerging Multi-Style Fund		314,839		6,951
AQR International Momentum Style Fund		2,177,134		—
AQR Emerging Momentum Style Fund		11,011		2,644
AQR TM Small Cap Momentum Style Fund		83,060		248
AQR TM International Momentum Style Fund		2,778,747		—
AQR International Defensive Style Fund		—		2,827
AQR Emerging Defensive Style Fund		115,776		121,411

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 will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law.

6. Investment Transactions

During the period ended September 30, 2015, 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 Large Cap Multi-Style Fund	$	1,324,129,099	$	412,310,484
AQR Small Cap Multi-Style Fund		98,215,704		63,371,974
AQR International Multi-Style Fund		653,165,779		390,261,216
AQR Emerging Multi-Style Fund		496,394,001		280,198,611
AQR TM Large Cap Multi-Style Fund		59,175,223		28,762,358
AQR TM Small Cap Multi-Style Fund		5,759,914		2,145,231

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201

Notes to Financial Statements September 30, 2015

FUND	PURCHASES		SALES
AQR TM International Multi-Style Fund	$	97,959,446	$	49,452,999
AQR TM Emerging Multi-Style Fund		39,925,745		18,020,002
AQR Large Cap Momentum Style Fund		947,651,021		992,693,029
AQR Small Cap Momentum Style Fund		415,631,330		325,621,958
AQR International Momentum Style Fund		399,936,420		361,976,953
AQR Emerging Momentum Style Fund		16,449,604		14,049,815
AQR TM Large Cap Momentum Style Fund		99,058,701		75,017,525
AQR TM Small Cap Momentum Style Fund		26,257,557		20,950,471
AQR TM International Momentum Style Fund		98,779,244		100,657,058
AQR Large Cap Defensive Style Fund		43,861,920		135,412,235
AQR International Defensive Style Fund		24,251,450		14,558,299
AQR Emerging Defensive Style Fund		78,796,440		108,779,778
AQR Global Equity Fund		243,003,372		206,786,560
AQR International Equity Fund		605,493,847		635,564,866

7. Derivative Instruments and Activities

Certain funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at September 30, 2015, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All financial instruments held by the Funds were subject to a master netting agreement or similar arrangement. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at September 30, 2015.

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	—		$	—		$	—		$	280,572		$	—		$	—
AQR Large Cap Momentum Style Fund		—			—			—			402,578			—			—
AQR Small Cap Momentum Style Fund		—			—			—			378,384			—			—
AQR International Momentum Style Fund		—			—			—			180,197			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			49,249			—			—
AQR Large Cap Defensive Style Fund		—			—			—			198,783			—			—
AQR Emerging Defensive Style Fund		2,028			—			—			—			—			—
AQR Global Equity Fund		322,023			—			—			1,016,585			168,013			—
AQR International Equity Fund		660,613			469,438			—			3,132,159			80,239			—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—			1,715,833			—			—			346,806
AQR International Equity Fund		—			—			2,279,608			—			—			360,522
Netting:
AQR Global Equity Fund		(322,023	)		—			(346,806	)		(322,023	)		—			(346,806	)
AQR International Equity Fund		(660,613	)		(80,239	)		(360,522	)		(660,613	)		(80,239	)		(360,522	)
Net Fair Value of Derivative Contracts:
AQR Large Cap Multi-Style Fund		—			—			—			280,572			—			—
AQR Large Cap Momentum Style Fund		—			—			—			402,578			—			—
AQR Small Cap Momentum Style Fund		—			—			—			378,384			—			—
AQR International Momentum Style Fund		—			—			—			180,197			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			49,249			—			—
AQR Large Cap Defensive Style Fund		—			—			—			198,783			—			—
AQR Emerging Defensive Style Fund		2,028			—			—			—			—			—
AQR Global Equity Fund		—			—			1,369,027			694,562			168,013			—
AQR International Equity Fund		—			389,199			1,919,086			2,471,546			—			—

* May include cumulative appreciation (depreciation) of futures as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

AQR Funds Annual Report September 2015

202

Notes to Financial Statements September 30, 2015

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended September 30, 2015:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS								NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS			FUTURES CONTRACTS			SWAPS CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	(1,033,285	)	$	—	$	—		$	(280,572	)	$	—	$	—
AQR Large Cap Momentum Style Fund		97,579			—		—			(351,253	)		—		—
AQR Small Cap Momentum Style Fund		(939,015	)		—		—			(358,294	)		—		—
AQR International Momentum Style Fund		(572,610	)		—		—			(176,545	)		—		—
AQR TM Large Cap Momentum Style Fund		389,528			—		—			(49,249	)		—		—
AQR Large Cap Defensive Style Fund		52,127			—		—			(149,568	)		—		—
AQR Emerging Defensive Style Fund		(287,894	)		—		—			2,028			—		—
AQR Global Equity Fund		(640,053	)		227,354		—			(551,939	)		103,200		—
AQR International Equity Fund		(414,760	)		3,742,644		—			(1,700,173	)		1,277,479		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—		(2,730,586	)		—			—		4,244,504
AQR International Equity Fund		—			—		(12,872,380	)		—			—		10,039,194

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of September 30, 2015.

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
Citibank	Forward Foreign Currency Exchange Contracts	$	818,960	$	(174,636	)	$	644,324	$	—	$	(580,000	)	$	64,324
Credit Suisse International	Forward Foreign Currency Exchange Contracts		896,873		(172,170	)		724,703		—		(700,000	)		24,703
Total financial instruments subject to a master netting agreement or similar arrangement			1,715,833		(346,806	)		1,369,027		—		(1,280,000	)		89,027

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203

Notes to Financial Statements September 30, 2015

									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
Citibank	Forward Foreign Currency Exchange Contracts	$	174,636	$	(174,636	)	$	—	$	—	$	—		$	—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		172,170		(172,170	)		—		—		—			—
Goldman Sachs	Total Return Swap Contracts		168,013		—			168,013		—		(168,013	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			514,819		(346,806	)		168,013		—		(168,013	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $161,987.

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 (a)			NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	1,117,521	$	(176,341	)	$	941,180	$	—	$	(910,000	)	$	31,180
Credit Suisse International	Forward Foreign Currency Exchange Contracts		1,162,087		(184,181	)		977,906		—		(977,906	)		—
Goldman Sachs	Total Return Swap Contracts		469,438		(80,239	)		389,199		—		—			389,199
Total financial instruments subject to a master netting agreement or similar arrangement			2,749,046		(440,761	)		2,308,285		—		(1,887,906	)		420,379

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)		NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	176,341	$	(176,341	)	$	—	$	—	$	—	$	—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		184,181		(184,181	)		—		—		—		—
Goldman Sachs	Total Return Swap Contracts		80,239		(80,239	)		—		—		—		—
Total financial instruments subject to a master netting agreement or similar arrangement			440,761		(440,761	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $52,094.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,820,056.

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204

Notes to Financial Statements September 30, 2015

For the period ended September 30, 2015, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR LARGE CAP MULTI-STYLE FUND		AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND		AQR TM LARGE CAP MOMENTUM STYLE FUND
Futures Contracts:
Average Notional Balance—Long	$	24,176,186	$	14,956,235	$	5,414,026	$	7,747,526	$	2,201,265
Average Notional Balance—Short		—		—		—		—		—
Ending Notional Balance—Long		30,825,505		20,613,960		7,780,890		7,752,650		2,385,875
Ending Notional Balance—Short		—		—		—		—		—
			AQR LARGE CAP DEFENSIVE STYLE FUND		AQR EMERGING DEFENSIVE STYLE FUND		AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND
Futures Contracts:
Average Notional Balance—Long			$	7,846,158	$	955,620	$	55,611,494	$	164,472,882
Average Notional Balance—Short				—		—		26,148,350		73,273,359
Ending Notional Balance—Long				17,464,605		711,990		50,408,843		148,400,234
Ending Notional Balance—Short				—		—		23,980,086		74,033,823
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased				—		—		157,602,435		416,200,615
Average Settlement Value—Sold				—		—		133,001,345		346,345,890
Ending Value—Purchased				—		—		147,634,621		332,982,447
Ending Value—Sold				—		—		116,616,536		269,243,707
Total Return Swaps:
Average Notional Balance—Long				—		—		5,333,961		9,541,684
Average Notional Balance—Short				—		—		8,144,705		34,286,540
Ending Notional Balance—Long				—		—		8,587,429		5,848,305
Ending Notional Balance—Short				—		—		—		19,109,352

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

8. Investment Advisory and Other Agreements

The Advisor serves as the investment advisor to each of the Funds, pursuant to the Second Amended and Restated Investment Advisory Agreement, dated November 7, 2014, as amended, (“Investment Advisory Agreement”) and the Investment Management Agreement, dated November 7, 2014, as amended (“Investment Management Agreement”) each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Advisory Agreement collectively referred to herein as 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, and also provides certain other administrative services to each Fund. The Advisor provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Effective April 1, 2015, the Board of Trustees of the Trust approved (1) an amendment to the Investment Advisory Agreement, removing the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund (each, a “Style Fund” and collectively, the “Style Funds”) (the “Amended Investment Advisory Agreement”); and (2) an amendment to the Investment Management Agreement, reflecting: (a) the addition of the Style Funds, (b) for the Style Funds, the bundling of advisory services and shareholder servicing into a single agreement with a single contractual management fee (combining services that had been provided separately under the Investment Advisory Agreement and Shareholder Services Agreement prior to April 1, 2015), and (c) a reduction in the total fees payable to AQR for advisory and shareholder services by each of the Style Funds (the “Amended Investment Management Agreement” and, together with the Amended Investment Advisory Agreement, the “Amendments”). The footnotes to the following table provide additional information regarding how the total fees payable to the Advisor for advisory and shareholder services have changed for each Style Fund during the fiscal year ended September 30, 2015.

AQR Funds Annual Report September 2015

205

Notes to Financial Statements September 30, 2015

Pursuant to the Advisory Agreement, the Funds currently pay the Advisor an Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Large Cap Multi-Style Fund1		0.30	%
AQR Small Cap Multi-Style Fund2		0.50
AQR International Multi-Style Fund3		0.45
AQR Emerging Multi-Style Fund4		0.60
AQR TM Large Cap Multi-Style Fund5		0.30
AQR TM Small Cap Multi-Style Fund6		0.50
AQR TM International Multi-Style Fund7		0.45
AQR TM Emerging Multi-Style Fund8		0.60
AQR Large Cap Momentum Style Fund9		0.25
AQR Small Cap Momentum Style Fund10		0.45
AQR International Momentum Style Fund11		0.40
AQR Emerging Momentum Style Fund12		0.55
AQR TM Large Cap Momentum Style Fund13		0.25
AQR TM Small Cap Momentum Style Fund14		0.45
AQR TM International Momentum Style Fund15		0.40
AQR Large Cap Defensive Style Fund16		0.25
AQR International Defensive Style Fund17		0.40
AQR Emerging Defensive Style Fund18		0.55
AQR Global Equity Fund		0.40
AQR International Equity Fund		0.45

¹  Effective April 1, 2015 (i) the AQR Large Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.30% and the shareholder servicing fee was 0.15%.

²  Effective April 1, 2015 (i) the AQR Small Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.45% and the shareholder servicing fee was 0.15%.

³  Effective April 1, 2015 (i) the AQR International Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.40% and the shareholder servicing fee was 0.15%.

⁴  Effective April 1, 2015 (i) the AQR Emerging Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.55% and the shareholder servicing fee was 0.15%.

⁵  Effective April 1, 2015 (i) the AQR TM Large Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.30% and the shareholder servicing fee was 0.15%.

⁶  Effective April 1, 2015 (i) the AQR TM Small Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.45% and the shareholder servicing fee was 0.15%.

⁷  Effective April 1, 2015 (i) the AQR TM International Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.40% and the shareholder servicing fee was 0.15%.

⁸  Effective April 1, 2015 (i) the AQR TM Emerging Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.55% and the shareholder servicing fee was 0.15%.

⁹  Effective April 1, 2015 (i) the AQR Large Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%.

¹⁰  Effective April 1, 2015 (i) the AQR Small Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.05%. Prior to April 1, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%.

¹¹  Effective April 1, 2015 (i) the AQR International Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%.

¹²  Effective April 1, 2015 (i) the AQR Emerging Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.50% and the shareholder servicing fee was 0.15%.

¹³  Effective April 1, 2015 (i) the AQR TM Large Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. For the period

AQR Funds Annual Report September 2015

206

Notes to Financial Statements September 30, 2015

January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.30%.

¹⁴  Effective April 1, 2015 (i) the AQR TM Small Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.05%. For the period January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.40%.

¹⁵  Effective April 1, 2015 (i) the AQR TM International Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.40%.

¹⁶  Effective April 1, 2015 (i) the AQR Large Cap Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. For the period January 29, 2014 to March 31, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%.

¹⁷  Effective April 1, 2015 (i) the AQR International Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period January 29, 2014 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%.

¹⁸  Effective April 1, 2015 (i) the AQR Emerging Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period April 1, 2014 to March 31, 2015, the contractual advisory fee was 0.50% and the shareholder servicing fee was 0.15%.

The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2017 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Large Cap Multi-Style Fund		0.45	%		0.70	%		0.35	%
AQR Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR International Multi-Style Fund		0.60			0.85			0.50
AQR Emerging Multi-Style Fund		0.75			1.00			0.65
AQR TM Large Cap Multi-Style Fund		0.45			0.70			0.35
AQR TM Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR TM International Multi-Style Fund		0.60			0.85			0.50
AQR TM Emerging Multi-Style Fund		0.75			1.00			0.65
AQR Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR International Momentum Style Fund		0.55			0.80			0.45
AQR Emerging Momentum Style Fund		0.70			0.95			0.60
AQR TM Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR TM Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR TM International Momentum Style Fund		0.55			0.80			0.45
AQR Large Cap Defensive Style Fund		0.40			0.65			0.30
AQR International Defensive Style Fund		0.55			0.80			0.45
AQR Emerging Defensive Style Fund		0.70			0.95			0.60
AQR Global Equity Fund		0.90			1.15			0.70
AQR International Equity Fund		0.95			1.20			0.75

Prior to April 1, 2015, the Fee Waiver for the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund was as follows:

FUND	CLASS I		CLASS L			CLASS N			CLASS R6
AQR Large Cap Multi-Style Fund		n/a		0.54	%		0.79	%		0.44	%
AQR Small Cap Multi-Style Fund		n/a		0.75			1.00			0.65
AQR International Multi-Style Fund		n/a		0.70			0.95			0.60
AQR Emerging Multi-Style Fund		n/a		0.85			1.10			0.75
AQR TM Large Cap Multi-Style Fund		n/a		0.54			0.79			0.44
AQR TM Small Cap Multi-Style Fund		n/a		0.75			1.00			0.65

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207

Notes to Financial Statements September 30, 2015

FUND	CLASS I			CLASS L			CLASS N			CLASS R6
AQR TM International Multi-Style Fund		n/a			0.70	%		0.95	%		0.60	%
AQR TM Emerging Multi-Style Fund		n/a			0.85			1.10			0.75
AQR Large Cap Momentum Style Fund		n/a			0.49			0.74			0.39
AQR Small Cap Momentum Style Fund		n/a			0.65			0.90			0.55
AQR International Momentum Style Fund		n/a			0.65			0.90			0.55
AQR Emerging Momentum Style Fund		n/a			0.80			1.05			0.70
AQR TM Large Cap Momentum Style Fund		n/a			0.49			0.74			0.39
AQR TM Small Cap Momentum Style Fund		n/a			0.65			0.90			0.55
AQR TM International Momentum Style Fund		n/a			0.65			0.90			0.55
AQR Large Cap Defensive Style Fund		0.49	%		n/a			0.74			0.39
AQR International Defensive Style Fund		0.65			n/a			0.90			0.55
AQR Emerging Defensive Style Fund		0.80			n/a			1.05			0.70
AQR Global Equity Fund		0.90			n/a			1.15			0.70
AQR International Equity Fund		0.95			n/a			1.20			0.75

Prior to January 29, 2015, the Fee Waiver for the AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund was as follows:

FUND	CLASS I			CLASS L			CLASS N			CLASS R6
AQR TM Large Cap Momentum Style Fund		n/a			0.54	%		0.79	%		0.44	%
AQR TM Small Cap Momentum Style Fund		n/a			0.70			0.95			0.60
AQR TM International Momentum Style Fund		n/a			0.70			0.95			0.60
AQR Global Equity Fund		0.90	%		n/a			1.20			0.70
AQR International Equity Fund		0.95			n/a			1.25			0.75

For the period ended September 30, 2015 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY AND SHAREHOLDER SERVICES FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Large Cap Multi-Style Fund	$	415,132	$	—	$	415,132
AQR Small Cap Multi-Style Fund		127,612		7,673		135,285
AQR International Multi-Style Fund		259,362		—		259,362
AQR Emerging Multi-Style Fund		226,021		65,425		291,446
AQR TM Large Cap Multi-Style Fund		29,164		90,723		119,887
AQR TM Small Cap Multi-Style Fund		8,007		95,621		103,628
AQR TM International Multi-Style Fund		91,210		79,438		170,648
AQR TM Emerging Multi-Style Fund		43,991		113,263		157,254
AQR Large Cap Momentum Style Fund		537,386		—		537,386
AQR Small Cap Momentum Style Fund		224,836		9,144		233,980
AQR International Momentum Style Fund		263,966		273		264,239
AQR Emerging Momentum Style Fund		53,534		143,800		197,334
AQR TM Large Cap Momentum Style Fund		185,193		—		185,193
AQR TM Small Cap Momentum Style Fund		93,659		41,300		134,959
AQR TM International Momentum Style Fund		186,218		—		186,218
AQR Large Cap Defensive Style Fund		185,988		—		185,988
AQR International Defensive Style Fund		140,400		23,535		163,935
AQR Emerging Defensive Style Fund		251,856		—		251,856
AQR Global Equity Fund		3,417		—		3,417

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.

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Notes to Financial Statements September 30, 2015

For the period ended September 30, 2015, 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, 2015 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2015		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2015		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					DECEMBER 31, 2015		SEPTEMBER 30, 2016		2017		2018
AQR LARGE CAP MULTI-STYLE FUND
Class I	$	222,262	$	432,416	$	—	$	81,226	$	128,928	$	222,262
Class N		26,152		67,346		—		21,410		19,784		26,152
Class R6		166,718		168,805		—		—		2,087		166,718
Totals	$	415,132	$	668,567	$	—	$	102,636	$	150,799	$	415,132
AQR SMALL CAP MULTI-STYLE FUND
Class I	$	100,459	$	249,923	$	—	$	58,782	$	90,682	$	100,459
Class N		23,999		107,536		—		45,218		38,319		23,999
Class R6		10,827		11,202		—		—		375		10,827
Totals	$	135,285	$	368,661	$	—	$	104,000	$	129,376	$	135,285
AQR INTERNATIONAL MULTI-STYLE FUND
Class I	$	54,356	$	286,119	$	—	$	85,481	$	146,282	$	54,356
Class N		5,425		63,894		—		35,097		23,372		5,425
Class R6		199,581		204,397		—		—		4,816		199,581
Totals	$	259,362	$	554,410	$	—	$	120,578	$	174,470	$	259,362
AQR EMERGING MULTI-STYLE FUND
Class I	$	109,345	$	204,238	$	—	$	—	$	94,893	$	109,345
Class N		21,247		42,569		—		—		21,322		21,247
Class R6		160,854		161,731		—		—		877		160,854
Totals	$	291,446	$	408,538	$	—	$	—	$	117,092	$	291,446
AQR TM LARGE CAP MULTI-STYLE FUND
Class I	$	11,715	$	11,715	$	—	$	—	$	—	$	11,715
Class N		1,613		1,613		—		—		—		1,613
Class R6		106,559		106,559		—		—		—		106,559
Totals	$	119,887	$	119,887	$	—	$	—	$	—	$	119,887
AQR TM SMALL CAP MULTI-STYLE FUND
Class I	$	20,360	$	20,360	$	—	$	—	$	—	$	20,360
Class N		4,999		4,999		—		—		—		4,999
Class R6		78,269		78,269		—		—		—		78,269
Totals	$	103,628	$	103,628	$	—	$	—	$	—	$	103,628
AQR TM INTERNATIONAL MULTI-STYLE FUND
Class I	$	8,706	$	8,706	$	—	$	—	$	—	$	8,706
Class N		1,708		1,708		—		—		—		1,708
Class R6		160,234		160,234		—		—		—		160,234
Totals	$	170,648	$	170,648	$	—	$	—	$	—	$	170,648
AQR TM EMERGING MULTI-STYLE FUND
Class I	$	26,558	$	26,558	$	—	$	—	$	—	$	26,558
Class N		15,945		15,945		—		—		—		15,945
Class R6		114,751		114,751		—		—		—		114,751
Totals	$	157,254	$	157,254	$	—	$	—	$	—	$	157,254

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Notes to Financial Statements September 30, 2015

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2015		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2015		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					DECEMBER 31, 2015		SEPTEMBER 30, 2016		2017		2018
AQR LARGE CAP MOMENTUM STYLE FUND
Class I	$	466,807	$	1,573,245	$	334,720	$	268,782	$	502,936	$	466,807
Class N		54,401		168,744		1,156		49,723		63,464		54,401
Class R6		16,178		16,198		—		—		20		16,178
Totals	$	537,386	$	1,758,187	$	335,876	$	318,505	$	566,420	$	537,386
AQR SMALL CAP MOMENTUM STYLE FUND
Class I	$	202,352	$	390,878	$	74,142	$	48,178	$	66,206	$	202,352
Class N		5,430		25,083		520		11,973		7,160		5,430
Class R6		26,198		26,215		—		—		17		26,198
Totals	$	233,980	$	442,176	$	74,662	$	60,151	$	73,383	$	233,980
AQR INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	211,033	$	635,456	$	140,213	$	121,275	$	162,935	$	211,033
Class N		36,615		98,509		520		20,883		40,491		36,615
Class R6		16,591		16,610		—		—		19		16,591
Totals	$	264,239	$	750,575	$	140,733	$	142,158	$	203,445	$	264,239
AQR EMERGING MOMENTUM STYLE FUND
Class I	$	168,054	$	270,981	$	—	$	—	$	102,927	$	168,054
Class N		27,088		47,074		—		—		19,986		27,088
Class R6		2,192		3,364		—		—		1,172		2,192
Totals	$	197,334	$	321,419	$	—	$	—	$	124,085	$	197,334
AQR TM LARGE CAP MOMENTUM STYLE FUND
Class I	$	132,303	$	432,460	$	123,116	$	75,506	$	101,535	$	132,303
Class N		164		3,654		61		2,381		1,048		164
Class R6		52,726		52,779		—		—		53		52,726
Totals	$	185,193	$	488,893	$	123,177	$	77,887	$	102,636	$	185,193
AQR TM SMALL CAP MOMENTUM STYLE FUND
Class I	$	133,375	$	451,334	$	127,875	$	80,939	$	109,145	$	133,375
Class N		854		5,922		52		3,096		1,920		854
Class R6		730		964		—		—		234		730
Totals	$	134,959	$	458,220	$	127,927	$	84,035	$	111,299	$	134,959
AQR TM INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	122,477	$	508,785	$	160,934	$	101,643	$	123,731	$	122,477
Class N		264		4,314		63		2,878		1,109		264
Class R6		63,477		63,552		—		—		75		63,477
Totals	$	186,218	$	576,651	$	160,997	$	104,521	$	124,915	$	186,218

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Notes to Financial Statements September 30, 2015

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2015		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2015		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					DECEMBER 31, 2015		SEPTEMBER 30, 2016		2017		2018
AQR LARGE CAP DEFENSIVE STYLE FUND
Class I	$	162,616	$	620,984	$	65,338	$	141,173	$	251,857	$	162,616
Class N		23,255		137,719		38,829		30,923		44,712		23,255
Class R6		117		128		—		—		11		117
Totals	$	185,988	$	758,831	$	104,167	$	172,096	$	296,580	$	185,988
AQR INTERNATIONAL DEFENSIVE STYLE FUND
Class I	$	162,417	$	505,109	$	79,941	$	119,897	$	142,854	$	162,417
Class N		1,033		81,561		43,475		24,012		13,041		1,033
Class R6		485		536		—		—		51		485
Totals	$	163,935	$	587,206	$	123,416	$	143,909	$	155,946	$	163,935
AQR EMERGING DEFENSIVE STYLE FUND
Class I	$	250,006	$	642,243	$	91,760	$	107,052	$	193,425	$	250,006
Class N		1,479		81,534		32,715		30,375		16,965		1,479
Class R6		371		420		—		—		49		371
Totals	$	251,856	$	724,197	$	124,475	$	137,427	$	210,439	$	251,856
AQR GLOBAL EQUITY FUND
Class I	$	—	$	19,665	$	5,464	$	9,725	$	4,476	$	—
Class N		—		23,058		9,936		8,886		4,236		—
Class R6		3,417		19,196		—		—		15,779		3,417
Class Y		—		—		—		—		—		—
Totals	$	3,417	$	61,919	$	15,400	$	18,611	$	24,491	$	3,417

During the period ended September 30, 2015, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N
AQR Global Equity Fund	$	4,392	$	110

JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent, Custodian and Security Lending Agent.

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

9. Distribution Plan

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

10. Shareholder Servicing Agreements

Pursuant to a Shareholder Services Agreement, between the Trust and the Advisor, the Advisor provides certain administrative and/or support services to the AQR Global Equity Fund and AQR International Equity Fund and their shareholders. These services include, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as

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Notes to Financial Statements September 30, 2015

assisting in the distribution of shareholder communications, such as prospectus materials, shareholder reports and annual reports. 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 N			CLASS R6
AQR Global Equity Fund		0.30	%		0.30	%		0.20	%
AQR International Equity Fund		0.30			0.30			0.20

Effective April 1, 2015, the Trust, on behalf of each Style Fund, terminated the Shareholder Services Agreement with respect to each Style Fund. Prior to April 1, 2015, pursuant to the Shareholder Services Agreement, the Advisor received from the Style Funds 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			CLASS R6
AQR Large Cap Multi-Style Fund		n/a			0.15	%		0.15	%		0.15	%
AQR Small Cap Multi-Style Fund		n/a			0.15			0.15			0.15
AQR International Multi-Style Fund		n/a			0.15			0.15			0.15
AQR Emerging Multi-Style Fund		n/a			0.15			0.15			0.15
AQR TM Large Cap Multi-Style Fund		n/a			0.15			0.15			0.15
AQR TM Small Cap Multi-Style Fund		n/a			0.15			0.15			0.15
AQR TM International Multi-Style Fund		n/a			0.15			0.15			0.15
AQR TM Emerging Multi-Style Fund		n/a			0.15			0.15			0.15
AQR Large Cap Momentum Style Fund		n/a			0.15			0.15			0.15
AQR Small Cap Momentum Style Fund		n/a			0.15			0.15			0.15
AQR International Momentum Style Fund		n/a			0.15			0.15			0.15
AQR Emerging Momentum Style Fund		n/a			0.15			0.15			0.15
AQR TM Large Cap Momentum Style Fund		n/a			0.15			0.15			0.15
AQR TM Small Cap Momentum Style Fund		n/a			0.15			015			0.15
AQR TM International Momentum Style Fund		n/a			0.15			0.15			0.15
AQR Large Cap Defensive Style Fund		0.15	%		n/a			0.15			0.15
AQR International Defensive Style Fund		0.15			n/a			0.15			0.15
AQR Emerging Defensive Style Fund		0.15			n/a			0.15			0.15

Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended September 30, 2015, were as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Large Cap Multi-Style Fund	$	227,116	$	27,884	$	49,701
AQR Small Cap Multi-Style Fund		10,571		2,045		152
AQR International Multi-Style Fund		18,993		1,449		24,039
AQR Emerging Multi-Style Fund		11,693		2,113		1,040
AQR TM Large Cap Multi-Style Fund		77		20		433
AQR TM Small Cap Multi-Style Fund		23		20		359
AQR TM International Multi-Style Fund		57		20		642
AQR TM Emerging Multi-Style Fund		224		197		634
AQR Large Cap Momentum Style Fund		737,179		61,431		4,755
AQR Small Cap Momentum Style Fund		253,628		6,078		259
AQR International Momentum Style Fund		207,953		30,279		2,682
AQR Emerging Momentum Style Fund		5,051		874		70
AQR TM Large Cap Momentum Style Fund		81,291		111		7,011
AQR TM Small Cap Momentum Style Fund		12,964		99		76
AQR TM International Momentum Style Fund		43,884		82		4,030
AQR Large Cap Defensive Style Fund		133,037		16,131		80
AQR International Defensive Style Fund		21,596		145		71
AQR Emerging Defensive Style Fund		61,495		473		67
AQR Global Equity Fund		27,724		3,693		159,017
AQR International Equity Fund		904,513		117,649		129,680

11. Capital Transactions

Investors may purchase shares of a Fund at its 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 purchase and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds

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Notes to Financial Statements September 30, 2015

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 L and Class N Shares.

12. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

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Notes to Financial Statements September 30, 2015

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Advisor relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

13. Line of Credit

Effective February 27, 2015 and terminating on February 26, 2016, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. For the period ended September 30, 2015, the maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and did not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. The line of credit is in the amount of $225,000,000. Prior to February 27, 2015, the line of credit available was $200,000,000, subject to substantially similar terms.

Average borrowings under the agreement during the period ended September 30, 2015 were as follows:

FUND	AVERAGE BORROWINGS		AVERAGE INTEREST RATE %			NUMBER OF DAYS OUTSTANDING		INTEREST PAID
AQR Large Cap Momentum Style Fund	$	10,000,000		1.17	%		3	$	972
AQR Small Cap Momentum Style Fund		6,000,000		1.17			3		583
AQR TM International Momentum Style Fund		500,000		1.17			5		81
AQR Large Cap Defensive Style Fund		4,000,000		1.17			3		389
AQR Emerging Defensive Style Fund		4,000,000		1.14			2		253

Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.

14. Principal Ownership

As of September 30, 2015, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Large Cap Multi-Style Fund		4		92	%
AQR Small Cap Multi-Style Fund		5		93
AQR International Multi-Style Fund		4		96
AQR Emerging Multi-Style Fund		4		98
AQR TM Large Cap Multi-Style Fund*		5		94
AQR TM Small Cap Multi-Style Fund*		2		94
AQR TM International Multi-Style Fund		4		92
AQR TM Emerging Multi-Style Fund*		5		92
AQR Large Cap Momentum Style Fund		3		74

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214

Notes to Financial Statements September 30, 2015

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Small Cap Momentum Style Fund		3		84	%
AQR International Momentum Style Fund		3		94
AQR Emerging Momentum Style Fund*		4		90
AQR TM Large Cap Momentum Style Fund		3		98
AQR TM Small Cap Momentum Style Fund		3		98
AQR TM International Momentum Style Fund		3		100
AQR Large Cap Defensive Style Fund		5		96
AQR International Defensive Style Fund		3		96
AQR Emerging Defensive Style Fund		2		86
AQR Global Equity Fund		3		83
AQR International Equity Fund		4		71

* The percentage shown is owned by the Advisor and/or affiliates.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ Performance.

15. New Accounting Pronouncements

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”), which expands the existing secured borrowing accounting for certain repurchase agreements and sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare similar transactions accounted for as secured borrowings. The Funds are required to apply ASU 2014-11 for annual reporting periods beginning on or after December 15, 2014, and interim periods within those fiscal years. Management has evaluated the impact and does not believe the adoption will have a material impact on the Funds’ financial statements.

In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820)—Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”). The amendment removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the Net Asset Value per Share practical expedient. The Funds are required to apply ASU 2015-07 for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Management is currently evaluating the impact of ASU 2015-07.

16. Subsequent Events

A distribution was made on November 10, 2015, to distribute to shareholders of the AQR Global Equity Fund a portion of their income and capital gains, in anticipation of a large shareholder redemption. Management has determined that the redemption will have no impact on the ongoing operations of the AQR Global Equity Fund.

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events, other than noted above.

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215

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 the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund (twenty of the portfolios constituting AQR Funds, hereinafter referred to as the “Funds”) at September 30, 2015, and the results of each of their operations, the changes in each of their net assets and their 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, 2015 by correspondence with the custodian and 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 19, 2015

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216

Other Federal Tax Information (Unaudited)

For the fiscal year ended September 30, 2015, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:

FUND	PERCENTAGE
AQR Large Cap Multi-Style Fund		100.00	%
AQR Small Cap Multi-Style Fund		100.00	%
AQR International Multi-Style Fund		100.00	%
AQR Large Cap Momentum Style Fund		57.43	%
AQR Small Cap Momentum Style Fund		39.21	%
AQR International Momentum Style Fund		100.00	%
AQR Emerging Momentum Style Fund		100.00	%
AQR TM Large Cap Momentum Style Fund		100.00	%
AQR TM Small Cap Momentum Style Fund		100.00	%
AQR TM International Momentum Style Fund		100.00	%
AQR Large Cap Defensive Style Fund		61.11	%
AQR International Defensive Style Fund		100.00	%
AQR Emerging Defensive Style Fund		78.34	%
AQR Global Equity Fund		100.00	%
AQR International Equity Fund		93.07	%

For the fiscal year ended September 30, 2015, the following percentages of income dividends paid by the Fund qualify for the dividends received deductions available to corporations:

FUND	PERCENTAGE
AQR Large Cap Multi-Style Fund		64.72	%
AQR Small Cap Multi-Style Fund		73.88	%
AQR Emerging Multi-Style Fund		0.95	%
AQR Large Cap Momentum Style Fund		41.22	%
AQR Small Cap Momentum Style Fund		29.69	%
AQR International Momentum Style Fund		0.03	%
AQR Emerging Momentum Style Fund		0.14	%
AQR TM Large Cap Momentum Style Fund		75.62	%
AQR TM Small Cap Momentum Style Fund		100.00	%
AQR Large Cap Defensive Style Fund		73.60	%
AQR Emerging Defensive Style Fund		1.29	%
AQR Global Equity Fund		59.42	%

The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended September 30, 2015:

FUND	TOTAL
AQR Large Cap Multi-Style Fund	$	672,488
AQR Small Cap Multi-Style Fund	$	88,141
AQR International Multi-Style Fund	$	78,371
AQR Large Cap Momentum Style Fund	$	73,639,636
AQR Small Cap Momentum Style Fund	$	28,285,487
AQR International Momentum Style Fund	$	3,582,058
AQR TM Large Cap Momentum Style Fund	$	1,207,604
AQR TM Small Cap Momentum Style Fund	$	546,861
AQR TM International Momentum Style Fund	$	271,835
AQR Large Cap Defensive Style Fund	$	2,527,136
AQR International Defensive Style Fund	$	486,716
AQR Global Equity Fund	$	24,653,244
AQR International Equity Fund	$	37,535,197

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217

Other Federal Tax Information (Unaudited)

Certain Funds have derived net income from sources within foreign countries. For the year ended September 30, 2015, the foreign source income for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Multi-Style Fund	$	5,648,346	$	0.2016
AQR Emerging Multi-Style Fund	$	4,752,434	$	0.2061
AQR TM International Multi-Style Fund	$	711,866	$	0.1498
AQR TM Emerging Multi-Style Fund	$	311,017	$	0.1344
AQR International Momentum Style Fund	$	9,430,717	$	0.3856
AQR Emerging Momentum Style Fund	$	253,769	$	0.2688
AQR TM International Momentum Style Fund	$	1,814,956	$	0.2957
AQR International Defensive Style Fund	$	1,006,995	$	0.3205
AQR Emerging Defensive Style Fund	$	1,833,780	$	0.5507
AQR International Equity Fund	$	25,178,720	$	0.3375

Certain Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries. For the year ended September 30, 2015, the foreign taxes paid for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Multi-Style Fund	$	430,936	$	0.0154
AQR Emerging Multi-Style Fund	$	475,359	$	0.0206
AQR TM International Multi-Style Fund	$	70,123	$	0.0148
AQR TM Emerging Multi-Style Fund	$	32,707	$	0.0141
AQR International Momentum Style Fund	$	820,209	$	0.0335
AQR Emerging Momentum Style Fund	$	27,349	$	0.0290
AQR TM International Momentum Style Fund	$	167,190	$	0.0272
AQR International Defensive Style Fund	$	76,048	$	0.0242
AQR Emerging Defensive Style Fund	$	181,566	$	0.0545
AQR International Equity Fund	$	1,822,597	$	0.0244

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218

Fund Expense Examples (Unaudited)

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

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 9/30/15” 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 9/30/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/15
AQR Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$938.40		0.45	%		$2.19
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
Class N
Actual Return		$1,000.00		$936.80		0.70	%		$3.40
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class R6
Actual Return		$1,000.00		$939.10		0.35	%		$1.70
Hypothetical Return		$1,000.00		$1,023.31		0.35	%		$1.78
AQR Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$901.80		0.64	%		$3.05
Hypothetical Return		$1,000.00		$1,021.86		0.64	%		$3.24
Class N
Actual Return		$1,000.00		$900.10		0.90	%		$4.29
Hypothetical Return		$1,000.00		$1,020.56		0.90	%		$4.56
Class R6
Actual Return		$1,000.00		$901.80		0.55	%		$2.62
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79

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219

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/15
AQR International Multi-Style Fund
Class I
Actual Return		$1,000.00		$922.30		0.60	%		$2.89
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$921.40		0.85	%		$4.09
Hypothetical Return		$1,000.00		$1,020.81		0.85	%		$4.31
Class R6
Actual Return		$1,000.00		$922.20		0.50	%		$2.41
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54
AQR Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$828.10		0.74	%		$3.39
Hypothetical Return		$1,000.00		$1,021.36		0.74	%		$3.75
Class N
Actual Return		$1,000.00		$826.90		1.00	%		$4.58
Hypothetical Return		$1,000.00		$1,020.05		1.00	%		$5.06
Class R6
Actual Return		$1,000.00		$829.10		0.65	%		$2.98
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
AQR TM Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$940.10		0.45	%		$2.19
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
Class N
Actual Return		$1,000.00		$938.10		0.68	%		$3.30
Hypothetical Return		$1,000.00		$1,021.66		0.68	%		$3.45
Class R6
Actual Return		$1,000.00		$939.20		0.36	%		$1.75
Hypothetical Return		$1,000.00		$1,023.26		0.36	%		$1.83
AQR TM Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$895.00		0.65	%		$3.09
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class N
Actual Return		$1,000.00		$894.10		0.90	%		$4.27
Hypothetical Return		$1,000.00		$1,020.56		0.90	%		$4.56
Class R6
Actual Return		$1,000.00		$895.10		0.55	%		$2.61
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
AQR TM International Multi-Style Fund
Class I
Actual Return		$1,000.00		$920.70		0.60	%		$2.89
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$919.70		0.79	%		$3.80
Hypothetical Return		$1,000.00		$1,021.11		0.79	%		$4.00
Class R6
Actual Return		$1,000.00		$920.70		0.51	%		$2.46
Hypothetical Return		$1,000.00		$1,022.51		0.51	%		$2.59

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220

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/15
AQR TM Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$831.00		0.76	%		$3.49
Hypothetical Return		$1,000.00		$1,021.26		0.76	%		$3.85
Class N
Actual Return		$1,000.00		$830.80		1.01	%		$4.64
Hypothetical Return		$1,000.00		$1,020.00		1.01	%		$5.11
Class R6
Actual Return		$1,000.00		$832.00		0.66	%		$3.03
Hypothetical Return		$1,000.00		$1,021.76		0.66	%		$3.35
AQR Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$935.80		0.40	%		$1.94
Hypothetical Return		$1,000.00		$1,023.06		0.40	%		$2.03
Class N
Actual Return		$1,000.00		$934.80		0.65	%		$3.15
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class R6
Actual Return		$1,000.00		$936.60		0.30	%		$1.46
Hypothetical Return		$1,000.00		$1,023.56		0.30	%		$1.52
AQR Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$884.30		0.60	%		$2.83
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$883.30		0.85	%		$4.01
Hypothetical Return		$1,000.00		$1,020.81		0.85	%		$4.31
Class R6
Actual Return		$1,000.00		$884.60		0.50	%		$2.36
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54
AQR International Momentum Style Fund
Class I
Actual Return		$1,000.00		$917.50		0.55	%		$2.64
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$916.60		0.80	%		$3.84
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$918.10		0.45	%		$2.16
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
AQR Emerging Momentum Style Fund
Class I
Actual Return		$1,000.00		$841.60		0.71	%		$3.28
Hypothetical Return		$1,000.00		$1,021.51		0.71	%		$3.60
Class N
Actual Return		$1,000.00		$839.60		0.96	%		$4.43
Hypothetical Return		$1,000.00		$1,020.26		0.96	%		$4.86
Class R6
Actual Return		$1,000.00		$841.80		0.61	%		$2.82
Hypothetical Return		$1,000.00		$1,022.01		0.61	%		$3.09

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221

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/15
AQR TM Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$937.30		0.40	%		$1.94
Hypothetical Return		$1,000.00		$1,023.06		0.40	%		$2.03
Class N
Actual Return		$1,000.00		$936.60		0.51	%		$2.48
Hypothetical Return		$1,000.00		$1,022.51		0.51	%		$2.59
Class R6
Actual Return		$1,000.00		$937.80		0.30	%		$1.46
Hypothetical Return		$1,000.00		$1,023.56		0.30	%		$1.52
AQR TM Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$894.00		0.60	%		$2.85
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$893.00		0.80	%		$3.80
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$894.00		0.50	%		$2.37
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54
AQR TM International Momentum Style Fund
Class I
Actual Return		$1,000.00		$920.50		0.55	%		$2.65
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$919.70		0.64	%		$3.08
Hypothetical Return		$1,000.00		$1,021.86		0.64	%		$3.24
Class R6
Actual Return		$1,000.00		$920.50		0.45	%		$2.17
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
AQR Large Cap Defensive Style Fund
Class I
Actual Return		$1,000.00		$981.90		0.40	%		$1.99
Hypothetical Return		$1,000.00		$1,023.06		0.40	%		$2.03
Class N
Actual Return		$1,000.00		$981.20		0.65	%		$3.23
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class R6
Actual Return		$1,000.00		$982.50		0.30	%		$1.49
Hypothetical Return		$1,000.00		$1,023.56		0.30	%		$1.52
AQR International Defensive Style Fund
Class I
Actual Return		$1,000.00		$927.20		0.55	%		$2.66
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$926.40		0.80	%		$3.86
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$927.90		0.45	%		$2.17
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/15
AQR Emerging Defensive Style Fund
Class I
Actual Return		$1,000.00		$861.50		0.70	%		$3.27
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class N
Actual Return		$1,000.00		$860.70		0.95	%		$4.43
Hypothetical Return		$1,000.00		$1,020.31		0.95	%		$4.81
Class R6
Actual Return		$1,000.00		$862.40		0.61	%		$2.85
Hypothetical Return		$1,000.00		$1,022.01		0.61	%		$3.09
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$924.20		0.90	%		$4.34
Hypothetical Return		$1,000.00		$1,020.56		0.90	%		$4.56
Class N
Actual Return		$1,000.00		$923.50		1.15	%		$5.55
Hypothetical Return		$1,000.00		$1,019.30		1.15	%		$5.82
Class R6
Actual Return		$1,000.00		$925.70		0.70	%		$3.38
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class Y
Actual Return		$1,000.00		$926.90		0.49	%		$2.37
Hypothetical Return		$1,000.00		$1,022.61		0.49	%		$2.48
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$924.90		0.93	%		$4.49
Hypothetical Return		$1,000.00		$1,020.41		0.93	%		$4.71
Class N
Actual Return		$1,000.00		$923.40		1.20	%		$5.79
Hypothetical Return		$1,000.00		$1,019.05		1.20	%		$6.07
Class R6
Actual Return		$1,000.00		$925.30		0.75	%		$3.62
Hypothetical Return		$1,000.00		$1,021.31		0.75	%		$3.80
Class Y
Actual Return		$1,000.00		$926.30		0.55	%		$2.66
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79

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 2015

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Trustees and Officers (Unaudited) September 30, 2015

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 3rd Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948	Chairman of the Board, since 2010 and Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (2009 to 2010) (financial services)	41	Janus Capital Group (since 2008); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950	Trustee, since 2008	Managing Director, Finance Scholars Group (2010 to 2014) (consulting); Managing Director and Owner, LJM Advisory (2008-2010) (consulting)	41	Nuveen Exchange Traded Commodities Funds (since 2012)
William L. Atwell, M.B.A., 1950	Trustee, since 2011	Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008 to 2012) (insurance)	41	Webster Financial Corporation (since 2014)
Gregg D. Behrens, M.M., 1952	Trustee, since 2011	Retired from Northern Trust Company (since 2009) banking)	41	None
Brian Posner, M.B.A., 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting)	41	Biogen Idec (since 2008); Arch Capital Group (since 2010); BG Medicine (2012- 2015); RiverPark Funds Trust (2010 to 2012)
Mark. A. Zurack, M.B.A., CFA 1957	Trustee, since 2014	Adjunct Professor and Executive-in- Residence, Columbia Business School (since 2002)	41	Exchange Traded Concepts Trust (since 2011); Source ETF Trust (since 2014)
Interested Trustees3
David Kabiller, CFA, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)	41	None
Marco Hanig, Ph.D., 1958	Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008)	41	None
Officers
H.J. Willcox, J.D., 1966	Chief Compliance Officer, since 2013	Managing Director and Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel KKR & Co., L.P. (2008-2013)	N/A	N/A
Heather Bonner, CPA, 1977	Chief Financial Officer, since 2014	Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)	N/A	N/A

AQR Funds Annual Report September 2015

224

Trustees and Officers (Unaudited) September 30, 2015

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)
Gregory McNeil, M.S./M.B.A., CPA, 1975	Vice President and Treasurer, since 2015	Vice President, AQR Capital Management, LLC (since 2015); Assistant Treasurer at Franklin Templeton Investments (2010-2015)	N/A	N/A
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
Brendan R. Kalb, J.D. 1975	Executive Vice President, since 2009; Secretary, since 2008	Managing Director and General Counsel, AQR Capital Management, LLC (since 2004)	N/A	N/A
Nicole DonVito, J.D. 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A

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

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

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Advisor.

AQR Funds Annual Report September 2015

225

Investment Advisor

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

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

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

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

a). As of the end of the period, September 30, 2015, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2015 (“Reporting Period”).

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

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended September 30, 2014 and September 30, 2015 were:

	2014		2015
Audit Fees (a)	$	520,830	$	647,820
Audit Related Fees (b)	$	104,000	$	5,500
Tax Fees (c)	$	159,100	$	241,626
All Other Fees (d)	$	0	$	0
Total:	$	783,930	$	894,946

(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 September 30, 2014 and September 30, 2015 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2014 and September 30, 2015 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and 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 September 30, 2014 and September 30, 2015: $350,024 and $414,999, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark Zurack, 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 internal control over financial reporting.

Item 12. Exhibits.

(a)(1)	The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

November 25, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

November 25, 2015

By: /s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

November 25, 2015