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)

William J. Fenrich, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

                    Greenwich, CT 06830                            

(Name and Address of Agent for Service)

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

Date of fiscal year end: September 30

Date of reporting period: October 1, 2017 to September 30, 2018

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, 2018

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

AQR Large Cap Relaxed Constraint Equity Fund

AQR Small Cap Relaxed Constraint Equity Fund

AQR International Relaxed Constraint Equity Fund

AQR Emerging Relaxed Constraint Equity Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Large Cap Multi-Style Fund	2
AQR Small Cap Multi-Style Fund	4
AQR International Multi-Style Fund	6
AQR Emerging Multi-Style 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	18
AQR Small Cap Momentum Style Fund	20
AQR International Momentum Style Fund	22
AQR Emerging Momentum Style Fund	24
AQR TM Large Cap Momentum Style Fund	26
AQR TM Small Cap Momentum Style Fund	28
AQR TM International Momentum Style Fund	30
AQR Large Cap Defensive Style Fund	32
AQR International Defensive Style Fund	34
AQR Emerging Defensive Style Fund	36
AQR Global Equity Fund	38
AQR International Equity Fund	41
AQR Large Cap Relaxed Constraint Equity Fund	44
AQR Small Cap Relaxed Constraint Equity Fund	46
AQR International Relaxed Constraint Equity Fund	48
AQR Emerging Relaxed Constraint Equity Fund	50
Schedule of Investments
AQR Large Cap Multi-Style Fund	52
AQR Small Cap Multi-Style Fund	56
AQR International Multi-Style Fund	64
AQR Emerging Multi-Style Fund	68
AQR TM Large Cap Multi-Style Fund	73
AQR TM Small Cap Multi-Style Fund	78
AQR TM International Multi-Style Fund	86
AQR TM Emerging Multi-Style Fund	91
AQR Large Cap Momentum Style Fund	96
AQR Small Cap Momentum Style Fund	103
AQR International Momentum Style Fund	113
AQR Emerging Momentum Style Fund	120
AQR TM Large Cap Momentum Style Fund	125
AQR TM Small Cap Momentum Style Fund	131
AQR TM International Momentum Style Fund	141
AQR Large Cap Defensive Style Fund	147
AQR International Defensive Style Fund	152
AQR Emerging Defensive Style Fund	158
AQR Global Equity Fund	163
AQR International Equity Fund	172
AQR Large Cap Relaxed Constraint Equity Fund	181
AQR Small Cap Relaxed Constraint Equity Fund	188
AQR International Relaxed Constraint Equity Fund	197
AQR Emerging Relaxed Constraint Equity Fund	204
Financial Statements and Notes	213
Report of Independent Registered Public Accounting Firm	302
Other Federal Tax Information (unaudited)	303
Fund Expense Examples (unaudited)	305
Trustees and Officers (unaudited)	311

Shareholder Letter (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 quality. 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 Quality styles.

For the one year period ended September 30, 2018, the Fund’s Class I returned 14.11% while the Russell 1000^® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.6%) and consumer discretionary (-0.9%) sectors, and was partially offset by positive performance within financials (0.6%).

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (4.3%) and financials (1.9%), while the portfolio was underweight energy (-3.2%) and health care (-1.7%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR LARGE CAP MULTI-STYLE FUND
	1 Year		3 year		5 year		Since Inception		Date of Inception
Fund - Class I: QCELX		14.11%		14.07%		12.50%		13.38%		3/26/2013
Fund - Class N: QCENX		13.83%		13.80%		12.22%		13.12%		3/26/2013
Fund - Class R6: QCERX		14.20%		14.19%		N/A		9.98%		7/10/2014
Russell 1000® Index Total Return		17.76%

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 0.45%, 0.71% and 0.36%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

3

Shareholder Letter (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 quality. 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 Quality styles.

For the one year period ended September 30, 2018, the Fund’s Class I returned 9.18% while the Russell 2000^® Total Return Index (the “Benchmark”) returned 15.24%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.9%) and consumer discretionary (-1.5%) sectors, and was partially offset by positive performance within financials (0.9%).

Over the course of the period, the Fund’s largest active positions included sector overweights to consumer discretionary (3.9%) and consumer staples (2.2%); the portfolio was underweight health care (-2.6%) and utilities (-2.1%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR SMALL CAP MULTI-STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QSMLX		9.18%		13.62%		9.27%		11.81%		3/26/2013
Fund - Class N: QSMNX		8.94%		13.36%		8.98%		11.52%		3/26/2013
Fund - Class R6: QSERX		9.34%		13.74%		N/A		8.62%		7/10/2014
Russell 2000® Total Return Index		15.24%

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 0.70%, 0.95% and 0.60%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

5

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 quality. 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 Quality styles.

For the one year period ended September 30, 2018, the Fund’s Class I returned 0.81% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.67%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.0%) and industrials (-0.6%) sectors, and was partially offset by positive performance within energy (0.7%).

Over the course of the period, the Fund’s largest active positions included sector overweights to the information technology (3.9%) and consumer discretionary (2.8%) sectors; the portfolio was underweight financials (-3.4%) and consumer staples (-2.1%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR INTERNATIONAL MULTI-STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QICLX		0.81%		7.10%		2.82%		4.81%		3/26/2013
Fund - Class N: QICNX		0.43%*		6.77%		2.53%		4.53%		3/26/2013
Fund - Class R6: QICRX		0.82%*		7.17%		N/A		1.84%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		2.67%

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 0.65%, 0.91% and 0.56%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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.

* 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 9/30/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

** 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 2018

7

Shareholder Letter (Unaudited)

AQR EMERGING MULTI-STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and midcap emerging countries’ companies that have positive momentum and strong quality. 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 Quality styles.

For the one year period ended September 30, 2018, the Fund’s Class I returned -3.48% while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -0.81%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-0.9%) and energy (-0.7%) sectors. The Fund’s performance was positively impacted by positioning across sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (3.2%) and materials (2.4%); the portfolio was underweight financials (-4.6%) and consumer staples (-1.9%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR EMERGING MULTI-STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QEMLX		-3.48%		9.71%		1.98%		5/13/2014
Fund - Class N: QEMNX		-3.58%		9.44%		1.76%		5/13/2014
Fund - Class R6: QECRX		-3.29%		9.82%		1.05%		7/10/2014
MSCI Daily TR Net Emerging Market Index**		-0.81%

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 0.89%, 1.14% and 0.79%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

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 quality. 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 Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned 14.86% while the Russell 1000^® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.4%) and consumer discretionary (-0.7%) sectors, and was partially offset by positive performance within energy (0.6%).

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (3.8%) and utilities (2.0%); the portfolio was underweight energy (-2.9%) and telecommunication services (-1.7%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM LARGE CAP MULTI-STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QTLLX		14.86%		14.49%		10.00%		2/11/2015
Fund - Class N: QTLNX		14.57%		14.18%		9.69%		2/11/2015
Fund - Class R6: QTLRX		15.03%		14.61%		10.10%		2/11/2015
Russell 1000® Index Total Return		17.76%

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 0.54%, 0.79% and 0.44%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

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 quality. 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 Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned 10.23% while the Russell 2000^® Total Return Index (the “Benchmark”) returned 15.24%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.9%) and health care (-1.2%) sectors, and was partially offset by positive performance within financials (1.1%).

Over the course of the period, the Fund’s largest active positions included sector overweights to consumer discretionary (4.1%) and financials (2.0%); the portfolio was underweight health care (-2.5%) and energy (-1.9%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM SMALL CAP MULTI-STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QSSLX		10.23%		13.51%		8.55%		2/11/2015
Fund - Class N: QSSNX		10.00%		13.22%		8.28%		2/11/2015
Fund - Class R6: QSSRX		10.30%		13.61%		8.66%		2/11/2015
Russell 2000® Total Return Index		15.24%

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 1.24%, 1.48% and 1.14%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

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 quality. 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 Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned 1.39% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.67%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.1%) and consumer discretionary (-0.7%) sectors, and was partially offset by positive performance within energy (0.9%) and financials (0.5%).

Over the course of the period, the Fund’s largest active positions included sector overweights to the information technology (3.6%) and consumer discretionary (3.1%); the portfolio was underweight financials (-2.8%) and consumer staples (-2.2%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM INTERNATIONAL MULTI-STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QIMLX		1.39%		7.56%		4.41%		2/11/2015
Fund - Class N: QIMNX		1.17%		7.30%		4.17%		2/11/2015
Fund - Class R6: QIMRX		1.56%		7.69%		4.54%		2/11/2015
MSCI Daily TR Net World Ex USA Index**		2.67%

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 0.71%, 0.97% and 0.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

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 quality. 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 Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned -3.35% while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -0.81%. The Fund’s underperformance was driven primarily by stock selection within the consumer discretionary (-0.9%) and energy (-0.7%) sectors, and was partially offset by positive performance within financials (1.0%). The Fund’s performance was positively impacted by positioning across sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (3.0%) and materials (2.0%); the portfolio was underweight financials (-3.0%) and consumer staples (-2.3%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM EMERGING MULTI-STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QTELX		-3.35%		10.01%		2.82%		2/11/2015
Fund - Class N: QTENX		-3.70%		9.71%		2.55%		2/11/2015
Fund - Class R6: QTERX		-3.27%		10.07%		2.90%		2/11/2015
MSCI Daily TR Net Emerging Market Index**		-0.81%

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 0.86%, 1.12% and 0.77%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

17

Shareholder Letter (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 the one year period ended September 30, 2018, the Fund’s Class I returned 23.94% while the Russell 1000^® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s outperformance was driven primarily by stock selection within the consumer discretionary (1.0%) and health care (0.9%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to the information technology (12.6%) and industrials (2.0%) sectors; the portfolio was underweight consumer staples (-4.8%) and energy (-3.6%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR LARGE CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AMOMX		23.94%		17.03%		13.41%		15.92%		7/9/2009
Fund - Class N: AMONX		23.61%		16.74%		13.13%		15.21%		12/17/2012
Fund - Class R6: QMORX		24.06%		17.14%		N/A		11.95%		7/10/2014
Russell 1000® Index Total Return		17.76%

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 0.41%, 0.66% and 0.31%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

19

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 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 the one year period ended September 30, 2018, the Fund’s Class I returned 20.11% while the Russell 2000^® Total Return Index (the “Benchmark”) returned 15.24%. The Fund’s outperformance was driven primarily by stock selection within the information technology (1.2%) and health care (0.8%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (8.4%) and consumer discretionary (3.1%) sectors; the portfolio was underweight financials (-5.7%) and real estate (-4.5%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR SMALL CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ASMOX		20.11%		16.78%		10.68%		16.11%		7/9/2009
Fund - Class N: ASMNX		19.84%		16.51%		10.41%		14.74%		12/17/2012
Fund - Class R6: QSMRX		20.26%		16.89%		N/A		10.85%		7/10/2014
Russell 2000® Total Return Index		15.24%

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 0.64%, 0.86% and 0.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

21

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

The AQR International Momentum Style Fund (the “Fund”) invests in stocks of non-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 the one year period ended September 30, 2018, the Fund’s Class I returned 4.31% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.67%. The Fund’s outperformance was driven primarily by stock selection within the consumer staples (0.5%) and consumer discretionary (0.5%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (6.0%) and consumer discretionary (4.9%); the portfolio was underweight consumer staples (-4.5%) and financials (-4.2%). Notable active positions also included a country overweight to Japan (9.0%) and Hong Kong (2.4%) and an underweight to the United Kingdom (-4.9%) and Canada (-3.7%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR INTERNATIONAL MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AIMOX		4.31%		8.37%		2.98%		7.32%		7/9/2009
Fund - Class N: AIONX		4.02%		8.09%		2.72%		5.28%		12/17/2012
Fund - Class R6: QIORX		4.34%		8.47%		N/A		2.84%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		2.67%

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 0.63%, 0.88% and 0.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

23

Shareholder Letter (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 the one year period ended September 30, 2018, the Fund’s Class I returned -0.63% while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -0.81%. The Fund’s outperformance was driven primarily by stock selection within the financials (1.6%) and consumer discretionary (0.4%) sectors, while stock selection within the information technology sector detracted (-1.0%).

Over the course of the period, the Fund’s largest active positions included sector overweights to materials (3.6%) and health care (2.5%); the portfolio was underweight information technology (-6.9%) and telecommunication services (-3.3%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR EMERGING MOMENTUM STYLE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QEMLX		-0.63%		10.02%		2.51%		5/13/2014
Fund - Class N: QEMNX		-0.84%		9.77%		2.25%		5/13/2014
Fund - Class R6: QEMRX		-0.56%		10.09%		1.21%		7/10/2014
MSCI Daily TR Net Emerging Market Index**		-0.81%

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 2.54%, 2.75% and 2.45%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

25

Shareholder Letter (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 is not actively managed to outperform a growth, value or core benchmark. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned 24.87% while the Russell 1000^® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s outperformance was driven primarily by stock selection within the consumer discretionary (1.4%) and health care (1.4%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (11.2%) and industrials (1.9%); the portfolio was underweight consumer staples (-4.4%) and energy (-3.4%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM LARGE CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ATMOX		24.87%		16.93%		13.53%		15.52%		1/27/2012
Fund - Class N: ATMNX		24.53%		16.70%		13.27%		15.27%		12/17/2012
Fund - Class R6: QTMRX		25.00%		17.05%		N/A		12.01%		7/10/2014
Russell 1000® Index Total Return		17.76%

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%, 0.71% and 0.39%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

27

Shareholder Letter (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 employs a tax management strategy which considers the potential impact of taxes on investment return.

For the one year period ended September 30, 2018, the Fund’s Class I returned 18.75% while the Russell 2000^® Total Return Index (the “Benchmark”) returned 15.24%. The Fund’s outperformance was driven primarily by stock selection within the health care (0.7%) and financials (0.7%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (8.9%) and information technology (3.4%) sectors; the portfolio was underweight financials (-4.5%) and real estate (-3.9%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM SMALL CAP MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ATSMX		18.75%		16.52%		10.28%		14.40%		1/27/2012
Fund - Class N: ATSNX		18.43%		16.28%		10.03%		14.51%		12/17/2012
Fund - Class R6: QTSRX		18.85%		16.64%		N/A		10.86%		7/10/2014
Russell 2000® Total Return Index		15.24%

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 0.93%, 1.13% and 0.84%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

29

Shareholder Letter (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

Cliff Asness

Managing & Founding Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

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 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 the one year period ended September 30, 2018, the Fund’s Class I returned 2.93% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.67%. The Fund’s outperformance was driven primarily by stock selection within the consumer staples (0.3%) and energy (0.2%) sectors.

Over the course of the period, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology (6.9%) and consumer discretionary (2.6%); the portfolio was underweight consumer staples (-3.9%) and financials (-3.1%). Notable active positions also included a country overweight to Japan (8.9%) and Germany (1.8%) and an underweight to the United Kingdom (-4.1%) and France (-3.8%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR TM INTERNATIONAL MOMENTUM STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ATIMX		2.93%		7.76%		2.97%		6.83%		1/27/2012
Fund - Class N: ATNNX		2.75%		7.55%		2.77%		5.36%		12/17/2012
Fund - Class R6: QTIRX		3.03%		7.87%		N/A		2.36%		7/10/2014
MSCI Daily TR Net World Ex USA Index**		2.67%

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%, 0.96% and 0.66%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

31

Shareholder Letter (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

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. 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 the one year period ended September 30, 2018, the Fund’s Class I returned 18.92% while the Russell 1000® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s outperformance was driven primarily by stock selection within the health care (1.6%) and consumer staples (0.7%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to utilities (8.0%) and consumer staples (7.6%); the portfolio was underweight energy (-5.6%) and information technology (-5.4%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR LARGE CAP DEFENSIVE STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AUEIX		18.92%		17.06%		15.31%		15.89%		7/9/2012
Fund - Class N: AUENX		18.58%		16.76%		15.03%		15.60%		7/9/2012
Fund - Class R6: QUERX		18.99%		17.16%		N/A		14.70%		9/2/2014
Russell 1000® Index Total Return		17.76%

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%, 0.68% and 0.33%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

33

Shareholder Letter (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

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. 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 the one year period ended September 30, 2018, the Fund’s Class I returned 3.15% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.67%. The Fund’s outperformance was driven primarily by stock selection within the financials (0.8%) and consumer staples (0.7%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to consumer staples (8.1%) and utilities (6.5%); the portfolio was underweight financials (-9.9%) and energy (-3.3%). Notable active positions also included a country overweight to Japan (7.2%) and Canada (3.6%) and an underweight to the United Kingdom (-5.1%) and Germany (-4.5%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR INTERNATIONAL DEFENSIVE STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ANDIX		3.15%		9.01%		5.17%		7.21%		7/9/2012
Fund - Class N: ANDNX		2.90%		8.75%		4.89%		6.94%		7/9/2012
Fund - Class R6: ANDRX		3.32%		9.14%		N/A		3.51%		9/2/2014
MSCI Daily TR Net World Ex USA Index**		2.67%

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 0.68%, 0.93% and 0.58%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

35

Shareholder Letter (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

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/midcap companies that we believe to be profitable, stable, low-risk businesses. 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 the one year period ended September 30, 2018, the Fund’s Class I returned 3.77% while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -0.81%. The Fund’s outperformance was driven primarily by stock selection within the consumer discretionary (1.6%) and financials (1.4%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to consumer staples (11%) and telecommunication services (6%); the portfolio was underweight information technology (-16%) and materials (-5%). Notable active positions also included a country overweight to Malaysia (6%) and Thailand (5%) and an underweight to China (-13%) and Russia (-3%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR EMERGING DEFENSIVE STYLE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AZEIX		3.77%		7.85%		0.60%		1.09%		7/9/2012
Fund - Class N: AZENX		3.39%		7.57%		0.38%		0.86%		7/9/2012
Fund - Class R6: AZERX		3.76%		7.90%		N/A		-1.42%		9/2/2014
MSCI Daily TR Net Emerging Markets Index**		-0.81%

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 1.08%, 1.29% and 0.98%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

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 2018

37

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Oktay Kurbanov

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 and forwards contracts to over-and under-weight countries and currencies relative to the benchmark.

For the one year period ended September 30, 2018, the Fund’s Class I returned 7.65% while the MSCI Daily TR Net World Index (the “Benchmark”) returned 11.24%. The portfolio’s underperformance was driven primarily by country selection (-1.9%) and stock selection (-1.4%), with currency selection partially offsetting losses (0.6%).

Specifically within the stock selection strategy, compositional differences between the portfolio and the benchmark (-1.8%) contributed most to negative performance, with the main drivers being within the information technology (-1.6%) and consumer discretionary (-0.6%) sectors. This was partially offset by positive performance within the energy sector (0.4%). Losses in country selection were driven by underweight positions in the U.S. and Australia and an overweight position in Italy, while an overweight position in Japan partially offset losses. Within currency selection, gains were primarily driven by underweight positions in the Swedish krona and euro, with an overweight position in the Australian dollar partially offsetting gains.

Over the course of the period, the Fund’s largest active positions within the stock selection strategy included overweights to the information technology (2.7%) and materials (2.3%) sectors; the portfolio was underweight consumer staples (-3.7%) and financials (-3.6%). Our largest average overweight positions in country selection were in Japan and Hong Kong, while our largest underweight positions were in Australia and the U.S. Within currency selection, our largest average overweight positions were in the Japanese yen and Canadian dollar, while our largest underweights were in the Swiss franc and Swedish krona.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 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		7.65%		13.09%		9.68%		10.32%		12/31/2009
Fund - Class N: AQGNX		7.36%		12.81%		9.41%		10.02%		12/31/2009
Fund - Class R6: AQGRX		7.74%		13.21%		N/A		8.53%		1/8/2014
MSCI Daily TR Net World Index**		11.24%

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 0.90%, 1.15% and 0.78%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

38

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

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.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR GLOBAL 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: AQGIX		7.65%		13.09%		9.68%		9.36%		6.34%		6/30/2006
Fund - Class N: AQGNX		7.36%		12.81%		9.41%		9.06%		6.03%		6/30/2006
Fund - Class R6: AQGRX		7.74%		13.21%		N/A		N/A		8.53%		1/08/2014
MSCI Daily TR Net World Index**		11.24%

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 0.90%, 1.15% and 0.78, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

39

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

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 2018

40

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Oktay Kurbanov

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 and forwards contracts to over-and under-weight countries and currencies relative to the benchmark.

For the one year period ended September 30, 2018, the Fund’s Class I returned -1.24% while the MSCI Daily TR Net EAFE Index (the “Benchmark”) returned 2.74%. The portfolio’s underperformance was driven primarily by stock selection (-3.3%), with country selection also slightly detracting (-0.1%). Losses were partially offset by currency selection (0.5%).

Specifically within the stock selection strategy, compositional differences between the portfolio and the benchmark (-3.2%) contributed most to negative performance, with the main drivers being within the information technology (-1.4%) and industrials (-1.0%) sectors. Small losses in country selection were driven by overweight positions in Italy and Germany, while gains from an overweight in Japan and an underweight in Switzerland mostly offset losses. Positive performance in currency selection was driven by an underweight in the euro and an overweight in the Japanese yen, while losses from an underweight in the British pound and an overweight in the Australian dollar partially offset gains.

Over the course of the period, the Fund’s largest active positions within the stock selection strategy included overweights to the materials (3.5%) and information technology (2.9%) sectors; the portfolio was underweight financials (-4.4%) and consumer staples (-3.8%). Our largest average overweight positions in country selection were in Japan and Hong Kong, while our largest underweight positions were in the U.K. and Switzerland. Within currency selection, our largest average overweight positions were in the Japanese yen and U.S. dollar, while our largest underweights were in the euro and Swiss franc.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 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		-1.24%		9.01%		4.56%		6.13%		9/29/2009
Fund - Class N: AQINX		-1.41%		8.76%		4.30%		5.84%		9/29/2009
Fund - Class R6: AQIRX		-1.23%		9.11%		N/A		3.67%		1/8/2014
MSCI Daily TR Net EAFE Index**		2.74%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.94%, 1.20% and 0.81%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

41

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

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.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 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		-1.24%		9.01%		4.56%		6.27%		6.10%		7/31/2004
Fund - Class N: AQINX		-1.41%		8.76%		4.30%		5.98%		5.78%		7/31/2004
Fund - Class R6: AQIRX		-1.23%		9.11%		N/A		N/A		3.67%		1/08/2014
MSCI Daily TR Net EAFE Index**		2.74%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.94%, 1.20% and 0.81%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

42

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

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 2018

43

Shareholder Letter (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Dear Shareholder:

Using a systematic, multi-factor investment research process, the AQR Large Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.

Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.

For the one year period ended September 30, 2018, the Fund’s Class I returned 11.95% while the Russell 1000^® Total Return Index (the “Benchmark”) returned 17.76%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.8%) and consumer discretionary (-1.5%) sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (4.9%) and industrials (3.3%), while the portfolio was underweight consumer staples (-4.1%) and energy (-2.4%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QLRIX		11.95%		14.00%		12/14/2016
Fund - Class N: QLRNX		11.72%		13.70%		12/14/2016
Fund - Class R6: QLRRX		12.09%		14.08%		12/14/2016
Russell 1000® Index Total Return		17.76%

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 2.70%, 4.23% and 3.95%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

44

Shareholder Letter (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 1000^® TR INDEX

VALUE OF $10,000 INVESTED ON 12/14/2016

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 2018

45

Shareholder Letter (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Dear Shareholder:

Using a systematic, multi-factor investment research process, the AQR Small Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.

Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.

For the one year period ended September 30, 2018, Fund’s Class I returned 2.86% while the Russell 2000^® Total Return Index (the “Benchmark”) returned 15.24%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-4.3%), industrials (-2.7%) and consumer discretionary (-1.8%) sectors, and was partially offset by positive performance within energy (0.4%).

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (4.8%) and industrials (4.1%); the portfolio was underweight real estate (-4.7%) and health care (-3.0%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSRIX		2.86%		3.55%		12/14/2016
Fund - Class N: QSRNX		2.70%		3.30%		12/14/2016
Fund - Class R6: QSRRX		3.04%		3.65%		12/14/2016
Russell 2000® Total Return Index		15.24%

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 6.63%, 6.83% and 6.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

46

Shareholder Letter (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 2000^® INDEX

VALUE OF $10,000 INVESTED ON 12/14/2016

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 2018

47

Shareholder Letter (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Dear Shareholder:

Using a systematic, multi-factor investment research process, the AQR International Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.

Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.

For the one year period ended September 30, 2018, the Fund’s Class I returned -3.45% while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned 2.74%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.1%), industrials (-1.8%), and consumer discretionary (-1.2%) sectors, but was partially offset by positive performance within consumer staples (0.4%).

Over the course of the period, the Fund’s largest active positions included sector overweights to the information technology (5.2%) and materials (2.8%) sectors; the portfolio was underweight financials (-5.2%) and consumer staples (-4.5%). Notable active positions also included a country overweights to Finland (0.6%), and an underweights to Japan (-0.6%) and Australia (-0.6%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QIRIX		-3.45%		12.33%		12/14/2016
Fund - Class N: QIRNX		-3.68%		12.03%		12/14/2016
Fund - Class R6: QIRRX		-3.42%		12.39%		12/14/2016
MSCI Daily TR Net EAFE Index**		2.74%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 3.83%, 4.21% and 4.20%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

48

Shareholder Letter (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND VS. MSCI EAFE INDEX

VALUE OF $10,000 INVESTED ON 12/14/2016

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 2018

49

Shareholder Letter (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Dear Shareholder:

Using a systematic, multi-factor investment research process, the AQR Emerging Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.

Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.

For the one year period ended September 30, 2018, the Fund’s Class I returned -1.30% while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -0.81%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.8%) and materials (-1.5%), and healthcare (-1.0%) sectors. The Fund’s performance was positively impacted by positioning across sectors.

Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (6.5%) and materials (4.7%); the portfolio was underweight consumer staples (-5.9%) and utilities (-3.9%).

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QERIX		-1.30%		13.37%		12/14/2016
Fund - Class N: QERNX		-1.52%*		13.08%		12/14/2016
Fund - Class R6: QERRX		-1.25%		13.45%		12/14/2016
MSCI Daily TR Net Emerging Market Index**		-0.81%

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 3.89%, 4.23% and 3.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

50

Shareholder Letter (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND VS. MSCI EMERGING MARKETS INDEX

VALUE OF $10,000 INVESTED ON 12/14/2016

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.

* 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 9/30/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

** 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 2018

51

Schedule of Investments September 30, 2018

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.0%
Aerospace & Defense - 5.4%
Boeing Co. (The)		58,282	$	21,675,076
Curtiss-Wright Corp.		31,732		4,360,611
General Dynamics Corp.		41,024		8,398,433
Hexcel Corp.		12,576		843,221
Huntington Ingalls Industries, Inc.		71,000		18,181,680
L3 Technologies, Inc.		13,444		2,858,463
Raytheon Co.		120,660		24,935,596
Spirit AeroSystems Holdings, Inc., Class A		167,960		15,396,893
Teledyne Technologies, Inc. *		22,116		5,455,575
Textron, Inc.		46,291		3,308,418
				105,413,966
Air Freight & Logistics - 1.6%
CH Robinson Worldwide, Inc.		11,145		1,091,318
Expeditors International of Washington, Inc.		57,508		4,228,563
FedEx Corp.		110,745		26,666,289
				31,986,170
Airlines - 0.3%
JetBlue Airways Corp. *		263,227		5,096,075
Auto Components - 0.4%
Lear Corp.		49,671		7,202,295
Banks - 6.1%
Bank of America Corp.		275,216		8,107,863
BB&T Corp.		18,632		904,397
Citigroup, Inc.		172,695		12,389,139
Fifth Third Bancorp		110,423		3,083,010
JPMorgan Chase & Co.		360,812		40,714,026
PNC Financial Services Group, Inc. (The)		93,068		12,674,931
Popular, Inc.		11,051		566,364
SunTrust Banks, Inc.		218,159		14,570,840
TCF Financial Corp.		128,864		3,068,252
US Bancorp		221,818		11,714,209
Wells Fargo & Co.		223,191		11,730,919
				119,523,950
Biotechnology - 3.1%
AbbVie, Inc.		108,283		10,241,406
Amgen, Inc.		34,578		7,167,674
Biogen, Inc. *		51,990		18,368,587
Celgene Corp. *		22,588		2,021,400
Exelixis, Inc. *		144,352		2,557,917
Gilead Sciences, Inc.		150,082		11,587,831
United Therapeutics Corp. *		68,652		8,779,218
				60,724,033
Capital Markets - 1.5%
Ameriprise Financial, Inc.		65,205		9,628,170
Bank of New York Mellon Corp. (The)		31,477		1,605,012
CME Group, Inc.		49,046		8,348,120
Federated Investors, Inc., Class B		33,060		797,407
MSCI, Inc.		11,103		1,969,783
State Street Corp.		6,942		581,601
T. Rowe Price Group, Inc.		64,789		7,073,663
				30,003,756

INVESTMENTS	SHARES		VALUE
Chemicals - 3.1%
Eastman Chemical Co.		144,755	$	13,855,949
Huntsman Corp.		510,732		13,907,232
LyondellBasell Industries NV, Class A		267,435		27,414,762
Westlake Chemical Corp.		72,469		6,022,898
				61,200,841
Commercial Services & Supplies - 0.6%
Cintas Corp.		2,867		567,121
Copart, Inc. *		22,310		1,149,634
Rollins, Inc.		16,121		978,384
Waste Management, Inc.		108,604		9,813,458
				12,508,597
Communications Equipment - 1.5%
Cisco Systems, Inc.		459,123		22,336,334
F5 Networks, Inc. *		29,407		5,864,344
				28,200,678
Consumer Finance - 0.2%
Credit Acceptance Corp. *(a)		6,587		2,885,567
Santander Consumer USA Holdings, Inc.		27,371		548,515
				3,434,082
Distributors - 0.1%
LKQ Corp. *		30,523		966,663
Diversified Consumer Services - 0.0% (b)
Graham Holdings Co., Class B		1,454		842,302
Diversified Financial Services - 1.5%
Berkshire Hathaway, Inc., Class B *		132,888		28,452,650
Diversified Telecommunication Services - 0.4%
Verizon Communications, Inc.		145,642		7,775,826
Electric Utilities - 1.8%
Evergy, Inc.		24,878		1,366,300
Exelon Corp.		729,990		31,871,363
Pinnacle West Capital Corp.		31,411		2,487,123
				35,724,786
Electrical Equipment - 0.3%
Eaton Corp. plc		73,118		6,341,524
Electronic Equipment, Instruments & Components - 0.5%
Arrow Electronics, Inc. *		29,777		2,195,160
Coherent, Inc. *		11,135		1,917,336
FLIR Systems, Inc.		63,575		3,907,955
Jabil, Inc.		38,131		1,032,588
Zebra Technologies Corp., Class A *		5,677		1,003,864
				10,056,903
Entertainment - 1.6%
Activision Blizzard, Inc.		107,418		8,936,103
Electronic Arts, Inc. *		4,775		575,340
Twenty-First Century Fox, Inc., Class A		75,076		3,478,271
Viacom, Inc., Class B		447,527		15,108,511
Walt Disney Co. (The)		11,322		1,323,995
Zynga, Inc., Class A *		237,600		952,776
				30,374,996

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

AQR Funds Annual Report September 2018

52

Schedule of Investments September 30, 2018

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Food & Staples Retailing - 1.2%
Kroger Co. (The)		195,441	$	5,689,288
Walmart, Inc.		192,807		18,106,505
				23,795,793
Food Products - 1.5%
Archer-Daniels-Midland Co.		137,573		6,915,795
Ingredion, Inc.		44,031		4,621,494
Pilgrim’s Pride Corp. *		253,693		4,589,306
Tyson Foods, Inc., Class A		203,658		12,123,761
				28,250,356
Health Care Equipment & Supplies - 2.3%
Abbott Laboratories		82,953		6,085,432
Align Technology, Inc. *		3,658		1,431,083
Baxter International, Inc.		153,476		11,831,465
Danaher Corp.		147,142		15,988,450
Medtronic plc		88,396		8,695,514
Varian Medical Systems, Inc. *		5,314		594,796
				44,626,740
Health Care Providers & Services - 3.5%
Aetna, Inc.		23,243		4,714,843
Anthem, Inc.		17,042		4,670,360
Cigna Corp.		98,500		20,512,625
Express Scripts Holding Co. *		42,995		4,084,955
Humana, Inc.		54,741		18,530,923
UnitedHealth Group, Inc.		6,051		1,609,808
WellCare Health Plans, Inc. *		42,633		13,663,450
				67,786,964
Hotels, Restaurants & Leisure - 1.0%
Carnival Corp.		41,783		2,664,502
Darden Restaurants, Inc.		105,950		11,780,581
Las Vegas Sands Corp.		57,348		3,402,457
Wyndham Hotels & Resorts, Inc.		14,811		823,047
				18,670,587
Household Durables - 0.3%
PulteGroup, Inc.		91,646		2,270,071
Toll Brothers, Inc.		84,224		2,781,919
				5,051,990
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. *		45,975		1,143,858
Industrial Conglomerates - 0.1%
Honeywell International, Inc.		10,768		1,791,795
Insurance - 4.9%
Aflac, Inc.		175,965		8,282,673
Allstate Corp. (The)		239,582		23,646,743
American Financial Group, Inc.		78,029		8,658,878
Assured Guaranty Ltd.		166,204		7,018,795
Athene Holding Ltd., Class A *		67,934		3,509,470
CNA Financial Corp.		19,946		910,535
Everest Re Group Ltd.		44,816		10,239,112
Fidelity National Financial, Inc.		22,608		889,625
First American Financial Corp.		91,556		4,723,374
Old Republic International Corp.		105,071		2,351,489
Prudential Financial, Inc.		37,544		3,803,958
Reinsurance Group of America, Inc.		54,703		7,907,866
Travelers Cos., Inc. (The)		101,413		13,154,280
				95,096,798

INVESTMENTS	SHARES		VALUE
Interactive Media & Services - 5.4%
Alphabet, Inc., Class A *		29,042	$	35,056,017
Alphabet, Inc., Class C *		20,887		24,928,008
Facebook, Inc., Class A *		194,548		31,995,364
IAC/InterActiveCorp *		40,066		8,683,104
Match Group, Inc. *(a)		87,095		5,043,671
				105,706,164
Internet & Direct Marketing Retail - 3.8%
Amazon.com, Inc. *		24,309		48,690,927
Booking Holdings, Inc. *		4,743		9,410,112
eBay, Inc. *		181,859		6,004,984
Netflix, Inc. *		21,144		7,910,605
Qurate Retail, Inc. *		46,579		1,034,520
				73,051,148
IT Services - 4.3%
Accenture plc, Class A		54,344		9,249,349
Akamai Technologies, Inc. *		158,296		11,579,353
Amdocs Ltd.		23,355		1,540,963
Booz Allen Hamilton Holding Corp.		79,748		3,957,893
Broadridge Financial Solutions, Inc.		9,439		1,245,476
Cognizant Technology Solutions Corp., Class A		130,114		10,038,295
CoreLogic, Inc. *		12,137		599,689
DXC Technology Co.		156,881		14,671,511
International Business Machines Corp.		130,997		19,808,056
Total System Services, Inc.		58,776		5,803,542
VeriSign, Inc. *		15,405		2,466,649
Visa, Inc., Class A		19,652		2,949,569
				83,910,345
Life Sciences Tools & Services - 1.2%
Bio-Techne Corp.		4,988		1,018,101
Charles River Laboratories International, Inc. *		34,207		4,602,210
IQVIA Holdings, Inc. *		12,803		1,661,061
Thermo Fisher Scientific, Inc.		61,593		15,033,619
				22,314,991
Machinery - 1.0%
Allison Transmission Holdings, Inc.		72,855		3,789,188
Cummins, Inc.		17,141		2,503,786
ITT, Inc.		15,712		962,517
Oshkosh Corp.		85,049		6,058,891
Snap-on, Inc.		5,928		1,088,381
Terex Corp.		103,996		4,150,480
Trinity Industries, Inc.		24,673		904,019
				19,457,262
Media - 0.1%
John Wiley & Sons, Inc., Class A		33,392		2,023,555
Metals & Mining - 0.2%
Reliance Steel & Aluminum Co.		34,803		2,968,348
Steel Dynamics, Inc.		34,465		1,557,473
				4,525,821
Multiline Retail - 2.3%
Kohl’s Corp.		184,154		13,728,681
Macy’s, Inc.		222,595		7,730,724

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

AQR Funds Annual Report September 2018

53

Schedule of Investments September 30, 2018

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Multiline Retail - 2.3% (continued)
Target Corp.		262,210	$	23,129,544
				44,588,949
Multi-Utilities - 1.8%
Ameren Corp.		210,073		13,280,815
Consolidated Edison, Inc.		222,068		16,919,361
DTE Energy Co.		10,304		1,124,476
Public Service Enterprise Group, Inc.		80,361		4,242,257
				35,566,909
Oil, Gas & Consumable Fuels - 3.9%
ConocoPhillips		131,294		10,162,155
Energen Corp. *		12,509		1,077,900
HollyFrontier Corp.		336,124		23,495,068
Marathon Petroleum Corp.		100,743		8,056,418
PBF Energy, Inc., Class A		307,278		15,336,245
Pioneer Natural Resources Co.		10,426		1,816,105
Valero Energy Corp.		146,881		16,707,714
				76,651,605
Personal Products - 0.2%
Estee Lauder Cos., Inc. (The), Class A		16,214		2,356,219
Nu Skin Enterprises, Inc., Class A		10,808		890,795
				3,247,014
Pharmaceuticals - 2.8%
Johnson & Johnson		122,504		16,926,378
Merck & Co., Inc.		72,131		5,116,973
Mylan NV *		133,412		4,882,879
Nektar Therapeutics *		14,967		912,388
Pfizer, Inc.		513,384		22,624,833
Zoetis, Inc.		34,871		3,192,789
				53,656,240
Professional Services - 0.6%
ManpowerGroup, Inc.		12,396		1,065,560
Robert Half International, Inc.		163,439		11,502,837
				12,568,397
Road & Rail - 0.9%
Landstar System, Inc.		15,599		1,903,078
Norfolk Southern Corp.		21,482		3,877,501
Old Dominion Freight Line, Inc.		12,620		2,035,101
Union Pacific Corp.		62,167		10,122,653
				17,938,333
Semiconductors & Semiconductor Equipment - 5.9%
Applied Materials, Inc.		59,780		2,310,497
Broadcom, Inc.		13,016		3,211,438
First Solar, Inc. *		35,816		1,734,211
Intel Corp.		810,082		38,308,778
Lam Research Corp.		83,636		12,687,581
Micron Technology, Inc. *		658,397		29,779,296
NVIDIA Corp.		14,717		4,135,771
ON Semiconductor Corp. *		102,964		1,897,627
Skyworks Solutions, Inc.		81,816		7,421,529
Texas Instruments, Inc.		117,113		12,565,054
				114,051,782

INVESTMENTS	SHARES		VALUE
Software - 6.2%
Adobe Systems, Inc. *		60,961	$	16,456,422
CA, Inc.		48,627		2,146,882
Cadence Design Systems, Inc. *		49,743		2,254,353
Dell Technologies, Inc., Class V *		6,849		665,175
Fortinet, Inc. *		65,903		6,080,870
Intuit, Inc.		3,570		811,818
Manhattan Associates, Inc. *		50,181		2,739,882
Microsoft Corp.		593,591		67,889,003
Oracle Corp.		243,396		12,549,498
Paycom Software, Inc. *		7,086		1,101,235
VMware, Inc., Class A *		44,520		6,947,791
				119,642,929
Specialty Retail - 2.8%
AutoNation, Inc. *		21,381		888,381
Best Buy Co., Inc.		237,902		18,879,903
Dick’s Sporting Goods, Inc.		63,727		2,261,034
Foot Locker, Inc.		122,948		6,267,889
Gap, Inc. (The)		125,133		3,610,087
Home Depot, Inc. (The)		24,149		5,002,465
Ross Stores, Inc.		11,025		1,092,578
TJX Cos., Inc. (The)		18,736		2,098,807
Urban Outfitters, Inc. *		123,438		5,048,614
Williams-Sonoma, Inc. (a)		150,952		9,920,565
				55,070,323
Technology Hardware, Storage & Peripherals - 4.0%
Apple, Inc.		312,385		70,517,790
HP, Inc.		134,661		3,470,214
Western Digital Corp.		73,850		4,323,179
				78,311,183
Textiles, Apparel & Luxury Goods - 2.9%
Carter’s, Inc.		10,715		1,056,499
Lululemon Athletica, Inc. *		46,536		7,561,635
Michael Kors Holdings Ltd. *		287,557		19,714,908
NIKE, Inc., Class B		164,074		13,900,349
Ralph Lauren Corp.		45,613		6,274,068
Skechers U.S.A., Inc., Class A *		301,763		8,428,241
				56,935,700
Thrifts & Mortgage Finance - 0.0% (b)
New York Community Bancorp, Inc. (a)		31,509		326,748
Tobacco - 0.8%
Altria Group, Inc.		127,125		7,666,909
Philip Morris International, Inc.		100,862		8,224,287
				15,891,196
Trading Companies & Distributors - 1.0%
Air Lease Corp.		106,559		4,888,927
United Rentals, Inc. *		46,764		7,650,591
WW Grainger, Inc.		17,154		6,131,011
				18,670,529
Transportation Infrastructure - 0.0% (b)
Macquarie Infrastructure Corp. (a)		14,016		646,558
TOTAL COMMON STOCKS (Cost $1,446,974,610)				1,886,798,655

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

AQR Funds Annual Report September 2018

54

Schedule of Investments September 30, 2018

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 0.2%
INVESTMENT COMPANIES - 0.2%
Limited Purpose Cash Investment Fund, 2.06% (c)
(Cost $4,632,220)		4,632,684	$	4,632,220
SECURITIES LENDING COLLATERAL - 0.6%
Investment Companies - 0.6%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (c)(d)		1,378,633		1,378,633
Limited Purpose Cash Investment Fund 2.06% (c)(d)		9,892,516		9,891,527
TOTAL SECURITIES LENDING COLLATERAL (Cost $11,271,149)				11,270,160
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.8% (Cost $1,462,877,979)				1,902,701,035
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.2% (e)			42,273,566
NET ASSETS - 100.0%			$	1,944,974,601

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	145,880,542		7.5	%
Consumer Discretionary		262,379,956		13.5
Consumer Staples		71,184,359		3.7
Energy		76,651,605		3.9
Financials		276,837,984		14.2
Health Care		249,108,968		12.8
Industrials		232,419,206		12.0
Information Technology		434,173,819		22.3
Materials		65,726,663		3.4
Utilities		72,435,553		3.7
Short-Term Investments		4,632,220		0.2
Securities Lending Collateral		11,270,160		0.6
Total Investments In Securities At Value		1,902,701,035		97.8
Other Assets in Excess of Liabilities (e)		42,273,566		2.2
Net Assets	$	1,944,974,601		100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $11,002,002.

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

(c) Represents 7-day effective yield as of September 30, 2018.

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

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index	266	12/2018		USD		$38,822,700		$(124,860	)
								$(124,860	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash	$	—	$	1,868,826	$	1,868,826

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

AQR Funds Annual Report September 2018

55

Schedule of Investments September 30, 2018

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.0%
Aerospace & Defense - 1.5%
AAR Corp.		7,851	$	375,984
Aerovironment, Inc. *		5,828		653,727
Axon Enterprise, Inc. *		41,171		2,817,332
Ducommun, Inc. *		7,005		286,084
Esterline Technologies Corp. *		20,229		1,839,828
KLX, Inc. *		16,030		1,006,363
Moog, Inc., Class A		17,130		1,472,666
National Presto Industries, Inc. (a)		7,871		1,020,475
Vectrus, Inc. *		58,602		1,827,796
				11,300,255
Air Freight & Logistics - 1.3%
Air Transport Services Group, Inc. *(a)		32,738		702,885
Atlas Air Worldwide Holdings, Inc. *		50,338		3,209,048
Echo Global Logistics, Inc. *		20,313		628,687
Forward Air Corp.		14,316		1,026,457
Hub Group, Inc., Class A *		86,242		3,932,635
				9,499,712
Airlines - 0.5%
Allegiant Travel Co.		5,157		653,908
Hawaiian Holdings, Inc.		18,265		732,426
SkyWest, Inc.		18,911		1,113,858
Spirit Airlines, Inc. *		22,895		1,075,378
				3,575,570
Auto Components - 1.2%
American Axle & Manufacturing Holdings, Inc. *		104,451		1,821,625
Cooper-Standard Holdings, Inc. *		32,635		3,915,547
Dana, Inc.		32,901		614,262
Stoneridge, Inc. *		32,847		976,213
Tenneco, Inc.		9,308		392,239
Tower International, Inc.		44,568		1,348,182
				9,068,068
Automobiles - 0.1%
Winnebago Industries, Inc.		21,124		700,261
Banks - 6.8%
1st Source Corp.		11,573		608,971
Ameris Bancorp		7,397		338,043
BancFirst Corp.		7,570		453,822
BancorpSouth Bank		11,896		388,999
Berkshire Hills Bancorp, Inc.		12,708		517,216
Brookline Bancorp, Inc.		63,300		1,057,110
Cadence Bancorp		61,610		1,609,253
Cathay General Bancorp		91,943		3,810,118
CenterState Bank Corp.		12,429		348,634
Chemical Financial Corp.		6,395		341,493
City Holding Co.		4,496		345,293
Columbia Banking System, Inc.		11,281		437,364
Community Trust Bancorp, Inc.		7,559		350,360
Customers Bancorp, Inc. *		25,088		590,321
Eagle Bancorp, Inc. *		26,466		1,339,180
Enterprise Financial Services Corp.		23,785		1,261,794
FCB Financial Holdings, Inc., Class A *		5,256		249,134
Fidelity Southern Corp.		34,506		855,059
First Bancorp/PR *		26,022		236,800

INVESTMENTS	SHARES		VALUE
Banks - 6.8% (continued)
First Busey Corp.		8,773	$	272,402
First Commonwealth Financial Corp.		13,247		213,807
First Financial Bancorp		30,642		910,067
First Interstate BancSystem, Inc., Class A		57,513		2,576,582
First Merchants Corp.		53,707		2,416,278
First Midwest Bancorp, Inc.		13,483		358,513
Flushing Financial Corp.		14,191		346,260
Fulton Financial Corp.		119,260		1,985,679
Glacier Bancorp, Inc.		5,511		237,469
Great Southern Bancorp, Inc.		13,741		760,564
Great Western Bancorp, Inc.		103,161		4,352,363
Hancock Whitney Corp.		45,124		2,145,646
Hanmi Financial Corp.		8,975		223,478
Heartland Financial USA, Inc.		21,321		1,237,684
Heritage Financial Corp.		7,292		256,314
Hilltop Holdings, Inc. (a)		14,902		300,573
Hope Bancorp, Inc.		24,800		401,016
Independent Bank Corp./MA		13,463		1,112,044
International Bancshares Corp.		79,417		3,573,765
LegacyTexas Financial Group, Inc.		11,526		491,008
Live Oak Bancshares, Inc.		11,945		320,126
MB Financial, Inc.		28,531		1,315,564
Midland States Bancorp, Inc.		7,041		226,016
NBT Bancorp, Inc.		27,750		1,065,045
OFG Bancorp		16,345		263,972
Old National Bancorp		17,158		331,149
Park National Corp.		3,124		329,769
Preferred Bank		3,693		216,041
Renasant Corp.		15,491		638,384
S&T Bancorp, Inc.		9,317		403,985
Sandy Spring Bancorp, Inc.		7,575		297,773
ServisFirst Bancshares, Inc.		56,399		2,208,021
Simmons First National Corp., Class A		16,606		489,047
Stock Yards Bancorp, Inc.		6,968		252,938
Tompkins Financial Corp.		2,852		231,554
TriCo Bancshares		6,437		248,597
Trustmark Corp.		25,273		850,436
UMB Financial Corp.		4,576		324,438
Union Bankshares Corp.		7,445		286,856
United Community Banks, Inc.		11,983		334,206
WesBanco, Inc.		19,752		880,544
				50,824,937
Beverages - 1.5%
Boston Beer Co., Inc. (The), Class A *		17,343		4,986,113
Coca-Cola Bottling Co. Consolidated		3,762		685,737
MGP Ingredients, Inc. (a)		14,339		1,132,494
National Beverage Corp. *(a)		35,238		4,109,456
				10,913,800
Biotechnology - 5.3%
Amicus Therapeutics, Inc. *		61,340		741,601
Array BioPharma, Inc. *		62,800		954,560
Arrowhead Pharmaceuticals, Inc. *(a)		43,928		842,100
BioSpecifics Technologies Corp. *		12,106		708,080
Calithera Biosciences, Inc. *		51,502		270,385
CareDx, Inc. *		19,109		551,295
Clovis Oncology, Inc. *		15,212		446,776
Concert Pharmaceuticals, Inc. *		18,280		271,275

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

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56

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INVESTMENTS	SHARES		VALUE
Biotechnology - 5.3% (continued)
Eagle Pharmaceuticals, Inc. *(a)		29,225	$	2,026,169
Emergent BioSolutions, Inc. *		94,830		6,242,659
Enanta Pharmaceuticals, Inc. *		37,715		3,223,124
FibroGen, Inc. *		9,259		562,484
Genomic Health, Inc. *		8,003		561,971
Halozyme Therapeutics, Inc. *		44,786		813,762
Insmed, Inc. *		27,807		562,257
Intercept Pharmaceuticals, Inc. *		6,817		861,396
Ligand Pharmaceuticals, Inc. *		3,024		830,058
Loxo Oncology, Inc. *		7,663		1,309,070
Myriad Genetics, Inc. *		103,172		4,745,912
PDL BioPharma, Inc. *(a)		1,038,479		2,731,200
Portola Pharmaceuticals, Inc. *(a)		18,850		501,975
Puma Biotechnology, Inc. *		10,780		494,263
REGENXBIO, Inc. *		30,928		2,335,064
Repligen Corp. *		73,887		4,097,773
Sorrento Therapeutics, Inc. *(a)		171,014		752,462
Spectrum Pharmaceuticals, Inc. *		101,792		1,710,106
Versartis, Inc. *		10,403		14,564
				39,162,341
Building Products - 1.6%
Apogee Enterprises, Inc.		48,814		2,016,994
Builders FirstSource, Inc. *		116,756		1,713,978
Continental Building Products, Inc. *		10,526		395,251
Insteel Industries, Inc.		15,774		565,971
NCI Building Systems, Inc. *		13,360		202,404
Patrick Industries, Inc. *		48,518		2,872,266
Simpson Manufacturing Co., Inc.		3,482		252,306
Trex Co., Inc. *		8,773		675,345
Universal Forest Products, Inc.		88,732		3,134,902
				11,829,417
Capital Markets - 1.4%
Artisan Partners Asset Management, Inc., Class A		26,581		861,224
Blucora, Inc. *		42,209		1,698,912
BrightSphere Investment Group plc		21,997		272,763
Cohen & Steers, Inc. (a)		29,131		1,183,010
Hamilton Lane, Inc., Class A		7,437		329,310
INTL. FCStone, Inc. *		5,079		245,417
Stifel Financial Corp.		39,372		2,018,209
Waddell & Reed Financial, Inc., Class A (a)		184,182		3,900,975
				10,509,820
Chemicals - 2.0%
AdvanSix, Inc. *		48,106		1,633,199
FutureFuel Corp.		36,196		671,074
Ingevity Corp. *		16,064		1,636,600
Innospec, Inc.		12,681		973,267
Kraton Corp. *		5,566		262,437
Kronos Worldwide, Inc.		114,558		1,861,568
Rayonier Advanced Materials, Inc.		29,726		547,850
Stepan Co.		29,730		2,586,807
Trinseo SA		63,364		4,961,401
				15,134,203
Commercial Services & Supplies - 1.7%
ACCO Brands Corp.		235,794		2,664,472

INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 1.7% (continued)
Deluxe Corp.		27,178	$	1,547,515
Ennis, Inc.		66,693		1,363,872
Herman Miller, Inc.		38,674		1,485,082
HNI Corp.		12,357		546,674
Interface, Inc.		44,855		1,047,364
Kimball International, Inc., Class B		34,022		569,868
McGrath RentCorp		6,297		342,998
Quad/Graphics, Inc.		34,415		717,209
Steelcase, Inc., Class A		70,756		1,308,986
UniFirst Corp.		3,702		642,852
Viad Corp.		6,389		378,548
				12,615,440
Communications Equipment - 0.1%
Oclaro, Inc. *		65,989		589,942
Construction & Engineering - 0.9%
Comfort Systems USA, Inc.		13,206		744,818
EMCOR Group, Inc.		62,566		4,699,332
KBR, Inc.		28,260		597,134
MYR Group, Inc. *		8,879		289,811
Primoris Services Corp.		14,935		370,687
				6,701,782
Construction Materials - 0.1%
Summit Materials, Inc., Class A *		30,932		562,344
US Concrete, Inc. *(a)		5,720		262,262
				824,606
Consumer Finance - 1.7%
Enova International, Inc. *		8,411		242,237
EZCORP, Inc., Class A *		25,904		277,173
FirstCash, Inc.		37,931		3,110,342
Green Dot Corp., Class A *		60,704		5,391,729
Nelnet, Inc., Class A		36,656		2,095,623
Regional Management Corp. *		14,092		406,272
World Acceptance Corp. *		10,102		1,155,265
				12,678,641
Distributors - 0.1%
Core-Mark Holding Co., Inc.		17,918		608,495
Diversified Consumer Services - 1.4%
Adtalem Global Education, Inc. *		96,988		4,674,822
American Public Education, Inc. *		64,730		2,139,326
Career Education Corp. *		17,579		262,454
K12, Inc. *		20,082		355,451
Sotheby’s *(a)		6,266		308,225
Strategic Education, Inc.		6,224		852,875
Weight Watchers International, Inc. *		25,442		1,831,570
				10,424,723
Diversified Telecommunication Services - 0.7%
Iridium Communications, Inc. *		37,107		834,908
Vonage Holdings Corp. *		286,651		4,058,978
				4,893,886
Electric Utilities - 0.1%
Spark Energy, Inc., Class A (a)		50,973		420,527

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

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57

Schedule of Investments September 30, 2018

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Electrical Equipment - 1.7%
Allied Motion Technologies, Inc.		9,346	$	508,703
Atkore International Group, Inc. *		43,247		1,147,343
Encore Wire Corp.		14,600		731,460
EnerSys		8,464		737,468
Enphase Energy, Inc. *(a)		406,050		1,969,342
Generac Holdings, Inc. *		49,532		2,794,100
Sunrun, Inc. *(a)		181,224		2,254,427
TPI Composites, Inc. *		86,658		2,474,086
				12,616,929
Electronic Equipment, Instruments & Components - 1.9%
AVX Corp.		22,976		414,717
CTS Corp.		9,383		321,837
Electro Scientific Industries, Inc. *		175,133		3,056,071
ePlus, Inc. *		21,751		2,016,318
Fabrinet (Thailand) *		5,635		260,675
Insight Enterprises, Inc. *		11,885		642,860
KEMET Corp. *		63,066		1,169,874
Kimball Electronics, Inc. *		1,548		30,418
Methode Electronics, Inc.		48,182		1,744,188
Plexus Corp. *		10,670		624,302
Rogers Corp. *		1,595		234,975
SYNNEX Corp.		7,805		661,083
Tech Data Corp. *		14,708		1,052,652
TTM Technologies, Inc. *		78,977		1,256,524
Vishay Intertechnology, Inc.		46,171		939,580
				14,426,074
Energy Equipment & Services - 0.5%
Exterran Corp. *		10,619		281,722
KLX Energy Services Holdings, Inc. *		6,412		205,248
Mammoth Energy Services, Inc. (a)		68,556		1,994,980
Matrix Service Co. *		30,077		741,398
Smart Sand, Inc. *(a)		73,921		303,815
				3,527,163
Entertainment - 0.0% (b)
Marcus Corp. (The)		8,173		343,675
Equity Real Estate Investment Trusts (REITs) - 2.9%
Agree Realty Corp.		11,618		617,148
American Assets Trust, Inc.		5,713		213,038
Chesapeake Lodging Trust		17,625		565,234
CoreCivic, Inc.		38,644		940,208
Cousins Properties, Inc.		152,602		1,356,632
DiamondRock Hospitality Co.		98,561		1,150,207
EastGroup Properties, Inc.		5,355		512,045
First Industrial Realty Trust, Inc.		50,404		1,582,686
Four Corners Property Trust, Inc.		20,560		528,186
GEO Group, Inc. (The)		52,351		1,317,151
Gramercy Property Trust		53,933		1,479,921
LaSalle Hotel Properties		47,297		1,636,003
Lexington Realty Trust		28,299		234,882
LTC Properties, Inc.		11,256		496,502
National Health Investors, Inc.		12,852		971,483
Pebblebrook Hotel Trust (a)		24,372		886,410
PS Business Parks, Inc.		4,743		602,788
Ryman Hospitality Properties, Inc.		19,404		1,672,043
Select Income REIT		28,994		636,128
Summit Hotel Properties, Inc.		23,783		321,784

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.9% (continued)
Sunstone Hotel Investors, Inc.		92,362	$	1,511,042
Terreno Realty Corp.		24,887		938,240
Washington Prime Group, Inc. (a)		83,033		606,141
Xenia Hotels & Resorts, Inc.		27,489		651,489
				21,427,391
Food & Staples Retailing - 0.2%
Ingles Markets, Inc., Class A		34,579		1,184,331
Weis Markets, Inc. (a)		13,683		593,842
				1,778,173
Food Products - 0.3%
John B Sanfilippo & Son, Inc.		19,030		1,358,362
Sanderson Farms, Inc.		9,849		1,018,091
				2,376,453
Gas Utilities - 0.1%
ONE Gas, Inc.		6,300		518,364
Health Care Equipment & Supplies - 3.1%
Anika Therapeutics, Inc. *		8,073		340,519
AxoGen, Inc. *		9,960		367,026
CONMED Corp.		3,076		243,681
Globus Medical, Inc., Class A *		107,392		6,095,570
Haemonetics Corp. *		39,458		4,521,098
Inogen, Inc. *		10,336		2,523,224
Integer Holdings Corp. *		11,755		975,077
IntriCon Corp. *		12,064		677,997
iRadimed Corp. *		4,363		162,085
Lantheus Holdings, Inc. *		91,784		1,372,171
LeMaitre Vascular, Inc.		8,505		329,484
Merit Medical Systems, Inc. *		35,821		2,201,200
Neogen Corp. *		12,486		893,124
NuVasive, Inc. *		4,490		318,700
NxStage Medical, Inc. *		25,100		700,039
Pulse Biosciences, Inc. *(a)		17,309		245,615
Quidel Corp. *		3,002		195,640
STAAR Surgical Co. *		20,119		965,712
Tandem Diabetes Care, Inc. *		6,453		276,447
				23,404,409
Health Care Providers & Services - 1.7%
Amedisys, Inc. *		13,024		1,627,479
AMN Healthcare Services, Inc. *		59,054		3,230,254
Cross Country Healthcare, Inc. *		32,232		281,385
Diplomat Pharmacy, Inc. *		41,826		811,843
Ensign Group, Inc. (The)		8,469		321,144
LifePoint Health, Inc. *		11,659		750,840
Magellan Health, Inc. *		34,070		2,454,743
RadNet, Inc. *		35,718		537,556
Select Medical Holdings Corp. *		19,008		349,747
Tenet Healthcare Corp. *		22,775		648,177
Tivity Health, Inc. *		18,915		608,117
Triple-S Management Corp., Class B *		73,576		1,389,851
				13,011,136
Health Care Technology - 0.0% (b)
HMS Holdings Corp. *		6,721		220,516
Hotels, Restaurants & Leisure - 2.0%
BBX Capital Corp.		35,465		263,150

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

AQR Funds Annual Report September 2018

58

Schedule of Investments September 30, 2018

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 2.0% (continued)
BJ’s Restaurants, Inc.		3,769	$	272,122
Bloomin’ Brands, Inc.		45,367		897,813
Brinker International, Inc. (a)		29,340		1,371,058
Carrols Restaurant Group, Inc. *		20,133		293,942
Cheesecake Factory, Inc. (The) (a)		20,948		1,121,556
Cracker Barrel Old Country Store, Inc. (a)		2,568		377,830
Dave & Buster’s Entertainment, Inc. *		11,177		740,141
Denny’s Corp. *		18,705		275,337
Eldorado Resorts, Inc. *		21,831		1,060,987
Marriott Vacations Worldwide Corp.		18,527		2,070,392
Penn National Gaming, Inc. *		78,191		2,574,048
Red Robin Gourmet Burgers, Inc. *		19,953		801,113
Ruth’s Hospitality Group, Inc.		50,342		1,588,290
Sonic Corp.		14,911		646,243
Texas Roadhouse, Inc.		3,450		239,050
Town Sports International Holdings, Inc. *		29,823		257,969
				14,851,041
Household Durables - 1.5%
Bassett Furniture Industries, Inc.		12,462		264,817
Flexsteel Industries, Inc.		14,703		437,267
Hooker Furniture Corp.		43,621		1,474,390
KB Home		49,703		1,188,399
La-Z-Boy, Inc.		88,620		2,800,392
MDC Holdings, Inc.		29,679		877,905
Meritage Homes Corp. *		18,809		750,479
Roku, Inc. *(a)		13,638		995,983
Taylor Morrison Home Corp., Class A *		39,569		713,825
TopBuild Corp. *		6,790		385,808
TRI Pointe Group, Inc. *		31,380		389,112
ZAGG, Inc. *		83,494		1,231,536
				11,509,913
Household Products - 0.1%
WD-40 Co. (a)		2,726		469,145
Insurance - 5.7%
American Equity Investment Life Holding Co.		82,916		2,931,910
CNO Financial Group, Inc.		84,710		1,797,546
Employers Holdings, Inc.		86,393		3,913,603
FBL Financial Group, Inc., Class A		7,913		595,453
Genworth Financial, Inc., Class A *		280,193		1,168,405
Health Insurance Innovations, Inc., Class A *(a)		13,042		804,039
Heritage Insurance Holdings, Inc. (a)		50,332		745,920
Horace Mann Educators Corp.		26,522		1,190,838
Kemper Corp.		42,677		3,433,365
National General Holdings Corp.		27,971		750,742
National Western Life Group, Inc., Class A		7,195		2,296,644
Navigators Group, Inc. (The)		7,063		488,053
Primerica, Inc.		51,801		6,244,610
Selective Insurance Group, Inc.		73,984		4,697,984
Third Point Reinsurance Ltd. *		184,845		2,402,985
Trupanion, Inc. *(a)		33,531		1,198,063
United Fire Group, Inc.		6,018		305,534
Universal Insurance Holdings, Inc.		161,292		7,830,726
				42,796,420

INVESTMENTS	SHARES		VALUE
Interactive Media & Services - 0.8%
Care.com, Inc. *		18,767	$	414,938
Cargurus, Inc. *		15,988		890,372
Cars.com, Inc. *		30,397		839,261
Meet Group, Inc. (The) *		61,541		304,628
QuinStreet, Inc. *		67,731		919,110
XO Group, Inc. *		25,293		872,102
Yelp, Inc. *		38,189		1,878,899
				6,119,310
Internet & Direct Marketing Retail - 1.9%
1-800-Flowers.com, Inc., Class A *		100,005		1,180,059
Etsy, Inc. *		97,277		4,998,092
Nutrisystem, Inc.		19,488		722,030
PetMed Express, Inc. (a)		26,254		866,645
Shutterstock, Inc.		21,184		1,156,223
Stamps.com, Inc. *		22,000		4,976,400
				13,899,449
IT Services - 2.1%
Acxiom Holdings, Inc. *		25,795		1,274,531
Brightcove, Inc. *		28,400		238,560
CACI International, Inc., Class A *		10,180		1,874,647
Convergys Corp.		36,695		871,139
CSG Systems International, Inc.		9,537		382,815
Hackett Group, Inc. (The)		38,091		767,534
MAXIMUS, Inc.		22,401		1,457,409
NIC, Inc.		35,843		530,477
Perficient, Inc. *		12,894		343,625
Perspecta, Inc.		48,628		1,250,712
Sykes Enterprises, Inc. *		72,637		2,214,702
Syntel, Inc. *		13,789		565,073
Travelport Worldwide Ltd.		87,388		1,474,236
TTEC Holdings, Inc.		11,128		288,215
Unisys Corp. *		81,864		1,670,026
Web.com Group, Inc. *		12,396		345,848
				15,549,549
Leisure Products - 0.6%
Acushnet Holdings Corp.		21,914		601,101
Callaway Golf Co.		38,886		944,541
Johnson Outdoors, Inc., Class A		4,952		460,486
Nautilus, Inc. *		114,102		1,591,723
Sturm Ruger & Co., Inc. (a)		17,455		1,205,268
				4,803,119
Life Sciences Tools & Services - 0.2%
Cambrex Corp. *		10,618		726,271
Medpace Holdings, Inc. *		18,721		1,121,575
				1,847,846
Machinery - 3.1%
Alamo Group, Inc.		27,873		2,553,446
American Railcar Industries, Inc. (a)		6,872		316,799
Astec Industries, Inc.		21,435		1,080,538
Barnes Group, Inc.		43,723		3,105,645
Columbus McKinnon Corp. (a)		32,584		1,288,371
Douglas Dynamics, Inc.		7,816		343,122
EnPro Industries, Inc.		12,478		910,021
Global Brass & Copper Holdings, Inc.		22,254		821,173

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

AQR Funds Annual Report September 2018

59

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INVESTMENTS	SHARES		VALUE
Machinery - 3.1% (continued)
Greenbrier Cos., Inc. (The)		66,794	$	4,014,319
Harsco Corp. *		18,072		515,956
Hillenbrand, Inc.		7,777		406,737
Hyster-Yale Materials Handling, Inc.		8,350		513,775
Kadant, Inc.		8,445		910,793
Kennametal, Inc.		12,150		529,254
Lydall, Inc. *		12,443		536,293
Meritor, Inc. *		220,325		4,265,492
Proto Labs, Inc. *		2,386		385,936
Standex International Corp.		2,962		308,789
Wabash National Corp.		12,021		219,143
				23,025,602
Media - 1.2%
Entravision Communications Corp., Class A		336,067		1,646,728
Gannett Co., Inc. (a)		244,508		2,447,525
Gray Television, Inc. *		92,832		1,624,560
MSG Networks, Inc., Class A *		67,361		1,737,914
Scholastic Corp.		16,215		757,078
TechTarget, Inc. *		37,959		737,164
				8,950,969
Metals & Mining - 1.4%
Commercial Metals Co.		32,050		657,666
Ryerson Holding Corp. *		26,758		302,365
Schnitzer Steel Industries, Inc., Class A		17,054		461,311
Warrior Met Coal, Inc.		326,668		8,833,103
				10,254,445
Mortgage Real Estate Investment Trusts (REITs) - 0.5%
Apollo Commercial Real Estate Finance, Inc.		65,268		1,231,607
Blackstone Mortgage Trust, Inc., Class A (a)		33,505		1,122,753
Invesco Mortgage Capital, Inc.		35,664		564,205
Redwood Trust, Inc.		59,931		973,279
				3,891,844
Multiline Retail - 0.2%
Dillard’s, Inc., Class A (a)		16,025		1,223,349
Multi-Utilities - 0.4%
Avista Corp.		25,054		1,266,730
Black Hills Corp.		15,062		874,952
NorthWestern Corp.		18,706		1,097,294
				3,238,976
Oil, Gas & Consumable Fuels - 2.6%
Abraxas Petroleum Corp. *		180,223		419,920
Arch Coal, Inc., Class A		43,206		3,862,616
Delek US Holdings, Inc.		7,375		312,921
Denbury Resources, Inc. *		185,750		1,151,650
Oasis Petroleum, Inc. *		54,722		775,958
Peabody Energy Corp.		112,461		4,008,110
Penn Virginia Corp. *		7,146		575,539
Renewable Energy Group, Inc. *		93,636		2,696,717
REX American Resources Corp. *		7,976		602,587
SandRidge Energy, Inc. *		47,707		518,575
Southwestern Energy Co. *		193,269		987,605

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 2.6% (continued)
SRC Energy, Inc. *		30,606	$	272,087
W&T Offshore, Inc. *		317,629		3,061,943
				19,246,228
Paper & Forest Products - 2.0%
Boise Cascade Co.		71,876		2,645,037
KapStone Paper and Packaging Corp.		28,396		962,908
Louisiana-Pacific Corp.		228,724		6,058,899
PH Glatfelter Co.		11,556		220,835
Verso Corp., Class A *		142,892		4,811,174
				14,698,853
Personal Products - 2.4%
Inter Parfums, Inc.		9,512		613,048
Medifast, Inc.		31,377		6,951,574
Natural Health Trends Corp.		53,657		1,249,135
USANA Health Sciences, Inc. *		77,361		9,325,869
				18,139,626
Pharmaceuticals - 0.8%
ANI Pharmaceuticals, Inc. *		6,188		349,869
Corcept Therapeutics, Inc. *(a)		114,497		1,605,248
Innoviva, Inc. *		46,846		713,933
Lannett Co., Inc. *(a)		91,965		436,834
Phibro Animal Health Corp., Class A		30,159		1,293,821
Supernus Pharmaceuticals, Inc. *(a)		24,368		1,226,929
				5,626,634
Professional Services - 3.0%
ASGN, Inc. *		14,529		1,146,774
Barrett Business Services, Inc.		22,866		1,526,991
CBIZ, Inc. *		17,515		415,106
FTI Consulting, Inc. *		34,682		2,538,376
ICF International, Inc.		17,752		1,339,388
Insperity, Inc.		72,524		8,554,206
Kelly Services, Inc., Class A		48,104		1,155,939
Kforce, Inc.		32,916		1,237,642
Korn/Ferry International		42,550		2,095,162
TriNet Group, Inc. *		5,432		305,930
TrueBlue, Inc. *		66,543		1,733,445
Willdan Group, Inc. *		10,900		370,164
				22,419,123
Real Estate Management & Development - 0.4%
HFF, Inc., Class A		52,097		2,213,080
Marcus & Millichap, Inc. *		9,642		334,674
RMR Group, Inc. (The), Class A		7,632		708,250
				3,256,004
Road & Rail - 1.6%
ArcBest Corp.		69,855		3,391,460
Avis Budget Group, Inc. *		31,052		998,011
Covenant Transportation Group, Inc., Class A *		9,777		284,120
Marten Transport Ltd.		32,888		692,293
Saia, Inc. *		57,605		4,403,902
USA Truck, Inc. *		27,571		557,761
Werner Enterprises, Inc.		35,295		1,247,678
				11,575,225

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

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INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 1.5%
Advanced Energy Industries, Inc. *		20,053	$	1,035,738
Amkor Technology, Inc. *		236,976		1,751,253
Cabot Microelectronics Corp.		22,662		2,338,039
Diodes, Inc. *		10,542		350,943
Entegris, Inc.		100,711		2,915,583
Integrated Device Technology, Inc. *		10,639		500,139
Photronics, Inc. *		31,335		308,650
Rudolph Technologies, Inc. *		29,461		720,321
SMART Global Holdings, Inc. *		55,818		1,604,209
				11,524,875
Software - 3.0%
ACI Worldwide, Inc. *		21,507		605,207
Alarm.com Holdings, Inc. *		17,042		978,211
Appfolio, Inc., Class A *		2,541		199,214
Avaya Holdings Corp. *		33,702		746,162
Blackbaud, Inc. (a)		22,624		2,295,884
Ebix, Inc. (a)		31,551		2,497,262
eGain Corp. *		52,818		427,826
Ellie Mae, Inc. *(a)		7,602		720,442
Five9, Inc. *		15,643		683,443
HubSpot, Inc. *		1,818		274,427
j2 Global, Inc.		39,878		3,303,892
Mitek Systems, Inc. *		65,922		464,750
New Relic, Inc. *		3,550		334,516
Progress Software Corp.		36,877		1,301,389
Qualys, Inc. *		44,518		3,966,554
Trade Desk, Inc. (The), Class A *		13,434		2,027,325
Verint Systems, Inc. *		26,061		1,305,656
Zix Corp. *		76,300		423,465
				22,555,625
Specialty Retail - 5.5%
Aaron’s, Inc.		8,589		467,757
Abercrombie & Fitch Co., Class A		201,990		4,266,029
American Eagle Outfitters, Inc.		235,196		5,839,917
Asbury Automotive Group, Inc. *		9,714		667,837
Boot Barn Holdings, Inc. *(a)		14,884		422,854
Buckle, Inc. (The) (a)		117,854		2,716,535
Caleres, Inc.		100,802		3,614,760
Cato Corp. (The), Class A		10,434		219,323
Chico’s FAS, Inc.		136,156		1,180,472
Children’s Place, Inc. (The)		27,937		3,570,349
Citi Trends, Inc.		19,312		555,606
DSW, Inc., Class A		112,255		3,803,199
Express, Inc. *		237,077		2,622,072
Five Below, Inc. *		13,527		1,759,322
Genesco, Inc. *		4,635		218,308
Group 1 Automotive, Inc.		13,337		865,571
Haverty Furniture Cos., Inc.		16,396		362,352
Hibbett Sports, Inc. *(a)		72,080		1,355,104
Kirkland’s, Inc. *		30,853		311,307
Lithia Motors, Inc., Class A		2,878		235,017
Shoe Carnival, Inc.		49,942		1,922,767
Sleep Number Corp. *		12,503		459,860
Tailored Brands, Inc. (a)		58,698		1,478,603
Tilly’s, Inc., Class A		22,003		416,957
Zumiez, Inc. *		55,002		1,449,303
				40,781,181

INVESTMENTS	SHARES		VALUE
Textiles, Apparel & Luxury Goods - 3.3%
Crocs, Inc. *		91,298	$	1,943,735
Deckers Outdoor Corp. *		64,454		7,642,955
Fossil Group, Inc. *(a)		54,100		1,259,448
G-III Apparel Group Ltd. *		71,158		3,429,104
Movado Group, Inc.		62,270		2,609,113
Oxford Industries, Inc.		24,538		2,213,328
Perry Ellis International, Inc. *		16,846		460,401
Rocky Brands, Inc.		24,841		703,000
Steven Madden Ltd.		41,357		2,187,785
Vera Bradley, Inc. *		91,920		1,402,699
Wolverine World Wide, Inc.		11,387		444,663
				24,296,231
Thrifts & Mortgage Finance - 3.3%
Axos Financial, Inc. *		125,148		4,303,840
Dime Community Bancshares, Inc.		26,665		475,970
Federal Agricultural Mortgage Corp., Class C		4,580		330,584
First Defiance Financial Corp.		30,496		918,235
Flagstar Bancorp, Inc. *		13,533		425,883
HomeStreet, Inc. *		11,814		313,071
Meta Financial Group, Inc.		10,474		865,676
MGIC Investment Corp. *		417,399		5,555,581
Oritani Financial Corp.		21,901		340,560
Provident Financial Services, Inc.		13,221		324,576
Radian Group, Inc.		139,707		2,887,744
United Financial Bancorp, Inc.		16,318		274,632
Walker & Dunlop, Inc.		95,850		5,068,548
Washington Federal, Inc.		52,350		1,675,200
WSFS Financial Corp.		14,776		696,688
				24,456,788
Tobacco - 0.5%
Pyxus International, Inc. *(a)		12,697		292,031
Turning Point Brands, Inc.		18,349		760,749
Universal Corp.		31,092		2,020,980
Vector Group Ltd. (a)		38,959		536,858
				3,610,618
Trading Companies & Distributors - 1.9%
BlueLinx Holdings, Inc. *(a)		9,400		296,006
BMC Stock Holdings, Inc. *		40,693		758,925
CAI International, Inc. *		91,723		2,097,705
GATX Corp. (a)		38,538		3,337,005
GMS, Inc. *		26,813		622,062
H&E Equipment Services, Inc.		49,195		1,858,587
Herc Holdings, Inc. *		7,374		377,549
Rush Enterprises, Inc., Class A		15,001		589,689
Systemax, Inc.		9,281		305,716
Textainer Group Holdings Ltd. *		20,649		264,307
Titan Machinery, Inc. *		16,190		250,702
Triton International Ltd.		111,902		3,722,980
				14,481,233
Water Utilities - 0.0% (b)
SJW Group		3,769		230,474
Wireless Telecommunication Services - 1.1%
Boingo Wireless, Inc. *		95,493		3,332,706
NII Holdings, Inc. *(a)		315,514		1,848,912

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

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INVESTMENTS	SHARES		VALUE
Wireless Telecommunication Services - 1.1% (continued)
Shenandoah Telecommunications Co.		73,698	$	2,855,797
				8,037,415
TOTAL COMMON STOCKS (Cost $584,873,481)				723,293,819
PREFERRED STOCKS - 0.0% (b)
Media - 0.0% (b)
GCI Liberty, Inc., Series A, 7.00%, 3/10/2039(c)
(Cost $24,899)		2,727		68,366
RIGHTS - 0.0% (b)	NO. OF RIGHTS
Media - 0.0% (b)
Media General, Inc., CVR (3) *(d)
(Cost $10,984)		36,985		627
SHORT-TERM INVESTMENTS - 2.9%	SHARES
INVESTMENT COMPANIES - 2.9%
Limited Purpose Cash Investment Fund, 2.06% (e)
(Cost $21,601,395)		21,605,928		21,603,768
SECURITIES LENDING COLLATERAL - 6.5%
Investment Companies - 6.5%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (e)(f)		5,936,000		5,936,000
Limited Purpose Cash Investment Fund 2.06% (e)(f)		42,594,357		42,590,097
TOTAL SECURITIES LENDING COLLATERAL (Cost $48,530,356)				48,526,097
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 106.4% (Cost $$655,041,115)				793,492,677
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.4)% (g)			(48,062,201)
NET ASSETS - 100.0%			$	745,430,476

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	28,414,248			3.8	%
Consumer Discretionary		132,165,829			17.7
Consumer Staples		37,287,814			5.0
Energy		22,773,392			3.0
Financials		145,158,451			19.5
Health Care		83,272,882			11.2
Industrials		139,640,289			18.7
Information Technology		64,646,065			8.7
Materials		40,912,106			5.5
Real Estate		24,683,395			3.3
Utilities		4,408,341			0.6
Short-Term Investments		21,603,768			2.9
Securities Lending Collateral		48,526,097			6.5
Total Investments In Securities At Value		793,492,677			106.4
Liabilities in Excess of Other Assets (g)		(48,062,201	)		(6.4	)
Net Assets	$	745,430,476			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $46,920,908.

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

(c) Perpetual security. The rate reflected was the rate in effect on September 30, 2018. The maturity date reflects the next call date.

(d) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $627, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of September 30, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

(g) Includes appreciation/(depreciation) on futures contracts.

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

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

Abbreviations

CVR - Contingent Value Rights

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index	167	12/2018		USD		$14,201,680		$(154,866	)
								$(154,866	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$824,821		$824,821

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.1%
Australia - 5.5%
Amcor Ltd.		29,675	$	293,284
BHP Billiton Ltd.		77,989		1,942,776
BlueScope Steel Ltd.		75,851		930,293
Caltex Australia Ltd.		27,038		584,124
CIMIC Group Ltd.		41,333		1,534,082
Coca-Cola Amatil Ltd.		17,370		122,449
Crown Resorts Ltd.		58,005		573,653
CSL Ltd.		11,411		1,658,012
Dexus, REIT		104,929		801,610
Flight Centre Travel Group Ltd.		66,329		2,547,154
Fortescue Metals Group Ltd.		851,875		2,413,984
Goodman Group, REIT		41,832		313,806
GPT Group (The), REIT		196,673		740,729
Rio Tinto Ltd.		10,260		583,512
Santos Ltd.		115,784		607,888
Scentre Group, REIT		235,569		676,969
South32 Ltd.		807,013		2,267,953
Telstra Corp. Ltd.		994,537		2,291,307
Woodside Petroleum Ltd.		73,707		2,056,194
				22,939,779
Belgium - 1.0%
Ageas		64,497		3,467,272
Solvay SA		1,793		240,358
UCB SA		2,241		201,385
Umicore SA		7,800		435,696
				4,344,711
Canada - 7.3%
Bank of Montreal (1)		4,699		387,591
Bank of Nova Scotia (The) (1)		10,355		617,219
BlackBerry Ltd. (1)*		12,046		136,347
Canadian Imperial Bank of Commerce (1)		15,845		1,484,706
Canadian Tire Corp. Ltd., Class A (1)		1,029		120,566
CCL Industries, Inc., Class B (1)		7,415		334,225
CGI Group, Inc., Class A (1)*		62,511		4,030,439
Constellation Software, Inc. (1)		168		123,546
Fairfax Financial Holdings Ltd. (1)		2,547		1,383,759
Great-West Lifeco, Inc. (1)		3,723		90,333
Kinross Gold Corp. (1) *		493,673		1,345,356
Magna International, Inc. (1)		39,340		2,066,519
Methanex Corp. (1)		42,600		3,362,750
Open Text Corp. (1)		9,992		380,217
Power Corp. of Canada (1)		5,259		114,247
Royal Bank of Canada (1)		57,836		4,636,193
Shopify, Inc., Class A (1)*		11,708		1,924,367
Toronto-Dominion Bank (The) (1)		73,894		4,490,333
West Fraser Timber Co. Ltd. (1)		65,203		3,710,814
				30,739,527
China - 0.3%
Yangzijiang Shipbuilding Holdings Ltd.		1,254,500		1,137,312
Denmark - 2.0%
Carlsberg A/S, Class B		1,900		227,858
Coloplast A/S, Class B		4,476		457,248
Genmab A/S *		1,661		260,897
H Lundbeck A/S		29,062		1,793,951

INVESTMENTS	SHARES		VALUE
Denmark - 2.0% (continued)
Novo Nordisk A/S, Class B		76,688	$	3,609,326
William Demant Holding A/S *		49,978		1,876,094
				8,225,374
Finland - 1.4%
Neste OYJ		45,583		3,757,197
Nokia OYJ		143,842		799,728
UPM-Kymmene OYJ		32,405		1,270,890
				5,827,815
France - 10.3%
Aeroports de Paris		2,699		607,683
Airbus SE		1,209		151,781
Arkema SA		967		119,839
BNP Paribas SA		34,062		2,085,841
CNP Assurances		72,823		1,755,448
Dassault Aviation SA		241		446,018
Kering SA		4,948		2,653,884
L’Oreal SA		28,212		6,801,552
LVMH Moet Hennessy Louis Vuitton SE		10,782		3,810,046
Peugeot SA		152,549		4,115,120
Safran SA		23,368		3,272,082
Sanofi		40,716		3,637,862
Teleperformance		4,807		906,864
Thales SA		25,311		3,596,206
TOTAL SA		142,972		9,296,148
				43,256,374
Germany - 9.2%
adidas AG		2,115		517,244
Allianz SE (Registered)		24,046		5,351,841
BASF SE		15,811		1,402,960
Bayer AG (Registered)		17,347		1,538,690
Bayerische Motoren Werke AG		7,923		713,789
Beiersdorf AG		5,694		641,847
Covestro AG (a)		79,639		6,446,558
Deutsche Boerse AG		5,562		743,677
Deutsche Lufthansa AG (Registered)		195,064		4,787,637
Deutsche Wohnen SE		10,225		491,124
Fresenius SE & Co. KGaA		9,490		695,904
Hannover Rueck SE		7,094		1,001,306
Henkel AG & Co. KGaA (Preference)		4,546		533,022
HUGO BOSS AG		9,255		712,034
Linde AG		4,967		1,172,992
METRO AG		34,853		545,901
MTU Aero Engines AG		4,328		975,007
Puma SE		551		271,866
SAP SE		22,667		2,787,215
Schaeffler AG (Preference)		23,407		298,567
Siemens Healthineers AG *(a)		4,395		193,101
TUI AG		99,030		1,899,655
Volkswagen AG (Preference)		6,554		1,150,966
Vonovia SE		11,443		559,657
Wirecard AG		14,138		3,058,744
				38,491,304
Hong Kong - 2.9%
CLP Holdings Ltd.		294,500		3,448,812
Galaxy Entertainment Group Ltd.		384,000		2,425,760

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

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INVESTMENTS	SHARES		VALUE
Hong Kong - 2.9% (continued)
Henderson Land Development Co. Ltd.		100,100	$	502,709
Hong Kong Exchanges & Clearing Ltd.		28,400		811,519
Kerry Properties Ltd.		164,000		556,870
Li & Fung Ltd.		1,548,000		346,750
Link REIT		26,000		255,995
NWS Holdings Ltd.		123,000		243,126
PCCW Ltd.		269,000		156,728
Sino Land Co. Ltd.		146,000		250,129
Sun Hung Kai Properties Ltd.		40,000		580,488
Swire Properties Ltd.		161,400		612,020
WH Group Ltd. (a)		686,000		481,610
Yue Yuen Industrial Holdings Ltd.		585,500		1,627,681
				12,300,197
Italy - 2.2%
Assicurazioni Generali SpA		181,954		3,133,220
Enel SpA		231,198		1,181,775
Eni SpA		141,483		2,666,895
Moncler SpA		21,662		932,060
Poste Italiane SpA (a)		167,021		1,332,221
UniCredit SpA		11,203		168,098
				9,414,269
Japan - 21.4%
Acom Co. Ltd.		10,000		40,316
AEON Financial Service Co. Ltd.		2,700		55,919
AGC, Inc.		6,200		257,315
Alps Electric Co. Ltd.		25,000		635,566
Aozora Bank Ltd.		15,100		539,311
Asahi Kasei Corp.		229,800		3,484,252
Astellas Pharma, Inc.		95,400		1,665,968
Bandai Namco Holdings, Inc.		85,500		3,321,749
Central Japan Railway Co.		1,600		333,117
Credit Saison Co. Ltd.		16,800		273,999
Daiwa House Industry Co. Ltd.		15,100		447,471
DeNA Co. Ltd.		23,400		413,201
Fujitsu Ltd.		37,500		2,671,488
Hitachi Ltd.		152,600		5,187,125
Hoya Corp.		27,500		1,633,252
ITOCHU Corp.		49,700		909,664
Japan Airlines Co. Ltd.		5,500		197,682
Japan Tobacco, Inc.		27,100		707,671
JXTG Holdings, Inc.		218,100		1,649,664
Kajima Corp.		64,500		937,866
Kamigumi Co. Ltd.		10,000		220,427
Kao Corp.		37,700		3,045,323
KDDI Corp.		158,600		4,375,258
Kirin Holdings Co. Ltd.		17,400		446,274
Konami Holdings Corp.		40,300		1,577,995
Kyocera Corp.		11,500		690,249
Kyushu Railway Co.		37,100		1,129,544
Marubeni Corp.		595,200		5,443,470
Mazda Motor Corp.		129,200		1,552,984
Mitsubishi Corp.		45,100		1,389,203
Mitsubishi Estate Co. Ltd.		31,000		526,382
Mitsubishi Gas Chemical Co., Inc.		23,500		500,268
Mitsubishi UFJ Financial Group, Inc.		380,200		2,362,066
Mitsui Fudosan Co. Ltd.		24,000		567,621
Mizuho Financial Group, Inc.		1,861,200		3,243,704

INVESTMENTS	SHARES		VALUE
Japan - 21.4% (continued)
Nexon Co. Ltd. *		492,200	$	6,433,796
Nippon Electric Glass Co. Ltd.		4,300		135,174
Nippon Express Co. Ltd.		42,800		2,810,832
Nippon Telegraph & Telephone Corp.		29,800		1,344,884
Nomura Holdings, Inc.		48,200		229,888
Nomura Real Estate Holdings, Inc.		8,000		161,382
NTT DOCOMO, Inc.		35,400		951,466
Oji Holdings Corp.		181,000		1,314,413
Otsuka Corp.		3,300		123,090
Recruit Holdings Co. Ltd.		7,000		233,810
Resona Holdings, Inc.		687,200		3,858,262
Sega Sammy Holdings, Inc.		31,500		464,478
Shimano, Inc.		2,500		403,122
Sony Corp.		89,600		5,446,575
SUMCO Corp.		38,800		565,224
Sumitomo Dainippon Pharma Co. Ltd.		58,600		1,345,837
Sumitomo Heavy Industries Ltd.		31,000		1,106,438
Sumitomo Mitsui Financial Group, Inc.		97,200		3,911,704
Taisei Corp.		27,300		1,244,425
Tokyo Electron Ltd.		9,200		1,267,948
Toshiba Corp. *		18,300		528,838
Toyo Seikan Group Holdings Ltd.		4,200		87,154
Toyota Motor Corp.		36,900		2,298,973
Yamaha Corp.		28,100		1,488,960
				90,190,037
Macau - 0.7%
Sands China Ltd.		38,800		174,736
SJM Holdings Ltd.		1,418,000		1,306,493
Wynn Macau Ltd.		590,800		1,356,830
				2,838,059
Netherlands - 5.5%
Aegon NV		176,262		1,144,036
ING Groep NV		96,440		1,251,704
Koninklijke Ahold Delhaize NV		110,731		2,540,449
Koninklijke Philips NV		47,123		2,147,936
NN Group NV		39,224		1,750,663
Royal Dutch Shell plc, Class A		230,008		7,886,622
Royal Dutch Shell plc, Class B		97,616		3,417,201
Wolters Kluwer NV		50,039		3,119,428
				23,258,039
Singapore - 0.9%
CapitaLand Commercial Trust, REIT		273,500		356,329
Genting Singapore Ltd.		1,455,000		1,127,821
SATS Ltd.		142,000		542,114
Venture Corp. Ltd.		121,900		1,571,865
				3,598,129
South Africa - 0.3%
Investec plc		152,069		1,066,782
Spain - 1.7%
Aena SME SA (a)		5,192		899,551
Amadeus IT Group SA		8,110		751,707
Banco Bilbao Vizcaya Argentaria SA		181,833		1,152,866
Banco Santander SA		66,525		333,068
Grifols SA		7,841		220,471
Mapfre SA		450,217		1,408,211

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

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INVESTMENTS	SHARES		VALUE
Spain - 1.7% (continued)
Repsol SA		125,567	$	2,499,702
				7,265,576
Sweden - 2.2%
Atlas Copco AB, Class A		6,163		177,237
Electrolux AB, Series B		13,628		300,214
Essity AB, Class B		60,887		1,528,342
Hexagon AB, Class B		9,392		549,871
Investor AB, Class B		8,330		383,860
Sandvik AB		112,359		1,989,233
SKF AB, Class B		12,568		247,300
Swedbank AB, Class A		45,795		1,132,609
Telefonaktiebolaget LM Ericsson, Class B		74,353		658,083
Volvo AB, Class B		138,084		2,435,380
				9,402,129
Switzerland - 8.0%
Coca-Cola HBC AG *		17,489		595,836
Ferguson plc		7,834		664,495
Lonza Group AG (Registered) *		2,171		742,693
Nestle SA (Registered)		64,681		5,383,828
Novartis AG (Registered)		70,945		6,106,837
Partners Group Holding AG		386		305,989
Roche Holding AG		43,007		10,399,757
SGS SA (Registered)		56		147,444
Sika AG (Registered)		4,349		632,864
Sonova Holding AG (Registered)		10,137		2,011,871
Straumann Holding AG (Registered)		1,303		981,632
Swatch Group AG (The)		2,651		1,053,597
Swiss Life Holding AG (Registered) *		8,121		3,079,251
Zurich Insurance Group AG		4,754		1,498,961
				33,605,055
United Kingdom - 12.5%
3i Group plc		23,824		291,722
BAE Systems plc		345,236		2,830,925
Barratt Developments plc		74,788		552,306
Berkeley Group Holdings plc		47,642		2,282,374
BP plc		580,741		4,451,230
British American Tobacco plc		66,191		3,085,857
British Land Co. plc (The), REIT		80,014		643,566
Burberry Group plc		60,959		1,600,740
Compass Group plc		78,079		1,735,955
Direct Line Insurance Group plc		444,814		1,877,470
Experian plc		21,133		542,274
Hammerson plc, REIT		43,773		260,456
HSBC Holdings plc		184,849		1,612,879
Imperial Brands plc		25,501		887,383
International Consolidated Airlines Group SA		356,298		3,056,528
Intertek Group plc		7,874		512,222
J Sainsbury plc		355,007		1,487,301
Johnson Matthey plc		21,845		1,013,678
Land Securities Group plc, REIT		25,856		297,706
Legal & General Group plc		460,171		1,570,929
Lloyds Banking Group plc		3,829,583		2,945,287
London Stock Exchange Group plc		9,340		558,128
Marks & Spencer Group plc		32,494		122,257
Meggitt plc		102,218		754,666

INVESTMENTS	SHARES		VALUE
United Kingdom - 12.5% (continued)
Mondi plc		5,198	$	142,320
Next plc		35,277		2,524,638
Persimmon plc		86,666		2,668,215
Prudential plc		49,661		1,138,630
RELX plc *		27,549		578,782
RELX plc		50,161		1,055,219
Rolls-Royce Holdings plc *		85,868		1,104,726
Royal Mail plc		133,649		830,814
Segro plc, REIT		105,872		880,992
Sky plc		27,519		620,099
Taylor Wimpey plc		522,800		1,168,562
Travis Perkins plc		29,002		402,462
Unilever NV, CVA		43,657		2,428,413
Unilever plc		31,184		1,713,066
				52,230,777
United States - 1.8%
Bausch Health Cos., Inc. (1)*		226,978		5,828,871
Shire plc		25,582		1,545,559
				7,374,430
TOTAL COMMON STOCKS (Cost $366,274,484)				407,505,675
SHORT-TERM INVESTMENTS - 0.9%
INVESTMENT COMPANIES - 0.9%
Limited Purpose Cash Investment Fund, 2.06% (1)(b)
(Cost $3,577,234)		3,577,592		3,577,234
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.0% (Cost $369,851,718)				411,082,909
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.0% (c)			8,324,044
Net Assets - 100.0%			$	419,406,953

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	18,164,736		4.3	%
Consumer Discretionary		59,734,891		14.2
Consumer Staples		33,203,980		7.9
Energy		38,872,865		9.3
Financials		72,073,040		17.2
Health Care		50,553,155		12.1
Industrials		56,291,231		13.4
Information Technology		28,047,990		6.7
Materials		35,449,190		8.4
Real Estate		10,484,011		2.5
Utilities		4,630,586		1.1
Short-Term Investments		3,577,234		0.9
Total Investments In Securities At Value		411,082,909		98.0
Other Assets in Excess of Liabilities (c)		8,324,044		2.0
Net Assets	$	419,406,953		100.0	%

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

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* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $9,353,041, which represents approximately 2.23% of net assets of the fund.

(b) Represents 7-day effective yield as of September 30, 2018.

(c) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

Description	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index	80	12/2018		USD		$7,902,000		$(9,809	)
								$(9,809	)

USD - United States Dollar

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$327		$327

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.2%
Brazil - 6.9%
Banco Bradesco SA, ADR (1)*		97,732	$	691,943
Banco do Brasil SA (1)*		239,300		1,741,473
Banco Santander Brasil SA, ADR (1)		76,968		678,088
Braskem SA (Preference), Class A (1)		11,200		161,626
Centrais Eletricas Brasileiras SA (1)*		77,800		298,790
Embraer SA, ADR (1)		9,597		188,005
Fibria Celulose SA, ADR (1)(a)		19,411		359,686
Hypera SA (1)*		54,000		380,944
Itau Unibanco Holding SA, ADR (1)		35,791		392,985
Itausa—Investimentos Itau SA (Preference) (1)		357,495		890,518
M Dias Branco SA (1)*		13,600		132,782
Natura Cosmeticos SA (1)		15,100		106,037
Petroleo Brasileiro SA (Preference) (1)*		401,300		2,096,651
Porto Seguro SA (1)		35,100		516,955
Sul America SA (1)		196,497		1,262,606
Suzano Papel e Celulose SA (1)		311,700		3,703,924
TIM Participacoes SA, ADR (1)		168,454		2,440,898
Vale SA, ADR (1)		351,237		5,212,358
				21,256,269
Chile - 1.9%
Banco de Chile, ADR (1)(a)		5,881		535,465
Banco de Credito e Inversiones SA		4,944		334,403
Banco Santander Chile, ADR (1)		51,060		1,632,898
Cencosud SA		174,342		414,438
Cia Cervecerias Unidas SA, ADR (1)(a)		4,818		134,422
Empresas CMPC SA		209,890		847,056
Empresas COPEC SA		16,824		259,910
Enel Americas SA, ADR (1)		108,678		840,081
Enel Chile SA, ADR (1)		68,690		344,137
Latam Airlines Group SA, ADR (1)(a)		52,224		490,906
				5,833,716
China - 27.5%
3SBio, Inc. (b)		73,000		122,326
58.com, Inc., ADR (1)*		4,817		354,531
AAC Technologies Holdings, Inc.		13,000		134,242
Agricultural Bank of China Ltd., Class A*		1,060,471		599,937
Agricultural Bank of China Ltd., Class H		2,752,000		1,349,639
Air China Ltd., Class H		406,000		390,543
Alibaba Group Holding Ltd., ADR (1)*		69,182		11,398,425
Alibaba Health Information Technology Ltd. *		664,000		649,320
Anhui Conch Cement Co. Ltd., Class H		111,000		666,544
ANTA Sports Products Ltd.		159,000		759,040
Autohome, Inc., ADR (1)		2,981		230,759
BAIC Motor Corp. Ltd., Class H (b)		324,500		261,193
Baidu, Inc., ADR (1)*		16,444		3,760,414
Bank of China Ltd., Class A *		1,038,900		562,004
Bank of China Ltd., Class H		3,116,000		1,376,783
China Communications Services Corp. Ltd., Class H		912,000		840,963
China Construction Bank Corp., Class H		5,620,000		4,912,445
China Evergrande Group		585,000		1,633,259
China Huarong Asset Management Co. Ltd., Class H (b)		1,073,000		197,216

INVESTMENTS	SHARES		VALUE
China - 27.5% (continued)
China Medical System Holdings Ltd.		117,000	$	162,920
China Mobile Ltd.		380,175		3,737,821
China National Building Material Co. Ltd., Class H		1,830,000		1,622,865
China Overseas Land & Investment Ltd.		380,000		1,189,751
China Petroleum & Chemical Corp., Class H		2,500,000		2,511,874
China Resources Beer Holdings Co. Ltd.		242,000		970,459
China Resources Cement Holdings Ltd.		996,000		1,158,279
China Resources Land Ltd.		290,000		1,016,190
China Shenhua Energy Co. Ltd., Class H		300,000		683,239
China Vanke Co. Ltd., Class H		214,000		705,503
Chongqing Rural Commercial Bank Co. Ltd., Class H		1,189,000		648,862
CNOOC Ltd., ADR (1)		14,206		2,806,253
Country Garden Holdings Co. Ltd.		1,591,000		2,004,947
CSPC Pharmaceutical Group Ltd.		938,000		1,984,090
Ctrip.com International Ltd., ADR (1)*		20,700		769,419
Far East Horizon Ltd.		332,000		316,642
GCL-Poly Energy Holdings Ltd. *(a)		3,503,000		245,917
Great Wall Motor Co. Ltd., Class H (a)		186,500		118,533
Huaneng Renewables Corp. Ltd., Class H		594,000		177,123
Huazhu Group Ltd., ADR (1)		7,502		242,315
Industrial & Commercial Bank of China Ltd., Class H		5,532,000		4,038,878
Industrial Bank Co. Ltd., Class A *		63,643		147,668
JD.com, Inc., ADR (1)*		41,989		1,095,493
Jiangsu Hengrui Medicine Co. Ltd. *, Class A		22,282		205,751
Kingdee International Software Group Co. Ltd.		560,000		607,832
Luye Pharma Group Ltd.		406,500		363,943
Momo, Inc., ADR (1)*		6,789		297,358
NetEase, Inc., ADR (1)		4,926		1,124,360
New Oriental Education & Technology Group, Inc., ADR (1)*		7,867		582,237
Nexteer Automotive Group Ltd.		249,000		394,265
People’s Insurance Co. Group of China Ltd. (The), Class H		426,000		190,904
PICC Property & Casualty Co. Ltd., Class H		1,224,000		1,440,541
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		240,000		236,835
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		89,200		222,980
Shenzhou International Group Holdings Ltd.		32,000		410,596
Sihuan Pharmaceutical Holdings Group Ltd.		1,005,000		205,319
SINA Corp. (1)*		3,734		259,438
Sinopec Shanghai Petrochemical Co. Ltd., Class H		2,450,000		1,494,250
Sinopharm Group Co. Ltd., Class H		170,400		833,488
Sinotruk Hong Kong Ltd. (a)		417,000		909,798
TAL Education Group, ADR (1)*		16,458		423,135
Tencent Holdings Ltd.		256,000		10,452,691
Tingyi Cayman Islands Holding Corp.		478,000		877,713
TravelSky Technology Ltd., Class H		154,000		400,419
Tsingtao Brewery Co. Ltd., Class H		176,000		825,606
Vipshop Holdings Ltd., ADR (1)*		24,408		152,306

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

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INVESTMENTS	SHARES		VALUE
China - 27.5% (continued)
Weibo Corp., ADR (1)*(a)		2,743	$	200,596
Weichai Power Co. Ltd., Class H		1,501,000		1,858,156
Yum China Holdings, Inc. (1)		25,244		886,317
Zhongsheng Group Holdings Ltd.		370,000		898,048
				85,309,506
Hong Kong - 2.9%
Bank of Communications Co. Ltd. *		302,824		257,200
Haier Electronics Group Co. Ltd. *		876,000		2,371,634
Kingboard Holdings Ltd.		96,500		314,128
Kingboard Laminates Holdings Ltd.		327,500		290,375
Nine Dragons Paper Holdings Ltd.		2,272,000		2,449,923
Sino Biopharmaceutical Ltd.		1,687,500		1,569,602
SSY Group Ltd.		238,000		230,425
Sun Art Retail Group Ltd.		1,240,000		1,608,657
				9,091,944
Hungary - 0.1%
MOL Hungarian Oil & Gas plc		38,304		412,570
India - 8.3%
Aurobindo Pharma Ltd.		14,610		150,036
Axis Bank Ltd., GDR *(c)		10,786		456,206
Coal India Ltd.		37,327		137,139
Dabur India Ltd.		18,276		107,642
Dr Reddy’s Laboratories Ltd., ADR (1)		23,550		814,830
Godrej Consumer Products Ltd.		12,669		134,363
Hero MotoCorp Ltd.		2,340		94,702
Hindustan Unilever Ltd.		118,167		2,622,500
Indian Oil Corp. Ltd.		339,879		718,920
Infosys Ltd., ADR (1)		643,580		6,545,208
JSW Steel Ltd.		20,085		105,798
Larsen & Toubro Ltd., GDR (c)		5,188		90,011
NTPC Ltd.		46,969		108,079
Oil & Natural Gas Corp. Ltd.		243,558		595,697
Reliance Industries Ltd., GDR (b)		102,474		3,526,021
State Bank of India, GDR *(c)		11,670		430,873
Sun Pharmaceutical Industries Ltd.		28,407		244,234
Tata Consultancy Services Ltd.		114,958		3,463,116
Tata Motors Ltd., ADR (1)*		7,932		121,836
Tech Mahindra Ltd.		279,044		2,869,964
Vedanta Ltd., ADR (1)		13,149		168,307
Wipro Ltd., ADR (1)(a)		406,684		2,118,824
				25,624,306
Indonesia - 2.8%
Adaro Energy Tbk. PT		15,338,700		1,887,329
Bank Central Asia Tbk. PT		420,200		680,619
Bank Mandiri Persero Tbk. PT		1,170,500		527,443
Bank Negara Indonesia Persero Tbk. PT		1,509,700		749,705
Bank Rakyat Indonesia Persero Tbk. PT		7,912,000		1,671,953
Gudang Garam Tbk. PT		65,800		326,906
Indah Kiat Pulp & Paper Corp. Tbk. PT		523,600		609,227
Indofood CBP Sukses Makmur Tbk. PT		224,100		132,808
Indofood Sukses Makmur Tbk. PT		1,539,300		609,509
United Tractors Tbk. PT		603,100		1,335,283
				8,530,782

INVESTMENTS	SHARES		VALUE
Malaysia - 3.3%
AirAsia Group Bhd.		1,855,592	$	1,416,427
CIMB Group Holdings Bhd.		69,100		100,321
Genting Bhd.		288,600		544,566
Hartalega Holdings Bhd.		52,300		83,612
Hong Leong Bank Bhd.		118,500		589,330
Malayan Banking Bhd.		1,005,300		2,377,664
Malaysia Airports Holdings Bhd.		40,000		85,995
My EG Services Bhd.		612,100		258,619
Petronas Chemicals Group Bhd.		397,800		899,618
Public Bank Bhd.		284,100		1,715,894
Sime Darby Bhd.		687,200		433,298
Tenaga Nasional Bhd.		400,400		1,497,089
Top Glove Corp. Bhd.		67,700		174,297
				10,176,730
Mexico - 2.2%
Alfa SAB de CV, Class A (1)(a)		115,500		148,927
America Movil SAB de CV, Class L, ADR (1)		48,215		774,333
Arca Continental SAB de CV (1)		23,000		148,565
Coca-Cola Femsa SAB de CV, ADR (1)		2,337		143,118
Fomento Economico Mexicano SAB de CV, ADR (1)		5,851		579,073
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)(a)		34,000		371,685
Grupo Bimbo SAB de CV, Series A (1)		52,100		111,110
Grupo Financiero Banorte SAB de CV, Class O (1)		163,400		1,181,363
Grupo Financiero Inbursa SAB de CV, Class O (1)		101,700		159,555
Wal-Mart de Mexico SAB de CV (1)		1,030,400		3,140,093
				6,757,822
Peru - 0.3%
Credicorp Ltd. (1)		3,587		800,188
Philippines - 0.6%
Ayala Corp.		8,590		147,505
Ayala Land, Inc.		183,900		136,316
BDO Unibank, Inc.		152,970		339,175
International Container Terminal Services, Inc.		124,280		216,307
JG Summit Holdings, Inc.		92,080		91,871
Jollibee Foods Corp.		26,930		128,042
Security Bank Corp.		80,110		228,268
SM Investments Corp.		25,640		428,837
				1,716,321
Poland - 2.1%
Bank Polska Kasa Opieki SA		6,104		175,673
Grupa Lotos SA		39,591		805,263
Jastrzebska Spolka Weglowa SA *		20,255		364,429
LPP SA		306		715,869
PGE Polska Grupa Energetyczna SA *		146,720		379,224
Polski Koncern Naftowy ORLEN SA		79,132		2,169,089
Polskie Gornictwo Naftowe i Gazownictwo SA *		407,484		715,249
Powszechna Kasa Oszczednosci Bank Polski SA		70,126		814,668
Powszechny Zaklad Ubezpieczen SA		11,212		120,660

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

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INVESTMENTS	SHARES		VALUE
Poland - 2.1% (continued)
Santander Bank Polska SA		1,575	$	160,180
Tauron Polska Energia SA *		278,523		133,736
				6,554,040
Russia - 3.4%
Gazprom PJSC, ADR		350,088		1,746,950
LUKOIL PJSC, ADR		24,570		1,881,407
Magnit PJSC, GDR (c)		11,089		157,309
Mobile TeleSystems PJSC, ADR (1)		61,619		525,610
Novatek PJSC, GDR (c)		5,239		960,892
Novolipetsk Steel PJSC, GDR (c)		40,723		1,096,050
Rosneft Oil Co. PJSC, GDR (c)		68,272		510,112
Severstal PJSC, GDR (c)		89,292		1,487,162
Surgutneftegas PJSC, ADR		88,464		365,219
Tatneft PJSC, ADR		22,939		1,750,243
				10,480,954
South Africa - 4.7%
Absa Group Ltd.		34,911		374,427
Aspen Pharmacare Holdings Ltd.		6,824		81,658
Bidvest Group Ltd. (The)		124,689		1,631,024
Exxaro Resources Ltd.		48,077		494,245
Foschini Group Ltd. (The)		59,971		735,919
Growthpoint Properties Ltd., REIT		84,208		138,178
Imperial Holdings Ltd.		179,549		2,219,940
Investec Ltd.		125,661		883,530
Kumba Iron Ore Ltd.		38,953		882,616
Life Healthcare Group Holdings Ltd.		110,547		191,956
Mr Price Group Ltd.		28,761		463,842
Nedbank Group Ltd.		20,461		382,760
Netcare Ltd.		231,199		395,104
Pick n Pay Stores Ltd.		114,317		556,261
Redefine Properties Ltd., REIT		217,038		153,713
Remgro Ltd.		28,077		391,291
Sappi Ltd.		76,092		477,350
SPAR Group Ltd. (The)		13,751		179,094
Standard Bank Group Ltd.		124,074		1,534,239
Telkom SA SOC Ltd.		67,136		245,192
Truworths International Ltd.		354,966		2,093,635
Woolworths Holdings Ltd.		25,277		88,619
				14,594,593
South Korea - 14.7%
Celltrion Healthcare Co. Ltd. *		4,665		387,824
Celltrion, Inc. *		12,978		3,478,052
Daelim Industrial Co. Ltd.		6,698		498,786
DB Insurance Co. Ltd.		9,803		643,333
E-MART, Inc.		2,079		388,969
Hana Financial Group, Inc.		16,694		670,311
Hanwha Chemical Corp.		9,744		169,510
Hanwha Corp.		45,008		1,331,090
Hanwha Life Insurance Co. Ltd.		61,659		294,065
Hyundai Department Store Co. Ltd.		1,872		167,756
Hyundai Marine & Fire Insurance Co. Ltd.		41,668		1,575,104
Hyundai Mobis Co. Ltd.		1,441		296,092
Korea Investment Holdings Co. Ltd.		1,686		115,612
Korean Air Lines Co. Ltd.		7,241		183,394
Kumho Petrochemical Co. Ltd.		4,523		401,584
LG Corp.		5,888		385,400

INVESTMENTS	SHARES		VALUE
South Korea - 14.7% (continued)
LG Electronics, Inc.		65,516	$	4,192,412
Lotte Chemical Corp.		11,161		2,797,035
Medy-Tox, Inc.		429		239,458
POSCO		9,346		2,480,866
Posco Daewoo Corp.		12,448		234,870
S-1 Corp.		1,090		89,808
Samsung Electronics Co. Ltd.		306,854		12,842,108
Samsung SDS Co. Ltd.		2,461		512,414
SillaJen, Inc. *		10,685		985,867
SK Hynix, Inc.		116,587		7,713,152
SK Innovation Co. Ltd.		2,089		404,932
SK Telecom Co. Ltd.		6,090		1,544,029
ViroMed Co. Ltd. *		1,374		298,340
				45,322,173
Taiwan - 10.9%
Acer, Inc. *		131,000		108,201
ASE Technology Holding Co. Ltd.		60,500		147,773
AU Optronics Corp.		2,447,000		1,031,950
Cathay Financial Holding Co. Ltd.		374,000		642,759
China Airlines Ltd.		301,000		91,171
China Life Insurance Co. Ltd.		1,631,283		1,640,242
CTBC Financial Holding Co. Ltd.		1,499,559		1,129,043
E.Sun Financial Holding Co. Ltd.		1,354,498		1,000,064
Eva Airways Corp.		786,322		382,361
First Financial Holding Co. Ltd.		2,128,797		1,449,785
Formosa Chemicals & Fibre Corp.		78,000		326,870
Foxconn Technology Co. Ltd.		38,000		92,732
Fubon Financial Holding Co. Ltd.		468,000		793,795
General Interface Solution Holding Ltd.		77,000		324,502
Globalwafers Co. Ltd.		128,000		1,410,563
Hiwin Technologies Corp.		44,000		363,549
Hon Hai Precision Industry Co. Ltd.		182,493		473,237
Innolux Corp.		5,526,000		1,918,968
Macronix International		353,000		294,085
Mega Financial Holding Co. Ltd.		525,000		472,661
Nanya Technology Corp.		952,000		1,817,932
Phison Electronics Corp.		83,000		661,490
Pou Chen Corp.		859,000		906,970
Powertech Technology, Inc.		305,000		830,992
Realtek Semiconductor Corp. *		65,000		289,657
Shin Kong Financial Holding Co. Ltd.		6,401,885		2,503,673
Synnex Technology International Corp.		107,000		136,364
Taishin Financial Holding Co. Ltd.		360,555		174,122
Taiwan Business Bank		339,040		123,232
Taiwan Cooperative Financial Holding Co. Ltd.		175,100		106,651
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		219,584		9,696,830
Uni-President Enterprises Corp.		449,000		1,171,443
United Microelectronics Corp.		554,000		292,298
Winbond Electronics Corp.		1,234,000		586,910
WPG Holdings Ltd.		84,640		102,958
Zhen Ding Technology Holding Ltd.		75,000		167,465
				33,663,298
Thailand - 3.0%
Bangkok Dusit Medical Services PCL, NVDR		908,500		716,308

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

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INVESTMENTS	SHARES		VALUE
Thailand - 3.0% (continued)
Bumrungrad Hospital PCL, NVDR		22,800	$	131,062
Central Pattana PCL, NVDR		36,900		94,705
Krung Thai Bank PCL, NVDR		608,800		380,276
PTT Exploration & Production PCL, NVDR		100,100		480,410
PTT Global Chemical PCL, NVDR		1,916,500		4,815,994
Siam Cement PCL (The), NVDR		67,500		931,538
Thai Oil PCL, NVDR		626,800		1,716,235
				9,266,528
Turkey - 0.8%
Akbank T.A.S.		131,668		150,817
Turkiye Garanti Bankasi A/S		478,455		610,004
Turkiye Sise ve Cam Fabrikalari A/S		907,953		876,857
Turkiye Vakiflar Bankasi TAO, Class D		406,336		254,436
Yapi ve Kredi Bankasi A/S *		1,584,510		492,377
				2,384,491
United Kingdom - 0.8%
Mondi Ltd.		85,143		2,338,193
TOTAL COMMON STOCKS (Cost $255,564,483)				300,114,424
SHORT-TERM INVESTMENTS - 2.3%
INVESTMENT COMPANIES - 2.3%
Limited Purpose Cash Investment Fund, 2.06% (1)(d)
(Cost $7,034,358)		7,036,264		7,035,561
SECURITIES LENDING COLLATERAL - 0.8%
Investment Companies - 0.8%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (1)(d)(e)		304,521		304,521
Limited Purpose Cash Investment Fund
2.06% (1)(d)(e)		2,185,121		2,184,903
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,489,642)				2,489,424
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.3% (Cost $265,088,483)				309,639,409
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% (f)			(1,022,153)
NET ASSETS - 100.0%			$	308,617,256

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	26,788,994			8.7	%
Consumer Discretionary		33,533,156			10.9
Consumer Staples		15,578,877			5.1
Energy		30,971,132			10.0
Financials		56,931,904			18.4
Health Care		15,540,579			5.0
Industrials		13,189,076			4.3
Information Technology		58,701,227			19.0
Materials		38,028,658			12.3
Real Estate		7,072,563			2.3
Utilities		3,778,258			1.2
Short-Term Investments		7,035,561			2.3
Securities Lending Collateral		2,489,424			0.8
Total Investments In Securities At Value		309,639,409			100.3
Liabilities in Excess of Other Assets (f)		(1,022,153	)		(0.3	)
Net Assets	$	308,617,256			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $3,115,254.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $4,106,756, which represents approximately 1.33% of net assets of the fund.

(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2018, the value of these securities amounted to $5,188,615 or 1.68% of net assets.

(d) Represents 7-day effective yield as of September 30, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $754,856 was received (See Note 3).

(f) 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).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

Description	Number of Contracts	Expiration Date	Trading Currency		Notional Amount		Value and Unrealized Appreciation (Depreciation)
Long Contracts
MSCI Emerging Markets E-Mini Index	68	12/2018		USD		$3,568,980		$60,750
								$60,750

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$111,193		$111,193

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.0%
Aerospace & Defense - 5.4%
Boeing Co. (The)		14,027	$	5,216,641
Curtiss-Wright Corp.		3,970		545,557
General Dynamics Corp.		1,880		384,874
Huntington Ingalls Industries, Inc.		10,430		2,670,914
L3 Technologies, Inc.		1,491		317,016
Northrop Grumman Corp.		3,315		1,052,082
Raytheon Co.		16,353		3,379,511
Spirit AeroSystems Holdings, Inc., Class A		22,271		2,041,583
Teledyne Technologies, Inc. *		2,603		642,108
Textron, Inc.		1,868		133,506
				16,383,792
Air Freight & Logistics - 1.4%
CH Robinson Worldwide, Inc.		1,495		146,390
Expeditors International of Washington, Inc.		4,299		316,106
FedEx Corp.		15,887		3,825,431
				4,287,927
Airlines - 0.0% (a)
JetBlue Airways Corp. *		4,468		86,500
Auto Components - 0.4%
Lear Corp.		7,246		1,050,670
Banks - 5.3%
Bank of America Corp.		69,166		2,037,630
Citigroup, Inc.		25,449		1,825,711
East West Bancorp, Inc.		2,023		122,129
Fifth Third Bancorp		13,001		362,988
JPMorgan Chase & Co.		47,907		5,405,826
PNC Financial Services Group, Inc. (The)		9,463		1,288,766
Popular, Inc.		9,098		466,273
Regions Financial Corp.		31,659		580,943
SunTrust Banks, Inc.		19,632		1,311,221
TCF Financial Corp.		9,898		235,671
US Bancorp		16,190		854,994
Wells Fargo & Co.		27,883		1,465,530
				15,957,682
Beverages - 0.3%
Constellation Brands, Inc., Class A		4,814		1,037,995
Biotechnology - 2.5%
AbbVie, Inc.		12,170		1,151,039
Amgen, Inc.		2,652		549,733
Biogen, Inc. *		8,381		2,961,091
Exelixis, Inc. *		24,575		435,469
Gilead Sciences, Inc.		16,292		1,257,905
United Therapeutics Corp. *		9,651		1,234,170
				7,589,407
Capital Markets - 1.7%
Ameriprise Financial, Inc.		6,428		949,158
Bank of New York Mellon Corp. (The)		7,816		398,538
CME Group, Inc.		12,336		2,099,711
Morgan Stanley		5,289		246,309
MSCI, Inc.		534		94,737

INVESTMENTS	SHARES		VALUE
Capital Markets - 1.7% (continued)
S&P Global, Inc.		1,350	$	263,776
State Street Corp.		4,693		393,180
T. Rowe Price Group, Inc.		6,319		689,908
			5,135,317
Chemicals - 2.8%
Celanese Corp.		5,419		617,766
Eastman Chemical Co.		13,249		1,268,194
Huntsman Corp.		58,820		1,601,669
LyondellBasell Industries NV, Class A		37,286		3,822,188
Westlake Chemical Corp.		13,690		1,137,776
				8,447,593
Commercial Services & Supplies - 0.7%
Cintas Corp.		1,315		260,120
Republic Services, Inc.		1,912		138,926
Rollins, Inc.		2,483		150,693
Waste Management, Inc.		18,416		1,664,070
				2,213,809
Communications Equipment - 1.2%
Cisco Systems, Inc.		54,710		2,661,641
F5 Networks, Inc. *		4,847		966,589
				3,628,230
Consumer Finance - 0.2%
Capital One Financial Corp.		2,959		280,898
Credit Acceptance Corp. *(b)		229		100,318
Discover Financial Services		1,777		135,852
				517,068
Containers & Packaging - 0.4%
Owens-Illinois, Inc. *		60,973		1,145,683
Distributors - 0.0% (a)
LKQ Corp. *		2,069		65,525
Diversified Consumer Services - 0.0% (a)
Graham Holdings Co., Class B		215		124,550
Diversified Financial Services - 1.4%
Berkshire Hathaway, Inc., Class B *		19,901		4,261,003
Diversified Telecommunication Services - 0.4%
Verizon Communications, Inc.		20,277		1,082,589
Electric Utilities - 1.9%
Evergy, Inc.		1,148		63,048
Exelon Corp.		108,950		4,756,757
NextEra Energy, Inc.		2,054		344,250
Pinnacle West Capital Corp.		7,960		630,273
				5,794,328
Electrical Equipment - 0.5%
Eaton Corp. plc		16,996		1,474,063
Electronic Equipment, Instruments & Components - 0.6%
Arrow Electronics, Inc. *		8,314		612,908
CDW Corp.		1,805		160,501

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

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INVESTMENTS	SHARES		VALUE
Electronic Equipment, Instruments & Components - 0.6% (continued)
FLIR Systems, Inc.		10,781	$	662,708
Zebra Technologies Corp., Class A *		1,928		340,928
				1,777,045
Entertainment - 2.2%
Activision Blizzard, Inc.		21,514		1,789,750
Electronic Arts, Inc. *		4,571		550,760
Twenty-First Century Fox, Inc., Class A		9,941		460,566
Viacom, Inc., Class B		91,457		3,087,588
Walt Disney Co. (The)		3,867		452,207
Zynga, Inc., Class A *		34,181		137,066
				6,477,937
Equity Real Estate Investment Trusts (REITs) - 0.1%
American Tower Corp.		1,403		203,856
Public Storage		649		130,858
Simon Property Group, Inc.		526		92,970
				427,684
Food & Staples Retailing - 1.2%
Costco Wholesale Corp.		1,193		280,212
Kroger Co. (The)		28,416		827,190
Walmart, Inc.		27,903		2,620,370
				3,727,772
Food Products - 0.9%
Archer-Daniels-Midland Co.		13,809		694,179
Ingredion, Inc.		3,716		390,031
Pilgrim’s Pride Corp. *		26,085		471,878
Tyson Foods, Inc., Class A		19,863		1,182,444
				2,738,532
Health Care Equipment & Supplies - 2.5%
Abbott Laboratories		11,750		861,980
Align Technology, Inc. *		1,687		659,988
Baxter International, Inc.		19,226		1,482,133
Danaher Corp.		24,991		2,715,522
Medtronic plc		16,000		1,573,920
Varian Medical Systems, Inc. *(b)		1,297		145,173
				7,438,716
Health Care Providers & Services - 5.0%
Aetna, Inc.		3,078		624,372
Anthem, Inc.		7,414		2,031,807
Centene Corp. *		6,197		897,202
Cigna Corp.		15,751		3,280,146
Express Scripts Holding Co. *		5,708		542,317
Humana, Inc.		5,965		2,019,272
UnitedHealth Group, Inc.		7,879		2,096,129
WellCare Health Plans, Inc. *		11,523		3,693,006
				15,184,251
Hotels, Restaurants & Leisure - 0.9%
Carnival Corp.		8,980		572,655
Darden Restaurants, Inc.		15,496		1,723,000
Las Vegas Sands Corp.		1,754		104,065
McDonald’s Corp.		1,933		323,371
				2,723,091

INVESTMENTS	SHARES		VALUE
Household Durables - 0.1%
PulteGroup, Inc. (b)		15,185	$	376,132
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. *		7,299		181,599
Insurance - 5.0%
Aflac, Inc.		20,736		976,044
Allstate Corp. (The)		36,129		3,565,932
American Financial Group, Inc.		5,631		624,872
Assurant, Inc.		6,651		717,975
Assured Guaranty Ltd.		32,097		1,355,456
Athene Holding Ltd., Class A *		18,261		943,363
Chubb Ltd.		5,879		785,670
CNA Financial Corp.		2,758		125,903
Everest Re Group Ltd.		2,552		583,055
First American Financial Corp.		15,261		787,315
Hanover Insurance Group, Inc. (The)		1,071		132,129
Old Republic International Corp.		35,246		788,805
Prudential Financial, Inc.		9,843		997,293
Reinsurance Group of America, Inc.		7,701		1,113,257
Travelers Cos., Inc. (The)		10,842		1,406,316
				14,903,385
Interactive Media & Services - 5.3%
Alphabet, Inc., Class A *		4,461		5,384,784
Alphabet, Inc., Class C *		3,173		3,786,880
Facebook, Inc., Class A *		28,473		4,682,670
IAC/InterActiveCorp *		6,383		1,383,324
Match Group, Inc. *(b)		10,316		597,399
				15,835,057
Internet & Direct Marketing Retail - 3.9%
Amazon.com, Inc. *		4,199		8,410,597
Booking Holdings, Inc. *		479		950,336
eBay, Inc. *		32,436		1,071,037
Netflix, Inc. *		3,607		1,349,487
				11,781,457
IT Services - 4.3%
Accenture plc, Class A		7,680		1,307,136
Akamai Technologies, Inc. *		25,752		1,883,759
Amdocs Ltd.		2,488		164,158
Booz Allen Hamilton Holding Corp.		7,483		371,381
Broadridge Financial Solutions, Inc.		2,980		393,211
Cognizant Technology Solutions Corp., Class A		17,950		1,384,842
DXC Technology Co.		28,868		2,699,735
Euronet Worldwide, Inc. *		875		87,693
International Business Machines Corp.		13,578		2,053,129
Leidos Holdings, Inc.		1,612		111,486
Sabre Corp.		8,157		212,735
Total System Services, Inc.		8,174		807,101
VeriSign, Inc. *		1,127		180,455
Visa, Inc., Class A (b)		8,619		1,293,626
				12,950,447
Life Sciences Tools & Services - 1.3%
Bio-Techne Corp.		547		111,648
Charles River Laboratories International, Inc. *		3,517		473,177

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

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INVESTMENTS	SHARES		VALUE
Life Sciences Tools & Services - 1.3% (continued)
IQVIA Holdings, Inc. *		5,203	$	675,037
Thermo Fisher Scientific, Inc.		10,247		2,501,088
				3,760,950
Machinery - 1.5%
Allison Transmission Holdings, Inc.		5,629		292,764
Caterpillar, Inc.		1,367		208,454
Cummins, Inc.		2,375		346,916
Ingersoll-Rand plc		2,242		229,357
Oshkosh Corp.		21,361		1,521,758
Snap-on, Inc.		2,611		479,379
Stanley Black & Decker, Inc. (b)		1,629		238,551
Terex Corp.		14,066		561,374
Trinity Industries, Inc.		13,809		505,962
				4,384,515
Media - 0.3%
Comcast Corp., Class A		18,515		655,616
John Wiley & Sons, Inc., Class A		3,393		205,616
				861,232
Metals & Mining - 0.2%
Reliance Steel & Aluminum Co.		3,505		298,941
Steel Dynamics, Inc.		8,267		373,586
				672,527
Multiline Retail - 2.3%
Kohl’s Corp.		20,588		1,534,836
Macy’s, Inc.		50,325		1,747,787
Target Corp.		42,639		3,761,186
				7,043,809
Multi-Utilities - 1.4%
Ameren Corp.		16,399		1,036,745
Consolidated Edison, Inc.		30,933		2,356,785
DTE Energy Co. (b)		1,863		203,309
Public Service Enterprise Group, Inc.		10,287		543,051
				4,139,890
Oil, Gas & Consumable Fuels - 3.9%
ConocoPhillips		28,096		2,174,630
Energen Corp. *		944		81,344
HollyFrontier Corp.		46,663		3,261,744
Marathon Petroleum Corp.		15,977		1,277,681
PBF Energy, Inc., Class A		45,827		2,287,225
Pioneer Natural Resources Co.		794		138,307
Valero Energy Corp.		21,109		2,401,149
				11,622,080
Personal Products - 0.2%
Estee Lauder Cos., Inc. (The), Class A		2,294		333,364
Nu Skin Enterprises, Inc., Class A		1,653		136,240
				469,604
Pharmaceuticals - 3.0%
Johnson & Johnson		24,955		3,448,032
Merck & Co., Inc.		12,897		914,913
Mylan NV *		27,881		1,020,445
Pfizer, Inc.		71,283		3,141,442
Zoetis, Inc.		6,398		585,801
				9,110,633

INVESTMENTS	SHARES		VALUE
Professional Services - 0.5%
ManpowerGroup, Inc.		1,044	$	89,742
Robert Half International, Inc.		21,056		1,481,922
				1,571,664
Road & Rail - 0.7%
CSX Corp.		5,373		397,871
Landstar System, Inc.		2,365		288,530
Norfolk Southern Corp.		991		178,875
Old Dominion Freight Line, Inc.		1,018		164,163
Union Pacific Corp.		7,322		1,192,241
				2,221,680
Semiconductors & Semiconductor Equipment - 5.7%
Applied Materials, Inc.		27,483		1,062,218
Intel Corp.		130,446		6,168,791
Lam Research Corp.		7,714		1,170,214
Micron Technology, Inc. *		100,165		4,530,463
NVIDIA Corp.		6,312		1,773,798
ON Semiconductor Corp. *		6,682		123,149
Skyworks Solutions, Inc.		5,004		453,913
Texas Instruments, Inc.		17,805		1,910,299
				17,192,845
Software - 5.9%
Adobe Systems, Inc. *		7,762		2,095,352
CA, Inc.		3,327		146,887
Cadence Design Systems, Inc. *		3,460		156,807
Citrix Systems, Inc. *		2,630		292,351
Dell Technologies, Inc., Class V *		1,085		105,375
Fortinet, Inc. *		8,732		805,702
Intuit, Inc.		404		91,870
Manhattan Associates, Inc. *		4,944		269,942
Microsoft Corp.		89,987		10,291,813
Oracle Corp.		30,452		1,570,105
VMware, Inc., Class A *		11,650		1,818,099
				17,644,303
Specialty Retail - 3.2%
Best Buy Co., Inc.		39,734		3,153,290
Dick’s Sporting Goods, Inc.		20,212		717,122
Foot Locker, Inc.		25,826		1,316,609
Gap, Inc. (The)		18,676		538,803
Home Depot, Inc. (The)		9,652		1,999,412
TJX Cos., Inc. (The)		869		97,345
Urban Outfitters, Inc. *		18,475		755,628
Williams-Sonoma, Inc. (b)		15,453		1,015,571
				9,593,780
Technology Hardware, Storage & Peripherals - 4.2%
Apple, Inc.		50,166		11,324,473
Hewlett Packard Enterprise Co.		8,858		144,474
HP, Inc.		33,050		851,698
NetApp, Inc.		3,703		318,051
				12,638,696
Textiles, Apparel & Luxury Goods - 2.5%
Lululemon Athletica, Inc. *		2,613		424,586
Michael Kors Holdings Ltd. *		37,849		2,594,928
NIKE, Inc., Class B		25,760		2,182,387
PVH Corp.		1,360		196,384

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

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INVESTMENTS	SHARES		VALUE
Textiles, Apparel & Luxury Goods - 2.5% (continued)
Ralph Lauren Corp.		6,336	$	871,517
Skechers U.S.A., Inc., Class A *		40,390		1,128,093
				7,397,895
Thrifts & Mortgage Finance - 0.0% (a)
New York Community Bancorp, Inc. (b)		5,186		53,779
Tobacco - 0.7%
Altria Group, Inc.		18,086		1,090,767
Philip Morris International, Inc.		13,396		1,092,310
				2,183,077
Trading Companies & Distributors - 0.9%
Air Lease Corp.		16,184		742,522
United Rentals, Inc. *		7,664		1,253,830
WW Grainger, Inc.		2,097		749,489
				2,745,841
TOTAL COMMON STOCKS (Cost $221,564,751)				292,115,636
SHORT-TERM INVESTMENTS - 3.3%
Investment Companies - 3.3%
Limited Purpose Cash Investment Fund, 2.06% (c)
(Cost $9,949,098)		9,950,718		9,949,723
SECURITIES LENDING COLLATERAL - 0.6%
Investment Companies - 0.6%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (c)(d)		198,015		198,015
Limited Purpose Cash Investment Fund
2.06% (c)(d)		1,420,880		1,420,738
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,618,895)				1,618,753
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.9% (Cost $233,132,744)				303,684,112
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.9)% (e)			(2,604,308)
NET ASSETS - 100.0%			$	301,079,804

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	24,256,815			8.0	%
Consumer Discretionary		40,156,908			13.3
Consumer Staples		10,156,980			3.4
Energy		11,622,080			3.9
Financials		40,828,234			13.6
Health Care		43,083,957			14.3
Industrials		35,369,791			11.7
Information Technology		65,831,566			21.9
Materials		10,265,803			3.4
Real Estate		427,684			0.1
Utilities		10,115,818			3.4
Short-Term Investments		9,949,723			3.3
Securities Lending Collateral		1,618,753			0.6
Total Investments In Securities At Value		303,684,112			100.9
Liabilities in Excess of Other Assets (e)		(2,604,308	)		(0.9	)
Net Assets	$	301,079,804			100.0	%

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

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $2,729,408.

(c) Represents 7-day effective yield as of September 30, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $1,180,444 was received (See Note 3).

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index	38	12/2018		USD		$5,546,100		$24,624
								$24,624

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$286,285		$286,285

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.4%
Aerospace & Defense - 1.5%
Aerovironment, Inc. *		275	$	30,847
Axon Enterprise, Inc. *		2,029		138,845
Ducommun, Inc. *		687		28,057
Esterline Technologies Corp. *		599		54,479
KLX, Inc. *		750		47,085
Moog, Inc., Class A		620		53,301
National Presto Industries, Inc.		153		19,836
Vectrus, Inc. *		4,573		142,632
				515,082
Air Freight & Logistics - 1.2%
Air Transport Services Group, Inc. *(a)		1,042		22,372
Atlas Air Worldwide Holdings, Inc. *		2,162		137,828
Echo Global Logistics, Inc. *		1,000		30,950
Forward Air Corp.		782		56,069
Hub Group, Inc., Class A *		4,052		184,771
				431,990
Airlines - 0.3%
Allegiant Travel Co.		100		12,680
Hawaiian Holdings, Inc.		353		14,155
SkyWest, Inc.		613		36,106
Spirit Airlines, Inc. *		1,087		51,056
				113,997
Auto Components - 1.3%
American Axle & Manufacturing Holdings, Inc. *		4,494		78,375
Cooper-Standard Holdings, Inc. *		1,603		192,328
Dana, Inc.		1,579		29,480
Stoneridge, Inc. *		2,017		59,945
Tenneco, Inc.		798		33,628
Tower International, Inc.		1,648		49,852
				443,608
Automobiles - 0.0% (b)
Winnebago Industries, Inc.		192		6,365
Banks - 6.8%
1st Source Corp.		596		31,362
Ameris Bancorp		295		13,481
BancFirst Corp.		657		39,387
BancorpSouth Bank		1,587		51,895
Berkshire Hills Bancorp, Inc.		616		25,071
Brookline Bancorp, Inc.		960		16,032
Cadence Bancorp		3,610		94,293
Cathay General Bancorp		4,603		190,748
CenterState Bank Corp.		1,055		29,593
Chemical Financial Corp.		379		20,239
City Holding Co.		216		16,589
Columbia Banking System, Inc.		643		24,929
Community Trust Bancorp, Inc.		310		14,368
Customers Bancorp, Inc. *		571		13,436
Eagle Bancorp, Inc. *		1,279		64,717
Enterprise Financial Services Corp.		898		47,639
FCB Financial Holdings, Inc., Class A *		290		13,746
Fidelity Southern Corp.		888		22,005
First Busey Corp.		462		14,345

INVESTMENTS	SHARES		VALUE
Banks - 6.8% (continued)
First Commonwealth Financial Corp.		1,715	$	27,680
First Financial Bancorp		386		11,464
First Interstate BancSystem, Inc., Class A		2,605		116,704
First Merchants Corp.		1,693		76,168
First Midwest Bancorp, Inc.		1,160		30,844
Flushing Financial Corp.		605		14,762
Fulton Financial Corp.		5,301		88,262
Great Southern Bancorp, Inc.		519		28,727
Great Western Bancorp, Inc.		4,716		198,968
Hancock Whitney Corp.		1,367		65,001
Hanmi Financial Corp.		414		10,309
Heartland Financial USA, Inc.		1,081		62,752
Heritage Financial Corp.		437		15,361
Hilltop Holdings, Inc. (a)		795		16,035
Hope Bancorp, Inc.		1,431		23,139
Independent Bank Corp./MA		875		72,275
Independent Bank Group, Inc.		221		14,652
International Bancshares Corp.		4,313		194,085
LegacyTexas Financial Group, Inc.		1,077		45,880
Live Oak Bancshares, Inc.		562		15,062
MB Financial, Inc.		1,415		65,246
Midland States Bancorp, Inc.		480		15,408
NBT Bancorp, Inc.		1,108		42,525
OFG Bancorp		770		12,436
Old National Bancorp		1,544		29,799
Preferred Bank		505		29,542
Renasant Corp.		657		27,075
Sandy Spring Bancorp, Inc.		415		16,314
ServisFirst Bancshares, Inc.		2,223		87,030
Simmons First National Corp., Class A		1,325		39,021
Towne Bank (a)		394		12,155
TriCo Bancshares		365		14,096
Trustmark Corp.		1,520		51,148
UMB Financial Corp.		154		10,919
United Community Banks, Inc.		833		23,232
WesBanco, Inc.		798		35,575
				2,383,526
Beverages - 1.4%
Boston Beer Co., Inc. (The), Class A *		847		243,512
Craft Brew Alliance, Inc. *		676		11,053
MGP Ingredients, Inc. (a)		1,049		82,850
National Beverage Corp. *(a)		1,335		155,688
				493,103
Biotechnology - 5.3%
Acorda Therapeutics, Inc. *		409		8,037
Amicus Therapeutics, Inc. *(a)		1,954		23,624
Array BioPharma, Inc. *		2,096		31,859
Arrowhead Pharmaceuticals, Inc. *(a)		1,862		35,695
BioSpecifics Technologies Corp. *		653		38,194
Calithera Biosciences, Inc. *		2,018		10,594
CareDx, Inc. *		1,267		36,553
Clovis Oncology, Inc. *		479		14,068
Concert Pharmaceuticals, Inc. *		1,080		16,027
Eagle Pharmaceuticals, Inc. *(a)		1,048		72,658
Emergent BioSolutions, Inc. *		4,569		300,777
Enanta Pharmaceuticals, Inc. *		1,660		141,864

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

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INVESTMENTS	SHARES		VALUE
Biotechnology - 5.3% (continued)
FibroGen, Inc. *		529	$	32,137
Genomic Health, Inc. *		279		19,591
Halozyme Therapeutics, Inc. *		1,617		29,381
Insmed, Inc. *		1,004		20,301
Intercept Pharmaceuticals, Inc. *		320		40,435
Ligand Pharmaceuticals, Inc. *		216		59,290
Loxo Oncology, Inc. *		424		72,432
Momenta Pharmaceuticals, Inc. *		505		13,281
Myriad Genetics, Inc. *		5,816		267,536
PDL BioPharma, Inc. *		48,401		127,295
Portola Pharmaceuticals, Inc. *(a)		648		17,256
Puma Biotechnology, Inc. *		386		17,698
REGENXBIO, Inc. *		1,486		112,193
Repligen Corp. *		3,331		184,737
Sorrento Therapeutics, Inc. *(a)		8,565		37,686
Spectrum Pharmaceuticals, Inc. *		5,027		84,454
				1,865,653
Building Products - 1.4%
Apogee Enterprises, Inc.		1,640		67,765
Builders FirstSource, Inc. *		5,936		87,140
Continental Building Products, Inc. *		491		18,437
Insteel Industries, Inc.		325		11,661
Patrick Industries, Inc. *		2,462		145,750
Simpson Manufacturing Co., Inc.		404		29,274
Trex Co., Inc. *		394		30,330
Universal Forest Products, Inc.		2,844		100,479
				490,836
Capital Markets - 1.4%
Artisan Partners Asset Management, Inc., Class A		1,083		35,089
Blucora, Inc. *		2,123		85,451
Cohen & Steers, Inc. (a)		1,470		59,697
INTL. FCStone, Inc. *		473		22,855
Stifel Financial Corp.		1,508		77,300
Waddell & Reed Financial, Inc., Class A (a)		9,378		198,626
				479,018
Chemicals - 1.8%
AdvanSix, Inc. *		1,661		56,391
American Vanguard Corp.		513		9,234
Chase Corp.		391		46,979
FutureFuel Corp.		1,388		25,733
Ingevity Corp. *		517		52,672
Innospec, Inc.		465		35,689
Kraton Corp. *		365		17,210
Kronos Worldwide, Inc.		5,025		81,656
PolyOne Corp.		327		14,296
Rayonier Advanced Materials, Inc.		1,595		29,396
Stepan Co.		785		68,303
Trinseo SA		2,424		189,799
				627,358
Commercial Services & Supplies - 2.0%
ACCO Brands Corp.		13,454		152,030
Brink’s Co. (The)		197		13,741
Deluxe Corp.		973		55,403
Ennis, Inc.		4,365		89,264

INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 2.0% (continued)
Herman Miller, Inc.		2,019	$	77,529
HNI Corp.		324		14,334
Interface, Inc.		3,192		74,533
Kimball International, Inc., Class B		1,589		26,616
Quad/Graphics, Inc.		2,012		41,930
Steelcase, Inc., Class A		3,334		61,679
Tetra Tech, Inc.		213		14,548
UniFirst Corp.		198		34,383
Viad Corp.		484		28,677
				684,667
Communications Equipment - 0.1%
Ciena Corp. *		404		12,621
InterDigital, Inc.		129		10,320
Plantronics, Inc.		234		14,110
				37,051
Construction & Engineering - 0.7%
Argan, Inc.		248		10,664
Comfort Systems USA, Inc.		778		43,879
EMCOR Group, Inc.		2,083		156,454
KBR, Inc.		990		20,919
Primoris Services Corp.		453		11,243
				243,159
Construction Materials - 0.1%
Summit Materials, Inc., Class A *		1,368		24,870
US Concrete, Inc. *		110		5,044
				29,914
Consumer Finance - 1.9%
Enova International, Inc. *		670		19,296
EZCORP, Inc., Class A *		1,187		12,701
FirstCash, Inc.		1,974		161,868
Green Dot Corp., Class A *		2,790		247,808
Nelnet, Inc., Class A		1,981		113,254
World Acceptance Corp. *		824		94,232
				649,159
Distributors - 0.0% (b)
Core-Mark Holding Co., Inc.		182		6,181
Diversified Consumer Services - 1.4%
Adtalem Global Education, Inc. *		4,179		201,428
American Public Education, Inc. *		3,161		104,471
Career Education Corp. *		1,079		16,109
K12, Inc. *		733		12,974
Strategic Education, Inc.		354		48,509
Weight Watchers International, Inc. *		1,476		106,257
				489,748
Diversified Telecommunication Services - 0.7%
Iridium Communications, Inc. *		1,863		41,917
Vonage Holdings Corp. *		14,272		202,092
				244,009
Electric Utilities - 0.0% (b)
Spark Energy, Inc., Class A (a)		1,876		15,477

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

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INVESTMENTS	SHARES		VALUE
Electrical Equipment - 2.2%
Allied Motion Technologies, Inc.		443	$	24,112
Atkore International Group, Inc. *		3,786		100,443
Encore Wire Corp.		898		44,990
EnerSys		589		51,319
Enphase Energy, Inc. *(a)		20,413		99,003
Generac Holdings, Inc. *		3,058		172,502
Sunrun, Inc. *(a)		10,665		132,673
TPI Composites, Inc. *		4,636		132,358
				757,400
Electronic Equipment, Instruments & Components - 2.1%
AVX Corp.		825		14,891
Electro Scientific Industries, Inc. *		9,920		173,104
ePlus, Inc. *		812		75,272
Fabrinet (Thailand) *		327		15,127
Insight Enterprises, Inc. *		755		40,838
KEMET Corp. *		2,920		54,166
Kimball Electronics, Inc. *		146		2,869
Methode Electronics, Inc.		1,584		57,341
Plexus Corp. *		371		21,707
Rogers Corp. *		309		45,522
SYNNEX Corp.		554		46,924
Tech Data Corp. *		902		64,556
TTM Technologies, Inc. *		4,738		75,382
Vishay Intertechnology, Inc.		2,321		47,232
				734,931
Energy Equipment & Services - 0.3%
KLX Energy Services Holdings, Inc. *		300		9,603
Mammoth Energy Services, Inc. (a)		3,318		96,554
Smart Sand, Inc. *(a)		2,967		12,194
				118,351
Entertainment - 0.0% (b)
Marcus Corp. (The)		360		15,138
Equity Real Estate Investment Trusts (REITs) - 2.8%
Agree Realty Corp.		510		27,091
Alexander & Baldwin, Inc.		742		16,836
American Assets Trust, Inc.		393		14,655
CareTrust REIT, Inc.		689		12,202
Chesapeake Lodging Trust		493		15,811
CoreCivic, Inc.		1,834		44,621
Cousins Properties, Inc.		2,843		25,274
DiamondRock Hospitality Co.		3,310		38,628
EastGroup Properties, Inc.		345		32,989
First Industrial Realty Trust, Inc.		1,565		49,141
Four Corners Property Trust, Inc.		2,196		56,415
Franklin Street Properties Corp.		1,279		10,219
GEO Group, Inc. (The)		2,602		65,466
Gramercy Property Trust		2,337		64,127
LaSalle Hotel Properties		1,494		51,678
Lexington Realty Trust		1,955		16,227
LTC Properties, Inc.		501		22,099
Monmouth Real Estate Investment Corp.		1,239		20,716
National Health Investors, Inc.		812		61,379
National Storage Affiliates Trust		538		13,687
Pebblebrook Hotel Trust (a)		739		26,878
PS Business Parks, Inc.		158		20,080

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.8% (continued)
Rexford Industrial Realty, Inc.		832	$	26,591
Ryman Hospitality Properties, Inc.		689		59,371
Select Income REIT		598		13,120
Summit Hotel Properties, Inc.		1,140		15,424
Sunstone Hotel Investors, Inc.		3,628		59,354
Terreno Realty Corp.		1,043		39,321
Washington Prime Group, Inc. (a)		3,717		27,134
Xenia Hotels & Resorts, Inc.		1,121		26,568
				973,102
Food & Staples Retailing - 0.2%
Ingles Markets, Inc., Class A		942		32,263
Weis Markets, Inc. (a)		629		27,299
				59,562
Food Products - 0.4%
Cal-Maine Foods, Inc.		410		19,803
John B Sanfilippo & Son, Inc.		657		46,897
Sanderson Farms, Inc.		642		66,363
				133,063
Gas Utilities - 0.3%
ONE Gas, Inc.		1,128		92,812
Health Care Equipment & Supplies - 3.2%
AxoGen, Inc. *		270		9,949
Globus Medical, Inc., Class A *		4,617		262,061
Haemonetics Corp. *		1,855		212,546
Heska Corp. *		308		34,899
Inogen, Inc. *		500		122,060
Integer Holdings Corp. *		717		59,475
IntriCon Corp. *		623		35,013
Lantheus Holdings, Inc. *		2,678		40,036
LeMaitre Vascular, Inc.		647		25,065
Merit Medical Systems, Inc. *		1,835		112,761
Neogen Corp. *		725		51,859
NuVasive, Inc. *		498		35,348
NxStage Medical, Inc. *		937		26,133
STAAR Surgical Co. *		1,325		63,600
Tandem Diabetes Care, Inc. *		352		15,080
				1,105,885
Health Care Providers & Services - 1.8%
Amedisys, Inc. *		1,010		126,209
AMN Healthcare Services, Inc. *		3,250		177,775
Diplomat Pharmacy, Inc. *		1,851		35,928
Ensign Group, Inc. (The)		321		12,172
LifePoint Health, Inc. *		549		35,356
Magellan Health, Inc. *		1,626		117,153
RadNet, Inc. *		1,896		28,535
Select Medical Holdings Corp. *		871		16,026
Tenet Healthcare Corp. *		1,021		29,058
Tivity Health, Inc. *		291		9,356
Triple-S Management Corp., Class B *		3,136		59,239
				646,807
Health Care Technology - 0.0% (b)
HMS Holdings Corp. *		316		10,368

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

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INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 1.7%
BBX Capital Corp.		1,533	$	11,375
BJ’s Restaurants, Inc.		197		14,223
Bloomin’ Brands, Inc.		1,971		39,006
Bojangles’, Inc. *		779		12,230
Brinker International, Inc.		1,313		61,357
Cracker Barrel Old Country Store, Inc.		338		49,730
Dave & Buster’s Entertainment, Inc. *		529		35,030
Eldorado Resorts, Inc. *		1,760		85,536
Marriott Vacations Worldwide Corp.		508		56,769
Penn National Gaming, Inc. *		3,066		100,933
Ruth’s Hospitality Group, Inc.		1,008		31,802
Sonic Corp.		786		34,065
Texas Roadhouse, Inc.		529		36,655
Town Sports International Holdings, Inc. *		1,581		13,676
				582,387
Household Durables - 1.3%
Bassett Furniture Industries, Inc.		456		9,690
Flexsteel Industries, Inc.		1,277		37,978
Hamilton Beach Brands Holding Co., Class A		746		16,367
Hooker Furniture Corp.		1,609		54,384
KB Home		2,196		52,506
La-Z-Boy, Inc.		3,449		108,989
MDC Holdings, Inc.		1,117		33,041
Meritage Homes Corp. *		339		13,526
Roku, Inc. *(a)		640		46,739
Taylor Morrison Home Corp., Class A *		542		9,778
TopBuild Corp. *		651		36,990
TRI Pointe Group, Inc. *		1,208		14,979
ZAGG, Inc. *		1,893		27,922
				462,889
Household Products - 0.1%
WD-40 Co. (a)		128		22,029
Insurance - 5.9%
American Equity Investment Life Holding Co.		3,811		134,757
AMERISAFE, Inc.		400		24,780
Argo Group International Holdings Ltd.		172		10,845
CNO Financial Group, Inc.		4,891		103,787
Employers Holdings, Inc.		3,538		160,271
Enstar Group Ltd. *		107		22,310
FBL Financial Group, Inc., Class A		241		18,135
Genworth Financial, Inc., Class A *		7,815		32,589
Health Insurance Innovations, Inc., Class A *		939		57,889
Heritage Insurance Holdings, Inc. (a)		1,800		26,676
Horace Mann Educators Corp.		702		31,520
Kemper Corp.		1,856		149,315
National General Holdings Corp.		1,600		42,944
National Western Life Group, Inc., Class A		347		110,762
Navigators Group, Inc. (The)		355		24,530
Primerica, Inc.		2,628		316,805
Selective Insurance Group, Inc.		2,479		157,417
Third Point Reinsurance Ltd. *		9,111		118,443
Trupanion, Inc. *(a)		1,987		70,996
Universal Insurance Holdings, Inc.		8,880		431,124
				2,045,895

INVESTMENTS	SHARES		VALUE
Interactive Media & Services - 0.9%
Care.com, Inc. *		970	$	21,447
Cargurus, Inc. *		751		41,823
Cars.com, Inc. *		1,290		35,617
Meet Group, Inc. (The) *		2,906		14,385
QuinStreet, Inc. *		3,652		49,558
XO Group, Inc. *		1,570		54,133
Yelp, Inc. *		1,787		87,920
				304,883
Internet & Direct Marketing Retail - 1.8%
1-800-Flowers.com, Inc., Class A *		4,121		48,628
Etsy, Inc. *		4,668		239,842
Nutrisystem, Inc.		815		30,196
PetMed Express, Inc.		665		21,951
Shutterstock, Inc.		884		48,249
Stamps.com, Inc. *		1,045		236,379
				625,245
IT Services - 2.1%
Acxiom Holdings, Inc. *		1,215		60,033
CACI International, Inc., Class A *		596		109,753
Convergys Corp.		1,378		32,714
Hackett Group, Inc. (The)		1,786		35,988
MAXIMUS, Inc.		1,327		86,335
Perspecta, Inc.		2,308		59,362
Sykes Enterprises, Inc. *		3,059		93,269
Syntel, Inc. *		1,262		51,717
Travelport Worldwide Ltd.		4,993		84,232
TTEC Holdings, Inc.		541		14,012
Unisys Corp. *		3,758		76,663
Web.com Group, Inc. *		615		17,158
				721,236
Leisure Products - 1.6%
Acushnet Holdings Corp.		1,433		39,307
Callaway Golf Co.		1,589		38,597
Johnson Outdoors, Inc., Class A		2,942		273,577
MCBC Holdings, Inc. *		1,726		61,929
Nautilus, Inc. *		5,352		74,660
Sturm Ruger & Co., Inc.		945		65,252
				553,322
Life Sciences Tools & Services - 0.4%
Cambrex Corp. *		1,043		71,341
Medpace Holdings, Inc. *		922		55,237
				126,578
Machinery - 2.8%
Alamo Group, Inc.		905		82,907
Altra Industrial Motion Corp. (a)		302		12,473
Barnes Group, Inc.		1,408		100,010
Columbus McKinnon Corp.		1,533		60,615
EnPro Industries, Inc.		858		62,574
Federal Signal Corp.		438		11,730
FreightCar America, Inc. *		689		11,072
Global Brass & Copper Holdings, Inc.		905		33,394
Greenbrier Cos., Inc. (The)		2,523		151,632
Harsco Corp. *		478		13,647

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

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INVESTMENTS	SHARES		VALUE
Machinery - 2.8% (continued)
Hillenbrand, Inc.		1,342	$	70,187
Hyster-Yale Materials Handling, Inc.		446		27,442
Kadant, Inc.		399		43,032
Lydall, Inc. *		355		15,300
Meritor, Inc. *		9,214		178,383
Proto Labs, Inc. *		126		20,381
Spartan Motors, Inc.		1,653		24,382
Wabash National Corp.		2,433		44,354
				963,515
Media - 1.1%
Entravision Communications Corp., Class A		10,835		53,091
Gannett Co., Inc.		11,389		114,004
Gray Television, Inc. *		3,996		69,930
MSG Networks, Inc., Class A *(a)		3,185		82,173
Scholastic Corp.		317		14,801
TechTarget, Inc. *		1,843		35,791
				369,790
Metals & Mining - 1.4%
Commercial Metals Co.		1,334		27,374
Schnitzer Steel Industries, Inc., Class A		804		21,748
Warrior Met Coal, Inc.		15,582		421,337
Worthington Industries, Inc.		605		26,233
				496,692
Mortgage Real Estate Investment Trusts (REITs) - 0.6%
Apollo Commercial Real Estate Finance, Inc.		2,545		48,024
Blackstone Mortgage Trust, Inc., Class A (a)		1,590		53,281
Invesco Mortgage Capital, Inc.		3,514		55,591
Redwood Trust, Inc.		2,553		41,461
				198,357
Multiline Retail - 0.1%
Dillard’s, Inc., Class A (a)		716		54,659
Multi-Utilities - 0.3%
Avista Corp.		935		47,274
Black Hills Corp.		573		33,285
NorthWestern Corp.		698		40,945
				121,504
Oil, Gas & Consumable Fuels - 2.5%
Abraxas Petroleum Corp. *		12,469		29,053
Arch Coal, Inc., Class A		1,686		150,729
Delek US Holdings, Inc.		231		9,801
Denbury Resources, Inc. *		8,452		52,402
NACCO Industries, Inc., Class A		213		6,976
Oasis Petroleum, Inc. *		1,606		22,773
Peabody Energy Corp.		4,827		172,034
Penn Virginia Corp. *		227		18,283
Renewable Energy Group, Inc. *		5,732		165,082
REX American Resources Corp. *		173		13,070
SandRidge Energy, Inc. *		2,411		26,208
Southwestern Energy Co. *		9,076		46,378
W&T Offshore, Inc. *		15,138		145,930
			858,719
Paper & Forest Products - 2.0%
Boise Cascade Co.		3,301		121,477

INVESTMENTS	SHARES		VALUE
Paper & Forest Products - 2.0% (continued)
KapStone Paper and Packaging Corp.		1,268	$	42,998
Louisiana-Pacific Corp.		10,596		280,688
Neenah, Inc.		279		24,078
PH Glatfelter Co.		622		11,886
Verso Corp., Class A *		6,579		221,515
				702,642
Personal Products - 2.3%
Inter Parfums, Inc.		454		29,260
Medifast, Inc.		1,585		351,157
Natural Health Trends Corp.		2,054		47,817
USANA Health Sciences, Inc. *		3,257		392,632
				820,866
Pharmaceuticals - 0.9%
ANI Pharmaceuticals, Inc. *		292		16,510
Corcept Therapeutics, Inc. *(a)		6,308		88,438
Horizon Pharma plc *		1,116		21,851
Innoviva, Inc. *		1,681		25,618
Mallinckrodt plc *		712		20,869
Phibro Animal Health Corp., Class A		1,471		63,106
Supernus Pharmaceuticals, Inc. *(a)		1,427		71,850
				308,242
Professional Services - 3.0%
ASGN, Inc. *		801		63,223
Barrett Business Services, Inc.		1,074		71,722
CBIZ, Inc. *		831		19,695
FTI Consulting, Inc. *		1,591		116,445
ICF International, Inc.		485		36,593
Insperity, Inc.		3,357		395,958
Kelly Services, Inc., Class A		1,957		47,027
Kforce, Inc.		1,827		68,695
Korn/Ferry International		1,902		93,654
TriNet Group, Inc. *		591		33,285
TrueBlue, Inc. *		3,428		89,299
Willdan Group, Inc. *		461		15,656
				1,051,252
Real Estate Management & Development - 0.3%
HFF, Inc., Class A		1,647		69,965
Marcus & Millichap, Inc. *		453		15,724
RMR Group, Inc. (The), Class A		288		26,726
				112,415
Road & Rail - 1.6%
ArcBest Corp.		3,981		193,277
Covenant Transportation Group, Inc., Class A *		786		22,841
Marten Transport Ltd.		2,522		53,088
Saia, Inc. *		2,529		193,342
USA Truck, Inc. *		1,303		26,360
Werner Enterprises, Inc.		1,708		60,378
			549,286
Semiconductors & Semiconductor Equipment - 1.7%
Advanced Energy Industries, Inc. *		1,709		88,270
Alpha & Omega Semiconductor Ltd. *		878		10,211
Amkor Technology, Inc. *		9,252		68,372
Cabot Microelectronics Corp.		1,094		112,868
Diodes, Inc. *		494		16,445

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

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INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 1.7% (continued)
Entegris, Inc.		4,311	$	124,804
Integrated Device Technology, Inc. *		1,046		49,173
Photronics, Inc. *		1,645		16,203
Rudolph Technologies, Inc. *		1,473		36,015
Silicon Laboratories, Inc. *		138		12,668
SMART Global Holdings, Inc. *		2,453		70,499
				605,528
Software - 3.0%
ACI Worldwide, Inc. *		900		25,326
Alarm.com Holdings, Inc. *		758		43,509
Avaya Holdings Corp. *		1,583		35,048
Blackbaud, Inc. (a)		432		43,839
Ebix, Inc. (a)		1,605		127,036
eGain Corp. *		2,732		22,129
Ellie Mae, Inc. *(a)		472		44,731
Five9, Inc. *		316		13,806
HubSpot, Inc. *		177		26,718
j2 Global, Inc.		2,063		170,920
MicroStrategy, Inc., Class A *		92		12,937
Mitek Systems, Inc. *		2,473		17,435
Progress Software Corp.		2,042		72,062
Qualys, Inc. *		2,236		199,228
Trade Desk, Inc. (The), Class A *		794		119,823
Verint Systems, Inc. *		1,235		61,873
Zix Corp. *		2,274		12,621
				1,049,041
Specialty Retail - 5.6%
Aaron’s, Inc.		454		24,725
Abercrombie & Fitch Co., Class A		9,670		204,230
American Eagle Outfitters, Inc.		11,016		273,527
Asbury Automotive Group, Inc. *		552		37,950
Boot Barn Holdings, Inc. *(a)		545		15,483
Buckle, Inc. (The)		5,468		126,037
Caleres, Inc.		4,796		171,985
Cato Corp. (The), Class A		1,409		29,617
Chico’s FAS, Inc.		5,753		49,879
Children’s Place, Inc. (The)		1,183		151,187
Citi Trends, Inc.		926		26,641
DSW, Inc., Class A		4,996		169,265
Express, Inc. *		11,213		124,016
Five Below, Inc. *		736		95,724
Genesco, Inc. *		486		22,891
Group 1 Automotive, Inc.		480		31,152
Haverty Furniture Cos., Inc.		511		11,293
Hibbett Sports, Inc. *(a)		3,646		68,545
RH *		213		27,905
Shoe Carnival, Inc.		2,530		97,405
Sleep Number Corp. *		587		21,590
Sportsman’s Warehouse Holdings, Inc. *		2,998		17,538
Tailored Brands, Inc. (a)		2,971		74,840
Tilly’s, Inc., Class A		543		10,290
Zumiez, Inc. *		3,032		79,893
			1,963,608
Textiles, Apparel & Luxury Goods - 3.1%
Crocs, Inc. *		4,154		88,439
Deckers Outdoor Corp. *		2,944		349,100
Fossil Group, Inc. *(a)		2,686		62,530

INVESTMENTS	SHARES		VALUE
Textiles, Apparel & Luxury Goods - 3.1% (continued)
G-III Apparel Group Ltd. *		3,443	$	165,918
Movado Group, Inc.		2,301		96,412
Oxford Industries, Inc.		1,202		108,420
Rocky Brands, Inc.		1,175		33,252
Steven Madden Ltd.		1,531		80,990
Vera Bradley, Inc. *		4,169		63,619
Wolverine World Wide, Inc.		425		16,596
				1,065,276
Thrifts & Mortgage Finance - 3.3%
Axos Financial, Inc. *		6,631		228,040
Dime Community Bancshares, Inc.		671		11,977
Essent Group Ltd. *		490		21,682
Federal Agricultural Mortgage Corp., Class C		611		44,102
First Defiance Financial Corp.		1,436		43,238
Flagstar Bancorp, Inc. *		364		11,455
HomeStreet, Inc. *		672		17,808
Meridian Bancorp, Inc.		807		13,719
Meta Financial Group, Inc.		419		34,630
MGIC Investment Corp. *		19,076		253,902
Oritani Financial Corp.		820		12,751
Provident Financial Services, Inc.		940		23,077
Radian Group, Inc.		6,798		140,515
United Financial Bancorp, Inc.		672		11,310
Walker & Dunlop, Inc.		3,720		196,714
Washington Federal, Inc.		1,913		61,216
WSFS Financial Corp.		309		14,569
				1,140,705
Tobacco - 0.5%
Pyxus International, Inc. *		598		13,754
Turning Point Brands, Inc.		1,129		46,808
Universal Corp.		1,530		99,450
Vector Group Ltd. (a)		852		11,735
				171,747
Trading Companies & Distributors - 1.8%
Applied Industrial Technologies, Inc.		193		15,102
BlueLinx Holdings, Inc. *(a)		551		17,351
BMC Stock Holdings, Inc. *		2,139		39,892
CAI International, Inc. *		4,111		94,019
DXP Enterprises, Inc. *		433		17,350
GATX Corp.		1,682		145,644
H&E Equipment Services, Inc.		2,257		85,270
Herc Holdings, Inc. *		316		16,179
Rush Enterprises, Inc., Class A		591		23,232
Systemax, Inc.		437		14,395
Titan Machinery, Inc. *		581		8,997
Triton International Ltd.		4,373		145,490
			622,921
Wireless Telecommunication Services - 1.1%
Boingo Wireless, Inc. *		5,104		178,130
NII Holdings, Inc. *(a)		14,910		87,373
Shenandoah Telecommunications Co.		2,778		107,647
				373,150
TOTAL COMMON STOCKS (Cost $26,958,186)				33,941,699

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

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Schedule of Investments September 30, 2018

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
PREFERRED STOCKS - 0.0% (b)
Media - 0.0% (b)
GCI Liberty, Inc., Series A, 7.00%, 3/10/2039 (c)
(Cost $903)		105	$	2,632
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Media - 0.0% (b)
Media General, Inc., CVR (3)*(d)
(Cost $221)		744		13
	SHARES
SHORT-TERM INVESTMENTS - 2.6%
Investment Companies - 2.6%
Limited Purpose Cash Investment Fund, 2.06% (e)
(Cost $886,557)		886,688		886,599
SECURITIES LENDING COLLATERAL - 6.0%
Investment Companies - 6.0%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (e)(f)		257,210		257,210
Limited Purpose Cash Investment Fund
2.06% (e)(f)		1,845,633		1,845,448
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,102,843)				2,102,658
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 106.0% (Cost $29,948,710)				36,933,601
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.0)% (g)			(2,098,940)
NET ASSETS - 100.0%			$	34,834,661

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	1,309,615			3.8	%
Consumer Discretionary		6,253,288			17.9
Consumer Staples		1,700,369			4.9
Energy		977,070			2.8
Financials		6,896,660			19.8
Health Care		4,063,533			11.7
Industrials		6,424,106			18.4
Information Technology		3,147,787			9.0
Materials		1,856,606			5.3
Real Estate		1,085,517			3.1
Utilities		229,793			0.7
Short-Term Investments		886,599			2.6
Securities Lending Collateral		2,102,658			6.0
Total Investments In Securities At Value		36,933,601			106.0
Liabilities in Excess of Other Assets (g)		(2,098,940	)		(6.0	)
Net Assets	$	34,834,661			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $2,030,699.

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

(c) Perpetual security. The rate reflected was the rate in effect on September 30, 2018. The maturity date reflects the next call date.

(d) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $13, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of September 30, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

(g) Includes appreciation/(depreciation) on futures contracts.

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

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

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

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

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AQR TM SMALL CAP MULTI-STYLE FUND

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index	5	12/2018		USD		$425,200		$(4,102	)
								$(4,102	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$24,734		$24,734

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.4%
Australia - 5.5%
Amcor Ltd.		10,220	$	101,006
Aristocrat Leisure Ltd.		66,517		1,366,056
BHP Billiton Ltd.		31,889		794,384
BlueScope Steel Ltd.		57,840		709,393
Caltex Australia Ltd.		12,558		271,301
CIMIC Group Ltd.		19,409		720,369
Cochlear Ltd.		3,464		502,266
CSL Ltd.		4,834		702,377
Dexus, REIT		33,527		256,131
Flight Centre Travel Group Ltd.		17,110		657,055
Fortescue Metals Group Ltd.		266,270		754,537
Goodman Group, REIT		30,886		231,694
GPT Group (The), REIT		19,876		74,859
Macquarie Group Ltd.		5,407		491,866
Rio Tinto Ltd.		3,006		170,959
Santos Ltd.		77,141		405,005
Scentre Group, REIT		71,981		206,856
South32 Ltd.		292,405		821,747
Telstra Corp. Ltd.		244,163		562,526
Treasury Wine Estates Ltd.		4,204		53,063
Woodside Petroleum Ltd.		27,943		779,522
				10,632,972
Belgium - 1.3%
Ageas		19,178		1,030,983
Groupe Bruxelles Lambert SA		1,467		153,776
KBC Group NV		5,595		416,035
UCB SA		3,823		343,550
Umicore SA		8,430		470,887
				2,415,231
Canada - 6.8%
Bank of Montreal (1)		8,976		740,373
Bank of Nova Scotia (The) (1)		15,059		897,606
Canadian Imperial Bank of Commerce (1)		5,176		485,001
Canadian Natural Resources Ltd. (1)		6,385		208,607
Canadian Tire Corp. Ltd., Class A (1)		2,858		334,866
CCL Industries, Inc., Class B (1)		2,455		110,657
CGI Group, Inc., Class A (1)*		22,265		1,435,551
Constellation Software, Inc. (1)		288		211,793
Fairfax Financial Holdings Ltd. (1)		414		224,922
Great-West Lifeco, Inc. (1)		2,283		55,394
Kinross Gold Corp. (1)*		216,711		590,580
Magna International, Inc. (1)		22,614		1,187,907
Methanex Corp. (1)		10,571		834,451
Open Text Corp. (1)		17,556		668,043
Royal Bank of Canada (1)		20,862		1,672,319
Shopify, Inc., Class A (1)*		1,092		179,485
Teck Resources Ltd., Class B (1)		5,850		140,991
Toronto-Dominion Bank (The) (1)		27,150		1,649,830
West Fraser Timber Co. Ltd. (1)		25,831		1,470,086
				13,098,462
China - 0.4%
BOC Hong Kong Holdings Ltd.		108,500		514,976
Yangzijiang Shipbuilding Holdings Ltd.		382,500		346,769
				861,745

INVESTMENTS	SHARES		VALUE
Denmark - 1.9%
Coloplast A/S, Class B		4,737	$	483,910
DSV A/S		6,997		635,822
Genmab A/S *		618		97,071
H Lundbeck A/S		8,633		532,901
Novo Nordisk A/S, Class B		23,511		1,106,547
Orsted A/S (a)		1,630		110,763
Vestas Wind Systems A/S		2,134		144,165
William Demant Holding A/S *		16,192		607,822
				3,719,001
Finland - 1.4%
Neste OYJ		25,367		2,090,885
Nokia OYJ		42,143		234,305
UPM-Kymmene OYJ		7,749		303,908
				2,629,098
France - 10.1%
Aeroports de Paris		1,501		337,952
Airbus SE		1,221		153,288
Atos SE		8,563		1,018,886
AXA SA		19,281		516,648
BNP Paribas SA		8,357		511,754
Cie Generale des Etablissements Michelin SCA		3,242		386,951
CNP Assurances		68,834		1,659,291
Dassault Aviation SA		50		92,535
Gecina SA, REIT		483		80,707
L’Oreal SA		14,125		3,405,356
LVMH Moet Hennessy Louis Vuitton SE		6,662		2,354,158
Peugeot SA		60,526		1,632,733
Safran SA		9,190		1,286,821
Sanofi		2,650		236,770
Societe BIC SA (b)		604		55,313
Societe Generale SA		6,653		285,683
Thales SA		9,098		1,292,651
TOTAL SA		59,621		3,876,601
Unibail-Rodamco-Westfield, REIT		333		67,082
				19,251,180
Germany - 8.9%
adidas AG		5,846		1,429,695
Allianz SE (Registered)		10,737		2,389,699
BASF SE		7,689		682,269
Bayer AG (Registered)		5,350		474,549
Bayerische Motoren Werke AG		4,167		375,408
Beiersdorf AG		756		85,219
Covestro AG (a)		31,719		2,567,567
Deutsche Boerse AG		2,105		281,453
Deutsche Lufthansa AG (Registered)		78,336		1,922,673
Deutsche Post AG (Registered)		7,039		250,267
Deutsche Wohnen SE		4,001		192,175
Fresenius SE & Co. KGaA		2,780		203,858
Hannover Rueck SE		3,453		487,385
HUGO BOSS AG		3,281		252,424
Infineon Technologies AG		56,350		1,282,293
Linde AG		1,919		453,185
MTU Aero Engines AG		1,729		389,507
SAP SE		13,550		1,666,156
Siemens AG (Registered)		4,195		536,388

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

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INVESTMENTS	SHARES		VALUE
Germany - 8.9% (continued)
Siemens Healthineers AG *(a)		2,100	$	92,267
TUI AG		41,515		796,367
Vonovia SE		3,353		163,989
Wirecard AG		481		104,064
				17,078,857
Hong Kong - 2.5%
CLP Holdings Ltd.		101,000		1,182,784
Galaxy Entertainment Group Ltd.		69,000		435,879
Henderson Land Development Co. Ltd.		14,300		71,816
Hong Kong Exchanges & Clearing Ltd.		13,300		380,042
Kerry Properties Ltd.		62,000		210,524
Li & Fung Ltd.		1,310,000		293,438
Link REIT		13,000		127,997
NWS Holdings Ltd.		45,000		88,949
PCCW Ltd.		30,000		17,479
Sino Land Co. Ltd.		64,000		109,646
Sun Hung Kai Properties Ltd.		30,000		435,366
Swire Properties Ltd.		42,000		159,262
WH Group Ltd. (a)		542,500		380,865
Wheelock & Co. Ltd.		28,000		168,339
Yue Yuen Industrial Holdings Ltd.		273,500		760,326
				4,822,712
Italy - 1.1%
Assicurazioni Generali SpA		3,271		56,326
Enel SpA		116,795		597,001
Eni SpA		37,219		701,562
Moncler SpA		4,749		204,337
Poste Italiane SpA (a)		70,837		565,022
				2,124,248
Japan - 21.4%
Acom Co. Ltd.		16,500		66,522
AEON Financial Service Co. Ltd.		800		16,569
Alps Electric Co. Ltd.		8,500		216,092
Aozora Bank Ltd.		4,100		146,436
Asahi Kasei Corp.		95,000		1,440,400
Astellas Pharma, Inc.		11,100		193,839
Bandai Namco Holdings, Inc.		35,100		1,363,665
Credit Saison Co. Ltd.		2,900		47,297
Dai-ichi Life Holdings, Inc.		6,600		137,579
Daiwa House Industry Co. Ltd.		4,400		130,389
DeNA Co. Ltd.		19,600		346,100
Fujitsu Ltd.		17,100		1,218,199
Hitachi High-Technologies Corp.		8,000		276,226
Hitachi Ltd.		68,000		2,311,433
Hoya Corp.		5,400		320,711
ITOCHU Corp.		65,300		1,195,192
Japan Airlines Co. Ltd.		29,200		1,049,510
Japan Real Estate Investment Corp., REIT		15		78,657
Japan Tobacco, Inc.		7,900		206,295
JXTG Holdings, Inc.		129,900		982,537
Kao Corp.		14,700		1,187,433
KDDI Corp.		92,800		2,560,051
Kirin Holdings Co. Ltd.		19,100		489,875
Konami Holdings Corp.		28,200		1,104,205
Kuraray Co. Ltd.		9,300		139,812
Kyocera Corp.		1,300		78,028

INVESTMENTS	SHARES		VALUE
Japan - 21.4% (continued)
Kyushu Railway Co.		13,900	$	423,198
Marubeni Corp.		221,400		2,024,839
Mazda Motor Corp.		94,700		1,138,294
Mitsubishi Chemical Holdings Corp.		12,100		115,804
Mitsubishi Electric Corp.		30,200		413,720
Mitsubishi Estate Co. Ltd.		9,000		152,820
Mitsubishi Gas Chemical Co., Inc.		30,900		657,800
Mitsubishi UFJ Financial Group, Inc.		207,300		1,287,891
Mitsui & Co. Ltd.		17,500		310,987
Mitsui Fudosan Co. Ltd.		7,000		165,556
Mizuho Financial Group, Inc.		1,194,900		2,082,474
Nexon Co. Ltd. *		176,400		2,305,814
Nippon Express Co. Ltd.		9,700		637,034
Nippon Telegraph & Telephone Corp.		12,100		546,077
Nomura Real Estate Holdings, Inc.		2,700		54,466
Nomura Real Estate Master Fund, Inc., REIT		65		88,863
NTT DOCOMO, Inc.		10,400		279,527
Oji Holdings Corp.		14,000		101,667
Omron Corp.		1,900		80,290
Resona Holdings, Inc.		255,100		1,432,251
Sega Sammy Holdings, Inc.		17,700		260,993
Shinsei Bank Ltd.		9,200		150,302
Shionogi & Co. Ltd.		8,000		522,957
Sony Corp.		14,500		881,421
SUMCO Corp.		11,800		171,898
Sumitomo Corp.		25,200		419,964
Sumitomo Dainippon Pharma Co. Ltd.		15,300		351,387
Sumitomo Heavy Industries Ltd.		16,300		581,772
Sumitomo Mitsui Financial Group, Inc.		40,800		1,641,950
Suzuki Motor Corp.		27,000		1,547,401
Taisei Corp.		10,400		474,067
Tokyo Electron Ltd.		8,900		1,226,602
Toshiba Corp. *		7,100		205,178
Toyo Seikan Group Holdings Ltd.		5,000		103,755
Yamaha Corp.		11,900		630,556
Yokogawa Electric Corp.		3,600		76,151
				40,848,778
Macau - 0.6%
Sands China Ltd.		83,600		376,494
SJM Holdings Ltd.		304,000		280,094
Wynn Macau Ltd.		206,000		473,099
				1,129,687
Netherlands - 5.8%
ASML Holding NV		2,977		558,945
ING Groep NV		38,548		500,318
Koninklijke Ahold Delhaize NV		45,832		1,051,502
Koninklijke Philips NV		6,106		278,321
NN Group NV		31,476		1,404,851
Randstad NV		896		47,824
Royal Dutch Shell plc, Class A		104,016		3,566,548
Royal Dutch Shell plc, Class B		41,664		1,458,514
Wolters Kluwer NV		37,405		2,331,825
				11,198,648
Singapore - 1.0%
CapitaLand Commercial Trust, REIT		70,800		92,242

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

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INVESTMENTS	SHARES		VALUE
Singapore - 1.0% (continued)
DBS Group Holdings Ltd.		6,700	$	127,817
Genting Singapore Ltd.		1,253,900		971,941
SATS Ltd.		20,600		78,645
United Overseas Bank Ltd.		4,900		96,865
Venture Corp. Ltd.		48,700		627,972
				1,995,482
South Africa - 0.6%
Anglo American plc		29,113		651,286
Investec plc		80,442		564,310
				1,215,596
Spain - 2.1%
Aena SME SA (a)		9,515		1,648,541
Banco Bilbao Vizcaya Argentaria SA		129,027		818,063
Banco Santander SA		22,700		113,651
Endesa SA		12,688		273,676
Mapfre SA		86,849		271,651
Repsol SA		49,991		995,187
				4,120,769
Sweden - 2.4%
Essity AB, Class B		18,131		455,112
Hexagon AB, Class B		9,024		528,326
Husqvarna AB, Class B		8,284		70,426
Investor AB, Class B		2,740		126,264
Sandvik AB		70,600		1,249,920
Securitas AB, Class B		10,323		179,471
Swedbank AB, Class A		20,022		495,187
Swedish Match AB		1,210		61,850
Telefonaktiebolaget LM Ericsson, Class B		21,784		192,806
Volvo AB, Class B		65,062		1,147,494
				4,506,856
Switzerland - 8.4%
ABB Ltd. (Registered)		8,144		192,644
Baloise Holding AG (Registered)		2,886		439,796
Cie Financiere Richemont SA (Registered)		3,785		308,592
Coca-Cola HBC AG *		15,368		523,575
Ferguson plc		3,235		274,399
Lonza Group AG (Registered) *		814		278,467
Nestle SA (Registered)		23,630		1,966,881
Novartis AG (Registered)		31,414		2,704,070
Roche Holding AG		19,450		4,703,311
SGS SA (Registered)		72		189,571
Sika AG (Registered)		2,160		314,322
Sonova Holding AG (Registered)		5,332		1,058,232
STMicroelectronics NV		27,367		500,887
Straumann Holding AG (Registered)		586		441,471
Swatch Group AG (The)		1,172		465,793
Swiss Life Holding AG (Registered) *		2,494		945,653
Zurich Insurance Group AG		2,811		886,323
				16,193,987
United Kingdom - 12.4%
3i Group plc		6,980		85,469
Ashtead Group plc		19,007		603,059
Auto Trader Group plc (a)		44,090		256,482
BAE Systems plc		154,183		1,264,296
Barclays plc		91,428		202,790

INVESTMENTS	SHARES		VALUE
United Kingdom - 12.4% (continued)
Barratt Developments plc		93,661	$	691,682
Berkeley Group Holdings plc		23,615		1,131,318
BP plc		275,328		2,110,319
British American Tobacco plc		25,048		1,167,750
British Land Co. plc (The), REIT		9,564		76,925
Burberry Group plc		23,334		612,734
Compass Group plc		37,655		837,196
Diageo plc		5,686		201,444
Direct Line Insurance Group plc		87,036		367,361
Fiat Chrysler Automobiles NV *		89,488		1,565,057
Hammerson plc, REIT		10,122		60,227
HSBC Holdings plc		278,163		2,427,080
Imperial Brands plc		10,124		352,295
International Consolidated Airlines Group SA		105,176		902,260
J Sainsbury plc		91,742		384,353
Land Securities Group plc, REIT		6,550		75,417
Legal & General Group plc		102,969		351,515
Lloyds Banking Group plc		305,356		234,846
London Stock Exchange Group plc		3,501		209,208
Meggitt plc		44,858		331,183
Mondi plc		13,262		363,110
Next plc		14,776		1,057,461
Persimmon plc		42,836		1,318,806
Prudential plc		24,067		551,809
RELX plc *		10,814		227,193
RELX plc		7,916		166,526
Rolls-Royce Holdings plc *		42,299		544,193
Royal Mail plc		68,102		423,348
Segro plc, REIT		68,409		569,251
Sky plc		10,586		238,540
Smith & Nephew plc		9,281		169,329
Taylor Wimpey plc		28,885		64,564
Unilever NV, CVA		8,077		449,282
Unilever plc		12,180		669,098
Wm Morrison Supermarkets plc		81,409		275,242
				23,590,018
United States - 1.8%
Bausch Health Cos., Inc. (1)*		111,338		2,859,196
Shire plc		9,516		574,918
				3,434,114
TOTAL COMMON STOCKS (Cost $156,738,070)				184,867,441
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
Limited Purpose Cash Investment Fund, 2.06% (1) (c)
(Cost $4,695,809)		4,696,973		4,696,503

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

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INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.0% (d)
Investment Companies - 0.0% (d)
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (1)(c)(e)		6,401	$	6,401
Limited Purpose Cash Investment Fund
2.06% (1)(c)(e)		45,933		45,929
TOTAL SECURITIES LENDING COLLATERAL (Cost $52,335)				52,330
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.9% (Cost $161,486,214)				189,616,274
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% (f)			2,055,376
NET ASSETS - 100.0%			$	191,671,650

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	8,216,800		4.3	%
Consumer Discretionary		28,515,187		14.9
Consumer Staples		13,366,489		7.0
Energy		17,446,589		9.1
Financials		33,696,484		17.6
Health Care		19,840,096		10.3
Industrials		27,791,324		14.5
Information Technology		14,864,429		7.7
Materials		14,864,562		7.8
Real Estate		4,101,256		2.1
Utilities		2,164,225		1.1
Short-Term Investments		4,696,503		2.5
Securities Lending Collateral		52,330		0.0	(d)
Total Investments In Securities At Value		189,616,274		98.9
Other Assets in Excess of Liabilities (f)		2,055,376		1.1
Net Assets	$	191,671,650		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $5,621,507, which represents approximately 2.93% of net assets of the fund.

(b) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $50,138.

(c) Represents 7-day effective yield as of September 30, 2018.

(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 (See Note 3).

(f) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index	48	12/2018		USD		$4,741,200		$26,906
								$26,906

USD - United States Dollar

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

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AQR TM INTERNATIONAL MULTI-STYLE FUND

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash	$	—	$	168,955	$	168,955

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Brazil - 6.7%
Ambev SA, ADR (1)		177,084	$	809,274
Banco Bradesco SA, ADR (1)*		228,516		1,617,893
Banco do Brasil SA (1)*		74,700		543,619
Banco Santander Brasil SA, ADR (1)		30,759		270,987
Braskem SA (Preference), Class A (1)		211,300		3,049,255
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)*		22,092		130,343
Cia Siderurgica Nacional SA (1)*		76,000		175,954
Embraer SA, ADR (1)		10,244		200,680
Fibria Celulose SA (1)		25,800		481,049
Itau Unibanco Holding SA, ADR (1)		144,881		1,590,793
Itausa - Investimentos Itau SA (Preference) (1)		456,100		1,136,142
M Dias Branco SA (1)*		26,700		260,683
Petrobras Distribuidora SA (1)		20,700		99,795
Petroleo Brasileiro SA (Preference) (1)*		296,100		1,547,018
Porto Seguro SA (1)		20,800		306,344
Sul America SA (1)		198,185		1,273,452
Suzano Papel e Celulose SA (1)		247,500		2,941,037
TIM Participacoes SA, ADR (1)		187,660		2,719,193
Vale SA, ADR (1)		204,521		3,035,092
				22,188,603
Chile - 1.9%
Banco de Chile, ADR (1)(a)		4,020		366,021
Banco de Credito e Inversiones SA		2,196		148,533
Banco Santander Chile, ADR (1)		20,668		660,963
Cencosud SA		581,007		1,381,142
Cia Cervecerias Unidas SA, ADR (1)(a)		23,944		668,038
Empresas CMPC SA		180,152		727,042
Empresas COPEC SA		19,174		296,215
Enel Americas SA, ADR (1)		125,409		969,412
Enel Chile SA, ADR (1)		49,740		249,197
Itau CorpBanca		13,863,093		142,743
Latam Airlines Group SA, ADR (1)(a)		38,904		365,698
Sociedad Quimica y Minera de Chile SA, ADR (1)(a)		4,982		227,777
				6,202,781
China - 27.7%
3SBio, Inc. (b)		80,000		134,056
58.com, Inc., ADR (1)*		5,066		372,858
Agricultural Bank of China Ltd., Class A *		630,700		356,804
Agricultural Bank of China Ltd., Class H		2,532,000		1,241,747
Air China Ltd., Class H		874,000		840,726
Alibaba Group Holding Ltd., ADR (1)*		73,305		12,077,731
Alibaba Health Information Technology Ltd. *		634,000		619,983
Anhui Conch Cement Co. Ltd., Class H		317,000		1,903,552
ANTA Sports Products Ltd.		80,000		381,907
Autohome, Inc., ADR (1)		3,195		247,325
Baidu, Inc., ADR (1)*		16,725		3,824,672
Bank of China Ltd., Class A *		803,600		434,716
Bank of China Ltd., Class H		1,778,000		785,597
Baoshan Iron & Steel Co. Ltd. *		84,501		96,453
China Communications Services Corp. Ltd., Class H		1,226,000		1,130,505

INVESTMENTS	SHARES		VALUE
China - 27.7% (continued)
China Construction Bank Corp., Class H		6,795,000	$	5,939,512
China Everbright Bank Co. Ltd., Class H		234,000		103,643
China Evergrande Group		786,000		2,194,430
China Medical System Holdings Ltd.		346,000		481,797
China Merchants Bank Co. Ltd., Class H		621,000		2,511,062
China Minsheng Banking Corp. Ltd., Class H		321,000		238,023
China Mobile Ltd.		278,000		2,733,252
China National Building Material Co. Ltd., Class H		1,170,000		1,037,570
China Overseas Land & Investment Ltd.		400,000		1,252,370
China Petroleum & Chemical Corp., Class H		1,896,000		1,905,005
China Resources Beer Holdings Co. Ltd.		118,000		473,199
China Resources Cement Holdings Ltd.		982,000		1,141,998
China Resources Land Ltd.		302,000		1,058,239
China Shenhua Energy Co. Ltd., Class H		238,500		543,175
China Southern Airlines Co. Ltd., Class H		286,000		182,291
China Vanke Co. Ltd., Class H		373,700		1,231,993
Chongqing Rural Commercial Bank Co. Ltd., Class H		953,000		520,072
CNOOC Ltd., ADR (1)		13,620		2,690,495
Country Garden Holdings Co. Ltd.		1,935,000		2,438,449
CSPC Pharmaceutical Group Ltd.		370,000		782,637
Ctrip.com International Ltd., ADR (1)*		22,693		843,499
Far East Horizon Ltd.		329,000		313,781
Geely Automobile Holdings Ltd.		805,000		1,603,126
Genscript Biotech Corp. *		50,000		83,878
Hengan International Group Co. Ltd.		12,500		114,876
Huaneng Renewables Corp. Ltd., Class H		886,000		264,193
Huazhu Group Ltd., ADR (1)		8,063		260,435
Industrial & Commercial Bank of China Ltd., Class A *		120,900		101,447
Industrial & Commercial Bank of China Ltd., Class H		5,453,000		3,981,200
Industrial Bank Co. Ltd., Class A *		96,390		223,649
JD.com, Inc., ADR (1)*		46,823		1,221,612
Jiangsu Hengrui Medicine Co. Ltd. *		50,868		469,714
Kingdee International Software Group Co. Ltd.		396,000		429,824
Kingsoft Corp. Ltd.		88,000		166,894
Luye Pharma Group Ltd.		642,500		575,236
Momo, Inc., ADR (1)*		7,296		319,565
NetEase, Inc., ADR (1)		5,427		1,238,713
New Oriental Education & Technology Group, Inc., ADR (1)*		8,807		651,806
PICC Property & Casualty Co. Ltd., Class H		244,000		287,167
Ping An Insurance Group Co. of China Ltd., Class H		90,500		916,784
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		252,000		248,677
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		38,500		151,290
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		95,100		237,728
Shenzhou International Group Holdings Ltd.		11,000		141,142
SINA Corp. (1)*		4,017		279,101
Sinopec Shanghai Petrochemical Co. Ltd., Class H		2,718,000		1,657,703

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

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INVESTMENTS	SHARES		VALUE
China - 27.7% (continued)
Sinopharm Group Co. Ltd., Class H		147,600	$	721,965
Sinotruk Hong Kong Ltd. (a)		404,500		882,526
TAL Education Group, ADR (1)*		17,856		459,078
Tencent Holdings Ltd.		290,000		11,840,939
Tingyi Cayman Islands Holding Corp.		386,000		708,781
TravelSky Technology Ltd., Class H		647,000		1,682,279
Tsingtao Brewery Co. Ltd., Class H		132,000		619,204
Vipshop Holdings Ltd., ADR (1)*(a)		27,558		171,962
Weibo Corp., ADR (1)*(a)		2,989		218,586
Weichai Power Co. Ltd., Class H		1,642,000		2,032,706
Wuxi Biologics Cayman, Inc.*(b)		16,500		166,974
Yum China Holdings, Inc. (1)		27,400		962,014
Zhongsheng Group Holdings Ltd.		373,500		906,543
				92,064,441
Hong Kong - 2.1%
Bank of Communications Co. Ltd. *		216,500		183,882
Haier Electronics Group Co. Ltd. *		593,000		1,605,455
Kingboard Holdings Ltd.		95,000		309,245
Kingboard Laminates Holdings Ltd.		294,000		260,673
Lee & Man Paper Manufacturing Ltd.		103,000		95,374
Nine Dragons Paper Holdings Ltd.		2,022,000		2,180,345
Sino Biopharmaceutical Ltd.		1,288,500		1,198,479
SSY Group Ltd.		224,000		216,870
Sun Art Retail Group Ltd.		599,500		777,734
				6,828,057
Hungary - 0.3%
MOL Hungarian Oil & Gas plc		59,392		639,707
Richter Gedeon Nyrt		16,642		311,235
				950,942
India - 8.5%
Ashok Leyland Ltd.		88,344		145,194
Aurobindo Pharma Ltd.		88,145		905,195
Axis Bank Ltd., GDR *(c)		12,578		532,001
Dabur India Ltd.		31,245		184,027
Dr Reddy’s Laboratories Ltd., ADR (1)		2,738		94,735
Glenmark Pharmaceuticals Ltd.		26,012		226,929
Godrej Consumer Products Ltd.		12,177		129,145
HCL Technologies Ltd.		22,387		335,960
Hindustan Unilever Ltd.		100,311		2,226,219
Indian Oil Corp. Ltd.		62,954		133,162
Infosys Ltd., ADR (1)		732,692		7,451,478
InterGlobe Aviation Ltd. (b)		22,560		257,125
JSW Steel Ltd.		50,159		264,213
Larsen & Toubro Ltd., GDR (c)		9,010		156,321
Oil & Natural Gas Corp. Ltd.		278,672		681,579
Reliance Industries Ltd., GDR (b)		88,364		3,040,512
State Bank of India, GDR *(c)		14,240		525,761
Sun Pharmaceutical Industries Ltd.		70,882		609,419
Tata Consultancy Services Ltd.		171,857		5,177,202
Tata Motors Ltd., ADR (1)*		8,267		126,981
Tech Mahindra Ltd.		321,193		3,303,466
United Spirits Ltd. *		24,679		175,145
Wipro Ltd., ADR (1)(a)		308,567		1,607,634
				28,289,403

INVESTMENTS	SHARES		VALUE
Indonesia - 2.1%
Adaro Energy Tbk. PT		13,117,800	$	1,614,061
Bank Central Asia Tbk. PT		477,700		773,755
Bank Mandiri Persero Tbk. PT		902,700		406,769
Bank Negara Indonesia Persero Tbk. PT		650,500		323,033
Bank Rakyat Indonesia Persero Tbk. PT		6,705,900		1,417,082
Gudang Garam Tbk. PT		39,900		198,230
Indah Kiat Pulp & Paper Corp. Tbk. PT		531,700		618,651
Indofood CBP Sukses Makmur Tbk. PT		291,800		172,928
Indofood Sukses Makmur Tbk. PT		712,900		282,284
Telekomunikasi Indonesia Persero Tbk. PT		462,300		113,160
United Tractors Tbk. PT		539,300		1,194,028
				7,113,981
Malaysia - 3.3%
AirAsia Group Bhd.		2,020,008		1,541,930
CIMB Group Holdings Bhd.		76,600		111,210
Genting Bhd.		255,400		481,920
Hartalega Holdings Bhd.		55,800		89,207
Hong Leong Bank Bhd.		127,200		632,598
Malayan Banking Bhd.		1,147,200		2,713,275
Malaysia Airports Holdings Bhd.		95,000		204,239
Petronas Chemicals Group Bhd.		294,800		666,685
Petronas Dagangan Bhd.		18,100		114,861
Public Bank Bhd.		481,200		2,906,329
Sime Darby Bhd.		819,900		516,969
Tenaga Nasional Bhd.		183,400		685,730
Top Glove Corp. Bhd.		69,300		178,416
				10,843,369
Mexico - 2.5%
America Movil SAB de CV, Class L, ADR (1)		92,052		1,478,355
Arca Continental SAB de CV (1)		87,200		563,254
Cemex SAB de CV, ADR (1)*		21,479		151,212
Fomento Economico Mexicano SAB de CV, ADR (1)		2,036		201,503
Gentera SAB de CV (1)		35,400		35,922
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		90,600		990,432
Grupo Financiero Banorte SAB de CV, Class O (1)		236,800		1,712,036
Grupo Televisa SAB, ADR (1)		5,879		104,293
Wal-Mart de Mexico SAB de CV (1)		1,021,600		3,113,277
				8,350,284
Peru - 0.3%
Credicorp Ltd. (1)		4,593		1,024,606
Philippines - 0.5%
Ayala Corp.		6,500		111,616
Bank of the Philippine Islands		58,230		89,783
BDO Unibank, Inc.		175,940		390,106
Globe Telecom, Inc.		665		27,069
International Container Terminal Services, Inc.		79,240		137,916
JG Summit Holdings, Inc.		99,060		98,835
Jollibee Foods Corp.		27,120		128,946
Security Bank Corp.		27,770		79,129
SM Investments Corp.		39,465		660,063
				1,723,463

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

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INVESTMENTS	SHARES		VALUE
Poland - 1.6%
Grupa Lotos SA		18,723	$	380,817
Jastrzebska Spolka Weglowa SA *		21,787		391,993
LPP SA		170		397,705
PGE Polska Grupa Energetyczna SA *		86,640		223,936
Polski Koncern Naftowy ORLEN SA		110,407		3,026,370
Polskie Gornictwo Naftowe i Gazownictwo SA *		306,744		538,422
Santander Bank Polska SA		2,222		225,981
Tauron Polska Energia SA *		144,914		69,582
				5,254,806
Russia - 3.7%
Gazprom PJSC, ADR		400,359		1,997,804
LUKOIL PJSC, ADR		28,399		2,174,608
Magnit PJSC, GDR (c)		6,719		95,316
Mobile TeleSystems PJSC, ADR (1)		201,369		1,717,678
Novatek PJSC, GDR (c)		5,992		1,099,000
Novolipetsk Steel PJSC, GDR (c)		32,959		887,084
Rosneft Oil Co. PJSC, GDR (c)		78,075		583,357
Severstal PJSC, GDR (c)		95,902		1,597,251
Surgutneftegas PJSC, ADR		101,167		417,662
Tatneft PJSC, ADR		24,469		1,866,982
				12,436,742
South Africa - 5.0%
Absa Group Ltd.		56,286		603,678
Bidvest Group Ltd. (The)		186,992		2,445,994
Capitec Bank Holdings Ltd.		12,654		915,338
Exxaro Resources Ltd.		132,133		1,358,365
FirstRand Ltd.		21,471		102,993
Foschini Group Ltd. (The)		35,201		431,960
Imperial Holdings Ltd.		199,843		2,470,853
Investec Ltd.		46,127		324,322
Kumba Iron Ore Ltd.		29,133		660,110
Life Healthcare Group Holdings Ltd.		117,856		204,647
Naspers Ltd., Class N		13,727		2,956,095
Netcare Ltd.		105,788		180,785
Pick n Pay Stores Ltd.		128,940		627,415
Redefine Properties Ltd., REIT		425,319		301,225
Remgro Ltd.		32,110		447,497
RMB Holdings Ltd.		22,581		126,247
Standard Bank Group Ltd.		128,221		1,585,519
Telkom SA SOC Ltd.		31,756		115,978
Truworths International Ltd.		152,923		901,959
				16,760,980
South Korea - 14.7%
Celltrion Healthcare Co. Ltd. *		11,350		943,580
Celltrion, Inc.*		2,841		761,377
Daelim Industrial Co. Ltd.		5,434		404,659
DB Insurance Co. Ltd.		10,983		720,772
DGB Financial Group, Inc.		13,816		126,393
E-MART, Inc.		4,169		779,996
GS Engineering & Construction Corp.		3,641		171,601
Hana Financial Group, Inc.		5,895		236,701
Hanwha Chemical Corp.		8,032		139,728
Hanwha Corp.		29,527		873,247
Hanwha Life Insurance Co. Ltd.		26,267		125,273
Hyundai Department Store Co. Ltd.		4,698		421,004

INVESTMENTS	SHARES		VALUE
South Korea - 14.7% (continued)
Hyundai Marine & Fire Insurance Co. Ltd.		49,266	$	1,862,318
KB Financial Group, Inc.		16,063		782,332
Kumho Petrochemical Co. Ltd.		4,987		442,781
LG Electronics, Inc.		45,970		2,941,651
Lotte Chemical Corp.		16,324		4,090,924
POSCO		10,988		2,916,730
Posco Daewoo Corp.		11,494		216,870
S-1 Corp.		2,690		221,637
Samsung Biologics Co. Ltd. *(b)		1,300		625,589
Samsung Electronics Co. Ltd.		329,239		13,778,939
Samsung SDS Co. Ltd.		2,159		449,534
SillaJen, Inc. *		9,010		831,321
SK Hynix, Inc.		114,524		7,576,667
SK Innovation Co. Ltd.		17,729		3,436,589
SK Telecom Co. Ltd.		2,235		566,651
ViroMed Co. Ltd. *		2,044		443,819
Woori Bank		118,554		1,805,251
				48,693,934
Taiwan - 11.3%
ASE Technology Holding Co. Ltd.		43,000		105,028
AU Optronics Corp.		5,801,000		2,446,399
Cathay Financial Holding Co. Ltd.		353,000		606,668
China Airlines Ltd.		636,000		192,639
China Life Insurance Co. Ltd.		2,063,956		2,075,291
CTBC Financial Holding Co. Ltd.		1,356,480		1,021,317
E.Sun Financial Holding Co. Ltd.		594,335		438,814
Eva Airways Corp.		458,289		222,850
First Financial Holding Co. Ltd.		1,495,143		1,018,244
Formosa Chemicals & Fibre Corp.		62,000		259,820
Formosa Petrochemical Corp.		46,000		222,972
Foxconn Technology Co. Ltd.		62,000		151,300
Fubon Financial Holding Co. Ltd.		518,000		878,602
General Interface Solution Holding Ltd.		76,000		320,288
Globalwafers Co. Ltd.		8,000		88,160
Hiwin Technologies Corp.		28,000		231,349
Hon Hai Precision Industry Co. Ltd.		1,209,545		3,136,568
Hua Nan Financial Holdings Co. Ltd.		282,150		170,896
Innolux Corp.		1,902,000		660,492
Inventec Corp.		164,000		147,151
Macronix International		89,000		74,146
Mega Financial Holding Co. Ltd.		684,000		615,810
Nanya Technology Corp.		776,000		1,481,844
Phison Electronics Corp.		36,000		286,911
Pou Chen Corp.		755,000		797,162
Powertech Technology, Inc.		517,000		1,408,600
Realtek Semiconductor Corp. *		230,000		1,024,942
Shin Kong Financial Holding Co. Ltd.		5,042,587		1,972,074
Synnex Technology International Corp.		84,000		107,052
Taishin Financial Holding Co. Ltd.		971,827		469,322
Taiwan Business Bank		586,560		213,199
Taiwan Cement Corp.		70,000		94,186
Taiwan Cooperative Financial Holding Co. Ltd.		301,295		183,514
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		267,044		11,792,664
Uni-President Enterprises Corp.		552,000		1,440,171
United Microelectronics Corp.		808,000		426,312
Winbond Electronics Corp.		848,000		403,323
WPG Holdings Ltd.		173,880		211,512

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

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INVESTMENTS	SHARES		VALUE
Taiwan - 11.3% (continued)
Zhen Ding Technology Holding Ltd.		47,000	$	104,945
				37,502,537
Thailand - 3.3%
Bangkok Dusit Medical Services PCL, NVDR		856,000		674,914
Bumrungrad Hospital PCL, NVDR		27,200		156,354
Home Product Center PCL, NVDR		582,300		284,656
Indorama Ventures PCL, NVDR		55,300		100,909
Krung Thai Bank PCL, NVDR		1,643,500		1,026,583
PTT Exploration & Production PCL, NVDR		86,100		413,220
PTT Global Chemical PCL, NVDR		1,652,700		4,153,090
PTT PCL, NVDR		868,700		1,458,363
Robinson PCL, NVDR		61,700		134,644
Siam Cement PCL (The), NVDR		19,400		267,731
Thai Oil PCL, NVDR		753,500		2,063,151
Thai Union Group PCL, NVDR		346,396		191,720
				10,925,335
Turkey - 0.8%
TAV Havalimanlari Holding A/S		20,962		108,428
Turkiye Garanti Bankasi A/S		819,834		1,045,244
Turkiye Halk Bankasi A/S		279,324		309,651
Turkiye Sise ve Cam Fabrikalari A/S		725,414		700,570
Turkiye Vakiflar Bankasi TAO, Class D		300,707		188,294
Yapi ve Kredi Bankasi A/S *		655,036		203,548
				2,555,735
United Kingdom - 0.4%
Mondi Ltd.		53,181		1,460,454
TOTAL COMMON STOCKS (Cost $248,768,282)				321,170,453
SHORT-TERM INVESTMENTS - 2.8%
Investment Companies - 2.8%
Limited Purpose Cash Investment Fund, 2.06% (1)(d)
(Cost $9,202,452)		9,204,440		9,203,520
SECURITIES LENDING COLLATERAL - 0.7%
Investment Companies - 0.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (1)(d)(e)		292,871		292,871
Limited Purpose Cash Investment Fund
2.06% (1)(d)(e)		2,101,528		2,101,318
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,394,399)				2,394,189
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.2% (Cost $260,365,133)				332,768,162
Liabilities IN EXCESS OF OTHER ASSETS - (0.2)% (f)			(757,256)
NET ASSETS - 100.0%			$	332,010,906

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	32,003,989			9.6	%
Consumer Discretionary		30,905,549			9.3
Consumer Staples		16,193,559			4.9
Energy		35,437,499			10.7
Financials		62,409,275			18.8
Health Care		13,326,806			4.0
Industrials		15,003,497			4.5
Information Technology		66,907,431			20.1
Materials		37,913,749			11.4
Real Estate		8,476,706			2.6
Utilities		2,592,393			0.8
Short-Term Investments		9,203,520			2.8
Securities Lending Collateral		2,394,189			0.7
Total Investments In Securities At Value		332,768,162			100.2
Liabilities in Excess of Other Assets (f)		(757,256	)		(0.2	)
Net Assets	$	332,010,906			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $2,998,511.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $4,224,256, which represents approximately 1.27% of net assets of the fund.

(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2018, the value of these securities amounted to $5,476,091 or 1.65% of net assets.

(d) Represents 7-day effective yield as of September 30, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $724,522 was received (See Note 3).

(f) 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).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

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

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AQR TM EMERGING MULTI-STYLE FUND

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index	106	12/2018		USD		$5,563,410		$119,288
								$119,288

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$148,246		$148,246

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.8%
Aerospace & Defense - 3.0%
Boeing Co. (The)		47,261	$	17,576,366
BWX Technologies, Inc.		15,551		972,559
General Dynamics Corp.		2,253		461,234
Harris Corp.		12,881		2,179,594
HEICO Corp.		7,098		657,346
Huntington Ingalls Industries, Inc.		7,264		1,860,165
L3 Technologies, Inc.		2,318		492,853
Lockheed Martin Corp.		5,776		1,998,265
Northrop Grumman Corp.		11,510		3,652,929
Raytheon Co.		15,257		3,153,012
Spirit AeroSystems Holdings, Inc., Class A		6,113		560,379
Textron, Inc.		7,880		563,183
TransDigm Group, Inc. *		2,517		937,079
				35,064,964
Air Freight & Logistics - 0.5%
CH Robinson Worldwide, Inc.		6,008		588,303
Expeditors International of Washington, Inc.		7,296		536,475
FedEx Corp.		10,445		2,515,052
XPO Logistics, Inc. *		22,842		2,607,871
				6,247,701
Auto Components - 0.2%
Aptiv plc		17,210		1,443,919
Gentex Corp.		26,000		557,960
Lear Corp.		5,514		799,530
			2,801,409
Automobiles - 0.0% (a)
Thor Industries, Inc.		6,141		514,002
Banks - 4.1%
Bank of America Corp.		518,692		15,280,666
Bank of Hawaii Corp.		4,749		374,744
BB&T Corp.		22,135		1,074,433
Citizens Financial Group, Inc.		32,213		1,242,455
Comerica, Inc.		27,044		2,439,369
Commerce Bancshares, Inc.		15,784		1,042,060
Cullen/Frost Bankers, Inc.		4,627		483,244
East West Bancorp, Inc.		15,899		959,823
Fifth Third Bancorp		28,074		783,826
JPMorgan Chase & Co.		96,331		10,869,990
PNC Financial Services Group, Inc. (The)		8,180		1,114,034
Regions Financial Corp.		121,005		2,220,442
SunTrust Banks, Inc.		24,085		1,608,637
SVB Financial Group *		12,674		3,939,459
Synovus Financial Corp.		9,723		445,216
TCF Financial Corp.		46,629		1,110,236
Western Alliance Bancorp *(b)		28,719		1,633,824
Wintrust Financial Corp.		5,910		501,995
ZB NA		20,370		1,021,556
				48,146,009
Beverages - 0.4%
Brown-Forman Corp., Class B		13,195		667,007
Constellation Brands, Inc., Class A		13,025		2,808,451

INVESTMENTS	SHARES		VALUE
Beverages - 0.4% (continued)
Monster Beverage Corp. *		10,879	$	634,028
				4,109,486
Biotechnology - 2.2%
AbbVie, Inc.		107,579		10,174,822
Agios Pharmaceuticals, Inc. *(b)		9,845		759,246
Alkermes plc *		9,735		413,153
Alnylam Pharmaceuticals, Inc. *		9,052		792,231
Bluebird Bio, Inc. *(b)		10,348		1,510,808
Exact Sciences Corp.*		24,391		1,924,938
Exelixis, Inc. *		25,623		454,040
Ionis Pharmaceuticals, Inc. *(b)		9,483		489,133
Neurocrine Biosciences, Inc. *		21,844		2,685,720
Sage Therapeutics, Inc. *		9,414		1,329,728
Sarepta Therapeutics, Inc. *		20,946		3,382,988
Seattle Genetics, Inc. *		7,385		569,531
Vertex Pharmaceuticals, Inc. *		6,780		1,306,777
				25,793,115
Building Products - 0.4%
Allegion plc		5,355		485,003
AO Smith Corp.		28,579		1,525,261
Lennox International, Inc.		5,769		1,259,950
Masco Corp.		13,277		485,938
Owens Corning		5,942		322,472
				4,078,624
Capital Markets - 3.5%
BlackRock, Inc.		8,051		3,794,678
Cboe Global Markets, Inc.		9,630		924,095
Charles Schwab Corp. (The)		88,447		4,347,170
CME Group, Inc.		29,882		5,086,215
E*TRADE Financial Corp. *		57,294		3,001,633
Evercore, Inc., Class A		5,062		508,984
FactSet Research Systems, Inc.		2,228		498,426
Interactive Brokers Group, Inc., Class A		54,623		3,021,198
Intercontinental Exchange, Inc.		22,090		1,654,320
LPL Financial Holdings, Inc.		24,345		1,570,496
MarketAxess Holdings, Inc.		6,866		1,225,512
Moody’s Corp.		10,272		1,717,478
Morgan Stanley		6,952		323,755
Morningstar, Inc.		7,785		980,132
MSCI, Inc.		14,254		2,528,802
Nasdaq, Inc.		16,104		1,381,723
Raymond James Financial, Inc.		8,241		758,584
S&P Global, Inc.		21,127		4,128,005
SEI Investments Co.		7,582		463,260
T. Rowe Price Group, Inc.		21,382		2,334,487
Virtu Financial, Inc., Class A (b)		27,849		569,512
				40,818,465
Chemicals - 0.7%
Celanese Corp.		8,943		1,019,502
CF Industries Holdings, Inc.		18,261		994,129
Chemours Co. (The)		22,828		900,336
Eastman Chemical Co.		5,067		485,013
FMC Corp.		5,870		511,747
Huntsman Corp.		17,050		464,272
LyondellBasell Industries NV, Class A		17,844		1,829,189
NewMarket Corp.		1,083		439,167

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

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INVESTMENTS	SHARES		VALUE
Chemicals - 0.7% (continued)
Praxair, Inc.		5,137	$	825,670
Sherwin-Williams Co. (The)		1,659		755,193
Westlake Chemical Corp.		5,428		451,121
				8,675,339
Commercial Services & Supplies - 0.9%
Cintas Corp.		23,846		4,716,977
Copart, Inc. *		38,096		1,963,087
Republic Services, Inc.		14,540		1,056,476
Rollins, Inc.		21,305		1,293,001
Waste Management, Inc.		21,419		1,935,421
				10,964,962
Communications Equipment - 2.1%
Arista Networks, Inc. *		13,716		3,646,536
Cisco Systems, Inc.		319,550		15,546,108
CommScope Holding Co., Inc. *		17,711		544,790
F5 Networks, Inc. *		3,403		678,626
Motorola Solutions, Inc.		9,034		1,175,685
Palo Alto Networks, Inc. *		10,894		2,453,982
Ubiquiti Networks, Inc. (b)		7,376		729,191
				24,774,918
Construction & Engineering - 0.1%
Quanta Services, Inc. *		15,443		515,487
Construction Materials - 0.1%
Eagle Materials, Inc.		4,574		389,888
Martin Marietta Materials, Inc.		2,511		456,876
Vulcan Materials Co.		3,683		409,550
				1,256,314
Consumer Finance - 0.6%
Ally Financial, Inc.		19,154		506,623
American Express Co.		18,471		1,966,977
Credit Acceptance Corp. *		3,817		1,672,113
Navient Corp.		24,987		336,825
Santander Consumer USA Holdings, Inc.		27,419		549,477
SLM Corp. *		77,304		861,940
Synchrony Financial		15,291		475,244
				6,369,199
Containers & Packaging - 0.2%
Avery Dennison Corp.		10,046		1,088,484
Berry Global Group, Inc. *		8,130		393,411
Packaging Corp. of America		5,028		551,521
Sealed Air Corp.		10,067		404,190
WestRock Co.		6,631		354,361
				2,791,967
Diversified Consumer Services - 0.3%
Graham Holdings Co., Class B		737		426,944
Grand Canyon Education, Inc. *		4,577		516,286
Service Corp. International		15,037		664,635
ServiceMaster Global Holdings, Inc. *		20,653		1,281,106
				2,888,971
Diversified Financial Services - 0.1%
Voya Financial, Inc.		15,148		752,401

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.0% (a)
Zayo Group Holdings, Inc. *		13,596	$	472,053
Electric Utilities - 0.4%
Avangrid, Inc.		9,819		470,625
NextEra Energy, Inc.		25,230		4,228,548
				4,699,173
Electrical Equipment - 0.0% (a)
Rockwell Automation, Inc.		2,596		486,802
Electronic Equipment, Instruments & Components - 1.0%
Amphenol Corp., Class A		16,337		1,536,005
Arrow Electronics, Inc. *		6,077		447,997
CDW Corp.		25,023		2,225,045
Cognex Corp.		25,382		1,416,823
Coherent, Inc. *		2,823		486,092
Corning, Inc.		14,950		527,735
Dolby Laboratories, Inc., Class A		9,601		671,782
FLIR Systems, Inc.		9,790		601,791
IPG Photonics Corp. *		7,588		1,184,259
Keysight Technologies, Inc. *		9,183		608,649
Trimble, Inc. *		15,515		674,282
Zebra Technologies Corp., Class A *		6,156		1,088,566
				11,469,026
Energy Equipment & Services - 0.3%
Helmerich & Payne, Inc.		12,318		847,109
National Oilwell Varco, Inc.		14,703		633,405
RPC, Inc. (b)		61,872		957,779
Transocean Ltd. *(b)		59,813		834,391
				3,272,684
Entertainment – 0.9%
Activision Blizzard, Inc.		27,699		2,304,280
Electronic Arts, Inc. *		25,554		3,079,002
Live Nation Entertainment, Inc. *		16,566		902,350
Madison Square Garden Co. (The), Class A *		2,525		796,183
Take-Two Interactive Software, Inc. *		25,467		3,514,191
				10,596,006
Equity Real Estate Investment Trusts (REITs) - 1.0%
Alexandria Real Estate Equities, Inc.		3,486		438,504
American Homes 4 Rent, Class A		20,868		456,800
American Tower Corp.		3,374		490,242
Apartment Investment & Management Co., Class A		10,844		478,546
Camden Property Trust		4,628		433,042
CoreSite Realty Corp.		6,557		728,745
CyrusOne, Inc.		18,322		1,161,615
Digital Realty Trust, Inc.		5,040		566,899
EPR Properties		6,107		417,780
Equity LifeStyle Properties, Inc.		25,892		2,497,283
Iron Mountain, Inc.		14,569		502,922
Lamar Advertising Co., Class A		6,042		470,068
Prologis, Inc.		17,975		1,218,525
SBA Communications Corp. *		8,811		1,415,311
Senior Housing Properties Trust		21,759		382,088
STORE Capital Corp.		16,605		461,453
				12,119,823

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

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INVESTMENTS	SHARES		VALUE
Food & Staples Retailing - 0.6%
Costco Wholesale Corp.		12,012	$	2,821,379
Kroger Co. (The)		20,568		598,734
Sysco Corp.		10,680		782,310
Walmart, Inc.		27,022		2,537,636
				6,740,059
Food Products - 0.1%
Lamb Weston Holdings, Inc.		12,710		846,486
Tyson Foods, Inc., Class A		11,282		671,617
				1,518,103
Health Care Equipment & Supplies - 3.7%
Abbott Laboratories		100,412		7,366,224
ABIOMED, Inc. *		9,985		4,490,754
Align Technology, Inc. *		13,897		5,436,784
Baxter International, Inc.		20,336		1,567,702
Becton Dickinson and Co.		2,351		613,611
Boston Scientific Corp. *		28,532		1,098,482
Cooper Cos., Inc. (The)		2,695		746,919
Danaher Corp.		3,948		428,990
DexCom, Inc. *		12,214		1,747,091
Edwards Lifesciences Corp. *		7,476		1,301,572
Hologic, Inc. *		11,378		466,271
ICU Medical, Inc. *		1,594		450,704
IDEXX Laboratories, Inc. *		7,993		1,995,532
Insulet Corp. *		8,795		931,830
Intuitive Surgical, Inc. *		11,921		6,842,654
Penumbra, Inc. *		6,859		1,026,792
ResMed, Inc.		10,915		1,258,936
Stryker Corp.		20,149		3,580,074
Teleflex, Inc.		6,906		1,837,618
				43,188,540
Health Care Providers & Services - 3.7%
Anthem, Inc.		24,584		6,737,245
Centene Corp. *		19,136		2,770,510
Chemed Corp.		1,649		526,987
Cigna Corp.		6,863		1,429,220
Encompass Health Corp.		4,203		327,624
HCA Healthcare, Inc.		13,665		1,901,075
Humana, Inc.		13,816		4,676,992
Laboratory Corp. of America Holdings *		2,327		404,153
Molina Healthcare, Inc. *		8,506		1,264,842
Quest Diagnostics, Inc.		6,306		680,481
UnitedHealth Group, Inc.		76,757		20,420,432
Universal Health Services, Inc., Class B		3,522		450,253
WellCare Health Plans, Inc. *		6,090		1,951,784
				43,541,598
Health Care Technology - 0.2%
Veeva Systems, Inc., Class A *		17,859		1,944,309
Hotels, Restaurants & Leisure - 1.6%
Aramark		18,212		783,480
Carnival Corp.		8,991		573,356
Darden Restaurants, Inc.		9,289		1,032,844
Domino’s Pizza, Inc.		6,312		1,860,778
Hilton Worldwide Holdings, Inc.		21,662		1,749,856
Hyatt Hotels Corp., Class A		6,571		522,986
International Game Technology plc		26,574		524,836

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 1.6% (continued)
Las Vegas Sands Corp.		28,726	$	1,704,314
Marriott International, Inc., Class A		30,951		4,086,460
McDonald’s Corp.		3,879		648,918
Royal Caribbean Cruises Ltd.		6,280		816,023
Six Flags Entertainment Corp.		13,268		926,372
Vail Resorts, Inc.		3,751		1,029,349
Wyndham Hotels & Resorts, Inc.		6,422		356,871
Wynn Resorts Ltd.		7,562		960,828
Yum! Brands, Inc.		12,855		1,168,648
				18,745,919
Household Durables - 0.4%
DR Horton, Inc.		31,579		1,332,002
Garmin Ltd.		22,664		1,587,613
NVR, Inc. *		669		1,652,965
PulteGroup, Inc. (b)		22,751		563,543
				5,136,123
Household Products - 0.1%
Energizer Holdings, Inc.		13,144		770,896
Independent Power and Renewable Electricity Producers - 0.2%
NRG Energy, Inc.		56,267		2,104,386
Vistra Energy Corp. *		16,553		411,838
				2,516,224
Industrial Conglomerates - 0.3%
Honeywell International, Inc.		10,553		1,756,019
Roper Technologies, Inc.		5,359		1,587,390
				3,343,409
Insurance - 1.5%
Allstate Corp. (The)		7,369		727,320
American Financial Group, Inc.		11,412		1,266,390
Aon plc		8,518		1,309,898
Arch Capital Group Ltd. *		12,804		381,687
Assurant, Inc.		6,148		663,677
Assured Guaranty Ltd.		12,466		526,439
Axis Capital Holdings Ltd.		7,392		426,592
Cincinnati Financial Corp.		17,923		1,376,666
Erie Indemnity Co., Class A		6,993		891,817
Fidelity National Financial, Inc.		22,711		893,678
Hanover Insurance Group, Inc. (The)		11,713		1,445,033
Markel Corp. *		611		726,167
Marsh & McLennan Cos., Inc.		13,699		1,133,181
Progressive Corp. (The)		50,181		3,564,858
RenaissanceRe Holdings Ltd. (b)		3,643		486,632
Torchmark Corp.		8,659		750,649
WR Berkley Corp.		10,543		842,702
				17,413,386
Interactive Media & Services - 2.8%
Alphabet, Inc., Class A *		12,402		14,970,206
Facebook, Inc., Class A *		45,117		7,419,942
IAC/InterActiveCorp *		13,407		2,905,565
Match Group, Inc. *(b)		61,954		3,587,756
Twitter, Inc. *		91,692		2,609,554
Zillow Group, Inc., Class C *(b)		25,352		1,121,826
				32,614,849

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

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INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 8.2%
Amazon.com, Inc. *		37,951	$	76,015,853
Expedia Group, Inc.		3,949		515,266
GrubHub, Inc. *		21,151		2,931,952
Netflix, Inc. *		36,733		13,742,917
Qurate Retail, Inc. *		19,602		435,360
Wayfair, Inc., Class A *		13,819		2,040,652
				95,682,000
IT Services - 8.5%
Accenture plc, Class A		19,107		3,252,011
Akamai Technologies, Inc. *		10,041		734,499
Amdocs Ltd.		12,968		855,629
Automatic Data Processing, Inc.		10,531		1,586,600
Black Knight, Inc. *		6,963		361,728
Booz Allen Hamilton Holding Corp.		14,749		731,993
Broadridge Financial Solutions, Inc.		16,600		2,190,370
Cognizant Technology Solutions Corp., Class A		24,538		1,893,107
CoreLogic, Inc. *		18,100		894,321
DXC Technology Co.		44,039		4,118,527
EPAM Systems, Inc. *		5,901		812,568
Fidelity National Information Services, Inc.		3,584		390,907
Fiserv, Inc. *		18,738		1,543,636
FleetCor Technologies, Inc. *		3,109		708,354
Gartner, Inc. *		4,604		729,734
Genpact Ltd.		37,076		1,134,896
Global Payments, Inc.		19,770		2,518,698
GoDaddy, Inc., Class A *		31,406		2,618,946
Jack Henry & Associates, Inc.		17,949		2,873,276
Mastercard, Inc., Class A		81,978		18,249,122
Okta, Inc. *		47,416		3,336,190
PayPal Holdings, Inc. *		103,315		9,075,190
Sabre Corp.		18,021		469,988
Square, Inc., Class A *		65,163		6,451,789
Total System Services, Inc.		22,204		2,192,423
Twilio, Inc., Class A *		34,306		2,959,922
VeriSign, Inc. *		13,036		2,087,324
Visa, Inc., Class A (b)		146,734		22,023,306
WEX, Inc. *		3,405		683,588
Worldpay, Inc. *		15,662		1,586,091
				99,064,733
Leisure Products - 0.1%
Hasbro, Inc.		6,091		640,286
Polaris Industries, Inc.		4,304		434,489
				1,074,775
Life Sciences Tools & Services - 1.5%
Agilent Technologies, Inc.		14,186		1,000,680
Bio-Rad Laboratories, Inc., Class A *		5,986		1,873,558
Bruker Corp.		24,778		828,824
Charles River Laboratories International, Inc. *		5,176		696,379
Illumina, Inc. *		12,565		4,612,109
IQVIA Holdings, Inc. *		4,935		640,267
Mettler-Toledo International, Inc. *		982		598,018
PerkinElmer, Inc.		9,553		929,220
QIAGEN NV *		14,637		554,450
Thermo Fisher Scientific, Inc.		20,503		5,004,372
Waters Corp. *		3,336		649,453
				17,387,330

INVESTMENTS	SHARES		VALUE
Machinery - 1.4%
Caterpillar, Inc.		20,334	$	3,100,732
Crane Co.		5,907		580,953
Deere & Co.		17,129		2,575,003
Fortive Corp.		26,313		2,215,555
Illinois Tool Works, Inc.		5,904		833,172
Ingersoll-Rand plc		4,580		468,534
Nordson Corp.		6,333		879,654
Oshkosh Corp.		15,746		1,121,745
Parker-Hannifin Corp.		2,365		434,994
Toro Co. (The)		21,148		1,268,245
Trinity Industries, Inc.		19,588		717,704
Xylem, Inc.		20,472		1,635,099
				15,831,390
Media - 0.1%
Sirius XM Holdings, Inc. (b)		237,228		1,499,281
Metals & Mining - 0.4%
Alcoa Corp.*		25,322		1,023,009
Freeport-McMoRan, Inc.		38,076		530,018
Reliance Steel & Aluminum Co.		5,371		458,093
Steel Dynamics, Inc.		46,850		2,117,151
United States Steel Corp.		24,614		750,235
				4,878,506
Multiline Retail - 0.8%
Dollar General Corp.		18,895		2,065,223
Dollar Tree, Inc. *		12,241		998,254
Kohl’s Corp.		20,060		1,495,473
Macy’s, Inc.		39,343		1,366,382
Target Corp.		40,950		3,612,200
				9,537,532
Multi-Utilities - 0.2%
Ameren Corp.		7,363		465,489
MDU Resources Group, Inc.		15,343		394,162
NiSource, Inc.		26,619		663,345
Public Service Enterprise Group, Inc.		8,142		429,816
				1,952,812
Oil, Gas & Consumable Fuels - 5.1%
Anadarko Petroleum Corp.		42,997		2,898,428
Cheniere Energy, Inc. *		16,257		1,129,699
Chevron Corp.		25,906		3,167,786
CNX Resources Corp. *		27,683		396,144
Concho Resources, Inc. *		10,561		1,613,193
ConocoPhillips		112,043		8,672,128
Continental Resources, Inc. *		41,103		2,806,513
Devon Energy Corp.		28,774		1,149,234
Diamondback Energy, Inc. (b)		17,632		2,383,670
EOG Resources, Inc.		39,581		5,049,348
Hess Corp.		19,752		1,413,848
HollyFrontier Corp.		38,955		2,722,954
Marathon Oil Corp.		96,883		2,255,436
Marathon Petroleum Corp.		44,342		3,546,030
Noble Energy, Inc.		15,700		489,683
Occidental Petroleum Corp.		53,611		4,405,216
ONEOK, Inc.		31,720		2,150,299
PBF Energy, Inc., Class A		24,392		1,217,405
Phillips 66		31,012		3,495,673

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

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INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 5.1% (continued)
SM Energy Co.		19,699	$	621,109
Valero Energy Corp.		44,240		5,032,300
Whiting Petroleum Corp. *		28,187		1,495,038
WPX Energy, Inc. *		82,986		1,669,678
				59,780,812
Personal Products - 0.4%
Estee Lauder Cos., Inc. (The), Class A		26,946		3,915,793
Nu Skin Enterprises, Inc., Class A		8,923		735,433
				4,651,226
Pharmaceuticals - 0.6%
Eli Lilly & Co.		3,218		345,324
Nektar Therapeutics *		37,769		2,302,398
Zoetis, Inc.		42,927		3,930,396
				6,578,118
Professional Services - 0.4%
CoStar Group, Inc. *		3,684		1,550,374
TransUnion		24,147		1,776,736
Verisk Analytics, Inc. *		10,952		1,320,264
				4,647,374
Real Estate Management & Development - 0.1%
CBRE Group, Inc., Class A *		11,886		524,173
Road & Rail - 1.2%
AMERCO		2,826		1,007,893
CSX Corp.		35,630		2,638,401
JB Hunt Transport Services, Inc.		7,806		928,446
Norfolk Southern Corp.		13,364		2,412,202
Old Dominion Freight Line, Inc.		14,404		2,322,789
Schneider National, Inc., Class B		19,681		491,631
Union Pacific Corp.		25,579		4,165,029
				13,966,391
Semiconductors & Semiconductor Equipment - 4.7%
Advanced Micro Devices, Inc. *(b)		67,785		2,093,879
Analog Devices, Inc.		3,743		346,078
Applied Materials, Inc.		14,788		571,556
Cypress Semiconductor Corp. (b)		19,917		288,597
First Solar, Inc. *		10,736		519,837
Intel Corp.		333,415		15,767,195
KLA-Tencor Corp.		3,110		316,318
Lam Research Corp.		6,659		1,010,170
Marvell Technology Group Ltd.		73,655		1,421,542
Maxim Integrated Products, Inc.		23,643		1,333,229
Microchip Technology, Inc. (b)		7,564		596,875
Micron Technology, Inc. *		107,599		4,866,703
MKS Instruments, Inc.		3,770		302,165
Monolithic Power Systems, Inc.		3,941		494,714
NVIDIA Corp.		52,189		14,666,153
ON Semiconductor Corp. *		82,670		1,523,608
Qorvo, Inc. *		6,903		530,772
Teradyne, Inc.		19,431		718,558
Texas Instruments, Inc.		65,385		7,015,157
Universal Display Corp.		4,424		521,590
Xilinx, Inc.		4,771		382,491
				55,287,187

INVESTMENTS	SHARES		VALUE
Software - 12.2%
2U, Inc. *		20,244	$	1,522,146
Adobe Systems, Inc. *		47,452		12,809,667
ANSYS, Inc. *		5,600		1,045,408
Aspen Technology, Inc. *		3,695		420,897
Atlassian Corp. plc, Class A *		32,680		3,141,855
Autodesk, Inc. *		14,877		2,322,448
Cadence Design Systems, Inc. *		36,394		1,649,376
CDK Global, Inc.		19,935		1,247,134
Citrix Systems, Inc. *		7,459		829,142
Dell Technologies, Inc., Class V *		10,736		1,042,680
Fortinet, Inc. *		22,333		2,060,666
Guidewire Software, Inc. *		5,955		601,515
Intuit, Inc.		20,180		4,588,932
LogMeIn, Inc.		4,906		437,125
Microsoft Corp.		576,188		65,898,622
Nuance Communications, Inc. *		37,159		643,594
Nutanix, Inc., Class A *		47,659		2,035,993
Paycom Software, Inc. *		11,261		1,750,072
Proofpoint, Inc. *		4,610		490,181
PTC, Inc. *		17,229		1,829,548
RealPage, Inc. *		9,828		647,665
Red Hat, Inc. *		21,139		2,880,823
RingCentral, Inc., Class A *		20,590		1,915,900
salesforce.com, Inc. *		59,330		9,435,250
ServiceNow, Inc. *		22,253		4,353,354
Splunk, Inc. *		20,971		2,535,604
SS&C Technologies Holdings, Inc.		16,904		960,654
Synopsys, Inc. *		12,830		1,265,166
Tableau Software, Inc., Class A *		14,524		1,622,912
Ultimate Software Group, Inc. (The) *		5,637		1,816,185
VMware, Inc., Class A *		29,673		4,630,768
Workday, Inc., Class A *		8,306		1,212,510
Zendesk, Inc. *		29,087		2,065,177
				141,708,969
Specialty Retail - 3.5%
Advance Auto Parts, Inc.		3,098		521,486
Best Buy Co., Inc.		32,472		2,576,978
Burlington Stores, Inc. *		21,539		3,509,134
Foot Locker, Inc.		6,931		353,342
Gap, Inc. (The)		51,721		1,492,151
Home Depot, Inc. (The)		62,670		12,982,091
Lowe’s Cos., Inc.		44,722		5,134,980
Michaels Cos., Inc. (The) *		21,313		345,910
O’Reilly Automotive, Inc. *		5,139		1,784,877
Ross Stores, Inc.		39,799		3,944,081
Tiffany & Co.		6,188		798,066
TJX Cos., Inc. (The)		40,884		4,579,826
Tractor Supply Co.		6,709		609,714
Ulta Beauty, Inc. *		1,844		520,229
Urban Outfitters, Inc. *		43,703		1,787,453
Williams-Sonoma, Inc. (b)		5,100		335,172
				41,275,490
Technology Hardware, Storage & Peripherals - 7.4%
Apple, Inc.		348,336		78,633,368
Hewlett Packard Enterprise Co.		30,948		504,762
HP, Inc.		100,523		2,590,478
NCR Corp. *		12,848		365,012

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

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INVESTMENTS	SHARES		VALUE
Technology Hardware, Storage & Peripherals - 7.4% (continued)
NetApp, Inc.		31,972	$	2,746,075
Pure Storage, Inc., Class A *		39,834		1,033,692
				85,873,387
Textiles, Apparel & Luxury Goods - 2.1%
Carter’s, Inc.		4,817		474,956
Columbia Sportswear Co.		4,328		402,807
Lululemon Athletica, Inc. *		25,851		4,200,529
Michael Kors Holdings Ltd. *		10,597		726,530
NIKE, Inc., Class B		113,314		9,599,962
PVH Corp.		12,443		1,796,769
Ralph Lauren Corp.		14,148		1,946,058
Skechers U.S.A., Inc., Class A *		37,364		1,043,577
Tapestry, Inc.		17,800		894,806
VF Corp.		39,671		3,707,255
				24,793,249
Thrifts & Mortgage Finance - 0.1%
TFS Financial Corp.		41,075		616,536
Trading Companies & Distributors - 0.4%
MSC Industrial Direct Co., Inc., Class A		4,795		422,488
United Rentals, Inc. *		10,441		1,708,148
Watsco, Inc.		3,619		644,544
WESCO International, Inc. *		8,625		530,006
WW Grainger, Inc.		3,457		1,235,566
				4,540,752
Water Utilities - 0.2%
American Water Works Co., Inc.		12,675		1,115,020
Aqua America, Inc.		15,473		570,953
				1,685,973
TOTAL COMMON STOCKS (Cost $804,784,055)				1,139,990,311
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
Limited Purpose Cash Investment Fund, 2.06% (c)
(Cost $29,732,533)		29,739,651		29,736,678
SECURITIES LENDING COLLATERAL - 1.3%
Investment Companies - 1.3%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (c)(d)		1,800,051		1,800,051
Limited Purpose Cash Investment Fund 2.06% (c)(d)		12,916,448		12,915,157
TOTAL SECURITIES LENDING COLLATERAL (Cost $14,716,500)				14,715,208
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.6% (Cost $849,233,088)				1,184,442,197
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)% (e)			(18,632,543)
NET ASSETS - 100.0%			$	1,165,809,654

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	45,182,189			3.9	%
Consumer Discretionary		202,449,468			17.4
Consumer Staples		17,789,770			1.5
Energy		63,053,496			5.4
Financials		114,115,996			9.8
Health Care		138,433,011			11.9
Industrials		99,687,856			8.5
Information Technology		418,178,221			35.9
Materials		17,602,125			1.5
Real Estate		12,643,996			1.1
Utilities		10,854,183			0.9
Short-Term Investments		29,736,678			2.5
Securities Lending Collateral		14,715,208			1.3
Total Investments In Securities At Value		1,184,442,197			101.6
Liabilities in Excess of Other Assets (e)		(18,632,543	)		(1.6	)
Net Assets	$	1,165,809,654			100.0	%

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

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $31,122,264.

(c) Represents 7-day effective yield as of September 30, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $17,129,783 was received (See Note 3).

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index	145	12/2018		USD		$21,162,750		$99,080
								$99,080

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$851,445		$851,445

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 99.1%
Aerospace & Defense - 1.2%
AAR Corp.		6,382	$	305,634
Aerojet Rocketdyne Holdings, Inc. *		7,651		260,057
Aerovironment, Inc. *		11,410		1,279,860
Axon Enterprise, Inc. *		21,197		1,450,511
Cubic Corp., Class R		4,976		363,497
Ducommun, Inc. *		7,860		321,002
Moog, Inc., Class A		2,268		194,980
National Presto Industries, Inc.		1,715		222,350
Vectrus, Inc. *		4,424		137,984
				4,535,875
Air Freight & Logistics - 0.3%
Air Transport Services Group, Inc. *		10,047		215,709
Atlas Air Worldwide Holdings, Inc. *		6,647		423,746
Echo Global Logistics, Inc. *		14,107		436,612
				1,076,067
Airlines - 0.3%
SkyWest, Inc.		17,935		1,056,371
Auto Components - 0.4%
Cooper-Standard Holdings, Inc. *		1,609		193,048
Fox Factory Holding Corp. *		7,195		504,010
Modine Manufacturing Co. *		17,016		253,538
Stoneridge, Inc. *		13,854		411,741
Tower International, Inc.		5,389		163,017
				1,525,354
Automobiles - 0.0% (a)
Winnebago Industries, Inc.		4,017		133,164
Banks - 2.1%
1st Source Corp.		3,559		187,274
BancFirst Corp.		8,043		482,178
Bancorp, Inc. (The) *		13,272		127,278
Boston Private Financial Holdings, Inc.		11,604		158,395
Bryn Mawr Bank Corp.		4,179		195,995
Cadence Bancorp		9,698		253,312
Camden National Corp.		3,937		171,023
Carolina Financial Corp.		4,301		162,234
CenterState Bank Corp.		3,654		102,495
Central Pacific Financial Corp.		5,772		152,554
ConnectOne Bancorp, Inc.		6,347		150,741
Enterprise Financial Services Corp.		2,473		131,193
Fidelity Southern Corp.		7,992		198,042
First Bancorp/NC		5,202		210,733
First Bancorp/PR *		37,876		344,672
First Commonwealth Financial Corp.		9,574		154,524
First Financial Bankshares, Inc.		5,160		304,956
First Merchants Corp.		3,901		175,506
German American Bancorp, Inc.		3,585		126,479
Great Southern Bancorp, Inc.		3,025		167,434
Independent Bank Corp./MA		1,564		129,186
Independent Bank Corp./MI		10,733		253,835
Independent Bank Group, Inc.		1,625		107,737
Lakeland Bancorp, Inc.		12,306		222,123
Lakeland Financial Corp.		4,960		230,541
Live Oak Bancshares, Inc.		4,888		130,998

INVESTMENTS	SHARES		VALUE
Banks - 2.1% (continued)
OFG Bancorp		21,091	$	340,620
Opus Bank		4,849		132,863
Preferred Bank		2,336		136,656
QCR Holdings, Inc.		4,236		173,041
Republic First Bancorp, Inc. *(b)		28,763		205,655
ServisFirst Bancshares, Inc.		13,000		508,950
Southside Bancshares, Inc.		4,216		146,717
Stock Yards Bancorp, Inc.		4,504		163,495
Tompkins Financial Corp.		1,707		138,591
Towne Bank		8,720		269,012
TriState Capital Holdings, Inc. *		7,060		194,856
Triumph Bancorp, Inc. *		9,529		364,008
Washington Trust Bancorp, Inc.		2,583		142,840
				7,948,742
Beverages - 0.4%
Boston Beer Co., Inc. (The), Class A *		2,113		607,488
Castle Brands, Inc. *		33,003		35,313
Craft Brew Alliance, Inc. *		13,506		220,823
MGP Ingredients, Inc. (b)		7,286		575,448
National Beverage Corp. *(b)		1,135		132,364
				1,571,436
Biotechnology - 11.9%
Abeona Therapeutics, Inc. *		24,350		311,680
Acceleron Pharma, Inc. *		6,516		372,911
Acorda Therapeutics, Inc. *		10,978		215,718
Adamas Pharmaceuticals, Inc. *(b)		14,009		280,460
Adverum Biotechnologies, Inc. *		31,216		188,857
Aeglea BioTherapeutics, Inc. *		24,559		235,030
Aimmune Therapeutics, Inc. *		14,223		388,003
Alder Biopharmaceuticals, Inc. *		19,119		318,331
Amicus Therapeutics, Inc. *		34,225		413,780
AnaptysBio, Inc. *		10,729		1,070,432
Arbutus Biopharma Corp. (Canada) *		39,727		375,420
Arena Pharmaceuticals, Inc. *		19,871		914,463
ArQule, Inc. *		99,194		561,438
Array BioPharma, Inc. *		81,902		1,244,910
Arrowhead Pharmaceuticals, Inc. *(b)		50,786		973,568
Atara Biotherapeutics, Inc. *(b)		18,386		760,261
Athersys, Inc. *(b)		94,458		198,362
Audentes Therapeutics, Inc. *		17,065		675,603
AVEO Pharmaceuticals, Inc. *(b)		54,175		179,319
Avid Bioservices, Inc. *(b)		25,915		177,777
Biohaven Pharmaceutical Holding Co. Ltd. *		5,216		195,861
Blueprint Medicines Corp. *		13,253		1,034,529
CareDx, Inc. *		37,654		1,086,318
CASI Pharmaceuticals, Inc. *		76,154		355,639
Catalyst Biosciences, Inc. *		19,224		207,235
Catalyst Pharmaceuticals, Inc. *		58,126		219,716
ChemoCentryx, Inc. *		18,847		238,226
Concert Pharmaceuticals, Inc. *		11,763		174,563
CTI BioPharma Corp. *		7,700		16,632
CytomX Therapeutics, Inc. *		18,950		350,575
Dicerna Pharmaceuticals, Inc. *		36,665		559,508
Dynavax Technologies Corp. *		20,024		248,298
Editas Medicine, Inc. *		16,973		540,081
Emergent BioSolutions, Inc. *		16,732		1,101,468

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

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INVESTMENTS	SHARES		VALUE
Biotechnology - 11.9% (continued)
Enanta Pharmaceuticals, Inc. *		7,817	$	668,041
Fate Therapeutics, Inc. *		40,772		664,176
Fennec Pharmaceuticals, Inc. (Canada) *		18,214		149,355
FibroGen, Inc. *		25,771		1,565,588
G1 Therapeutics, Inc. *		16,307		852,693
Genomic Health, Inc. *		6,269		440,209
Geron Corp. *(b)		86,930		152,997
Global Blood Therapeutics, Inc. *(b)		17,263		655,994
GlycoMimetics, Inc. *		7,660		110,304
GTx, Inc. *(b)		19,419		30,488
Halozyme Therapeutics, Inc. *		44,209		803,278
ImmunoGen, Inc. *		60,638		574,242
Immunomedics, Inc. *(b)		67,573		1,407,546
Insmed, Inc. *		27,122		548,407
Intellia Therapeutics, Inc. *		9,420		269,600
Iovance Biotherapeutics, Inc. *		40,010		450,112
Karyopharm Therapeutics, Inc. *		24,946		424,830
Kindred Biosciences, Inc. *		10,260		143,127
Kura Oncology, Inc. *		16,561		289,817
Ligand Pharmaceuticals, Inc. *		7,901		2,168,745
Loxo Oncology, Inc. *		10,036		1,714,450
Madrigal Pharmaceuticals, Inc. *(b)		5,706		1,221,826
Mirati Therapeutics, Inc. *		17,874		841,865
Momenta Pharmaceuticals, Inc. *		14,935		392,791
Myriad Genetics, Inc. *		28,114		1,293,244
Natera, Inc. *		12,918		309,257
Novavax, Inc. *(b)		103,766		195,080
Ohr Pharmaceutical, Inc. *		7,600		1,406
PDL BioPharma, Inc. *		68,788		180,912
Pieris Pharmaceuticals, Inc. *		27,593		154,521
PolarityTE, Inc. *(b)		5,690		108,679
PTC Therapeutics, Inc. *		20,729		974,263
REGENXBIO, Inc. *		14,844		1,120,722
Retrophin, Inc. *		8,762		251,732
Rigel Pharmaceuticals, Inc. *		61,779		198,311
Sangamo Therapeutics, Inc. *(b)		34,398		583,046
Savara, Inc. *		14,983		167,210
Sorrento Therapeutics, Inc. *(b)		73,542		323,585
Spark Therapeutics, Inc. *(b)		3,405		185,743
Spectrum Pharmaceuticals, Inc. *		44,052		740,074
Stemline Therapeutics, Inc. *		12,296		204,114
T2 Biosystems, Inc. *		35,903		267,477
TG Therapeutics, Inc. *		13,534		75,790
Ultragenyx Pharmaceutical, Inc. *		6,528		498,348
Verastem, Inc. *(b)		57,442		416,455
Vericel Corp. *		32,614		461,488
Viking Therapeutics, Inc. *(b)		48,819		850,427
Vital Therapies, Inc. *		38,569		10,622
Voyager Therapeutics, Inc. *		16,301		308,415
Xencor, Inc. *		20,925		815,447
XOMA Corp. *(b)		10,539		185,170
Zafgen, Inc. *		35,435		414,235
				44,021,226
Building Products - 1.2%
AAON, Inc.		6,791		256,700
Advanced Drainage Systems, Inc.		8,996		277,976
Builders FirstSource, Inc. *		25,937		380,755
Gibraltar Industries, Inc. *		3,457		157,639

INVESTMENTS	SHARES		VALUE
Building Products - 1.2% (continued)
Griffon Corp.		7,115	$	114,907
Insteel Industries, Inc.		5,358		192,245
Patrick Industries, Inc. *		5,549		328,501
PGT Innovations, Inc. *		20,710		447,336
Simpson Manufacturing Co., Inc.		10,319		747,715
Trex Co., Inc. *		22,006		1,694,022
				4,597,796
Capital Markets - 1.9%
Artisan Partners Asset Management, Inc., Class A		11,448		370,915
B. Riley Financial, Inc.		12,270		277,916
Blucora, Inc. *		22,917		922,409
Diamond Hill Investment Group, Inc.		1,290		213,353
GAIN Capital Holdings, Inc. (b)		24,292		157,898
Greenhill & Co., Inc.		5,697		150,116
Hamilton Lane, Inc., Class A		24,644		1,091,236
Houlihan Lokey, Inc.		21,351		959,301
Moelis & Co., Class A		22,631		1,240,179
Piper Jaffray Cos.		3,001		229,126
PJT Partners, Inc., Class A		14,422		754,992
Stifel Financial Corp.		13,609		697,597
				7,065,038
Chemicals - 1.3%
AdvanSix, Inc. *		4,373		148,463
American Vanguard Corp.		9,893		178,074
Chase Corp.		1,439		172,896
Ferro Corp. *		15,471		359,237
GCP Applied Technologies, Inc. *		5,503		146,105
Ingevity Corp. *		14,708		1,498,451
Innophos Holdings, Inc.		3,701		164,324
Innospec, Inc.		2,779		213,288
Intrepid Potash, Inc. *		95,924		344,367
Koppers Holdings, Inc. *		4,164		129,709
Kraton Corp. *		6,401		301,807
Kronos Worldwide, Inc.		8,962		145,632
PolyOne Corp.		7,316		319,856
Quaker Chemical Corp.		1,532		309,786
Rayonier Advanced Materials, Inc.		9,952		183,415
Valhi, Inc.		47,889		109,187
				4,724,597
Commercial Services & Supplies - 1.8%
Brady Corp., Class A		8,072		353,150
Brink’s Co. (The)		1,546		107,833
Casella Waste Systems, Inc., Class A *		28,374		881,296
Cimpress NV (Netherlands) *		10,238		1,398,613
Ennis, Inc.		10,681		218,426
Interface, Inc.		14,239		332,481
Kimball International, Inc., Class B		9,927		166,277
McGrath RentCorp		8,832		481,079
Mobile Mini, Inc.		11,662		511,379
MSA Safety, Inc.		5,569		592,764
Multi-Color Corp.		2,315		144,109
Quad/Graphics, Inc.		6,078		126,666
SP Plus Corp. *		4,630		168,995
Tetra Tech, Inc.		3,423		233,791
UniFirst Corp.		2,067		358,935

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

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INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 1.8% (continued)
US Ecology, Inc.		3,206	$	236,443
Viad Corp.		8,505		503,921
				6,816,158
Communications Equipment - 0.5%
CalAmp Corp. *		8,123		194,627
Comtech Telecommunications Corp.		12,001		435,276
Harmonic, Inc. *(b)		37,222		204,721
NETGEAR, Inc. *		4,283		269,187
Plantronics, Inc.		10,679		643,944
				1,747,755
Construction & Engineering - 0.7%
Aegion Corp. *		6,788		172,279
Ameresco, Inc., Class A *		12,117		165,397
Comfort Systems USA, Inc.		8,170		460,788
EMCOR Group, Inc.		5,818		436,990
Granite Construction, Inc.		3,842		175,579
HC2 Holdings, Inc. *		27,896		170,724
MYR Group, Inc. *		3,964		129,385
NV5 Global, Inc. *		6,530		566,151
Primoris Services Corp.		5,764		143,063
Sterling Construction Co., Inc. *		16,276		233,072
				2,653,428
Consumer Finance - 1.3%
Encore Capital Group, Inc. *(b)		4,940		177,099
Enova International, Inc. *		16,676		480,269
EZCORP, Inc., Class A *		23,761		254,243
FirstCash, Inc.		12,909		1,058,538
Green Dot Corp., Class A *		19,403		1,723,374
Nelnet, Inc., Class A		5,692		325,412
Regional Management Corp. *		7,164		206,538
World Acceptance Corp. *		3,717		425,076
				4,650,549
Containers & Packaging - 0.0% (a)
Greif, Inc., Class A		3,271		175,522
Diversified Consumer Services - 1.6%
Adtalem Global Education, Inc. *		20,180		972,676
American Public Education, Inc. *		8,656		286,081
Cambium Learning Group, Inc. *		25,112		297,326
Career Education Corp. *		35,599		531,493
Carriage Services, Inc.		7,513		161,905
Chegg, Inc. *		46,875		1,332,656
K12, Inc. *		10,436		184,717
Regis Corp. *		12,677		258,991
Sotheby’s *		3,132		154,063
Strategic Education, Inc.		2,525		346,001
Weight Watchers International, Inc. *		19,858		1,429,578
				5,955,487
Diversified Financial Services - 0.1%
Cannae Holdings, Inc. *		16,228		339,977
On Deck Capital, Inc. *		26,444		200,181
				540,158
Diversified Telecommunication Services - 1.1%
Cogent Communications Holdings, Inc.		2,636		147,089

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 1.1% (continued)
Intelsat SA *		60,812	$	1,824,360
Iridium Communications, Inc. *		27,577		620,482
Ooma, Inc. *		8,095		134,377
ORBCOMM, Inc. *		11,895		129,180
Vonage Holdings Corp. *		88,996		1,260,183
				4,115,671
Electric Utilities - 0.1%
Otter Tail Corp.		3,477		166,548
Spark Energy, Inc., Class A (b)		15,794		130,301
				296,849
Electrical Equipment - 0.9%
Allied Motion Technologies, Inc.		5,034		274,000
Enphase Energy, Inc. *(b)		83,262		403,821
Generac Holdings, Inc. *		13,471		759,899
Plug Power, Inc. *(b)		80,747		155,034
Sunrun, Inc. *(b)		48,622		604,858
TPI Composites, Inc. *		10,905		311,338
Vicor Corp. *		18,226		838,396
Vivint Solar, Inc. *(b)		30,632		159,286
				3,506,632
Electronic Equipment, Instruments & Components - 1.4%
AVX Corp.		12,390		223,639
Badger Meter, Inc.		6,336		335,491
Control4 Corp. *		4,792		164,509
CTS Corp.		12,200		418,460
Electro Scientific Industries, Inc. *		23,887		416,828
ePlus, Inc. *		2,245		208,112
FARO Technologies, Inc. *		6,012		386,872
II-VI, Inc. *		9,636		455,783
Insight Enterprises, Inc. *		2,513		135,928
Mesa Laboratories, Inc.		1,267		235,181
Novanta, Inc. *		16,513		1,129,489
PAR Technology Corp. *		11,163		248,042
PC Connection, Inc.		4,953		192,622
Rogers Corp. *		880		129,642
Vishay Intertechnology, Inc.		8,583		174,664
Vishay Precision Group, Inc. *		6,027		225,410
				5,080,672
Energy Equipment & Services - 1.5%
Bristow Group, Inc. *(b)		24,354		295,414
Diamond Offshore Drilling, Inc. *(b)		11,865		237,300
Exterran Corp. *		7,812		207,252
Helix Energy Solutions Group, Inc. *		45,733		451,842
ION Geophysical Corp. *		22,940		356,717
Mammoth Energy Services, Inc.		19,175		557,993
Matrix Service Co. *		17,996		443,602
Newpark Resources, Inc. *		27,872		288,475
Noble Corp. plc *		130,851		919,883
Oil States International, Inc. *		5,450		180,940
Pioneer Energy Services Corp. *		69,939		206,320
Profire Energy, Inc. *		54,895		175,115
ProPetro Holding Corp. *		15,366		253,385
SEACOR Holdings, Inc. *		6,780		335,000
Solaris Oilfield Infrastructure, Inc., Class A *		17,070		322,452

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

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Schedule of Investments September 30, 2018

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Energy Equipment & Services - 1.5% (continued)
TETRA Technologies, Inc. *		26,574	$	119,849
Unit Corp. *		7,606		198,212
				5,549,751
Entertainment - 0.9%
Liberty Media Corp.-Liberty Braves, Class C *		6,881		187,507
Marcus Corp. (The)		6,900		290,145
World Wrestling Entertainment, Inc., Class A		31,334		3,030,938
				3,508,590
Equity Real Estate Investment Trusts (REITs) - 1.5%
Chesapeake Lodging Trust		5,682		182,222
Community Healthcare Trust, Inc.		6,453		199,914
CorePoint Lodging, Inc.		9,519		185,145
EastGroup Properties, Inc.		3,534		337,921
First Industrial Realty Trust, Inc.		5,968		187,395
Innovative Industrial Properties, Inc. (b)		12,651		610,284
Jernigan Capital, Inc.		8,682		167,476
Monmouth Real Estate Investment Corp.		9,260		154,827
National Storage Affiliates Trust		5,807		147,730
NexPoint Residential Trust, Inc.		13,524		448,997
Pebblebrook Hotel Trust (b)		9,022		328,130
Rexford Industrial Realty, Inc.		12,163		388,729
Ryman Hospitality Properties, Inc.		10,862		935,979
STAG Industrial, Inc.		4,629		127,297
Terreno Realty Corp.		11,229		423,333
UMH Properties, Inc.		9,125		142,715
Xenia Hotels & Resorts, Inc.		18,347		434,824
				5,402,918
Food & Staples Retailing - 0.3%
Chefs’ Warehouse, Inc. (The) *		11,924		433,438
Performance Food Group Co. *		21,894		729,070
				1,162,508
Food Products - 0.6%
Calavo Growers, Inc. (b)		4,606		444,940
Cal-Maine Foods, Inc.		11,898		574,673
Darling Ingredients, Inc. *		9,800		189,336
Freshpet, Inc. *		16,338		599,605
John B Sanfilippo & Son, Inc.		2,196		156,750
Lancaster Colony Corp.		724		108,028
				2,073,332
Gas Utilities - 0.0% (a)
Chesapeake Utilities Corp.		2,140		179,546
Health Care Equipment & Supplies - 7.0%
Antares Pharma, Inc. *		36,080		121,229
AtriCure, Inc. *		7,251		254,003
Atrion Corp.		378		262,634
Avanos Medical, Inc. *		13,112		898,172
AxoGen, Inc. *		17,307		637,763
Cerus Corp. *		74,489		537,066
CONMED Corp.		6,307		499,641
CryoLife, Inc. *		13,209		464,957
CryoPort, Inc. *		29,417		376,832
Cutera, Inc. *		8,451		275,080

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 7.0% (continued)
CytoSorbents Corp. *		27,542	$	355,292
Globus Medical, Inc., Class A *		29,863		1,695,024
Haemonetics Corp. *		20,728		2,375,014
Inogen, Inc. *		8,437		2,059,640
Integer Holdings Corp. *		10,594		878,772
IntriCon Corp. *		10,020		563,124
Invacare Corp.		12,156		176,870
iRhythm Technologies, Inc. *		9,663		914,700
LeMaitre Vascular, Inc.		4,223		163,599
LivaNova plc *		16,834		2,086,911
Merit Medical Systems, Inc. *		13,844		850,714
Neogen Corp. *		14,291		1,022,235
Novocure Ltd. *		38,156		1,999,374
Nuvectra Corp. *		9,786		215,096
Orthofix Medical, Inc. *		4,178		241,530
Quidel Corp. *		14,619		952,720
Senseonics Holdings, Inc. *(b)		69,780		332,851
Sientra, Inc. *		17,087		408,038
STAAR Surgical Co. *		22,651		1,087,248
Surmodics, Inc. *		6,370		475,520
Tactile Systems Technology, Inc. *		9,919		704,745
Tandem Diabetes Care, Inc. *		28,666		1,228,051
TransEnterix, Inc. *(b)		138,240		801,792
ViewRay, Inc. *		11,945		111,805
				26,028,042
Health Care Providers & Services - 2.7%
Addus HomeCare Corp. *		7,028		493,014
Amedisys, Inc. *		4,105		512,961
AMN Healthcare Services, Inc. *		13,291		727,018
BioTelemetry, Inc. *		6,035		388,956
CorVel Corp. *		5,062		304,985
Cross Country Healthcare, Inc. *		14,589		127,362
Diplomat Pharmacy, Inc. *		18,743		363,802
Ensign Group, Inc. (The)		16,839		638,535
HealthEquity, Inc. *		21,509		2,030,665
LHC Group, Inc. *		3,859		397,438
Magellan Health, Inc. *		1,537		110,741
MedCath Corp. (3)*(c)		10,300		—
National HealthCare Corp.		1,886		142,148
Providence Service Corp. (The) *		4,751		319,647
Quorum Health Corp. *		37,399		219,158
R1 RCM, Inc. *		65,590		666,394
RadNet, Inc. *		26,958		405,718
Select Medical Holdings Corp. *		25,621		471,426
Tenet Healthcare Corp. *		37,556		1,068,844
Triple-S Management Corp., Class B *		13,893		262,439
US Physical Therapy, Inc.		3,234		383,552
				10,034,803
Health Care Technology - 0.9%
Omnicell, Inc. *		3,137		225,550
Tabula Rasa HealthCare, Inc. *		11,883		964,781
Teladoc Health, Inc. *		23,092		1,993,994
Vocera Communications, Inc. *		3,442		125,909
				3,310,234
Hotels, Restaurants & Leisure - 4.7%
BBX Capital Corp.		23,184		172,025

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

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106

Schedule of Investments September 30, 2018

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 4.7% (continued)
BJ’s Restaurants, Inc.		9,923	$	716,441
Bloomin’ Brands, Inc.		7,214		142,765
Boyd Gaming Corp.		39,000		1,320,150
Brinker International, Inc. (b)		5,892		275,333
Carrols Restaurant Group, Inc. *		11,164		162,994
Churchill Downs, Inc.		4,071		1,130,517
Del Taco Restaurants, Inc. *		12,276		144,980
Denny’s Corp. *		16,550		243,616
Dine Brands Global, Inc.		8,635		702,112
Drive Shack, Inc., REIT *		36,066		214,953
Eldorado Resorts, Inc. *(b)		29,796		1,448,086
Golden Entertainment, Inc. *(b)		14,586		350,210
International Speedway Corp., Class A		3,567		156,235
Monarch Casino & Resort, Inc. *		7,349		334,012
Noodles & Co. *		40,637		491,708
Penn National Gaming, Inc. *		33,709		1,109,700
Planet Fitness, Inc., Class A *		35,984		1,944,215
RCI Hospitality Holdings, Inc.		11,399		337,524
Red Lion Hotels Corp. *		10,911		136,387
Red Rock Resorts, Inc., Class A		35,410		943,676
Ruth’s Hospitality Group, Inc.		9,641		304,174
Scientific Games Corp. *		25,629		650,977
SeaWorld Entertainment, Inc. *		17,051		535,913
Shake Shack, Inc., Class A *(b)		16,028		1,009,924
Sonic Corp.		3,096		134,181
Texas Roadhouse, Inc.		17,304		1,198,994
Town Sports International Holdings, Inc. *		23,172		200,438
Wingstop, Inc.		13,170		899,116
				17,411,356
Household Durables - 0.8%
Bassett Furniture Industries, Inc.		8,255		175,419
Cavco Industries, Inc. *		2,640		667,920
Century Communities, Inc. *		6,191		162,514
Hooker Furniture Corp.		4,478		151,356
KB Home		10,848		259,376
LGI Homes, Inc. *(b)		3,902		185,111
Meritage Homes Corp. *		3,247		129,555
TopBuild Corp. *		10,790		613,088
TRI Pointe Group, Inc. *		33,215		411,866
ZAGG, Inc. *		17,070		251,782
				3,007,987
Household Products - 0.3%
Central Garden & Pet Co., Class A *		17,448		578,227
WD-40 Co.		2,305		396,690
				974,917
Industrial Conglomerates - 0.1%
Raven Industries, Inc.		6,777		310,048
Insurance - 2.9%
American Equity Investment Life Holding Co.		14,544		514,276
AMERISAFE, Inc.		3,029		187,647
CNO Financial Group, Inc.		6,235		132,307
eHealth, Inc. *		4,221		119,285
Employers Holdings, Inc.		2,918		132,185
Enstar Group Ltd. *		725		151,163

INVESTMENTS	SHARES		VALUE
Insurance - 2.9% (continued)
FBL Financial Group, Inc., Class A		6,161	$	463,615
HCI Group, Inc.		467		20,431
Health Insurance Innovations, Inc., Class A *		6,482		399,615
Heritage Insurance Holdings, Inc. (b)		11,635		172,431
Horace Mann Educators Corp.		3,809		171,024
James River Group Holdings Ltd.		4,897		208,710
Kemper Corp.		23,233		1,869,095
Kinsale Capital Group, Inc.		8,421		537,765
National General Holdings Corp.		12,773		342,827
National Western Life Group, Inc., Class A		528		168,538
Primerica, Inc.		16,110		1,942,061
RLI Corp.		6,973		547,938
Safety Insurance Group, Inc.		1,836		164,506
Selective Insurance Group, Inc.		9,561		607,124
Third Point Reinsurance Ltd. *		13,375		173,875
Trupanion, Inc. *(b)		16,943		605,373
United Fire Group, Inc.		5,138		260,856
United Insurance Holdings Corp.		8,652		193,632
Universal Insurance Holdings, Inc.		11,879		576,725
				10,663,004
Interactive Media & Services - 0.6%
Care.com, Inc. *		12,036		266,116
QuinStreet, Inc. *		43,077		584,555
Travelzoo *		12,075		143,089
XO Group, Inc. *		13,043		449,722
Yelp, Inc. *		12,170		598,764
				2,042,246
Internet & Direct Marketing Retail - 1.7%
Etsy, Inc. *		47,750		2,453,395
Gaia, Inc. *		12,901		198,675
Groupon, Inc. *		111,706		421,132
Lands’ End, Inc. *		10,340		181,467
Liberty TripAdvisor Holdings, Inc., Class A *		11,955		177,532
Overstock.com, Inc. *(b)		15,969		442,341
Quotient Technology, Inc. *		10,253		158,921
Remark Holdings, Inc. *(b)		44,517		142,009
Shutterfly, Inc. *		12,767		841,218
Shutterstock, Inc.		2,163		118,057
Stamps.com, Inc. *		4,430		1,002,066
				6,136,813
IT Services - 1.9%
Brightcove, Inc. *		14,222		119,465
CACI International, Inc., Class A *		7,258		1,336,561
Carbonite, Inc. *		14,510		517,281
CSG Systems International, Inc.		3,860		154,940
Everi Holdings, Inc. *		27,890		255,751
EVERTEC, Inc.		13,799		332,556
ExlService Holdings, Inc. *		3,131		207,272
GTT Communications, Inc. *(b)		16,026		695,528
Hackett Group, Inc. (The)		15,924		320,869
Internap Corp. *		9,341		117,977
Limelight Networks, Inc. *		69,674		349,763
ManTech International Corp., Class A		12,567		795,491
MAXIMUS, Inc.		2,537		165,057

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

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INVESTMENTS	SHARES		VALUE
IT Services - 1.9% (continued)
Perficient, Inc. *		7,395	$	197,077
Travelport Worldwide Ltd.		31,143		525,382
TTEC Holdings, Inc.		6,525		168,998
Tucows, Inc., Class A *(b)		2,229		124,267
Unisys Corp. *		7,532		153,653
Virtusa Corp. *		11,132		597,900
				7,135,788
Leisure Products - 0.7%
Acushnet Holdings Corp.		5,872		161,069
Callaway Golf Co.		27,445		666,639
Johnson Outdoors, Inc., Class A		5,571		518,048
Malibu Boats, Inc., Class A *		12,549		686,681
MCBC Holdings, Inc. *		11,366		407,812
				2,440,249
Life Sciences Tools & Services - 0.6%
Codexis, Inc. *		47,723		818,449
Luminex Corp.		6,573		199,228
Medpace Holdings, Inc. *		12,723		762,235
NeoGenomics, Inc. *		25,131		385,761
				2,165,673
Machinery - 3.7%
Alamo Group, Inc.		1,947		178,365
Albany International Corp., Class A		6,350		504,825
Barnes Group, Inc.		5,224		371,061
Chart Industries, Inc. *		12,323		965,261
Columbus McKinnon Corp.		10,083		398,682
Commercial Vehicle Group, Inc. *		14,417		132,060
DMC Global, Inc.		11,504		469,363
Douglas Dynamics, Inc.		9,186		403,265
ESCO Technologies, Inc.		1,780		121,129
Federal Signal Corp.		13,957		373,768
Franklin Electric Co., Inc.		3,130		147,892
Global Brass & Copper Holdings, Inc.		4,697		173,319
Greenbrier Cos., Inc. (The)		2,396		144,000
Harsco Corp. *		35,429		1,011,498
Hillenbrand, Inc.		10,768		563,166
Kadant, Inc.		4,335		467,530
Meritor, Inc. *		23,167		448,513
Mueller Water Products, Inc., Class A		13,903		160,024
Navistar International Corp. *		28,219		1,086,431
NN, Inc.		6,236		97,282
Proto Labs, Inc. *		9,781		1,582,077
RBC Bearings, Inc. *		4,075		612,717
Rexnord Corp. *		22,797		702,148
Spartan Motors, Inc.		25,080		369,930
SPX Corp. *		23,372		778,521
SPX FLOW, Inc. *		3,945		205,140
Standex International Corp.		1,932		201,411
Sun Hydraulics Corp.		3,146		172,338
Tennant Co.		2,238		169,976
TriMas Corp. *		4,367		132,757
Watts Water Technologies, Inc., Class A		3,399		282,117
Woodward, Inc.		1,833		148,216
				13,574,782

INVESTMENTS	SHARES		VALUE
Marine - 0.1%
Genco Shipping & Trading Ltd. *		17,407	$	243,698
Safe Bulkers, Inc. (Greece) *		55,946		161,124
				404,822
Media - 0.6%
Entravision Communications Corp., Class A		32,308		158,309
Gannett Co., Inc.		31,650		316,817
New Media Investment Group, Inc.		12,241		192,061
New York Times Co. (The), Class A		48,390		1,120,229
TechTarget, Inc. *		22,408		435,163
				2,222,579
Metals & Mining - 1.1%
Allegheny Technologies, Inc. *		43,472		1,284,597
Carpenter Technology Corp.		12,568		740,884
Commercial Metals Co.		7,194		147,621
Gold Resource Corp.		34,240		175,994
Kaiser Aluminum Corp.		2,184		238,187
Materion Corp.		7,121		430,820
Schnitzer Steel Industries, Inc., Class A		10,401		281,347
SunCoke Energy, Inc. *		10,996		127,773
Warrior Met Coal, Inc.		27,393		740,707
				4,167,930
Multiline Retail - 0.7%
Dillard’s, Inc., Class A (b)		8,527		650,951
Ollie’s Bargain Outlet Holdings, Inc. *		21,714		2,086,716
				2,737,667
Multi-Utilities - 0.0% (a)
Unitil Corp.		2,791		142,062
Oil, Gas & Consumable Fuels - 3.9%
Abraxas Petroleum Corp. *		70,384		163,995
Amyris, Inc. *		37,876		300,736
Approach Resources, Inc. *(b)		65,375		145,786
California Resources Corp. *		23,029		1,117,597
Carrizo Oil & Gas, Inc. *		18,287		460,832
CVR Energy, Inc.		33,387		1,342,825
Delek US Holdings, Inc.		30,308		1,285,969
Denbury Resources, Inc. *		207,931		1,289,172
GasLog Ltd. (Monaco)		8,559		169,040
HighPoint Resources Corp. *		95,800		467,504
Matador Resources Co. *		14,732		486,893
Northern Oil and Gas, Inc. *		107,515		430,060
Oasis Petroleum, Inc. *		73,271		1,038,983
PDC Energy, Inc. *		11,617		568,768
Peabody Energy Corp.		40,562		1,445,630
Penn Virginia Corp. *		6,278		505,630
Renewable Energy Group, Inc. *		10,705		308,304
REX American Resources Corp. *		2,433		183,813
Ring Energy, Inc. *		10,251		101,587
SRC Energy, Inc. *		77,408		688,157
Uranium Energy Corp. *		74,930		128,880
W&T Offshore, Inc. *		80,660		777,562
WildHorse Resource Development Corp. *		40,427		955,694
Zion Oil & Gas, Inc. *		13,634		17,452
				14,380,869

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

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INVESTMENTS	SHARES		VALUE
Paper & Forest Products - 0.4%
Boise Cascade Co.		11,542	$	424,745
Louisiana-Pacific Corp.		3,938		104,318
Neenah, Inc.		1,864		160,863
Verso Corp., Class A *		27,185		915,319
				1,605,245
Personal Products - 0.9%
Inter Parfums, Inc.		8,628		556,074
Medifast, Inc.		6,440		1,426,782
USANA Health Sciences, Inc. *		10,185		1,227,802
				3,210,658
Pharmaceuticals - 2.4%
Amphastar Pharmaceuticals, Inc. *		6,875		132,275
ANI Pharmaceuticals, Inc. *		1,974		111,610
Assembly Biosciences, Inc. *		12,363		459,162
Collegium Pharmaceutical, Inc. *(b)		17,435		256,992
Corcept Therapeutics, Inc. *(b)		15,564		218,207
Corium International, Inc. *(b)		29,669		282,152
Cymabay Therapeutics, Inc. *		34,793		385,506
Durect Corp. *		103,018		113,320
Endo International plc *		14,161		238,330
Endocyte, Inc. *		43,129		765,971
Horizon Pharma plc *		50,950		997,601
Intersect ENT, Inc. *		6,828		196,305
Intra-Cellular Therapies, Inc. *		22,435		486,840
Marinus Pharmaceuticals, Inc. *(b)		57,454		574,540
MyoKardia, Inc. *		18,527		1,207,960
Phibro Animal Health Corp., Class A		10,376		445,130
Reata Pharmaceuticals, Inc., Class A *		1,523		124,521
Revance Therapeutics, Inc. *		7,281		180,933
TherapeuticsMD, Inc. *(b)		29,986		196,708
WaVe Life Sciences Ltd. *		12,181		609,050
Zogenix, Inc. *		17,389		862,494
				8,845,607
Professional Services - 2.9%
ASGN, Inc. *		16,768		1,323,498
Barrett Business Services, Inc.		2,777		185,448
CBIZ, Inc. *		11,492		272,361
CRA International, Inc.		8,044		403,970
Exponent, Inc.		15,441		827,638
FTI Consulting, Inc. *		16,186		1,184,653
Heidrick & Struggles International, Inc.		8,965		303,465
ICF International, Inc.		5,218		393,698
Insperity, Inc.		18,319		2,160,726
Kelly Services, Inc., Class A		11,443		274,975
Kforce, Inc.		10,385		390,476
Korn/Ferry International		20,845		1,026,408
Mistras Group, Inc. *		8,171		177,066
Navigant Consulting, Inc.		6,717		154,894
TriNet Group, Inc. *		23,494		1,323,182
Willdan Group, Inc. *		5,298		179,920
				10,582,378
Real Estate Management & Development - 0.4%
HFF, Inc., Class A		5,932		251,991
Marcus & Millichap, Inc. *		9,112		316,278
Maui Land & Pineapple Co., Inc. *		367		4,698
RMR Group, Inc. (The), Class A		9,458		877,702
				1,450,669

INVESTMENTS	SHARES		VALUE
Road & Rail - 1.0%
ArcBest Corp.		11,572	$	561,821
Avis Budget Group, Inc. *		10,921		351,001
Covenant Transportation Group, Inc., Class A *		10,692		310,709
Hertz Global Holdings, Inc. *		7,907		129,121
Marten Transport Ltd.		14,702		309,477
Saia, Inc. *		11,522		880,857
Universal Logistics Holdings, Inc.		6,917		254,546
USA Truck, Inc. *		10,206		206,467
Werner Enterprises, Inc.		18,171		642,345
				3,646,344
Semiconductors & Semiconductor Equipment - 2.5%
Adesto Technologies Corp. *(b)		28,558		169,920
Alpha & Omega Semiconductor Ltd. *		14,897		173,252
AXT, Inc. *		20,103		143,737
Cabot Microelectronics Corp.		7,508		774,600
CEVA, Inc. *		4,800		138,000
Cohu, Inc.		5,184		130,118
Cree, Inc. *		39,525		1,496,812
Diodes, Inc. *		16,230		540,297
Entegris, Inc.		45,525		1,317,949
Integrated Device Technology, Inc. *		24,908		1,170,925
Lattice Semiconductor Corp. *		13,731		109,848
Nanometrics, Inc. *		3,094		116,087
NVE Corp.		1,674		177,243
Photronics, Inc. *		17,287		170,277
Rudolph Technologies, Inc. *		6,345		155,135
Semtech Corp. *		14,576		810,426
Silicon Laboratories, Inc. *		13,899		1,275,928
SMART Global Holdings, Inc. *		13,877		398,825
				9,269,379
Software - 8.4%
8x8, Inc. *		24,115		512,444
Alteryx, Inc., Class A *		27,439		1,569,785
Appfolio, Inc., Class A *		17,142		1,343,933
Apptio, Inc., Class A *		21,450		792,792
Blackbaud, Inc.		6,272		636,483
Blackline, Inc. *		6,008		339,272
Bottomline Technologies DE, Inc. *		18,470		1,342,954
Cornerstone OnDemand, Inc. *		2,770		157,197
Coupa Software, Inc. *		22,875		1,809,412
Digimarc Corp. *		4,547		143,003
Ebix, Inc. (b)		10,348		819,044
eGain Corp. *		35,045		283,864
Envestnet, Inc. *		13,554		826,116
Everbridge, Inc. *		13,191		760,329
Five9, Inc. *		25,258		1,103,522
Glu Mobile, Inc. *		73,889		550,473
Hortonworks, Inc. *		31,896		727,548
HubSpot, Inc. *		13,834		2,088,242
Instructure, Inc. *		13,215		467,811
LivePerson, Inc. *		31,411		815,115
MINDBODY, Inc., Class A *		14,831		602,880
Mitek Systems, Inc. *(b)		18,525		130,601
MobileIron, Inc. *		34,224		181,387
Model N, Inc. *		12,062		191,183
New Relic, Inc. *		20,958		1,974,872

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

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INVESTMENTS	SHARES		VALUE
Software - 8.4% (continued)
NextGen Healthcare Information Systems LLC *		12,397	$	248,932
OneSpan, Inc. *		9,853		187,700
Paylocity Holding Corp. *		13,130		1,054,602
Progress Software Corp.		12,969		457,676
PROS Holdings, Inc. *		7,211		252,529
Q2 Holdings, Inc. *		13,016		788,119
Qualys, Inc. *		16,663		1,484,673
Rapid7, Inc. *		18,829		695,167
ShotSpotter, Inc. *		9,171		562,091
SPS Commerce, Inc. *		2,021		200,564
Trade Desk, Inc. (The), Class A *		15,500		2,339,105
Upland Software, Inc. *		15,043		486,039
Varonis Systems, Inc. *		12,194		893,211
Veritone, Inc. *		11,088		115,648
Workiva, Inc. *		12,211		482,335
Yext, Inc. *		16,675		395,198
Zix Corp. *		34,017		188,794
				31,002,645
Specialty Retail - 4.9%
Aaron’s, Inc.		2,225		121,174
Abercrombie & Fitch Co., Class A		32,570		687,878
American Eagle Outfitters, Inc.		69,638		1,729,112
America’s Car-Mart, Inc. *		1,783		139,431
Asbury Automotive Group, Inc. *		1,588		109,175
Ascena Retail Group, Inc. *		62,021		283,436
At Home Group, Inc. *		24,177		762,301
Boot Barn Holdings, Inc. *		26,901		764,257
Buckle, Inc. (The) (b)		15,515		357,621
Caleres, Inc.		9,997		358,492
Carvana Co. *(b)		53,705		3,173,428
Cato Corp. (The), Class A		7,921		166,499
Children’s Place, Inc. (The)		880		112,464
Citi Trends, Inc.		7,878		226,650
Conn’s, Inc. *(b)		18,389		650,051
Container Store Group, Inc. (The) *		23,523		261,105
DSW, Inc., Class A		28,386		961,718
Express, Inc. *		24,057		266,070
Five Below, Inc. *		21,483		2,794,079
Guess?, Inc.		38,856		878,146
Haverty Furniture Cos., Inc.		6,653		147,031
New York & Co., Inc. *		50,685		195,644
RH *		9,077		1,189,178
Shoe Carnival, Inc.		8,029		309,117
Tailored Brands, Inc.		24,553		618,490
Tilly’s, Inc., Class A		29,207		553,473
Zumiez, Inc. *		15,186		400,151
				18,216,171
Technology Hardware, Storage & Peripherals - 0.2%
Cray, Inc. *		8,425		181,137
Immersion Corp. *		12,745		134,715
USA Technologies, Inc. *		41,558		299,218
				615,070
Textiles, Apparel & Luxury Goods - 1.8%
Crocs, Inc. *		38,424		818,047
Culp, Inc.		1,321		31,968

INVESTMENTS	SHARES		VALUE
Textiles, Apparel & Luxury Goods - 1.8% (continued)
Deckers Outdoor Corp. *		11,503	$	1,364,026
Fossil Group, Inc. *		22,018		512,579
G-III Apparel Group Ltd. *		18,234		878,697
Movado Group, Inc.		11,417		478,372
Oxford Industries, Inc.		4,517		407,433
Rocky Brands, Inc.		9,865		279,180
Steven Madden Ltd.		4,272		225,989
Unifi, Inc. *		5,876		166,467
Vera Bradley, Inc. *		20,099		306,711
Wolverine World Wide, Inc.		26,007		1,015,573
				6,485,042
Thrifts & Mortgage Finance - 1.1%
Axos Financial, Inc. *		16,999		584,596
Federal Agricultural Mortgage Corp., Class C		6,143		443,402
First Defiance Financial Corp.		6,000		180,660
Flagstar Bancorp, Inc. *		4,807		151,276
LendingTree, Inc. *(b)		1,292		297,289
Meridian Bancorp, Inc.		12,356		210,052
Meta Financial Group, Inc.		1,853		153,150
NMI Holdings, Inc., Class A *		31,611		715,989
Northfield Bancorp, Inc.		9,328		148,502
Ocwen Financial Corp. *		44,367		174,806
PennyMac Financial Services, Inc., Class A		9,506		198,675
Walker & Dunlop, Inc.		3,088		163,293
Waterstone Financial, Inc.		21,385		366,753
WSFS Financial Corp.		3,177		149,796
				3,938,239
Tobacco - 0.2%
22nd Century Group, Inc. *(b)		52,101		146,404
Pyxus International, Inc. *		12,268		282,164
Turning Point Brands, Inc.		10,547		437,278
				865,846
Trading Companies & Distributors - 1.2%
Applied Industrial Technologies, Inc.		4,235		331,389
BlueLinx Holdings, Inc. *(b)		9,699		305,421
CAI International, Inc. *		5,049		115,471
DXP Enterprises, Inc. *		2,609		104,543
GATX Corp.		2,715		235,092
H&E Equipment Services, Inc.		12,691		479,466
Herc Holdings, Inc. *		7,990		409,088
Kaman Corp.		2,836		189,388
Rush Enterprises, Inc., Class A		3,660		143,875
SiteOne Landscape Supply, Inc. *		15,010		1,130,853
Systemax, Inc.		20,028		659,722
Textainer Group Holdings Ltd. *		11,721		150,029
Titan Machinery, Inc. *		10,563		163,568
				4,417,905
Water Utilities - 0.1%
American States Water Co.		6,678		408,293
Middlesex Water Co.		2,990		144,776
				553,069

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

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INVESTMENTS	SHARES		VALUE
Wireless Telecommunication Services - 0.4%
Boingo Wireless, Inc. *		23,279	$	812,437
NII Holdings, Inc. *(b)		103,634		607,295
Shenandoah Telecommunications Co.		5,532		214,365
				1,634,097
TOTAL COMMON STOCKS (Cost $274,582,294)				367,301,427
	NO. OF WARRANTS
WARRANTS - 0.0%
Diversified Consumer Services - 0.0%
Education Management Corp., expiring 1/5/2022 (3)*(c)
(Cost $—)		6,600		—
	SHARES
SHORT-TERM INVESTMENTS - 1.0%
Investment Companies - 1.0%
Limited Purpose Cash Investment Fund, 2.06% (d)
(Cost $3,720,954)		3,721,484		3,721,112
SECURITIES LENDING COLLATERAL - 6.2%
Investment Companies - 6.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (d)(e)		2,802,351		2,802,351
Limited Purpose Cash Investment Fund 2.06% (d)(e)		20,108,551		20,106,540
TOTAL SECURITIES LENDING COLLATERAL (Cost $22,910,902)				22,908,891
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 106.3% (Cost $301,214,150)				393,931,430
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.3)% (f)			(23,269,383)
NET ASSETS - 100.0%			$	370,662,047

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	13,523,184			3.6	%
Consumer Discretionary		64,049,288			17.3
Consumer Staples		9,858,697			2.7
Energy		19,930,620			5.4
Financials		34,805,730			9.4
Health Care		94,405,585			25.4
Industrials		57,178,607			15.4
Information Technology		54,851,309			14.8
Materials		10,673,295			2.9
Real Estate		6,853,587			1.9
Utilities		1,171,525			0.3
Short-Term Investments		3,721,112			1.0
Securities Lending Collateral		22,908,891			6.2
Total Investments In Securities At Value		393,931,430			106.3
Liabilities in Excess of Other Assets (f)		(23,269,383	)		(6.3	)
Net Assets	$	370,662,047			100.0	%

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

_* Non-income producing security.

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

(b) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $22,135,678.

(c) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of September 30, 2018.

(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.

(3) Level 3 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index	5	12/2018		USD		$425,200		$(2,170	)
								$(2,170	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$ 22,553		$ 22,553

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.2%
Australia - 6.0%
AGL Energy Ltd.		23,781	$	335,463
Alumina Ltd.		402,987		806,712
Aristocrat Leisure Ltd.		68,194		1,400,497
ASX Ltd.		8,860		407,532
AusNet Services		141,964		166,753
BHP Billiton plc		51,896		1,132,453
BlueScope Steel Ltd.		36,604		448,939
Boral Ltd.		33,886		169,150
Caltex Australia Ltd.		14,322		309,410
Challenger Ltd.		16,050		129,867
CIMIC Group Ltd.		16,147		599,299
Cochlear Ltd.		6,051		877,371
Computershare Ltd.		50,863		732,488
CSL Ltd.		31,534		4,581,872
Flight Centre Travel Group Ltd.		14,095		541,273
Goodman Group, REIT		93,982		705,014
Incitec Pivot Ltd.		54,550		156,845
Insurance Australia Group Ltd.		115,133		608,675
Macquarie Group Ltd.		22,135		2,013,585
Medibank Pvt Ltd.		92,539		194,584
Mirvac Group, REIT		109,763		191,317
Oil Search Ltd.		57,455		375,291
Orica Ltd.		12,346		151,866
Origin Energy Ltd. *		197,617		1,177,926
REA Group Ltd.		7,651		474,687
Rio Tinto plc		66,351		3,346,848
Santos Ltd.		158,262		830,905
SEEK Ltd.		8,938		133,830
South32 Ltd.		212,200		596,347
Treasury Wine Estates Ltd.		92,617		1,169,004
Wesfarmers Ltd.		52,484		1,889,908
Woodside Petroleum Ltd.		24,668		688,160
				27,343,871
Austria - 0.6%
ANDRITZ AG		6,457		376,607
Erste Group Bank AG *		4,956		205,757
OMV AG		27,902		1,565,275
Raiffeisen Bank International AG		12,211		351,451
				2,499,090
Belgium - 0.7%
Ageas		18,084		972,172
Colruyt SA		2,172		122,918
Groupe Bruxelles Lambert SA		2,194		229,982
Solvay SA		983		131,775
UCB SA		2,732		245,508
Umicore SA		26,644		1,488,293
				3,190,648
Canada - 9.5%
Bank of Montreal (1)		7,496		618,297
BlackBerry Ltd. (1)*		22,716		257,119
Bombardier, Inc., Class B (1)*		334,482		1,191,203
Brookfield Asset Management, Inc., Class A (1)		12,260		545,680
CAE, Inc. (1)		24,149		490,215
Canadian Imperial Bank of Commerce (1)		17,662		1,654,962

INVESTMENTS	SHARES		VALUE
Canada - 9.5% (continued)
Canadian National Railway Co. (1)		10,646	$	955,268
Canadian Natural Resources Ltd. (1)		83,188		2,717,868
Canadian Pacific Railway Ltd. (1)		8,508		1,799,745
Canadian Tire Corp. Ltd., Class A (1)		4,986		584,199
CCL Industries, Inc., Class B (1)		6,024		271,527
Cenovus Energy, Inc. (1)		76,875		771,934
CGI Group, Inc., Class A (1)*		17,600		1,134,772
Constellation Software, Inc. (1)		2,165		1,592,125
Dollarama, Inc. (1)		40,695		1,281,988
Empire Co. Ltd., Class A (1)		29,872		544,410
Encana Corp. (1)		65,681		860,898
Fairfax Financial Holdings Ltd. (1)		1,335		725,292
Finning International, Inc. (1)(a)		15,923		388,937
Fortis, Inc. (1)		5,586		181,118
Husky Energy, Inc. (1)		28,988		508,998
Imperial Oil Ltd. (1)(a)		23,654		765,484
International Petroleum Corp. *		14,226		92,775
Magna International, Inc. (1)		29,181		1,532,869
Manulife Financial Corp. (1)		16,003		286,075
Methanex Corp. (1)		9,135		721,097
National Bank of Canada (1)		21,351		1,066,352
Nutrien Ltd. (1)		35,235		2,034,472
Onex Corp. (1)		2,666		182,315
Open Text Corp. (1)		4,828		183,716
Pembina Pipeline Corp. (1)		11,754		399,398
Restaurant Brands International, Inc. (1)		8,288		490,741
Rogers Communications, Inc., Class B (1)		16,748		861,355
Shopify, Inc., Class A (1)*		13,287		2,183,897
Sun Life Financial, Inc. (1)		24,189		961,642
Suncor Energy, Inc. (1)		134,928		5,220,999
Teck Resources Ltd., Class B (1)		17,790		428,756
Toronto-Dominion Bank (The) (1)		90,739		5,513,959
West Fraser Timber Co. Ltd. (1)		10,381		590,800
WSP Global, Inc. (1)		10,798		590,958
				43,184,215
Chile - 0.1%
Antofagasta plc		22,791		253,262
China - 0.1%
BOC Hong Kong Holdings Ltd.		67,500		320,376
Minth Group Ltd.		38,000		156,335
				476,711
Denmark - 1.8%
Carlsberg A/S, Class B		5,330		639,201
Chr Hansen Holding A/S		9,055		918,047
Coloplast A/S, Class B		3,571		364,797
DSV A/S		21,347		1,939,815
H Lundbeck A/S		6,229		384,506
Novo Nordisk A/S, Class B		20,026		942,525
Novozymes A/S, Class B		5,348		293,330
Orsted A/S (b)		24,922		1,693,523
Tryg A/S		15,092		375,805
William Demant Holding A/S *		16,574		622,161
				8,173,710
Finland - 1.3%
Fortum OYJ		53,182		1,332,813
Neste OYJ		14,615		1,204,647

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

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INVESTMENTS	SHARES		VALUE
Finland - 1.3% (continued)
Stora Enso OYJ, Class R		60,118	$	1,148,021
UPM-Kymmene OYJ		48,553		1,904,198
Wartsila OYJ Abp		9,217		179,360
				5,769,039
France - 9.7%
Accor SA		3,636		186,788
Aeroports de Paris		624		140,494
Air Liquide SA		3,179		417,473
Airbus SE		33,677		4,227,902
AXA SA		23,258		623,214
BNP Paribas SA		21,264		1,302,135
Bouygues SA		5,122		221,580
Capgemini SE		10,168		1,280,129
Cie Generale des Etablissements Michelin SCA		4,645		554,408
CNP Assurances		10,550		254,315
Credit Agricole SA		63,552		913,559
Danone SA		2,756		214,183
Dassault Systemes SE		13,270		1,985,688
Edenred		9,804		373,606
Electricite de France SA		28,185		495,686
Essilor International Cie Generale d’Optique SA		4,465		660,908
Faurecia SA		2,551		153,417
Hermes International		2,446		1,620,534
Ipsen SA		4,868		819,542
Kering SA		5,908		3,168,785
Legrand SA		2,988		217,874
L’Oreal SA		2,369		571,136
LVMH Moet Hennessy Louis Vuitton SE		16,345		5,775,849
Natixis SA		69,229		470,125
Orange SA		33,131		527,168
Pernod Ricard SA		4,394		720,650
Peugeot SA		17,342		467,813
Safran SA		10,025		1,403,741
Sanofi		1,956		174,763
Schneider Electric SE		10,401		835,169
SCOR SE		9,686		449,058
SEB SA		1,036		176,210
Sodexo SA		3,300		349,954
Thales SA		10,010		1,422,228
TOTAL SA		95,885		6,234,516
Ubisoft Entertainment SA *		4,740		511,829
Valeo SA		12,850		556,416
Veolia Environnement SA		28,559		569,884
Vinci SA		20,644		1,964,066
Vivendi SA		30,525		785,013
				43,797,808
Germany - 5.5%
1&1 Drillisch AG (a)		3,752		182,392
adidas AG		8,848		2,163,863
Allianz SE (Registered)		2,875		639,879
Axel Springer SE		6,231		418,903
Continental AG		1,139		197,895
Covestro AG (b)		14,697		1,189,682
Deutsche Boerse AG		13,082		1,749,151
Deutsche Wohnen SE		32,446		1,558,436

INVESTMENTS	SHARES		VALUE
Germany - 5.5% (continued)
E.ON SE		175,101	$	1,781,783
Fraport AG Frankfurt Airport Services Worldwide		6,432		567,830
Hannover Rueck SE		3,094		436,713
HOCHTIEF AG		2,782		461,187
HUGO BOSS AG		5,863		451,070
Infineon Technologies AG		70,020		1,593,366
KION Group AG		2,705		166,090
LANXESS AG		4,094		299,470
MTU Aero Engines AG		4,451		1,002,716
Puma SE		1,223		603,435
RWE AG		39,136		966,244
SAP SE		17,845		2,194,286
Symrise AG		4,626		421,793
United Internet AG (Registered)		12,079		571,094
Volkswagen AG		1,135		197,350
Vonovia SE		43,455		2,125,306
Wirecard AG		13,385		2,895,834
Zalando SE *(b)		6,250		242,864
				25,078,632
Hong Kong - 3.9%
AIA Group Ltd.		561,400		5,005,959
ASM Pacific Technology Ltd.		12,100		123,648
Bank of East Asia Ltd. (The)		38,600		143,650
CK Asset Holdings Ltd.		99,500		745,871
CLP Holdings Ltd.		27,500		322,045
Galaxy Entertainment Group Ltd.		203,000		1,282,368
Hang Lung Properties Ltd.		113,000		220,439
Hang Seng Bank Ltd.		47,300		1,283,438
Henderson Land Development Co. Ltd.		77,000		386,699
Hong Kong & China Gas Co. Ltd.		342,723		679,294
Hong Kong Exchanges & Clearing Ltd.		55,900		1,597,320
Hysan Development Co. Ltd.		54,000		272,704
Kerry Properties Ltd.		70,500		239,386
Kingston Financial Group Ltd.		114,000		30,368
Li & Fung Ltd.		892,000		199,807
Link REIT		158,500		1,560,584
MTR Corp. Ltd.		46,500		244,540
New World Development Co. Ltd.		374,000		507,977
NWS Holdings Ltd.		109,000		215,453
PCCW Ltd.		302,000		175,955
Power Assets Holdings Ltd.		27,500		191,151
Shangri-La Asia Ltd.		180,000		266,421
Sino Land Co. Ltd.		134,000		229,570
Sun Hung Kai Properties Ltd.		24,000		348,293
Techtronic Industries Co. Ltd.		152,000		969,561
WH Group Ltd. (b)		179,500		126,019
Wharf Real Estate Investment Co. Ltd.		26,000		167,506
Wheelock & Co. Ltd.		40,000		240,485
				17,776,511
Italy - 1.7%
Assicurazioni Generali SpA		30,202		520,074
Davide Campari-Milano SpA		36,647		312,075
Enel SpA		449,173		2,295,959
Eni SpA		115,682		2,180,557
Ferrari NV		13,970		1,918,868
Moncler SpA		14,620		629,061
				7,856,594

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

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INVESTMENTS	SHARES		VALUE
Japan - 28.9%
Aeon Co. Ltd.		47,500	$	1,144,527
Aeon Mall Co. Ltd.		10,300		176,827
Alfresa Holdings Corp.		12,600		337,501
ANA Holdings, Inc. (a)		34,800		1,215,723
Asahi Group Holdings Ltd.		38,000		1,648,716
Asahi Kasei Corp.		102,400		1,552,599
Astellas Pharma, Inc.		120,000		2,095,557
Bandai Namco Holdings, Inc.		9,500		369,083
Bank of Kyoto Ltd. (The)		5,600		292,301
Benesse Holdings, Inc.		11,300		321,773
Brother Industries Ltd.		8,200		161,911
Canon, Inc.		23,700		751,517
Central Japan Railway Co.		8,500		1,769,682
Chiba Bank Ltd. (The)		44,100		301,183
Chubu Electric Power Co., Inc.		8,800		133,302
Chugai Pharmaceutical Co. Ltd.		25,000		1,607,083
Coca-Cola Bottlers Japan Holdings, Inc.		10,900		291,731
CyberAgent, Inc.		14,500		771,642
Daifuku Co. Ltd.		16,400		835,820
Dai-ichi Life Holdings, Inc.		6,900		143,833
Daiichi Sankyo Co. Ltd.		53,200		2,306,109
Daikin Industries Ltd.		5,900		785,311
Daito Trust Construction Co. Ltd.		1,600		206,186
Daiwa House Industry Co. Ltd.		18,900		560,079
Denso Corp.		22,100		1,167,498
Disco Corp.		800		133,970
Don Quijote Holdings Co. Ltd.		10,700		541,459
Eisai Co. Ltd.		20,400		1,987,311
FANUC Corp.		1,000		188,133
Fast Retailing Co. Ltd.		3,900		1,975,735
Fuji Electric Co. Ltd.		12,200		488,694
Fukuoka Financial Group, Inc.		5,600		154,003
Hamamatsu Photonics KK		7,000		278,786
Hikari Tsushin, Inc.		3,600		711,481
Hisamitsu Pharmaceutical Co., Inc.		8,000		613,538
Hitachi Construction Machinery Co. Ltd.		20,500		685,359
Hitachi High-Technologies Corp.		4,500		155,377
Hitachi Ltd.		39,600		1,346,069
Honda Motor Co. Ltd.		65,800		1,981,650
Hoya Corp.		3,900		231,625
Hulic Co. Ltd.		19,900		195,276
Idemitsu Kosan Co. Ltd.		7,300		386,495
Inpex Corp.		60,700		758,419
Isuzu Motors Ltd.		11,200		176,563
ITOCHU Corp.		109,900		2,011,511
J Front Retailing Co. Ltd. (a)		12,600		195,418
Japan Airlines Co. Ltd.		10,100		363,015
Japan Airport Terminal Co. Ltd.		2,900		131,922
JFE Holdings, Inc.		32,300		740,960
JGC Corp. (a)		17,300		396,707
JSR Corp.		11,400		212,824
JXTG Holdings, Inc.		276,100		2,088,364
Kajima Corp.		18,000		261,730
Kakaku.com, Inc.		12,400		242,271
Kamigumi Co. Ltd.		9,000		198,384
Kaneka Corp.		4,200		194,028
Kansai Electric Power Co., Inc. (The)		18,000		271,692
Kao Corp.		33,500		2,706,056

INVESTMENTS	SHARES		VALUE
Japan - 28.9% (continued)
Keisei Electric Railway Co. Ltd.		12,000	$	422,373
Keyence Corp.		5,380		3,125,172
Kikkoman Corp.		14,300		851,660
Kirin Holdings Co. Ltd.		75,500		1,936,419
Kobayashi Pharmaceutical Co. Ltd.		4,100		301,846
Koito Manufacturing Co. Ltd.		10,500		689,502
Komatsu Ltd.		38,000		1,156,374
Konami Holdings Corp.		4,800		187,950
Kose Corp.		5,300		1,009,891
Kurita Water Industries Ltd.		6,600		192,273
Kyowa Hakko Kirin Co. Ltd.		17,300		324,626
Kyushu Electric Power Co., Inc.		16,200		195,809
Lion Corp.		9,500		210,992
M3, Inc.		37,800		857,243
Makita Corp.		12,500		625,952
Marubeni Corp.		68,200		623,731
Marui Group Co. Ltd.		29,200		720,477
McDonald’s Holdings Co. Japan Ltd.		12,900		566,508
Medipal Holdings Corp.		8,800		183,848
MINEBEA MITSUMI, Inc.		26,000		471,269
MISUMI Group, Inc.		18,600		481,266
Mitsubishi Chemical Holdings Corp.		53,200		509,155
Mitsubishi Corp.		89,500		2,756,845
Mitsubishi Gas Chemical Co., Inc.		20,900		444,919
Mitsubishi Motors Corp.		64,500		455,661
Mitsubishi Tanabe Pharma Corp.		8,700		145,609
Mitsui & Co. Ltd.		93,000		1,652,672
Mitsui Chemicals, Inc.		7,700		192,539
Mitsui OSK Lines Ltd.		6,300		183,838
Nabtesco Corp.		8,100		215,363
Nexon Co. Ltd. *		62,600		818,276
NGK Spark Plug Co. Ltd.		9,400		274,006
Nidec Corp.		19,700		2,832,778
Nikon Corp.		7,900		148,451
Nintendo Co. Ltd.		3,300		1,200,650
Nippon Express Co. Ltd.		8,800		577,928
Nippon Paint Holdings Co. Ltd.		3,500		130,641
Nippon Telegraph & Telephone Corp.		5,600		252,730
Nissan Chemical Corp.		10,300		544,051
Nisshin Seifun Group, Inc.		21,700		475,895
Nissin Foods Holdings Co. Ltd.		3,400		233,876
Nitori Holdings Co. Ltd.		4,700		673,538
Nomura Real Estate Holdings, Inc.		12,500		252,160
Nomura Real Estate Master Fund, Inc., REIT		123		168,156
Nomura Research Institute Ltd.		13,000		656,474
NTT DOCOMO, Inc.		30,800		827,829
Obic Co. Ltd.		8,700		822,861
Oji Holdings Corp.		66,000		479,289
Omron Corp.		12,500		528,222
Ono Pharmaceutical Co. Ltd.		9,300		263,250
Oracle Corp. Japan		5,800		467,319
Oriental Land Co. Ltd.		18,700		1,955,179
Otsuka Corp.		18,400		686,321
Otsuka Holdings Co. Ltd.		5,600		282,459
Panasonic Corp.		36,700		425,398
Persol Holdings Co. Ltd.		22,300		523,393
Pola Orbis Holdings, Inc.		20,400		745,073
Recruit Holdings Co. Ltd.		93,300		3,116,358

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

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INVESTMENTS	SHARES		VALUE
Japan - 28.9% (continued)
Resona Holdings, Inc.		22,900	$	128,571
Rohm Co. Ltd.		6,700		490,173
Ryohin Keikaku Co. Ltd.		2,700		802,546
Sankyo Co. Ltd.		3,400		133,006
Santen Pharmaceutical Co. Ltd.		17,300		274,306
Sega Sammy Holdings, Inc.		13,200		194,638
Sekisui Chemical Co. Ltd.		8,700		160,437
Shimadzu Corp.		27,100		849,250
Shin-Etsu Chemical Co. Ltd.		3,600		318,270
Shiseido Co. Ltd.		35,400		2,741,657
SMC Corp.		1,000		320,071
Sony Corp.		84,200		5,118,324
Stanley Electric Co. Ltd.		11,500		393,158
SUMCO Corp.		29,900		435,572
Sumitomo Chemical Co. Ltd.		29,000		169,718
Sumitomo Corp.		81,900		1,364,883
Sumitomo Dainippon Pharma Co. Ltd.		13,400		307,751
Sumitomo Metal Mining Co. Ltd.		22,300		781,935
Sumitomo Mitsui Financial Group, Inc.		7,500		301,829
Sumitomo Mitsui Trust Holdings, Inc.		8,300		341,516
Sumitomo Realty & Development Co. Ltd.		25,000		896,862
Sundrug Co. Ltd.		10,100		360,393
Suzuken Co. Ltd.		4,800		227,756
Suzuki Motor Corp.		30,800		1,765,183
Sysmex Corp.		11,900		1,026,178
Taiheiyo Cement Corp.		5,200		163,087
Taisei Corp.		19,700		897,992
Taisho Pharmaceutical Holdings Co. Ltd.		4,300		526,036
TDK Corp.		10,000		1,089,592
Terumo Corp.		27,000		1,597,970
Tobu Railway Co. Ltd.		7,400		218,777
Toho Co. Ltd.		5,500		172,743
Tokio Marine Holdings, Inc.		27,700		1,375,127
Tokyo Century Corp.		3,900		242,232
Tokyo Electric Power Co. Holdings, Inc. *		27,400		134,646
Tokyo Electron Ltd.		11,400		1,571,153
Tokyu Fudosan Holdings Corp.		41,100		286,341
TOTO Ltd.		14,000		580,641
Toyoda Gosei Co. Ltd.		7,500		185,222
Toyota Motor Corp.		138,300		8,616,478
Toyota Tsusho Corp.		14,300		539,922
Trend Micro, Inc.		13,100		842,641
Tsuruha Holdings, Inc.		4,100		504,668
Unicharm Corp.		15,900		526,062
USS Co. Ltd.		10,400		193,064
West Japan Railway Co.		6,900		480,996
Yakult Honsha Co. Ltd.		6,700		549,471
Yamaha Corp.		18,400		974,977
Yamaha Motor Co. Ltd.		11,400		319,688
Yamato Holdings Co. Ltd.		26,800		822,868
Yaskawa Electric Corp.		26,100		775,199
Yokogawa Electric Corp.		8,500		179,800
Yokohama Rubber Co. Ltd. (The)		9,400		202,608
ZOZO, Inc.		17,000		514,244
				130,994,890
Luxembourg - 0.3%
ArcelorMittal		19,959		619,653
Tenaris SA		30,729		514,632
				1,134,285

INVESTMENTS	SHARES		VALUE
Macau - 0.4%
MGM China Holdings Ltd.		159,600	$	251,969
Sands China Ltd.		147,200		662,918
SJM Holdings Ltd.		174,000		160,317
Wynn Macau Ltd.		264,000		606,301
				1,681,505
Mongolia - 0.0% (c)
Turquoise Hill Resources Ltd. (1)*		13,990		29,786
Netherlands - 7.1%
Aegon NV		85,975		558,024
Akzo Nobel NV		3,899		364,725
ASML Holding NV		30,741		5,771,764
EXOR NV		10,102		674,013
Koninklijke Ahold Delhaize NV		48,978		1,123,679
Koninklijke DSM NV		16,751		1,774,154
Koninklijke Philips NV		54,923		2,503,472
Koninklijke Vopak NV		2,561		126,171
NN Group NV		24,467		1,092,022
Royal Dutch Shell plc, Class A		485,334		16,641,358
Wolters Kluwer NV		26,159		1,630,750
				32,260,132
Norway - 1.4%
Equinor ASA		166,139		4,671,209
Marine Harvest ASA		26,393		611,578
Telenor ASA		48,326		945,045
				6,227,832
Portugal - 0.3%
Galp Energia SGPS SA		72,973		1,446,897
Singapore - 1.4%
Ascendas REIT		103,900		200,694
CapitaLand Commercial Trust, REIT		215,200		280,373
CapitaLand Mall Trust, REIT		113,500		184,469
ComfortDelGro Corp. Ltd.		125,500		223,044
DBS Group Holdings Ltd.		111,100		2,119,472
Genting Singapore Ltd.		173,000		134,098
Jardine Cycle & Carriage Ltd.		6,800		159,161
Keppel Corp. Ltd.		63,400		322,786
Oversea-Chinese Banking Corp. Ltd.		116,100		971,490
Singapore Airlines Ltd.		25,600		182,356
United Overseas Bank Ltd.		50,400		996,330
UOL Group Ltd.		27,100		136,669
Venture Corp. Ltd.		16,500		212,763
				6,123,705
South Africa - 0.5%
Anglo American plc		108,309		2,422,978
Spain - 0.8%
Aena SME SA (b)		1,055		182,786
Amadeus IT Group SA		31,768		2,944,542
Repsol SA		26,004		517,670
				3,644,998
Sweden - 2.0%
Alfa Laval AB		18,809		508,940
Atlas Copco AB, Class A		43,726		1,257,481

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

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INVESTMENTS	SHARES		VALUE
Sweden - 2.0% (continued)
Boliden AB		10,239	$	284,755
Epiroc AB, Class A *		34,815		388,786
Hexagon AB, Class B		20,620		1,207,234
Husqvarna AB, Class B		26,290		223,504
Kinnevik AB, Class B		5,531		167,017
L E Lundbergforetagen AB, Class B		4,698		158,311
Lundin Petroleum AB		33,623		1,281,615
Sandvik AB		11,079		196,145
Swedish Match AB		24,529		1,253,808
Tele2 AB, Class B		65,160		783,114
Telefonaktiebolaget LM Ericsson, Class B		102,845		910,260
Telia Co. AB		47,726		218,852
Volvo AB, Class B		10,202		179,932
				9,019,754
Switzerland - 4.1%
Baloise Holding AG (Registered)		3,045		464,026
Barry Callebaut AG (Registered)		381		721,474
Chocoladefabriken Lindt & Spruengli AG		53		370,920
Cie Financiere Richemont SA (Registered)		6,020		490,813
Clariant AG (Registered) *		19,065		495,943
Coca-Cola HBC AG *		15,239		519,180
Credit Suisse Group AG (Registered) *		8,589		128,882
Dufry AG (Registered) *		1,253		141,569
EMS-Chemie Holding AG (Registered)		766		456,833
Ferguson plc		7,344		622,932
Geberit AG (Registered)		408		189,370
Glencore plc *		244,152		1,052,461
Julius Baer Group Ltd. *		11,589		579,173
Kuehne + Nagel International AG (Registered)		2,855		453,018
Lonza Group AG (Registered) *		6,844		2,341,315
Partners Group Holding AG		2,964		2,349,618
SGS SA (Registered)		56		147,444
Sika AG (Registered)		14,362		2,089,951
Sonova Holding AG (Registered)		800		158,774
STMicroelectronics NV		80,448		1,472,408
Straumann Holding AG (Registered)		1,893		1,426,117
Swatch Group AG (The)		3,308		1,314,711
Vifor Pharma AG		4,262		738,905
				18,725,837
United Arab Emirates - 0.1%
NMC Health plc		9,428		416,765
United Kingdom - 7.5%
3i Group plc		56,789		695,373
Admiral Group plc		13,052		353,804
Ashtead Group plc		29,553		937,666
AstraZeneca plc		9,765		761,124
Auto Trader Group plc (b)		38,748		225,407
Aviva plc		36,331		231,809
BAE Systems plc		68,337		560,361
Barratt Developments plc		64,724		477,984
Berkeley Group Holdings plc		5,516		264,254
BP plc		1,047,192		8,026,457
British American Tobacco plc		7,024		327,462
Bunzl plc		10,364		325,825
Compass Group plc		56,457		1,255,227

INVESTMENTS	SHARES		VALUE
United Kingdom - 7.5% (continued)
Croda International plc		4,629	$	313,771
DCC plc		1,961		177,866
Diageo plc		78,501		2,781,140
Direct Line Insurance Group plc		141,918		599,007
easyJet plc		16,101		275,522
Experian plc		22,546		578,532
Fiat Chrysler Automobiles NV *		90,201		1,577,527
GVC Holdings plc		9,195		110,032
Hargreaves Lansdown plc		25,853		752,596
HSBC Holdings plc		149,249		1,302,255
InterContinental Hotels Group plc		4,330		269,530
International Consolidated Airlines Group SA		29,745		255,170
Intertek Group plc		14,454		940,266
ITV plc		141,143		289,677
J Sainsbury plc		30,275		126,837
Legal & General Group plc		133,260		454,922
London Stock Exchange Group plc		3,542		211,658
Merlin Entertainments plc (b)		36,725		191,527
Mondi plc		10,030		274,619
National Grid plc		37,232		384,561
Next plc		3,026		216,559
Persimmon plc		33,854		1,042,274
Prudential plc		47,510		1,089,312
Reckitt Benckiser Group plc		3,645		332,971
Rolls-Royce Holdings plc *		13,134		168,974
Royal Mail plc		29,034		180,487
Sage Group plc (The)		48,044		366,938
Schroders plc		3,675		148,023
Severn Trent plc		5,220		125,828
Smith & Nephew plc		18,671		340,646
St James’s Place plc		20,354		303,389
Taylor Wimpey plc		76,654		171,337
Tesco plc		509,289		1,592,299
Vodafone Group plc		246,481		528,116
Weir Group plc (The)		10,950		251,213
Whitbread plc		7,536		463,177
WPP plc		10,076		147,559
				33,778,870
United States - 0.3%
Bausch Health Cos., Inc. (1)*		46,007		1,181,475
QIAGEN NV *		10,296		389,936
				1,571,411
Zambia - 0.2%
First Quantum Minerals Ltd. (1)		61,388		699,119
TOTAL COMMON STOCKS (Cost $375,652,556)				435,578,855
SHORT-TERM INVESTMENTS - 2.9%
Investment Companies - 2.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.00% (1)(d)		15		15
Limited Purpose Cash Investment Fund, 2.06% (1)(d)		13,194,969		13,193,650
TOTAL SHORT-TERM INVESTMENTS (Cost $13,193,605)				13,193,665

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

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INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.5%
Investment Companies - 0.5%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (1)(d)(e)		296,802	$	296,802
Limited Purpose Cash Investment Fund 2.06% (1)(d)(e)		2,129,735		2,129,522
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,426,537)				2,426,324
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.6% (Cost $391,272,698)				451,198,844
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% (f)			1,874,333
NET ASSETS - 100.0%			$	453,073,177

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	12,120,258		2.7	%
Consumer Discretionary		71,228,381		15.7
Consumer Staples		32,309,783		7.1
Energy		62,364,328		13.8
Financials		52,464,443		11.6
Health Care		35,128,240		7.8
Industrials		63,637,918		14.0
Information Technology		44,390,351		9.8
Materials		36,633,918		8.1
Real Estate		13,043,680		2.9
Utilities		12,257,555		2.7
Short-Term Investments		13,193,665		2.9
Securities Lending Collateral		2,426,324		0.5
Total Investments In Securities At Value		451,198,844		99.6
Other Assets in Excess of Liabilities (f)		1,874,333		0.4
Net Assets	$	453,073,177		100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $2,424,445.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $3,851,808, which represents approximately 0.85% of net assets of the fund.

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

(d) Represents 7-day effective yield as of September 30, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $118,464 was received (See Note 3).

(f) 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).

Abbreviations

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

SGPS - Sociedade Gestora de Participacões Sociais

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index	122	12/2018		USD		$12,050,550		$86,250
								$86,250

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$ 409,857		$ 409,857

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.6%
Brazil - 6.5%
B3 SA - Brasil Bolsa Balcao (1)*		4,500	$	26,074
Banco Santander Brasil SA, ADR (1)		2,723		23,990
Braskem SA (Preference), Class A (1)		2,600		37,520
Equatorial Energia SA (1)		2,300		32,661
Gerdau SA, ADR (1)		6,326		26,632
Hypera SA (1)*		1,300		9,171
Itausa - Investimentos Itau SA (Preference) (1)		19,030		47,404
Klabin SA (1)		700		3,434
Localiza Rent a Car SA (1)*		5,985		33,878
Lojas Americanas SA (Preference) (1)*		1,740		6,812
Lojas Renner SA (1)		1,060		8,126
Magazine Luiza SA (1)		900		27,411
Petroleo Brasileiro SA (Preference) (1)*		23,600		123,302
Raia Drogasil SA (1)*		1,000		17,940
Rumo SA (1)*		5,000		18,484
Suzano Papel e Celulose SA (1)		3,100		36,837
TIM Participacoes SA, ADR (1)		380		5,506
Vale SA, ADR (1)		20,954		310,957
WEG SA (1)		1,300		6,341
				802,480
Chile - 1.3%
Banco de Chile, ADR (1)		343		31,230
Banco Santander Chile, ADR (1)		1,424		45,539
Cia Cervecerias Unidas SA, ADR (1)		238		6,640
Embotelladora Andina SA (Preference), Class B		1,425		5,547
Empresas COPEC SA		1,532		23,668
SACI Falabella		852		6,935
Sociedad Quimica y Minera de Chile SA, ADR (1)(a)		774		35,387
				154,946
China - 33.6%
3SBio, Inc. (b)		13,500		22,622
AAC Technologies Holdings, Inc.		2,000		20,653
Agile Group Holdings Ltd.		16,000		22,673
Agricultural Bank of China Ltd., Class H		261,000		128,000
Air China Ltd., Class H		14,000		13,467
Alibaba Health Information Technology Ltd. *		26,000		25,425
Aluminum Corp. of China Ltd., Class H *		8,000		3,555
Angang Steel Co. Ltd., Class H		22,000		19,636
Anhui Conch Cement Co. Ltd., Class H		15,000		90,073
ANTA Sports Products Ltd.		9,000		42,965
Beijing Capital International Airport Co. Ltd., Class H		4,000		4,851
Brilliance China Automotive Holdings Ltd.		4,000		6,450
BYD Co. Ltd., Class H		1,000		7,110
CAR, Inc. *(a)		6,000		4,747
China Conch Venture Holdings Ltd.		10,000		34,921
China Construction Bank Corp., Class H		157,000		137,234
China Eastern Airlines Corp. Ltd., Class H		26,000		16,613
China Evergrande Group		11,000		30,711
China International Capital Corp. Ltd., Class H (a)(b)		8,800		16,208
China Jinmao Holdings Group Ltd.		30,000		13,652
China Longyuan Power Group Corp. Ltd., Class H		13,000		10,947

INVESTMENTS	SHARES		VALUE
China - 33.6% (continued)
China Medical System Holdings Ltd.		8,000	$	11,140
China Mengniu Dairy Co. Ltd. *		19,000		63,164
China Merchants Bank Co. Ltd., Class H		71,000		287,094
China Molybdenum Co. Ltd., Class H		15,000		6,266
China National Building Material Co. Ltd., Class H		26,000		23,057
China Petroleum & Chemical Corp., Class H		150,000		150,712
China Resources Beer Holdings Co. Ltd.		14,000		56,142
China Resources Cement Holdings Ltd.		28,000		32,562
China Resources Gas Group Ltd.		2,000		8,133
China Resources Land Ltd.		14,000		49,057
China Shenhua Energy Co. Ltd., Class H		6,000		13,665
China Southern Airlines Co. Ltd., Class H		6,000		3,824
China Taiping Insurance Holdings Co. Ltd.		4,200		14,715
China Traditional Chinese Medicine Holdings Co. Ltd.		28,000		18,983
China Travel International Investment Hong Kong Ltd.		32,000		10,290
China Vanke Co. Ltd., Class H		21,600		71,210
CIFI Holdings Group Co. Ltd.		30,000		13,738
CITIC Securities Co. Ltd., Class H		14,000		24,821
CNOOC Ltd.		75,000		148,510
Country Garden Holdings Co. Ltd.		50,000		63,009
CSPC Pharmaceutical Group Ltd.		30,000		63,457
Dali Foods Group Co. Ltd. (b)		11,000		7,911
ENN Energy Holdings Ltd.		6,000		52,162
Far East Horizon Ltd.		6,000		5,722
Fosun International Ltd.		11,500		20,264
Fuyao Glass Industry Group Co. Ltd., Class H (b)		4,400		15,942
Geely Automobile Holdings Ltd.		14,000		27,880
Genscript Biotech Corp. *		8,000		13,420
Guangdong Investment Ltd.		14,000		24,807
Guangzhou Automobile Group Co. Ltd., Class H		10,800		11,933
Guangzhou R&F Properties Co. Ltd., Class H		11,600		21,282
Haitian International Holdings Ltd.		4,000		8,902
Hanergy Thin Film Power Group Ltd. (3)*(c)		86,000		—
Hengan International Group Co. Ltd.		3,000		27,570
Huaneng Renewables Corp. Ltd., Class H		34,000		10,138
Industrial & Commercial Bank of China Ltd., Class H		167,000		121,926
Jiangsu Expressway Co. Ltd., Class H		6,000		7,697
Jiayuan International Group Ltd.		18,000		30,797
Kaisa Group Holdings Ltd.		29,000		9,272
Kingdee International Software Group Co. Ltd.		30,000		32,562
KWG Group Holdings Ltd.		13,500		12,354
Legend Holdings Corp., Class H (b)		2,400		7,335
Logan Property Holdings Co. Ltd.		18,000		20,277
Longfor Group Holdings Ltd.		13,500		34,800
Luye Pharma Group Ltd.		21,000		18,801
MMG Ltd. *		28,000		14,415
PetroChina Co. Ltd., Class H		102,000		82,558
Ping An Insurance Group Co. of China Ltd., Class H		55,500		562,227
Postal Savings Bank of China Co. Ltd., Class H (b)		40,000		25,136

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

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INVESTMENTS	SHARES		VALUE
China - 33.6% (continued)
Semiconductor Manufacturing International Corp. *		3,000	$	3,233
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		10,000		39,296
Shenzhen International Holdings Ltd.		8,000		16,484
Shenzhou International Group Holdings Ltd.		6,000		76,987
Shimao Property Holdings Ltd.		11,000		27,317
Sino-Ocean Group Holding Ltd.		20,500		9,062
Sinopec Engineering Group Co. Ltd., Class H		3,500		3,998
Sinopec Shanghai Petrochemical Co. Ltd., Class H		42,000		25,616
Sinotrans Ltd., Class H		12,000		4,881
Sinotruk Hong Kong Ltd. (a)		11,500		25,090
Sunac China Holdings Ltd.		16,000		49,026
Sunny Optical Technology Group Co. Ltd.		3,100		35,790
Tencent Holdings Ltd.		12,400		506,302
Tingyi Cayman Islands Holding Corp.		18,000		33,052
Towngas China Co. Ltd. *		20,000		17,456
TravelSky Technology Ltd., Class H		7,000		18,201
Tsingtao Brewery Co. Ltd., Class H		2,000		9,382
Uni-President China Holdings Ltd.		21,000		22,351
Want Want China Holdings Ltd.		20,000		16,824
Weichai Power Co. Ltd., Class H		39,000		48,280
Wuxi Biologics Cayman, Inc. *(b)		3,500		35,419
Xinjiang Goldwind Science & Technology Co. Ltd., Class H		18,400		19,697
Xinyi Solar Holdings Ltd.		14,000		4,327
Yanzhou Coal Mining Co. Ltd., Class H		26,000		30,062
Yuexiu Property Co. Ltd.		42,000		7,496
Yuzhou Properties Co. Ltd.		13,000		5,272
Zhongsheng Group Holdings Ltd.		5,500		13,349
Zhuzhou CRRC Times Electric Co. Ltd., Class H		1,000		5,712
Zijin Mining Group Co. Ltd., Class H		34,000		13,062
ZTE Corp., Class H *		8,000		14,616
				4,171,792
Hong Kong - 1.8%
China First Capital Group Ltd. *		38,000		20,382
China Gas Holdings Ltd.		16,600		46,982
Fullshare Holdings Ltd. *(a)		50,000		24,008
Haier Electronics Group Co. Ltd. *		11,000		29,781
Lee & Man Paper Manufacturing Ltd.		6,000		5,556
Nine Dragons Paper Holdings Ltd.		13,000		14,018
Sino Biopharmaceutical Ltd.		53,500		49,763
SSY Group Ltd.		24,000		23,236
Sun Art Retail Group Ltd.		9,500		12,324
				226,050
Hungary - 0.4%
MOL Hungarian Oil & Gas plc		619		6,667
OTP Bank Nyrt		1,259		46,657
				53,324
India - 11.2%
Ashok Leyland Ltd.		8,834		14,519
Asian Paints Ltd.		1,714		30,600
Avenue Supermarts Ltd. *(b)		1,722		33,187
Bajaj Finance Ltd.		2,055		61,517

INVESTMENTS	SHARES		VALUE
India - 11.2% (continued)
Bajaj Finserv Ltd.		424	$	35,162
Bharat Forge Ltd.		1,248		10,352
Britannia Industries Ltd.		740		59,439
Coal India Ltd.		2,415		8,873
Dabur India Ltd.		6,833		40,245
Eicher Motors Ltd.		16		5,339
GAIL India Ltd.		2,801		14,646
Godrej Consumer Products Ltd.		1,371		14,540
Hindustan Unilever Ltd.		3,339		74,103
Housing Development Finance Corp. Ltd.		4,789		115,922
Indiabulls Housing Finance Ltd.		312		3,690
Infosys Ltd., ADR (1)		18,078		183,853
JSW Steel Ltd.		6,662		35,092
Larsen & Toubro Ltd., GDR (d)		2,414		41,882
Mahindra & Mahindra Financial Services Ltd.		3,482		19,244
Mahindra & Mahindra Ltd.		4,708		55,929
Motherson Sumi Systems Ltd.		2,029		7,191
Nestle India Ltd.		206		27,569
Pidilite Industries Ltd.		952		13,738
Piramal Enterprises Ltd.		230		7,296
Reliance Industries Ltd., GDR (b)		7,158		246,300
State Bank of India, GDR *(d)		106		3,914
Sun Pharmaceutical Industries Ltd.		1,344		11,555
Tata Consultancy Services Ltd.		4,513		135,954
Tata Steel Ltd.		1,813		14,543
Tech Mahindra Ltd.		3,840		39,494
United Spirits Ltd. *		1,752		12,434
Wipro Ltd., ADR (1)(a)		837		4,361
Zee Entertainment Enterprises Ltd.		1,484		8,986
				1,391,469
Indonesia - 1.1%
Adaro Energy Tbk. PT		56,200		6,915
Bank Central Asia Tbk. PT		3,700		5,993
Bank Mandiri Persero Tbk. PT		8,200		3,695
Bank Negara Indonesia Persero Tbk. PT		33,700		16,735
Bank Rakyat Indonesia Persero Tbk. PT		100,000		21,132
Charoen Pokphand Indonesia Tbk. PT		10,700		3,644
Indah Kiat Pulp & Paper Corp. Tbk. PT		23,500		27,343
Indofood CBP Sukses Makmur Tbk. PT		11,300		6,697
Telekomunikasi Indonesia Persero Tbk. PT		46,800		11,455
Unilever Indonesia Tbk. PT		2,100		6,628
United Tractors Tbk. PT		12,900		28,561
				138,798
Malaysia - 2.8%
AirAsia Group Bhd.		6,400		4,885
CIMB Group Holdings Bhd.		10,400		15,099
Dialog Group Bhd.		31,200		26,309
Fraser & Neave Holdings Bhd.		1,500		13,675
Genting Malaysia Bhd.		9,100		10,970
Hartalega Holdings Bhd.		27,800		44,444
Hong Leong Bank Bhd.		2,200		10,941
Malayan Banking Bhd.		11,400		26,962
Malaysia Airports Holdings Bhd.		6,400		13,759
Nestle Malaysia Bhd.		600		21,220
Petronas Chemicals Group Bhd.		7,000		15,830
Petronas Dagangan Bhd.		600		3,808
PPB Group Bhd.		2,000		8,105

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

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INVESTMENTS	SHARES		VALUE
Malaysia - 2.8% (continued)
Press Metal Aluminium Holdings Bhd.		20,300	$	23,830
Public Bank Bhd.		10,700		64,625
Tenaga Nasional Bhd.		4,300		16,078
Top Glove Corp. Bhd.		10,900		28,063
				348,603
Mexico - 0.5%
America Movil SAB de CV, Class L, ADR (1)		714		11,467
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		600		6,559
Wal-Mart de Mexico SAB de CV (1)		15,400		46,931
				64,957
Peru - 1.8%
Cia de Minas Buenaventura SAA, ADR (1)		569		7,630
Credicorp Ltd. (1)		310		69,155
Southern Copper Corp. (1)		3,448		148,747
				225,532
Poland - 0.9%
Alior Bank SA *		196		3,345
Bank Millennium SA *		2,095		5,257
CCC SA		65		3,875
CD Projekt SA *		598		30,362
Dino Polska SA *(b)		607		16,390
LPP SA		10		23,394
Powszechna Kasa Oszczednosci Bank Polski SA		2,412		28,021
				110,644
Russia - 1.9%
Magnitogorsk Iron & Steel Works PJSC, GDR (d)		2,802		28,930
MMC Norilsk Nickel PJSC, ADR		3,232		55,813
Mobile TeleSystems PJSC, ADR (1)		555		4,734
Novolipetsk Steel PJSC, GDR (d)		1,290		34,720
Severstal PJSC, GDR (d)		2,453		40,855
Tatneft PJSC, ADR		910		69,433
				234,485
Singapore - 0.0% (e)
BOC Aviation Ltd. (b)		700		5,431
South Africa - 5.1%
Bidvest Group Ltd. (The)		1,536		20,092
Capitec Bank Holdings Ltd.		452		32,696
Clicks Group Ltd.		1,763		21,790
Discovery Ltd.		1,840		22,098
Exxaro Resources Ltd.		1,496		15,379
FirstRand Ltd.		7,974		38,250
Foschini Group Ltd. (The)		1,069		13,118
Growthpoint Properties Ltd., REIT		4,286		7,033
Imperial Holdings Ltd.		763		9,434
Kumba Iron Ore Ltd.		945		21,412
Mr Price Group Ltd.		1,704		27,481
Naspers Ltd., Class N		651		140,192
Nedbank Group Ltd.		1,305		24,412
Pick n Pay Stores Ltd.		2,213		10,768
PSG Group Ltd.		295		4,779

INVESTMENTS	SHARES		VALUE
South Africa - 5.1% (continued)
Sappi Ltd.		1,371	$	8,601
Sasol Ltd.		2,427		93,770
Shoprite Holdings Ltd.		1,779		24,089
SPAR Group Ltd. (The)		948		12,347
Standard Bank Group Ltd.		5,345		66,094
Tiger Brands Ltd.		388		7,271
Truworths International Ltd.		872		5,143
				626,249
South Korea - 9.2%
Celltrion Pharm, Inc. *		294		21,219
Celltrion, Inc. *		421		112,826
GS Engineering & Construction Corp.		214		10,086
GS Holdings Corp.		84		4,173
Hana Financial Group, Inc.		325		13,050
Hanmi Pharm Co. Ltd.		22		9,916
HDC Hyundai Development Co.-Engineering & Construction *		103		4,725
HLB, Inc. *		367		39,691
Hotel Shilla Co. Ltd.		311		30,411
Hyundai Engineering & Construction Co. Ltd.		388		23,598
Hyundai Marine & Fire Insurance Co. Ltd.		158		5,973
Kakao Corp.		100		10,724
KB Financial Group, Inc.		232		11,299
Korea Gas Corp. *		76		4,156
Korea Investment Holdings Co. Ltd.		437		29,966
Kumho Petrochemical Co. Ltd.		107		9,500
LG Chem Ltd.		132		43,487
LG Electronics, Inc.		222		14,206
LG Household & Health Care Ltd.		49		56,356
Lotte Chemical Corp.		43		10,776
Lotte Shopping Co. Ltd.		41		7,748
Medy-Tox, Inc.		39		21,769
NAVER Corp.		16		10,327
NCSoft Corp.		29		11,570
OCI Co. Ltd.		101		10,014
POSCO		313		83,085
Samsung Biologics Co. Ltd. *(b)		112		53,897
Samsung Electro-Mechanics Co. Ltd.		285		35,696
Samsung Electronics Co. Ltd.		568		23,771
Samsung Engineering Co. Ltd. *		398		6,924
Samsung SDI Co. Ltd.		223		51,935
Samsung SDS Co. Ltd.		181		37,687
Shinhan Financial Group Co. Ltd.		210		8,486
Shinsegae, Inc.		56		18,308
SillaJen, Inc. *		506		46,687
SK Holdings Co. Ltd.		39		10,092
SK Hynix, Inc.		2,190		144,885
SK Innovation Co. Ltd.		162		31,402
S-Oil Corp.		144		17,787
ViroMed Co. Ltd. *		148		32,136
Woori Bank		376		5,725
				1,136,069
Taiwan - 11.5%
Acer, Inc. *		26,000		21,475
Advantech Co. Ltd.		1,317		9,802
ASE Technology Holding Co. Ltd.		9,000		21,983
Asia Cement Corp.		11,000		14,948

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

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INVESTMENTS	SHARES		VALUE
Taiwan - 11.5% (continued)
Catcher Technology Co. Ltd.		2,000	$	21,986
Cathay Financial Holding Co. Ltd.		29,600		50,871
Chailease Holding Co. Ltd.		9,139		31,986
Chang Hwa Commercial Bank Ltd.		10,400		6,436
China Development Financial Holding Corp.		45,000		16,790
China Life Insurance Co. Ltd.		27,822		27,975
CTBC Financial Holding Co. Ltd.		15,832		11,920
E.Sun Financial Holding Co. Ltd.		45,608		33,674
Far Eastern New Century Corp.		13,000		15,201
First Financial Holding Co. Ltd.		26,988		18,380
Formosa Chemicals & Fibre Corp.		17,000		71,241
Formosa Petrochemical Corp.		10,000		48,472
Formosa Plastics Corp.		21,000		80,446
Fubon Financial Holding Co. Ltd.		8,000		13,569
Globalwafers Co. Ltd.		3,000		33,060
Hiwin Technologies Corp.		3,131		25,870
Hon Hai Precision Industry Co. Ltd.		4,441		11,516
Innolux Corp.		13,000		4,514
Inventec Corp.		8,000		7,178
Macronix International		14,280		11,897
MediaTek, Inc.		6,000		48,414
Mega Financial Holding Co. Ltd.		26,000		23,408
Micro-Star International Co. Ltd.		5,000		13,525
Nan Ya Plastics Corp.		22,000		61,080
Nanya Technology Corp.		11,000		21,006
Novatek Microelectronics Corp.		1,000		4,935
Powertech Technology, Inc.		5,000		13,623
President Chain Store Corp.		4,000		46,963
Ruentex Development Co. Ltd.		4,000		4,671
Ruentex Industries Ltd.		7,000		13,909
Shin Kong Financial Holding Co. Ltd.		85,209		33,324
SinoPac Financial Holdings Co. Ltd.		41,000		14,967
Standard Foods Corp.		2,537		4,218
Synnex Technology International Corp.		3,000		3,823
TaiMed Biologics, Inc. *		3,000		18,492
Taiwan Business Bank		16,640		6,048
Taiwan Cement Corp.		19,200		25,834
Taiwan Cooperative Financial Holding Co. Ltd.		36,000		21,927
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		5,902		260,633
Uni-President Enterprises Corp.		26,000		67,834
United Microelectronics Corp.		42,000		22,160
Walsin Technology Corp.		3,000		20,930
Win Semiconductors Corp.		1,000		4,402
Wistron Corp.		15,142		9,863
Yageo Corp.		2,396		35,979
Yuanta Financial Holding Co. Ltd.		22,000		11,597
				1,424,755
Thailand - 4.6%
Advanced Info Service PCL, NVDR		1,700		10,568
Airports of Thailand PCL, NVDR		25,200		51,039
Bangkok Dusit Medical Services PCL, NVDR		47,700		37,609
Bangkok Expressway & Metro PCL, NVDR		81,100		21,817
Banpu PCL, NVDR		16,400		9,688
Berli Jucker PCL, NVDR		7,700		14,167
Bumrungrad Hospital PCL, NVDR		900		5,173
Central Pattana PCL, NVDR		13,200		33,878

INVESTMENTS	SHARES		VALUE
Thailand - 4.6% (continued)
CP All PCL, NVDR		29,600	$	63,167
Electricity Generating PCL, NVDR		600		4,374
Energy Absolute PCL, NVDR		4,700		7,007
Home Product Center PCL, NVDR		58,100		28,402
Indorama Ventures PCL, NVDR		21,800		39,780
IRPC PCL, NVDR		162,600		34,198
Kasikornbank PCL, NVDR		1,500		10,018
Land & Houses PCL, NVDR		20,000		7,107
PTT Exploration & Production PCL, NVDR		7,100		34,075
PTT Global Chemical PCL, NVDR		12,700		31,914
PTT PCL, NVDR		66,000		110,801
Thai Oil PCL, NVDR		5,500		15,059
				569,841
Turkey - 0.3%
Eregli Demir ve Celik Fabrikalari TAS		13,786		25,153
Turk Hava Yollari AO *		4,921		15,522
				40,675
United States - 0.1%
JBS SA (1)		4,000		9,261
TOTAL COMMON STOCKS (Cost $9,756,722)				11,735,361
EXCHANGE TRADED FUNDS - 3.9%
United States - 3.9%
iShares MSCI Emerging Markets ETF (1)
(Cost $477,325)		11,141		478,172
SHORT-TERM INVESTMENTS - 1.4%
Investment Companies - 1.4%
Limited Purpose Cash Investment Fund, 2.06% (1)(f)
(Cost $174,003)		174,033		174,016
SECURITIES LENDING COLLATERAL - 0.7%
Investment Companies - 0.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (1)(f)(g)		9,965		9,965
Limited Purpose Cash Investment Fund 2.06% (1)(f)(g)		71,508		71,501
TOTAL SECURITIES LENDING COLLATERAL (Cost $81,474)				81,466
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6% (Cost $10,489,524)				12,469,015
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)%			(75,698)
NET ASSETS - 100.0%			$	12,393,317

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

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AQR EMERGING MOMENTUM STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	762,193			6.1	%
Consumer Discretionary		637,252			5.1
Consumer Staples		1,001,884			8.1
Energy		1,297,382			10.5
Exchange Traded Funds		478,172			3.9
Financials		2,650,104			21.4
Health Care		781,814			6.3
Industrials		614,142			4.9
Information Technology		1,397,058			11.3
Materials		1,807,296			14.6
Real Estate		543,694			4.4
Utilities		242,542			1.9
Short-Term Investments		174,016			1.4
Securities Lending Collateral		81,466			0.7
Total Investments In Securities At Value		12,469,015			100.6
Liabilities in Excess of Other Assets		(75,698	)		(0.6	)
Net Assets	$	12,393,317			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $88,670.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $485,778, which represents approximately 3.92% of net assets of the fund.

(c) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(d) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2018, the value of these securities amounted to $150,301 or 1.21% of net assets.

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

(f) Represents 7-day effective yield as of September 30, 2018.

(g) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $53,659 was received (See Note 3).

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).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

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

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AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Aerospace & Defense - 4.3%
Boeing Co. (The)		6,968	$	2,591,399
BWX Technologies, Inc.		1,737		108,632
General Dynamics Corp.		5,500		1,125,960
Huntington Ingalls Industries, Inc.		1,500		384,120
Lockheed Martin Corp.		6,149		2,127,308
Northrop Grumman Corp.		5,628		1,786,158
Raytheon Co.		6,254		1,292,452
Teledyne Technologies, Inc. *		513		126,547
Textron, Inc.		2,100		150,087
TransDigm Group, Inc. *		269		100,149
				9,792,812
Air Freight & Logistics - 0.5%
Expeditors International of Washington, Inc.		1,395		102,574
FedEx Corp.		2,577		620,516
United Parcel Service, Inc., Class B		939		109,628
XPO Logistics, Inc. *		1,947		222,289
				1,055,007
Airlines - 0.6%
Alaska Air Group, Inc.		1,420		97,781
Delta Air Lines, Inc.		7,213		417,128
Southwest Airlines Co.		9,927		619,941
United Continental Holdings, Inc. *		2,545		226,658
				1,361,508
Auto Components - 0.1%
Aptiv plc		1,223		102,610
Goodyear Tire & Rubber Co. (The)		3,168		74,099
				176,709
Banks - 6.1%
Bank of America Corp.		140,251		4,131,794
Citigroup, Inc.		12,296		882,115
Citizens Financial Group, Inc.		5,964		230,032
Comerica, Inc.		9,013		812,973
Fifth Third Bancorp		12,279		342,830
First Republic Bank		4,040		387,840
Huntington Bancshares, Inc.		10,400		155,168
JPMorgan Chase & Co.		27,679		3,123,298
Regions Financial Corp.		82,334		1,510,829
SunTrust Banks, Inc.		1,093		73,001
SVB Financial Group *		2,258		701,854
TCF Financial Corp.		17,620		419,532
Western Alliance Bancorp *		1,975		112,358
ZB NA		20,642		1,035,196
				13,918,820
Beverages - 0.5%
Constellation Brands, Inc., Class A		4,147		894,176
Monster Beverage Corp. *		4,800		279,744
				1,173,920
Biotechnology - 1.9%
AbbVie, Inc.		12,406		1,173,359
Agios Pharmaceuticals, Inc. *(a)		2,096		161,644
Amgen, Inc.		901		186,768
BioMarin Pharmaceutical, Inc. *		864		83,782

INVESTMENTS	SHARES		VALUE
Biotechnology - 1.9% (continued)
Bluebird Bio, Inc. *(a)		1,504	$	219,584
Exact Sciences Corp. *		3,222		254,280
Incyte Corp. *		2,919		201,645
Neurocrine Biosciences, Inc. *		5,260		646,717
Regeneron Pharmaceuticals, Inc. *		635		256,565
Sage Therapeutics, Inc. *		1,400		197,750
Sarepta Therapeutics, Inc. *(a)		3,286		530,722
Vertex Pharmaceuticals, Inc. *		2,305		444,266
				4,357,082
Building Products - 0.3%
AO Smith Corp.		5,764		307,625
Fortune Brands Home & Security, Inc.		3,007		157,446
Lennox International, Inc.		462		100,901
Masco Corp.		4,334		158,624
				724,596
Capital Markets - 2.8%
BlackRock, Inc.		365		172,036
Cboe Global Markets, Inc.		1,552		148,930
Charles Schwab Corp. (The)		18,855		926,723
CME Group, Inc.		4,535		771,902
E*TRADE Financial Corp. *		15,352		804,291
Evercore, Inc., Class A		1,851		186,118
Interactive Brokers Group, Inc., Class A		2,818		155,864
Intercontinental Exchange, Inc.		4,335		324,648
LPL Financial Holdings, Inc.		9,563		616,909
Moody’s Corp.		2,295		383,724
Morgan Stanley		16,146		751,919
MSCI, Inc.		1,038		184,152
Northern Trust Corp.		2,636		269,215
Raymond James Financial, Inc.		1,908		175,631
S&P Global, Inc.		3,044		594,767
				6,466,829
Chemicals - 0.8%
Air Products & Chemicals, Inc.		1,700		283,985
Albemarle Corp. (a)		687		68,549
CF Industries Holdings, Inc.		1,478		80,462
Chemours Co. (The)		1,717		67,719
DowDuPont, Inc.		2,240		144,055
Ecolab, Inc.		1,821		285,496
LyondellBasell Industries NV, Class A		961		98,512
PPG Industries, Inc.		2,626		286,575
Sherwin-Williams Co. (The)		961		437,457
				1,752,810
Commercial Services & Supplies - 0.2%
Cintas Corp.		848		167,743
Copart, Inc. *		2,972		153,147
Republic Services, Inc.		1,427		103,686
Waste Management, Inc.		963		87,017
				511,593
Communications Equipment - 1.6%
Arista Networks, Inc. *		3,977		1,057,325
Cisco Systems, Inc.		36,783		1,789,493
F5 Networks, Inc. *		1,500		299,130
Palo Alto Networks, Inc. *		1,309		294,865
Ubiquiti Networks, Inc. (a)		1,254		123,971
				3,564,784

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

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INVESTMENTS	SHARES		VALUE
Construction Materials - 0.1%
Vulcan Materials Co.		1,445	$	160,684
Consumer Finance - 0.6%
Ally Financial, Inc.		3,921		103,710
American Express Co.		2,415		257,173
Credit Acceptance Corp. *(a)		746		326,800
Discover Financial Services		3,539		270,557
OneMain Holdings, Inc. *		2,548		85,638
Santander Consumer USA Holdings, Inc.		18,692		374,588
				1,418,466
Containers & Packaging - 0.1%
Ball Corp.		2,800		123,172
Diversified Consumer Services - 0.1%
Grand Canyon Education, Inc. *		783		88,322
ServiceMaster Global Holdings, Inc. *		2,514		155,944
				244,266
Diversified Financial Services - 0.0% (b)
Berkshire Hathaway, Inc., Class B *		365		78,150
Diversified Telecommunication Services - 0.0% (b)
Zayo Group Holdings, Inc. *		2,420		84,022
Electric Utilities - 0.8%
Alliant Energy Corp.		3,241		137,969
American Electric Power Co., Inc.		2,331		165,221
Avangrid, Inc.		2,699		129,363
NextEra Energy, Inc.		7,518		1,260,017
Xcel Energy, Inc.		5,012		236,617
				1,929,187
Electrical Equipment - 0.1%
Eaton Corp. plc		2,886		250,303
Electronic Equipment, Instruments & Components - 0.4%
Cognex Corp.		4,716		263,247
Corning, Inc.		11,812		416,964
Dolby Laboratories, Inc., Class A		1,816		127,065
Keysight Technologies, Inc. *		1,063		70,456
Zebra Technologies Corp., Class A *		696		123,074
				1,000,806
Energy Equipment & Services - 0.1%
National Oilwell Varco, Inc.		4,360		187,829
Transocean Ltd. *(a)		7,824		109,145
				296,974
Entertainment - 1.2%
Activision Blizzard, Inc.		16,034		1,333,869
Electronic Arts, Inc. *		8,290		998,862
Madison Square Garden Co. (The), Class A *		316		99,641
Take-Two Interactive Software, Inc. *		2,784		384,164
				2,816,536
Equity Real Estate Investment Trusts (REITs) - 1.2%
American Tower Corp.		4,094		594,858
AvalonBay Communities, Inc.		1,887		341,830
CyrusOne, Inc.		1,564		99,158

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 1.2% (continued)
Digital Realty Trust, Inc.		4,081	$	459,031
Equinix, Inc.		459		198,696
Equity LifeStyle Properties, Inc.		3,053		294,462
Essex Property Trust, Inc.		1,200		296,052
Extra Space Storage, Inc.		1,500		129,960
Public Storage		1,321		266,353
Realty Income Corp.		1,500		85,335
UDR, Inc.		2,100		84,903
				2,850,638
Food & Staples Retailing - 0.3%
Costco Wholesale Corp.		1,560		366,413
Kroger Co. (The) (a)		2,883		83,924
Sysco Corp.		1,418		103,868
Walgreens Boots Alliance, Inc.		1,551		113,068
				667,273
Food Products - 0.2%
Conagra Brands, Inc.		1,869		63,490
Tyson Foods, Inc., Class A		5,589		332,713
				396,203
Health Care Equipment & Supplies - 4.5%
Abbott Laboratories		10,679		783,411
ABIOMED, Inc. *		4,030		1,812,492
Align Technology, Inc. *		2,675		1,046,513
Baxter International, Inc.		4,579		352,995
Becton Dickinson and Co.		1,800		469,800
Boston Scientific Corp. *		20,239		779,201
Danaher Corp.		5,248		570,248
DexCom, Inc. *		2,200		314,688
Edwards Lifesciences Corp. *		3,270		569,307
IDEXX Laboratories, Inc. *		2,339		583,955
Intuitive Surgical, Inc. *		2,336		1,340,864
Medtronic plc		5,559		546,839
Penumbra, Inc. *		1,970		294,909
ResMed, Inc.		1,105		127,451
Stryker Corp.		2,501		444,378
Teleflex, Inc.		1,073		285,515
				10,322,566
Health Care Providers & Services - 3.4%
AmerisourceBergen Corp.		1,061		97,845
Anthem, Inc.		5,677		1,555,782
Centene Corp. *		4,020		582,016
Chemed Corp.		333		106,420
HCA Healthcare, Inc.		2,023		281,440
Humana, Inc.		1,534		519,290
Molina Healthcare, Inc. *		1,419		211,005
UnitedHealth Group, Inc.		16,053		4,270,740
WellCare Health Plans, Inc. *		276		88,455
				7,712,993
Health Care Technology - 0.1%
Veeva Systems, Inc., Class A *		3,215		350,017
Hotels, Restaurants & Leisure - 1.3%
Carnival Corp.		4,534		289,133
Domino’s Pizza, Inc.		432		127,354
International Game Technology plc		4,680		92,430

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

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INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 1.3% (continued)
Las Vegas Sands Corp.		3,358	$	199,230
Marriott International, Inc., Class A		2,977		393,053
McDonald’s Corp.		3,466		579,827
Starbucks Corp.		14,319		813,892
Wynn Resorts Ltd.		2,804		356,276
Yum! Brands, Inc.		1,024		93,092
				2,944,287
Household Durables - 0.2%
DR Horton, Inc.		1,518		64,029
Garmin Ltd.		2,624		183,811
Mohawk Industries, Inc. *		936		164,128
Whirlpool Corp.		544		64,600
				476,568
Industrial Conglomerates - 0.9%
3M Co.		5,514		1,161,855
Honeywell International, Inc.		5,345		889,408
Roper Technologies, Inc. (a)		290		85,901
				2,137,164
Insurance - 1.3%
American Financial Group, Inc.		1,717		190,535
Arch Capital Group Ltd. *		8,904		265,428
Chubb Ltd.		4,582		612,338
Everest Re Group Ltd.		999		228,242
Hartford Financial Services Group, Inc. (The)		3,282		163,969
Markel Corp. *		231		274,541
Principal Financial Group, Inc.		1,500		87,885
Progressive Corp. (The)		7,943		564,271
RenaissanceRe Holdings Ltd. (a)		513		68,527
Travelers Cos., Inc. (The)		3,459		448,667
				2,904,403
Interactive Media & Services - 2.8%
Alphabet, Inc., Class A *		2,431		2,934,411
Facebook, Inc., Class A *		13,041		2,144,723
IAC/InterActiveCorp *		1,557		337,433
Match Group, Inc. *(a)		8,491		491,714
Twitter, Inc. *		11,160		317,614
Zillow Group, Inc., Class C *(a)		5,250		232,312
				6,458,207
Internet & Direct Marketing Retail - 8.8%
Amazon.com, Inc. *		7,340		14,702,020
Booking Holdings, Inc. *		426		845,184
eBay, Inc. *		5,946		196,337
Expedia Group, Inc.		1,086		141,701
GrubHub, Inc. *		3,130		433,880
Netflix, Inc. *		8,775		3,282,991
Wayfair, Inc., Class A *		2,955		436,365
				20,038,478
IT Services - 7.0%
Accenture plc, Class A		7,038		1,197,868
Akamai Technologies, Inc. *		1,027		75,125
Amdocs Ltd.		1,750		115,465
Automatic Data Processing, Inc.		3,980		599,627

INVESTMENTS	SHARES		VALUE
IT Services - 7.0% (continued)
Cognizant Technology Solutions Corp., Class A		4,878	$	376,338
DXC Technology Co.		7,944		742,923
EPAM Systems, Inc. *		1,173		161,522
Fiserv, Inc. *		6,684		550,628
FleetCor Technologies, Inc. *		1,395		317,837
Global Payments, Inc.		919		117,080
GoDaddy, Inc., Class A *		5,725		477,408
Jack Henry & Associates, Inc.		1,350		216,108
Mastercard, Inc., Class A		12,391		2,758,360
Okta, Inc. *		8,140		572,730
PayPal Holdings, Inc. *		13,825		1,214,388
Square, Inc., Class A *		15,511		1,535,744
Total System Services, Inc.		2,522		249,022
Twilio, Inc., Class A *		8,796		758,919
VeriSign, Inc. *		939		150,353
Visa, Inc., Class A (a)		22,996		3,451,470
WEX, Inc. *		350		70,266
Worldpay, Inc. *		2,419		244,972
				15,954,153
Leisure Products - 0.1%
Brunswick Corp.		1,969		131,962
Life Sciences Tools & Services - 1.0%
Illumina, Inc. *		2,189		803,494
IQVIA Holdings, Inc. *		1,617		209,790
Thermo Fisher Scientific, Inc.		5,346		1,304,852
				2,318,136
Machinery - 2.2%
Caterpillar, Inc.		7,666		1,168,988
Deere & Co.		2,753		413,859
Dover Corp.		2,076		183,788
Fortive Corp.		2,886		243,001
Illinois Tool Works, Inc.		4,089		577,040
Ingersoll-Rand plc		3,592		367,462
Middleby Corp. (The) *(a)		1,800		232,830
Nordson Corp.		909		126,260
Oshkosh Corp.		3,056		217,709
Parker-Hannifin Corp.		1,500		275,895
Trinity Industries, Inc.		17,214		630,721
WABCO Holdings, Inc. *		800		94,352
Xylem, Inc.		6,645		530,736
				5,062,641
Media - 0.4%
CBS Corp. (Non-Voting), Class B		1,432		82,268
Comcast Corp., Class A		19,352		685,254
Liberty Broadband Corp., Class C *		872		73,510
Sirius XM Holdings, Inc. (a)		15,350		97,012
				938,044
Metals & Mining - 0.4%
Royal Gold, Inc.		1,081		83,302
Steel Dynamics, Inc.		10,719		484,392
United States Steel Corp.		8,213		250,332
				818,026

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

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INVESTMENTS	SHARES		VALUE
Multiline Retail - 0.7%
Dollar General Corp.		1,884	$	205,921
Dollar Tree, Inc. *		2,285		186,342
Kohl’s Corp.		2,775		206,876
Macy’s, Inc.		11,026		382,933
Target Corp.		6,867		605,738
				1,587,810
Multi-Utilities - 0.4%
Ameren Corp.		4,264		269,570
CMS Energy Corp.		2,100		102,900
Consolidated Edison, Inc.		1,980		150,856
DTE Energy Co.		3,287		358,711
				882,037
Oil, Gas & Consumable Fuels - 4.7%
Anadarko Petroleum Corp.		6,902		465,264
Cheniere Energy, Inc. *		3,787		263,159
CNX Resources Corp. *		9,336		133,598
Concho Resources, Inc. *		484		73,931
ConocoPhillips		18,796		1,454,810
Continental Resources, Inc. *		8,876		606,053
Devon Energy Corp.		5,542		221,348
Diamondback Energy, Inc.		8,282		1,119,644
EOG Resources, Inc.		5,751		733,655
Hess Corp.		5,481		392,330
HollyFrontier Corp.		4,920		343,908
Kosmos Energy Ltd. (Ghana) *(a)		13,878		129,759
Marathon Oil Corp.		24,762		576,459
Marathon Petroleum Corp.		7,052		563,948
Occidental Petroleum Corp.		6,628		544,623
ONEOK, Inc.		7,446		504,764
Phillips 66		4,393		495,179
QEP Resources, Inc. *		9,109		103,114
SM Energy Co.		7,014		221,151
Valero Energy Corp.		6,265		712,644
Whiting Petroleum Corp. *		8,689		460,865
WPX Energy, Inc. *		26,497		533,120
				10,653,326
Personal Products - 0.2%
Estee Lauder Cos., Inc. (The), Class A		2,994		435,088
Nu Skin Enterprises, Inc., Class A		1,366		112,586
				547,674
Pharmaceuticals - 1.2%
Bristol-Myers Squibb Co.		1,287		79,897
Eli Lilly & Co.		7,307		784,114
Johnson & Johnson		4,729		653,406
Nektar Therapeutics *		8,815		537,363
Zoetis, Inc.		6,713		614,642
				2,669,422
Professional Services - 0.4%
CoStar Group, Inc. *		838		352,664
Equifax, Inc.		651		85,001
TransUnion		4,008		294,909
Verisk Analytics, Inc. *		906		109,218
				841,792

INVESTMENTS	SHARES		VALUE
Road & Rail - 0.8%
CSX Corp.		10,461	$	774,637
Norfolk Southern Corp.		2,500		451,250
Old Dominion Freight Line, Inc.		1,956		315,425
Union Pacific Corp.		2,312		376,463
				1,917,775
Semiconductors & Semiconductor Equipment - 5.9%
Advanced Micro Devices, Inc. *		7,285		225,034
Analog Devices, Inc.		977		90,333
Applied Materials, Inc.		25,474		984,570
Broadcom, Inc.		3,010		742,657
Cypress Semiconductor Corp. (a)		17,005		246,402
Intel Corp.		22,390		1,058,823
Lam Research Corp.		1,937		293,843
Marvell Technology Group Ltd.		5,944		114,719
Microchip Technology, Inc. (a)		1,024		80,804
Micron Technology, Inc. *		37,507		1,696,442
NVIDIA Corp.		18,364		5,160,651
ON Semiconductor Corp. *		25,190		464,252
Skyworks Solutions, Inc.		3,805		345,152
Texas Instruments, Inc.		16,400		1,759,556
Xilinx, Inc.		2,840		227,683
				13,490,921
Software - 10.4%
2U, Inc. *(a)		765		57,520
Adobe Systems, Inc. *		10,510		2,837,175
ANSYS, Inc. *		2,671		498,622
Aspen Technology, Inc. *		1,210		137,831
Atlassian Corp. plc, Class A *		9,509		914,195
Autodesk, Inc. *		2,283		356,399
Fortinet, Inc. *		3,221		297,202
Guidewire Software, Inc. *		2,220		224,242
Intuit, Inc.		4,182		950,987
Microsoft Corp.		96,879		11,080,051
Nutanix, Inc., Class A *		7,699		328,901
Paycom Software, Inc. *		2,747		426,911
PTC, Inc. *		2,038		216,415
RealPage, Inc. *		2,693		177,469
Red Hat, Inc. *		2,671		364,004
RingCentral, Inc., Class A *		5,519		513,543
salesforce.com, Inc. *		8,264		1,314,224
ServiceNow, Inc. *		4,455		871,532
Splunk, Inc. *		2,785		336,735
SS&C Technologies Holdings, Inc.		2,522		143,325
Tableau Software, Inc., Class A *		2,627		293,541
Tyler Technologies, Inc. *		831		203,645
VMware, Inc., Class A *		4,579		714,599
Zendesk, Inc. *		8,499		603,429
				23,862,497
Specialty Retail - 3.2%
Best Buy Co., Inc.		4,524		359,025
Burlington Stores, Inc. *		4,332		705,769
Floor & Decor Holdings, Inc., Class A *		2,043		61,637
Gap, Inc. (The)		10,735		309,705
Home Depot, Inc. (The)		9,771		2,024,063
Lowe’s Cos., Inc.		6,384		733,011
O’Reilly Automotive, Inc. *		1,392		483,469

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

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INVESTMENTS	SHARES		VALUE
Specialty Retail - 3.2% (continued)
Ross Stores, Inc.		10,017	$	992,685
TJX Cos., Inc. (The)		5,142		576,007
Ulta Beauty, Inc. *		1,847		521,076
Urban Outfitters, Inc. *		14,376		587,978
				7,354,425
Technology Hardware, Storage & Peripherals - 6.9%
Apple, Inc.		63,144		14,254,127
Hewlett Packard Enterprise Co.		5,467		89,167
HP, Inc.		25,956		668,886
NetApp, Inc.		4,402		378,088
Pure Storage, Inc., Class A *		10,992		285,242
				15,675,510
Textiles, Apparel & Luxury Goods - 1.7%
Columbia Sportswear Co.		5,508		512,629
Lululemon Athletica, Inc. *		3,226		524,193
Michael Kors Holdings Ltd. *		900		61,704
NIKE, Inc., Class B		18,929		1,603,665
PVH Corp.		759		109,600
Ralph Lauren Corp.		2,251		309,625
VF Corp.		7,224		675,083
				3,796,499
Tobacco - 0.2%
Altria Group, Inc.		8,400		506,604
Trading Companies & Distributors - 0.4%
HD Supply Holdings, Inc. *		2,092		89,517
United Rentals, Inc. *		3,686		603,029
WW Grainger, Inc.		327		116,873
				809,419
Wireless Telecommunication Services - 0.3%
T-Mobile US, Inc. *		8,471		594,495
TOTAL COMMON STOCKS (Cost $135,921,361)				220,931,001
SHORT-TERM INVESTMENTS - 3.2%
Investment Companies - 3.2%
Limited Purpose Cash Investment Fund, 2.06% (c)
(Cost $7,352,714)		7,353,907		7,353,171

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 1.2%
Investment Companies - 1.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (c)(d)		320,131	$	320,131
Limited Purpose Cash Investment Fund 2.06% (c)(d)		2,297,129		2,296,899
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,617,260)				2,617,030
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.1% (Cost $145,891,335)				230,901,202
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1)% (e)			(2,489,640)
NET ASSETS - 100.0%			$	228,411,562

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	10,891,305			4.8	%
Consumer Discretionary		36,751,005			16.1
Consumer Staples		3,291,674			1.4
Energy		10,950,299			4.8
Financials		24,786,669			10.9
Health Care		27,730,216			12.1
Industrials		24,464,610			10.7
Information Technology		73,548,669			32.2
Materials		2,854,692			1.3
Real Estate		2,850,638			1.2
Utilities		2,811,224			1.2
Short-Term Investments		7,353,171			3.2
Securities Lending Collateral		2,617,030			1.2
Total Investments In Securities At Value		230,901,202			101.1
Liabilities in Excess of Other Assets (e)		(2,489,640	)		(1.1	)
Net Assets	$	228,411,562			100.0	%

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

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* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $5,184,280.

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

(c) Represents 7-day effective yield as of September 30, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $2,689,054 was received (See Note 3).

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index	30	12/2018		USD		$4,378,500		$20,957
								$20,957

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$175,396		$175,396

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.3%
Aerospace & Defense - 1.4%
AAR Corp.		1,190	$	56,989
Aerojet Rocketdyne Holdings, Inc. *		2,469		83,921
Aerovironment, Inc. *		1,689		189,455
Axon Enterprise, Inc. *		3,739		255,860
Cubic Corp., Class R		322		23,522
Ducommun, Inc. *		1,446		59,055
Engility Holdings, Inc. *		1,335		48,047
Esterline Technologies Corp. *		275		25,011
Kratos Defense & Security Solutions, Inc. *		6,806		100,593
Mercury Systems, Inc. *(a)		1,839		101,733
Vectrus, Inc. *		904		28,196
				972,382
Air Freight & Logistics - 0.2%
Air Transport Services Group, Inc. *		995		21,363
Atlas Air Worldwide Holdings, Inc. *		400		25,500
Echo Global Logistics, Inc. *		1,869		57,845
Hub Group, Inc., Class A *		406		18,514
				123,222
Airlines - 0.2%
Allegiant Travel Co.		284		36,011
SkyWest, Inc.		1,846		108,730
				144,741
Auto Components - 0.6%
Cooper-Standard Holdings, Inc. *		845		101,383
Dorman Products, Inc. *		322		24,768
Fox Factory Holding Corp. *		1,895		132,745
Gentherm, Inc. *		1,057		48,041
LCI Industries		235		19,458
Modine Manufacturing Co. *		2,061		30,709
Motorcar Parts of America, Inc. *		1,306		30,626
Standard Motor Products, Inc.		641		31,550
Tower International, Inc.		753		22,778
				442,058
Automobiles - 0.0% (b)
Winnebago Industries, Inc.		548		18,166
Banks - 3.3%
Allegiance Bancshares, Inc. *		1,709		71,265
Ameris Bancorp		1,938		88,567
Banc of California, Inc.		1,072		20,261
Blue Hills Bancorp, Inc.		1,200		28,920
Boston Private Financial Holdings, Inc.		1,715		23,410
Carolina Financial Corp.		2,944		111,048
CenterState Bank Corp.		1,137		31,893
Central Pacific Financial Corp.		835		22,069
Central Valley Community Bancorp		399		8,622
ConnectOne Bancorp, Inc.		1,237		29,379
Eagle Bancorp, Inc. *		980		49,588
Enterprise Financial Services Corp.		1,251		66,366
Fidelity Southern Corp.		1,125		27,877
First Bancorp/PR *		13,278		120,830
First Commonwealth Financial Corp.		1,291		20,837
First Interstate BancSystem, Inc., Class A		2,466		110,477
First Merchants Corp.		654		29,423

INVESTMENTS	SHARES		VALUE
Banks - 3.3% (continued)
Great Western Bancorp, Inc.		2,149	$	90,666
Horizon Bancorp, Inc.		1,113		21,982
Independent Bank Corp./MA		552		45,595
Independent Bank Corp./MI		4,596		108,695
Independent Bank Group, Inc.		858		56,885
Lakeland Financial Corp.		1,783		82,874
LegacyTexas Financial Group, Inc.		700		29,820
National Bank Holdings Corp., Class A		1,243		46,799
National Commerce Corp. *		585		24,161
OFG Bancorp		3,429		55,378
Old Second Bancorp, Inc.		3,326		51,387
Pacific Premier Bancorp, Inc. *		850		31,620
Peoples Bancorp, Inc.		732		25,642
People’s Utah Bancorp		1,275		43,286
Preferred Bank		1,222		71,487
QCR Holdings, Inc.		517		21,119
Republic First Bancorp, Inc. *		10,891		77,871
Seacoast Banking Corp. of Florida *		1,369		39,975
ServisFirst Bancshares, Inc.		5,062		198,177
Southside Bancshares, Inc.		813		28,292
Towne Bank (a)		1,096		33,812
TriState Capital Holdings, Inc. *		1,369		37,784
Triumph Bancorp, Inc. *		1,976		75,483
United Community Banks, Inc.		2,355		65,681
Veritex Holdings, Inc. *		1,029		29,080
				2,254,383
Beverages - 0.7%
Boston Beer Co., Inc. (The), Class A *		309		88,837
Coca-Cola Bottling Co. Consolidated		135		24,608
Craft Brew Alliance, Inc. *		1,463		23,920
MGP Ingredients, Inc. (a)		1,264		99,831
National Beverage Corp. *(a)		1,810		211,082
				448,278
Biotechnology - 11.4%
Abeona Therapeutics, Inc. *		5,422		69,402
Acceleron Pharma, Inc. *		538		30,790
Acorda Therapeutics, Inc. *		1,537		30,202
Adamas Pharmaceuticals, Inc. *(a)		888		17,778
Adverum Biotechnologies, Inc. *		5,990		36,239
Aeglea BioTherapeutics, Inc. *		3,738		35,773
Aimmune Therapeutics, Inc. *		3,053		83,286
Alder Biopharmaceuticals, Inc. *(a)		1,585		26,390
Amicus Therapeutics, Inc. *(a)		5,721		69,167
AnaptysBio, Inc. *		1,714		171,006
Arbutus Biopharma Corp. (Canada) *(a)		6,849		64,723
Arena Pharmaceuticals, Inc. *		3,480		160,150
ArQule, Inc. *(a)		20,323		115,028
Array BioPharma, Inc. *		13,008		197,722
Arrowhead Pharmaceuticals, Inc. *(a)		13,299		254,942
Atara Biotherapeutics, Inc. *(a)		3,145		130,046
Athersys, Inc. *		13,981		29,360
Audentes Therapeutics, Inc. *		2,271		89,909
AVEO Pharmaceuticals, Inc. *(a)		22,930		75,898
Avid Bioservices, Inc. *(a)		1,371		9,405
Biohaven Pharmaceutical Holding Co. Ltd. *		558		20,953
BioSpecifics Technologies Corp. *		495		28,953
Blueprint Medicines Corp. *		2,780		217,007

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

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INVESTMENTS	SHARES		VALUE
Biotechnology - 11.4% (continued)
Cara Therapeutics, Inc. *		1,783	$	42,703
CareDx, Inc. *		9,426		271,940
CASI Pharmaceuticals, Inc. *		12,548		58,599
Catalyst Biosciences, Inc. *		3,929		42,355
Catalyst Pharmaceuticals, Inc. *		27,771		104,974
Cellular Biomedicine Group, Inc. *		1,560		28,314
ChemoCentryx, Inc. *		3,517		44,455
CTI BioPharma Corp. *		370		799
CytomX Therapeutics, Inc. *		1,995		36,907
Dicerna Pharmaceuticals, Inc. *(a)		7,394		112,832
Eagle Pharmaceuticals, Inc. *		385		26,692
Editas Medicine, Inc. *		2,947		93,774
Emergent BioSolutions, Inc. *		1,332		87,686
Enanta Pharmaceuticals, Inc. *		1,711		146,222
Epizyme, Inc. *(a)		2,095		22,207
Esperion Therapeutics, Inc. *		1,412		62,650
Fate Therapeutics, Inc. *		6,292		102,497
Fennec Pharmaceuticals, Inc. (Canada) *		2,346		19,237
FibroGen, Inc. *		4,305		261,529
Flexion Therapeutics, Inc. *(a)		1,317		24,641
G1 Therapeutics, Inc. *		2,644		138,255
Genomic Health, Inc. *		827		58,072
Geron Corp. *(a)		13,653		24,029
Global Blood Therapeutics, Inc. *(a)		2,463		93,594
GTx, Inc. *		4,236		6,651
Halozyme Therapeutics, Inc. *		3,681		66,884
ImmunoGen, Inc. *		8,871		84,008
Immunomedics, Inc. *(a)		15,035		313,179
Insmed, Inc. *		2,533		51,217
Intellia Therapeutics, Inc. *(a)		1,028		29,421
Iovance Biotherapeutics, Inc. *		6,539		73,564
Ironwood Pharmaceuticals, Inc. *		1,510		27,875
Karyopharm Therapeutics, Inc. *		5,708		97,207
Kura Oncology, Inc. *		1,793		31,378
Lexicon Pharmaceuticals, Inc. *		2,244		23,943
Ligand Pharmaceuticals, Inc. *		1,111		304,958
Loxo Oncology, Inc. *		2,350		401,451
Madrigal Pharmaceuticals, Inc. *(a)		1,335		285,864
Mirati Therapeutics, Inc. *		3,812		179,545
Momenta Pharmaceuticals, Inc. *		2,008		52,810
Myriad Genetics, Inc. *		4,728		217,488
Natera, Inc. *		2,727		65,284
Pieris Pharmaceuticals, Inc. *		6,644		37,206
PolarityTE, Inc. *(a)		1,145		21,870
PTC Therapeutics, Inc. *		2,980		140,060
REGENXBIO, Inc. *		3,555		268,403
Repligen Corp. *		1,280		70,989
Retrophin, Inc. *		2,107		60,534
Sangamo Therapeutics, Inc. *(a)		4,833		81,919
Savara, Inc. *		3,138		35,020
Sorrento Therapeutics, Inc. *(a)		10,873		47,841
Spectrum Pharmaceuticals, Inc. *		7,436		124,925
Stemline Therapeutics, Inc. *		2,583		42,878
T2 Biosystems, Inc. *		6,373		47,479
TG Therapeutics, Inc. *		3,414		19,118
Ultragenyx Pharmaceutical, Inc. *		272		20,764
Vanda Pharmaceuticals, Inc. *		1,751		40,185
Verastem, Inc. *(a)		9,980		72,355
Vericel Corp. *		6,001		84,914

INVESTMENTS	SHARES		VALUE
Biotechnology - 11.4% (continued)
Viking Therapeutics, Inc. *(a)		12,115	$	211,043
Vital Therapies, Inc. *		9,540		2,627
Voyager Therapeutics, Inc. *		2,610		49,381
Xencor, Inc. *		2,514		97,971
XOMA Corp. *(a)		1,852		32,540
Zafgen, Inc. *		5,715		66,808
				7,858,649
Building Products - 1.2%
AAON, Inc. (a)		1,050		39,690
Advanced Drainage Systems, Inc.		641		19,807
American Woodmark Corp. *		503		39,460
Apogee Enterprises, Inc.		791		32,684
Builders FirstSource, Inc. *		2,458		36,084
Continental Building Products, Inc. *		1,526		57,301
Gibraltar Industries, Inc. *		1,568		71,501
Masonite International Corp. *		767		49,165
NCI Building Systems, Inc. *		1,241		18,801
Patrick Industries, Inc. *		3,099		183,461
PGT Innovations, Inc. *		2,087		45,079
Simpson Manufacturing Co., Inc.		709		51,374
Trex Co., Inc. *		2,200		169,356
				813,763
Capital Markets - 1.4%
Blucora, Inc. *		4,127		166,112
Hamilton Lane, Inc., Class A		3,174		140,545
Houlihan Lokey, Inc.		3,975		178,597
Investment Technology Group, Inc.		1,146		24,822
Ladenburg Thalmann Financial Services, Inc.		9,591		25,896
Moelis & Co., Class A		3,290		180,292
Oppenheimer Holdings, Inc., Class A		1,046		33,053
Piper Jaffray Cos.		826		63,065
PJT Partners, Inc., Class A		2,344		122,708
Stifel Financial Corp.		987		50,594
				985,684
Chemicals - 1.5%
AdvanSix, Inc. *		705		23,935
Chase Corp.		298		35,805
Ferro Corp. *		3,584		83,220
Ingevity Corp. *		1,654		168,510
Innophos Holdings, Inc.		508		22,555
Innospec, Inc.		332		25,481
Intrepid Potash, Inc. *		10,284		36,920
Kraton Corp. *		1,461		68,886
Kronos Worldwide, Inc.		5,539		90,009
Minerals Technologies, Inc.		500		33,800
PolyOne Corp.		639		27,937
Rayonier Advanced Materials, Inc.		1,897		34,962
Sensient Technologies Corp. (a)		883		67,558
Trinseo SA		2,538		198,725
Tronox Ltd., Class A		4,270		51,027
Valhi, Inc.		11,680		26,630
				995,960
Commercial Services & Supplies - 1.4%
ACCO Brands Corp.		1,709		19,312
Brady Corp., Class A		570		24,938
Brink’s Co. (The)		1,295		90,326

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

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INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 1.4% (continued)
Casella Waste Systems, Inc., Class A *		1,226	$	38,080
Cimpress NV (Netherlands) *(a)		1,521		207,784
Healthcare Services Group, Inc. (a)		645		26,200
Interface, Inc.		1,215		28,370
Kimball International, Inc., Class B		1,371		22,964
McGrath RentCorp		1,981		107,905
Mobile Mini, Inc.		2,267		99,408
MSA Safety, Inc.		319		33,954
Multi-Color Corp.		444		27,639
Quad/Graphics, Inc.		1,804		37,595
SP Plus Corp. *		660		24,090
Team, Inc. *(a)		872		19,620
Tetra Tech, Inc.		727		49,654
UniFirst Corp.		112		19,449
US Ecology, Inc.		349		25,739
Viad Corp.		445		26,366
				929,393
Communications Equipment - 0.5%
Comtech Telecommunications Corp.		1,497		54,296
Extreme Networks, Inc. *		3,374		18,490
InterDigital, Inc.		771		61,680
Lumentum Holdings, Inc. *(a)		1,946		116,663
NETGEAR, Inc. *		297		18,666
Plantronics, Inc.		464		27,979
ViaSat, Inc. *(a)		411		26,283
Viavi Solutions, Inc. *		2,785		31,582
				355,639
Construction & Engineering - 0.7%
Argan, Inc.		520		22,360
Comfort Systems USA, Inc.		1,586		89,450
Dycom Industries, Inc. *(a)		600		50,760
EMCOR Group, Inc.		545		40,935
HC2 Holdings, Inc. *		962		5,887
MasTec, Inc. *		2,344		104,660
NV5 Global, Inc. *		1,032		89,474
Primoris Services Corp.		853		21,172
Sterling Construction Co., Inc. *		4,619		66,144
				490,842
Construction Materials - 0.1%
US Concrete, Inc. *		1,036		47,501
Consumer Finance - 0.7%
Enova International, Inc. *		2,038		58,694
EZCORP, Inc., Class A *		5,444		58,251
FirstCash, Inc.		796		65,272
Green Dot Corp., Class A *		2,962		263,085
Nelnet, Inc., Class A		400		22,868
				468,170
Containers & Packaging - 0.1%
Greif, Inc., Class A		1,484		79,631
Distributors - 0.1%
Core-Mark Holding Co., Inc.		991		33,654

INVESTMENTS	SHARES		VALUE
Diversified Consumer Services - 1.5%
Adtalem Global Education, Inc. *		1,915	$	92,303
American Public Education, Inc. *		721		23,829
Cambium Learning Group, Inc. *		2,935		34,750
Career Education Corp. *		9,718		145,090
Chegg, Inc. *		8,559		243,332
Regis Corp. *		3,971		81,128
Sotheby’s* (a)		639		31,432
Strategic Education, Inc.		484		66,323
Weight Watchers International, Inc. *		4,701		338,425
				1,056,612
Diversified Financial Services - 0.1%
On Deck Capital, Inc. *		5,553		42,036
Diversified Telecommunication Services - 1.1%
Cogent Communications Holdings, Inc.		1,056		58,925
Intelsat SA *		12,697		380,910
Iridium Communications, Inc. *		4,295		96,637
Ooma, Inc. *		1,998		33,167
ORBCOMM, Inc. *		3,221		34,980
Vonage Holdings Corp. *		11,129		157,587
				762,206
Electric Utilities - 0.3%
ALLETE, Inc.		673		50,482
El Paso Electric Co.		636		36,379
MGE Energy, Inc.		949		60,594
Otter Tail Corp.		739		35,398
PNM Resources, Inc.		1,251		49,352
				232,205
Electrical Equipment - 0.6%
Allied Motion Technologies, Inc.		678		36,904
Enphase Energy, Inc. *(a)		18,427		89,371
Generac Holdings, Inc. *		1,329		74,969
Plug Power, Inc. *(a)		15,010		28,819
Sunrun, Inc. *(a)		6,676		83,049
Vicor Corp. *		2,745		126,270
				439,382
Electronic Equipment, Instruments & Components - 2.0%
Badger Meter, Inc.		1,137		60,204
Control4 Corp. *		3,053		104,810
CTS Corp.		722		24,765
Electro Scientific Industries, Inc. *		2,544		44,393
ePlus, Inc. *		1,100		101,970
Fabrinet (Thailand) *		1,258		58,195
FARO Technologies, Inc. *		308		19,820
II-VI, Inc. *		2,226		105,290
Insight Enterprises, Inc. *		904		48,897
Itron, Inc. *		514		32,999
KEMET Corp. *		4,555		84,495
Mesa Laboratories, Inc.		432		80,188
Methode Electronics, Inc.		887		32,109
Novanta, Inc. *		2,973		203,353
OSI Systems, Inc. *		393		29,990
PAR Technology Corp. *		1,152		25,597
Plexus Corp. *		600		35,106
Rogers Corp. *		541		79,700

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

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INVESTMENTS	SHARES		VALUE
Electronic Equipment, Instruments & Components - 2.0% (continued)
Sanmina Corp. *		1,295	$	35,742
SYNNEX Corp.		743		62,932
Tech Data Corp. *		282		20,183
TTM Technologies, Inc. *		3,581		56,974
Vishay Intertechnology, Inc.		895		18,213
Vishay Precision Group, Inc. *		778		29,097
				1,395,022
Energy Equipment & Services - 1.4%
Archrock, Inc.		5,634		68,735
Bristow Group, Inc. *(a)		4,713		57,169
Diamond Offshore Drilling, Inc. *(a)		1,710		34,200
Era Group, Inc. *		2,427		29,974
Exterran Corp. *		2,163		57,384
Helix Energy Solutions Group, Inc. *		8,531		84,286
ION Geophysical Corp. *		4,068		63,257
Mammoth Energy Services, Inc. (a)		3,520		102,432
Matrix Service Co. *		4,167		102,717
McDermott International, Inc. *		1,116		20,568
Noble Corp. plc*		28,013		196,931
Profire Energy, Inc. *		9,021		28,777
Solaris Oilfield Infrastructure, Inc., Class A *		3,013		56,916
TETRA Technologies, Inc. *		5,634		25,409
Unit Corp. *		1,929		50,270
				979,025
Entertainment - 0.8%
Liberty Media Corp.-Liberty Braves, Class C *		1,059		28,858
World Wrestling Entertainment, Inc., Class A		5,660		547,492
				576,350
Equity Real Estate Investment Trusts (REITs) - 1.7%
Agree Realty Corp.		570		30,278
CareTrust REIT, Inc.		2,224		39,387
EastGroup Properties, Inc.		528		50,487
Four Corners Property Trust, Inc.		799		20,526
Getty Realty Corp.		891		25,447
Gladstone Commercial Corp.		2,247		43,030
Independence Realty Trust, Inc.		2,998		31,569
Innovative Industrial Properties, Inc. (a)		2,031		97,975
Jernigan Capital, Inc.		1,105		21,315
Monmouth Real Estate Investment Corp.		2,816		47,084
National Storage Affiliates Trust		3,565		90,694
NexPoint Residential Trust, Inc.		2,537		84,228
Preferred Apartment Communities, Inc., Class A		1,886		33,156
PS Business Parks, Inc.		1,113		141,451
Rexford Industrial Realty, Inc.		3,858		123,302
Ryman Hospitality Properties, Inc.		1,233		106,248
STAG Industrial, Inc.		753		20,708
Terreno Realty Corp.		2,242		84,523
UMH Properties, Inc.		1,668		26,088
Universal Health Realty Income Trust		544		40,479
Xenia Hotels & Resorts, Inc.		1,185		28,085
				1,186,060
Food & Staples Retailing - 0.1%
Chefs’ Warehouse, Inc. (The) *		1,187		43,147
Performance Food Group Co. *		842		28,039
				71,186

INVESTMENTS	SHARES		VALUE
Food Products - 0.7%
Calavo Growers, Inc. (a)		432	$	41,731
Darling Ingredients, Inc. *		1,560		30,139
Fresh Del Monte Produce, Inc.		1,226		41,549
Freshpet, Inc. *		741		27,195
J&J Snack Foods Corp. (a)		693		104,567
John B Sanfilippo & Son, Inc.		879		62,743
Lancaster Colony Corp.		718		107,133
Sanderson Farms, Inc.		306		31,631
				446,688
Gas Utilities - 0.6%
Chesapeake Utilities Corp.		631		52,941
New Jersey Resources Corp.		914		42,135
Northwest Natural Gas Co.		369		24,686
ONE Gas, Inc.		2,675		220,099
Southwest Gas Holdings, Inc.		463		36,591
				376,452
Health Care Equipment & Supplies - 6.8%
Antares Pharma, Inc. *		20,432		68,652
AtriCure, Inc. *		1,381		48,376
Avanos Medical, Inc. *		573		39,250
AxoGen, Inc. *		5,638		207,760
Cardiovascular Systems, Inc. *		1,382		54,091
Cerus Corp. *		17,213		124,106
CONMED Corp.		730		57,831
CryoPort, Inc. *(a)		6,759		86,583
Cutera, Inc. *		2,049		66,695
CytoSorbents Corp. *		5,195		67,016
Glaukos Corp. *		685		44,457
Globus Medical, Inc., Class A *		4,422		250,993
Haemonetics Corp. *		4,230		484,673
Heska Corp. *		1,066		120,788
Inogen, Inc. *		1,821		444,543
Integer Holdings Corp. *		1,071		88,839
IntriCon Corp. *		2,452		137,802
iRhythm Technologies, Inc. *		1,097		103,842
LeMaitre Vascular, Inc.		1,791		69,383
LivaNova plc*		2,386		295,792
Merit Medical Systems, Inc. *(a)		1,284		78,902
Natus Medical, Inc. *		1,100		39,215
Neogen Corp. *		1,223		87,481
Novocure Ltd. *		6,834		358,102
Nuvectra Corp. *		2,698		59,302
OraSure Technologies, Inc. *		2,087		32,244
Quidel Corp. *		2,429		158,298
Senseonics Holdings, Inc. *(a)		12,072		57,583
Sientra, Inc. *(a)		2,258		53,921
STAAR Surgical Co. *		4,538		217,824
Surmodics, Inc. *		1,358		101,375
Tactile Systems Technology, Inc. *		1,533		108,920
Tandem Diabetes Care, Inc. *		5,498		235,534
TransEnterix, Inc. *(a)		33,717		195,559
ViewRay, Inc. *		6,435		60,232
				4,705,964
Health Care Providers & Services - 2.6%
AAC Holdings, Inc. *		3,968		30,276
Addus HomeCare Corp. *		1,804		126,551

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

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INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 2.6% (continued)
Amedisys, Inc. *		1,383	$	172,820
AMN Healthcare Services, Inc. *		1,696		92,771
BioTelemetry, Inc. *		3,065		197,539
CorVel Corp. *		404		24,341
Diplomat Pharmacy, Inc. *		2,496		48,447
Ensign Group, Inc. (The)		2,325		88,164
HealthEquity, Inc. *		3,369		318,067
LHC Group, Inc. *		1,013		104,329
Providence Service Corp. (The) *		400		26,912
R1 RCM, Inc. *		10,525		106,934
RadNet, Inc. *		2,195		33,035
Select Medical Holdings Corp. *		3,001		55,218
Tenet Healthcare Corp. *		6,114		174,005
Tivity Health, Inc. *		2,933		94,296
Triple-S Management Corp., Class B *		2,436		46,016
US Physical Therapy, Inc.		392		46,491
				1,786,212
Health Care Technology - 1.3%
Allscripts Healthcare Solutions, Inc. *		2,012		28,671
Evolent Health, Inc., Class A *(a)		1,307		37,119
Inovalon Holdings, Inc., Class A *(a)		2,353		23,648
Medidata Solutions, Inc. *		1,338		98,089
Omnicell, Inc. *		1,035		74,416
Tabula Rasa HealthCare, Inc. *		2,561		207,928
Teladoc Health, Inc. *(a)		4,468		385,812
Vocera Communications, Inc. *		901		32,958
				888,641
Hotels, Restaurants & Leisure - 4.0%
BJ’s Restaurants, Inc.		1,103		79,637
Boyd Gaming Corp.		5,217		176,595
Brinker International, Inc.		467		21,823
Churchill Downs, Inc.		406		112,746
Cracker Barrel Old Country Store, Inc. (a)		385		56,645
Dave & Buster’s Entertainment, Inc. *		867		57,413
Denny’s Corp. *		2,000		29,440
Dine Brands Global, Inc. (a)		1,238		100,662
Drive Shack, Inc., REIT *		5,264		31,373
Eldorado Resorts, Inc. *		7,283		353,954
Golden Entertainment, Inc. *		1,870		44,899
Jack in the Box, Inc.		818		68,573
Marriott Vacations Worldwide Corp.		982		109,739
Nathan’s Famous, Inc.		443		36,503
Noodles & Co. *		8,403		101,676
Penn National Gaming, Inc. *		4,764		156,831
Planet Fitness, Inc., Class A *		5,837		315,373
RCI Hospitality Holdings, Inc.		2,273		67,304
Red Rock Resorts, Inc., Class A (a)		3,360		89,544
Ruth’s Hospitality Group, Inc.		1,920		60,576
Scientific Games Corp. *		4,057		103,048
SeaWorld Entertainment, Inc. *		2,616		82,221
Shake Shack, Inc., Class A *		1,416		89,222
Sonic Corp.		727		31,508
Texas Roadhouse, Inc.		2,332		161,584
Town Sports International Holdings, Inc. *		9,299		80,436
Wingstop, Inc.		2,345		160,093
				2,779,418

INVESTMENTS	SHARES		VALUE
Household Durables - 0.9%
Cavco Industries, Inc. *		433	$	109,549
Helen of Troy Ltd. *		962		125,926
Hooker Furniture Corp.		780		26,364
Installed Building Products, Inc. *		1,672		65,208
KB Home		1,057		25,273
La-Z-Boy, Inc.		722		22,815
LGI Homes, Inc. *(a)		2,234		105,981
MDC Holdings, Inc.		747		22,096
TopBuild Corp. *		1,686		95,799
				599,011
Household Products - 0.3%
Central Garden & Pet Co., Class A *		3,085		102,237
WD-40 Co. (a)		543		93,450
				195,687
Independent Power and Renewable Electricity Producers - 0.0% (b)
Clearway Energy, Inc., Class C		1,476		28,413
Insurance - 2.5%
American Equity Investment Life Holding Co.		1,528		54,030
AMERISAFE, Inc.		907		56,189
Argo Group International Holdings Ltd.		2,019		127,298
CNO Financial Group, Inc.		1,609		34,143
Employers Holdings, Inc.		574		26,002
Enstar Group Ltd. *		673		140,320
Health Insurance Innovations, Inc., Class A *		3,654		225,269
James River Group Holdings Ltd.		2,244		95,639
Kemper Corp.		3,884		312,468
National General Holdings Corp.		1,414		37,952
Primerica, Inc.		1,888		227,598
RLI Corp.		1,284		100,897
Selective Insurance Group, Inc.		768		48,768
Trupanion, Inc. *(a)		2,219		79,285
United Fire Group, Inc.		1,284		65,189
United Insurance Holdings Corp.		2,600		58,188
Universal Insurance Holdings, Inc.		1,100		53,405
				1,742,640
Interactive Media & Services - 0.4%
QuinStreet, Inc. *		7,756		105,249
Travelzoo *		2,494		29,554
TrueCar, Inc. *		2,890		40,749
XO Group, Inc. *		2,632		90,751
Yelp, Inc. *		802		39,459
				305,762
Internet & Direct Marketing Retail - 1.8%
1-800-Flowers.com, Inc., Class A *		3,613		42,633
Etsy, Inc. *		10,006		514,108
Gaia, Inc. *		1,586		24,424
Groupon, Inc. *		14,802		55,804
Lands’ End, Inc. *		832		14,602
Nutrisystem, Inc. (a)		1,547		57,316
Overstock.com, Inc. *(a)		1,956		54,181
PetMed Express, Inc.		584		19,278
Quotient Technology, Inc. *		2,633		40,812
Remark Holdings, Inc. *		7,357		23,469

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

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INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 1.8% (continued)
Shutterfly, Inc. *		1,961	$	129,210
Shutterstock, Inc.		422		23,033
Stamps.com, Inc. *		1,062		240,224
				1,239,094
IT Services - 1.5%
CACI International, Inc., Class A *		837		154,133
Carbonite, Inc. *		3,115		111,050
CSG Systems International, Inc.		958		38,454
Everi Holdings, Inc. *		11,920		109,306
EVERTEC, Inc.		853		20,557
ExlService Holdings, Inc. *		709		46,936
GTT Communications, Inc. *(a)		1,439		62,453
Limelight Networks, Inc. *		5,392		27,068
ManTech International Corp., Class A		1,205		76,276
MAXIMUS, Inc.		1,045		67,988
Perficient, Inc. *		1,387		36,964
Science Applications International Corp.		553		44,572
Tucows, Inc., Class A *		1,347		75,095
Unisys Corp. *		2,742		55,937
Virtusa Corp. *		1,988		106,775
				1,033,564
Leisure Products - 0.2%
Callaway Golf Co.		2,957		71,826
Johnson Outdoors, Inc., Class A		384		35,708
Malibu Boats, Inc., Class A *		414		22,654
Sturm Ruger & Co., Inc.		385		26,584
				156,772
Life Sciences Tools & Services - 0.7%
Accelerate Diagnostics, Inc. *(a)		2,058		47,231
Cambrex Corp. *		854		58,413
Codexis, Inc. *(a)		10,086		172,975
Harvard Bioscience, Inc. *		5,732		30,093
Medpace Holdings, Inc. *		2,186		130,963
NeoGenomics, Inc. *		2,416		37,086
Syneos Health, Inc. *		420		21,651
				498,412
Machinery - 3.5%
Alamo Group, Inc.		289		26,475
Albany International Corp., Class A		692		55,014
Barnes Group, Inc.		873		62,009
Chart Industries, Inc. *		1,484		116,242
Columbus McKinnon Corp.		620		24,515
DMC Global, Inc.		2,204		89,923
Douglas Dynamics, Inc.		969		42,539
EnPro Industries, Inc.		521		37,997
Federal Signal Corp.		2,000		53,560
Global Brass & Copper Holdings, Inc.		3,107		114,648
Greenbrier Cos., Inc. (The)		726		43,633
Harsco Corp. *		4,007		114,400
Hillenbrand, Inc.		913		47,750
John Bean Technologies Corp.(a)		1,454		173,462
Kadant, Inc.		620		66,867
Kennametal, Inc.		2,429		105,807
Lydall, Inc. *		737		31,765
Manitowoc Co., Inc. (The) *		1,095		26,269

INVESTMENTS	SHARES		VALUE
Machinery - 3.5% (continued)
Meritor, Inc. *		4,408	$	85,339
Mueller Water Products, Inc., Class A		5,126		59,000
Navistar International Corp. *(a)		4,684		180,334
Proto Labs, Inc. *		1,443		233,405
RBC Bearings, Inc. *		504		75,781
Rexnord Corp. *		1,006		30,985
Spartan Motors, Inc.		7,354		108,472
SPX Corp. *		4,606		153,426
SPX FLOW, Inc. *		638		33,176
Standex International Corp.		358		37,321
Sun Hydraulics Corp.		453		24,815
Tennant Co.		497		37,747
Watts Water Technologies, Inc., Class A		425		35,275
Woodward, Inc.		689		55,713
				2,383,664
Marine - 0.2%
Genco Shipping & Trading Ltd. *		4,726		66,164
Safe Bulkers, Inc. (Greece) *		7,778		22,400
Scorpio Bulkers, Inc.		4,339		31,458
				120,022
Media - 0.6%
Gray Television, Inc. *		2,135		37,363
New York Times Co. (The), Class A		7,234		167,467
Nexstar Media Group, Inc., Class A (a)		356		28,978
TechTarget, Inc. *		7,440		144,485
				378,293
Metals & Mining - 1.0%
Allegheny Technologies, Inc. *(a)		4,725		139,624
Carpenter Technology Corp.		777		45,804
Century Aluminum Co. *		4,009		47,988
Cleveland-Cliffs, Inc. *(a)		6,004		76,011
Gold Resource Corp.		6,116		31,436
Kaiser Aluminum Corp.		680		74,161
Materion Corp.		515		31,157
Schnitzer Steel Industries, Inc., Class A		769		20,801
SunCoke Energy, Inc. *		3,986		46,317
Warrior Met Coal, Inc.		4,515		122,086
Worthington Industries, Inc.		1,413		61,268
				696,653
Multiline Retail - 0.8%
Dillard’s, Inc., Class A (a)		676		51,606
Ollie’s Bargain Outlet Holdings, Inc. *		5,105		490,590
				542,196
Multi-Utilities - 0.0% (b)
Unitil Corp.		507		25,806
Oil, Gas & Consumable Fuels - 3.7%
Abraxas Petroleum Corp. *		19,535		45,516
Amyris, Inc. *		5,198		41,272
Arch Coal, Inc., Class A		372		33,257
California Resources Corp. *		5,024		243,815
Callon Petroleum Co. *		1,986		23,812
Carrizo Oil & Gas, Inc. *		1,529		38,531
CVR Energy, Inc.		5,397		217,067

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

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INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 3.7% (continued)
Delek US Holdings, Inc.		4,780	$	202,815
Denbury Resources, Inc. *		43,200		267,840
GasLog Ltd. (Monaco)		1,757		34,701
Golar LNG Ltd.		1,216		33,805
HighPoint Resources Corp. *		19,829		96,765
Matador Resources Co. *		1,372		45,345
Northern Oil and Gas, Inc. *(a)		21,610		86,440
Oasis Petroleum, Inc. *		10,892		154,449
Pacific Ethanol, Inc. *		900		1,710
Par Pacific Holdings, Inc. *		1,283		26,173
PDC Energy, Inc. *		847		41,469
Peabody Energy Corp.		5,776		205,857
Penn Virginia Corp. *		1,028		82,795
Renewable Energy Group, Inc. *		734		21,139
Resolute Energy Corp. *(a)		1,632		61,706
REX American Resources Corp. *		300		22,665
Ring Energy, Inc. *		3,361		33,307
SRC Energy, Inc. *		10,058		89,416
Uranium Energy Corp. *		20,939		36,015
W&T Offshore, Inc. *		19,690		189,812
WildHorse Resource Development Corp. *		7,275		171,981
				2,549,475
Paper & Forest Products - 0.5%
Boise Cascade Co.		465		17,112
Louisiana-Pacific Corp.		3,731		98,834
Verso Corp., Class A *		6,115		205,892
				321,838
Personal Products - 0.8%
Inter Parfums, Inc.		315		20,302
Medifast, Inc.		1,259		278,932
USANA Health Sciences, Inc. *		1,846		222,535
				521,769
Pharmaceuticals - 2.5%
Aerie Pharmaceuticals, Inc. *		1,454		89,494
Amphastar Pharmaceuticals, Inc. *		1,336		25,705
ANI Pharmaceuticals, Inc. *		400		22,616
Assembly Biosciences, Inc. *		2,620		97,307
Collegium Pharmaceutical, Inc. *(a)		1,711		25,220
Corcept Therapeutics, Inc. *(a)		5,479		76,815
Cymabay Therapeutics, Inc. *		5,714		63,311
Durect Corp. *		23,677		26,045
Endo International plc*		1,400		23,562
Endocyte, Inc. *		8,959		159,112
Horizon Pharma plc*		4,125		80,767
Intersect ENT, Inc. *		1,881		54,079
Intra-Cellular Therapies, Inc. *		2,531		54,923
Marinus Pharmaceuticals, Inc. *		12,261		122,610
MyoKardia, Inc. *		2,930		191,036
Omeros Corp. *		1,122		27,388
Phibro Animal Health Corp., Class A		2,245		96,310
Reata Pharmaceuticals, Inc., Class A *(a)		1,337		109,313
Revance Therapeutics, Inc. *		805		20,004
Supernus Pharmaceuticals, Inc. *		2,382		119,934
WaVe Life Sciences Ltd. *		1,647		82,350
Zogenix, Inc. *(a)		3,119		154,702
				1,722,603

INVESTMENTS	SHARES		VALUE
Professional Services - 1.8%
ASGN, Inc. *		2,356	$	185,959
Exponent, Inc.		1,410		75,576
FTI Consulting, Inc. *		2,526		184,878
Heidrick & Struggles International, Inc.		869		29,416
ICF International, Inc.		295		22,258
Insperity, Inc.		2,810		331,439
Kforce, Inc.		1,137		42,751
Korn/Ferry International		2,978		146,637
TriNet Group, Inc. *		2,764		155,668
Willdan Group, Inc. *		2,362		80,214
				1,254,796
Real Estate Management & Development - 0.4%
HFF, Inc., Class A		1,572		66,778
RE/MAX Holdings, Inc., Class A		817		36,234
RMR Group, Inc. (The), Class A		1,492		138,458
				241,470
Road & Rail - 1.1%
ArcBest Corp.		3,427		166,381
Covenant Transportation Group, Inc., Class A *		1,000		29,060
Heartland Express, Inc.		1,825		36,007
Hertz Global Holdings, Inc. *		1,261		20,592
Marten Transport Ltd.		1,333		28,060
Saia, Inc. *		1,580		120,791
Universal Logistics Holdings, Inc.		5,496		202,253
USA Truck, Inc. *		3,949		79,888
Werner Enterprises, Inc.		1,643		58,080
				741,112
Semiconductors & Semiconductor Equipment - 2.4%
Advanced Energy Industries, Inc. *		1,474		76,132
Amkor Technology, Inc. *		7,188		53,119
Axcelis Technologies, Inc. *		1,873		36,804
AXT, Inc. *		3,076		21,993
Brooks Automation, Inc.		3,242		113,567
Cabot Microelectronics Corp.		773		79,750
CEVA, Inc. *		693		19,924
Cohu, Inc.		1,054		26,455
Cree, Inc. *(a)		7,857		297,545
Diodes, Inc. *		1,888		62,851
Entegris, Inc.		5,309		153,696
FormFactor, Inc. *		1,789		24,599
Integrated Device Technology, Inc. *		4,871		228,986
MaxLinear, Inc. *		2,748		54,630
Nanometrics, Inc. *		818		30,691
Power Integrations, Inc.		424		26,797
Rambus, Inc. *		3,205		34,967
Rudolph Technologies, Inc. *		786		19,218
Semtech Corp. *		2,146		119,318
Silicon Laboratories, Inc. *		1,036		95,105
SMART Global Holdings, Inc. *		2,924		84,036
				1,660,183
Software - 8.4%
8x8, Inc. *		4,163		88,464
ACI Worldwide, Inc. *		1,294		36,413
Alarm.com Holdings, Inc. *		2,412		138,449

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

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INVESTMENTS	SHARES		VALUE
Software - 8.4% (continued)
Alteryx, Inc., Class A *(a)		4,182	$	239,252
Appfolio, Inc., Class A *		3,881		304,270
Apptio, Inc., Class A *		4,081		150,834
Blackbaud, Inc.		1,818		184,491
Blackline, Inc. *		655		36,988
Bottomline Technologies DE, Inc. *		5,131		373,075
Box, Inc., Class A *		3,222		77,038
CommVault Systems, Inc. *		357		24,990
Cornerstone OnDemand, Inc. *		360		20,430
Coupa Software, Inc. *		3,578		283,020
Ebix, Inc. (a)		1,032		81,683
eGain Corp. *		5,705		46,210
Ellie Mae, Inc. *(a)		1,154		109,365
Envestnet, Inc. *		1,531		93,314
Everbridge, Inc. *		1,964		113,205
Five9, Inc. *		7,053		308,145
Glu Mobile, Inc. *		14,137		105,321
Hortonworks, Inc. *		5,038		114,917
HubSpot, Inc. *		2,161		326,203
Instructure, Inc. *		1,728		61,171
j2 Global, Inc.		616		51,036
LivePerson, Inc. *		4,871		126,402
MicroStrategy, Inc., Class A *		200		28,124
MINDBODY, Inc., Class A *		4,142		168,372
New Relic, Inc. *		3,717		350,253
Paylocity Holding Corp. *		2,192		176,061
Progress Software Corp.		661		23,327
PROS Holdings, Inc. *		1,046		36,631
Q2 Holdings, Inc. *(a)		1,876		113,592
QAD, Inc., Class A		335		18,978
Qualys, Inc. *		2,725		242,797
Rapid7, Inc. *		3,479		128,445
ShotSpotter, Inc. *(a)		1,733		106,216
SPS Commerce, Inc. *		733		72,743
Trade Desk, Inc. (The), Class A *		2,815		424,812
Upland Software, Inc. *		2,969		95,928
Varonis Systems, Inc. *		2,240		164,080
Verint Systems, Inc. *		900		45,090
Veritone, Inc. *		2,761		28,797
VirnetX Holding Corp. *		80		372
Workiva, Inc. *		533		21,053
Yext, Inc. *		2,341		55,482
				5,795,839
Specialty Retail - 5.0%
Aaron’s, Inc.		2,148		116,980
Abercrombie & Fitch Co., Class A		6,239		131,768
American Eagle Outfitters, Inc.		14,265		354,200
Ascena Retail Group, Inc. *		12,313		56,270
At Home Group, Inc. *(a)		2,835		89,388
Boot Barn Holdings, Inc. *		5,347		151,908
Buckle, Inc. (The)		3,056		70,441
Caleres, Inc.		931		33,386
Carvana Co. *(a)		11,337		669,903
Children’s Place, Inc. (The)		826		105,563
Conn’s, Inc. *		3,466		122,523
Container Store Group, Inc. (The) *		1,772		19,669
DSW, Inc., Class A		4,567		154,730
Express, Inc. *		3,365		37,217

INVESTMENTS	SHARES		VALUE
Specialty Retail - 5.0% (continued)
Five Below, Inc. *		3,647	$	474,329
Guess?, Inc.		6,093		137,702
Lithia Motors, Inc., Class A		321		26,213
New York & Co., Inc. *		21,876		84,441
Party City Holdco, Inc. *		1,551		21,016
RH *		1,645		215,512
Shoe Carnival, Inc.		1,726		66,451
Sleep Number Corp. *		1,158		42,591
Tailored Brands, Inc. (a)		4,046		101,919
Tilly’s, Inc., Class A		5,051		95,716
Zumiez, Inc. *		2,447		64,478
				3,444,314
Technology Hardware, Storage & Peripherals - 0.1%
USA Technologies, Inc. *		5,970		42,984
Textiles, Apparel & Luxury Goods - 1.7%
Crocs, Inc. *		9,832		209,323
Deckers Outdoor Corp. *		2,201		260,995
Fossil Group, Inc. *(a)		4,530		105,458
G-III Apparel Group Ltd. *		4,160		200,471
Movado Group, Inc.		2,133		89,373
Oxford Industries, Inc.		831		74,956
Rocky Brands, Inc.		1,617		45,761
Steven Madden Ltd.		947		50,096
Vera Bradley, Inc. *		2,284		34,854
Wolverine World Wide, Inc.		3,321		129,685
				1,200,972
Thrifts & Mortgage Finance - 1.5%
Axos Financial, Inc. *		3,235		111,252
Essent Group Ltd. *		2,281		100,934
Federal Agricultural Mortgage Corp., Class C		480		34,646
First Defiance Financial Corp.		1,450		43,659
HomeStreet, Inc. *		1,444		38,266
Kearny Financial Corp.		3,143		43,531
LendingTree, Inc. *(a)		622		143,122
Meta Financial Group, Inc.		1,311		108,354
MGIC Investment Corp. *		6,288		83,693
NMI Holdings, Inc., Class A *		1,635		37,033
Northwest Bancshares, Inc.		5,435		94,134
Radian Group, Inc.		2,374		49,071
Walker & Dunlop, Inc.		1,468		77,628
Waterstone Financial, Inc.		2,000		34,300
				999,623
Tobacco - 0.1%
Pyxus International, Inc. *		1,872		43,056
Trading Companies & Distributors - 1.1%
Aircastle Ltd.		1,474		32,295
Beacon Roofing Supply, Inc. *		529		19,144
BlueLinx Holdings, Inc. *(a)		1,821		57,343
CAI International, Inc. *		2,335		53,401
DXP Enterprises, Inc. *		1,558		62,429
H&E Equipment Services, Inc.		1,734		65,511
Herc Holdings, Inc. *		433		22,170
MRC Global, Inc. *		3,293		61,810

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

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INVESTMENTS	SHARES		VALUE
Trading Companies & Distributors - 1.1% (continued)
Rush Enterprises, Inc., Class A		1,230	$	48,351
SiteOne Landscape Supply, Inc. *		2,272		171,172
Systemax, Inc.		2,922		96,251
Triton International Ltd.		2,128		70,799
				760,676
Water Utilities - 0.2%
American States Water Co.		1,106		67,621
Cadiz, Inc. *		2,241		24,987
Middlesex Water Co.		1,085		52,536
				145,144
Wireless Telecommunication Services - 0.5%
Boingo Wireless, Inc. *		3,806		132,829
NII Holdings, Inc. *(a)		20,496		120,107
Shenandoah Telecommunications Co.		2,014		78,042
				330,978
TOTAL COMMON STOCKS (Cost $49,851,864)				66,908,396
SHORT-TERM INVESTMENTS - 2.7%
Investment Companies - 2.7%
Limited Purpose Cash Investment Fund, 2.06% (c)
(Cost $1,834,051)		1,834,308		1,834,124
SECURITIES LENDING COLLATERAL - 12.7%
Investment Companies - 12.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (c)(d)		1,066,907		1,066,907
Limited Purpose Cash Investment Fund 2.06% (c)(d)		7,655,700		7,654,935
TOTAL SECURITIES LENDING COLLATERAL (Cost $8,722,607)				8,721,842
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 112.7% (Cost $60,408,522)				77,464,362
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.7)% (e)				(8,715,933	)
NET ASSETS - 100.0%			$	68,748,429

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	2,353,588			3.4	%
Consumer Discretionary		11,512,267			16.8
Consumer Staples		1,726,664			2.5
Energy		3,528,500			5.1
Financials		6,492,536			9.4
Health Care		17,460,481			25.4
Industrials		9,173,995			13.3
Information Technology		10,283,232			15.0
Materials		2,141,583			3.1
Real Estate		1,427,530			2.1
Utilities		808,020			1.2
Short-Term Investments		1,834,124			2.7
Securities Lending Collateral		8,721,842			12.7
Total Investments In Securities At Value		77,464,362			112.7
Liabilities in Excess of Other Assets (e)		(8,715,933	)		(12.7	)
Net Assets	$	68,748,429			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $8,434,961.

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

(c) Represents 7-day effective yield as of September 30, 2018.

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

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index		14	12/2018	USD		$1,190,560		$(12,493	)
								$(12,493	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$69,208		$69,208

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Australia - 5.4%
AGL Energy Ltd.		14,330	$	202,144
Alumina Ltd.		157,524		315,337
Amcor Ltd.		28,362		280,308
Aristocrat Leisure Ltd.		16,818		345,391
BHP Billiton plc		15,882		346,570
BlueScope Steel Ltd.		13,466		165,157
Caltex Australia Ltd.		6,874		148,505
CIMIC Group Ltd.		1,392		51,664
Cochlear Ltd.		852		123,537
Computershare Ltd.		4,413		63,552
CSL Ltd.		9,109		1,323,533
Dexus, REIT		12,369		94,494
Flight Centre Travel Group Ltd.		1,887		72,464
Goodman Group, REIT		9,510		71,340
Insurance Australia Group Ltd.		27,972		147,880
Macquarie Group Ltd.		2,588		235,426
Medibank Pvt Ltd.		36,704		77,178
Oil Search Ltd.		9,518		62,171
Origin Energy Ltd. *		51,235		305,394
Ramsay Health Care Ltd.		4,824		191,392
REA Group Ltd.		962		59,685
Rio Tinto plc		13,589		685,450
Santos Ltd.		39,363		206,663
South32 Ltd.		120,841		339,600
Treasury Wine Estates Ltd.		52,959		668,444
Wesfarmers Ltd.		6,805		245,043
Woodside Petroleum Ltd.		3,381		94,319
				6,922,641
Austria - 0.5%
ANDRITZ AG		2,003		116,826
OMV AG		6,031		338,333
Raiffeisen Bank International AG		8,448		243,146
				698,305
Belgium - 0.7%
Ageas		9,048		486,408
Colruyt SA		624		35,314
Umicore SA		7,052		393,914
				915,636
Canada - 9.7%
Alimentation Couche-Tard, Inc., Class B (1)		2,207		110,397
BlackBerry Ltd. (1)*		7,514		85,050
Bombardier, Inc., Class B (1)*		86,336		307,472
Brookfield Asset Management, Inc., Class A (1)		4,940		219,874
CAE, Inc. (1)		3,067		62,259
Canadian Imperial Bank of Commerce (1)		2,202		206,331
Canadian National Railway Co. (1)		2,046		183,588
Canadian Natural Resources Ltd. (1)		24,816		810,773
Canadian Pacific Railway Ltd. (1)		1,804		381,610
Canadian Tire Corp. Ltd., Class A (1)		1,511		177,041
CCL Industries, Inc., Class B (1)		5,217		235,152
Cenovus Energy, Inc. (1)		12,854		129,072
CGI Group, Inc., Class A (1)*		3,368		217,154
Constellation Software, Inc. (1)		723		531,689
Dollarama, Inc. (1)		16,098		507,125

INVESTMENTS	SHARES		VALUE
Canada - 9.7% (continued)
Empire Co. Ltd., Class A (1)		4,422	$	80,590
Encana Corp. (1)		13,462		176,450
Fairfax Financial Holdings Ltd. (1)		329		178,742
Finning International, Inc. (1)		4,203		102,663
Fortis, Inc. (1)		7,587		245,998
Franco-Nevada Corp. (1)		1,902		118,981
Gildan Activewear, Inc. (1)		2,257		68,672
Husky Energy, Inc. (1)		7,055		123,878
Imperial Oil Ltd. (1)(a)		6,093		197,180
International Petroleum Corp. *		3,493		22,780
Magna International, Inc. (1)		7,886		414,249
Manulife Financial Corp. (1)		7,335		131,123
Methanex Corp. (1)		2,303		181,794
National Bank of Canada (1)		5,523		275,840
Nutrien Ltd. (1)		6,033		348,346
Onex Corp. (1)		1,464		100,116
Open Text Corp. (1)		1,890		71,918
Pembina Pipeline Corp. (1)		3,384		114,988
Restaurant Brands International, Inc. (1)		4,206		249,042
Rogers Communications, Inc., Class B (1)		7,436		382,436
Royal Bank of Canada (1)		1,750		140,282
Shopify, Inc., Class A (1)*		4,859		798,642
Sun Life Financial, Inc. (1)		6,877		273,398
Suncor Energy, Inc. (1)		47,579		1,841,054
Teck Resources Ltd., Class B (1)		4,969		119,758
Toronto-Dominion Bank (The) (1)		22,163		1,346,784
West Fraser Timber Co. Ltd. (1)		911		51,847
WSP Global, Inc. (1)		2,856		156,304
				12,478,442
Chile - 0.0% (b)
Antofagasta plc		3,557		39,527
China - 0.4%
BOC Hong Kong Holdings Ltd.		89,500		424,796
Minth Group Ltd. (a)		14,000		57,597
Yangzijiang Shipbuilding Holdings Ltd.		45,600		41,340
				523,733
Denmark - 2.3%
Carlsberg A/S, Class B		874		104,815
Chr Hansen Holding A/S		1,773		179,757
Coloplast A/S, Class B		914		93,370
DSV A/S		4,230		384,383
Genmab A/S *		317		49,792
H Lundbeck A/S		3,070		189,506
ISS A/S		1,327		46,622
Novo Nordisk A/S, Class B		13,374		629,448
Novozymes A/S, Class B		1,164		63,844
Orsted A/S (c)		10,618		721,523
Pandora A/S		641		39,981
Tryg A/S		11,965		297,939
William Demant Holding A/S *		3,964		148,802
				2,949,782
Finland - 1.6%
Elisa OYJ		1,415		59,988
Fortum OYJ		22,341		559,896
Kone OYJ, Class B		2,741		146,311

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

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INVESTMENTS	SHARES		VALUE
Finland - 1.6% (continued)
Metso OYJ		1,670	$	59,105
Neste OYJ		3,922		323,272
Nokian Renkaat OYJ		1,449		59,310
Sampo OYJ, Class A		3,563		184,382
Stora Enso OYJ, Class R		12,318		235,226
UPM-Kymmene OYJ		7,635		299,437
Wartsila OYJ Abp		5,676		110,453
				2,037,380
France - 4.8%
Accor SA		917		47,108
Airbus SE		10,257		1,287,690
AXA SA		6,712		179,853
BNP Paribas SA		10,463		640,719
Capgemini SE		1,863		234,548
Credit Agricole SA		26,078		374,871
Dassault Systemes SE		2,145		320,972
Essilor International Cie Generale d’Optique SA		726		107,462
Hermes International		304		201,407
Iliad SA (a)		513		67,010
L’Oreal SA		548		132,116
LVMH Moet Hennessy Louis Vuitton SE		1,666		588,716
Orange SA		18,570		295,479
Peugeot SA		2,366		63,825
Renault SA		555		48,009
Safran SA		2,841		397,808
Sanofi		811		72,461
Societe Generale SA		5,264		226,038
TOTAL SA		10,152		660,091
Valeo SA		5,598		242,398
				6,188,581
Germany - 7.8%
1&1 Drillisch AG		1,015		49,341
adidas AG		4,540		1,110,301
Allianz SE (Registered)		4,554		1,013,569
Axel Springer SE		845		56,808
BASF SE		1,815		161,051
Beiersdorf AG		526		59,292
Brenntag AG		669		41,258
Continental AG		988		171,660
Covestro AG (c)		3,603		291,653
Deutsche Boerse AG		2,453		327,983
Deutsche Post AG (Registered)		6,482		230,463
Deutsche Wohnen SE		9,053		434,831
E.ON SE		67,552		687,392
Fraport AG Frankfurt Airport Services Worldwide		1,128		99,582
Fresenius Medical Care AG & Co. KGaA		459		47,159
Hannover Rueck SE		3,192		450,545
HeidelbergCement AG		577		45,068
HOCHTIEF AG		255		42,273
HUGO BOSS AG		1,731		133,175
Infineon Technologies AG		33,811		769,399
KION Group AG		804		49,366
LANXESS AG		1,584		115,867
MAN SE		419		45,549
MTU Aero Engines AG		445		100,249

INVESTMENTS	SHARES		VALUE
Germany - 7.8% (continued)
Puma SE		380	$	187,494
RWE AG		13,533		334,122
SAP SE		7,794		958,378
Siemens AG (Registered)		1,201		153,564
Symrise AG		943		85,982
United Internet AG (Registered)		2,114		99,950
Vonovia SE		9,941		486,197
Wirecard AG		5,088		1,100,784
Zalando SE *(c)		3,246		126,134
				10,066,439
Hong Kong - 3.7%
AIA Group Ltd.		191,600		1,708,481
ASM Pacific Technology Ltd.		7,400		75,619
CK Asset Holdings Ltd.		34,500		258,619
CK Hutchison Holdings Ltd.		7,000		80,575
CLP Holdings Ltd. (a)		26,000		304,479
Galaxy Entertainment Group Ltd.		50,000		315,854
Hang Seng Bank Ltd.		2,400		65,122
Henderson Land Development Co. Ltd.		21,961		110,290
Hong Kong Exchanges & Clearing Ltd.		18,900		540,059
Link REIT		30,500		300,302
MTR Corp. Ltd.		19,500		102,549
New World Development Co. Ltd.		39,000		52,971
PCCW Ltd.		75,000		43,697
Power Assets Holdings Ltd.		7,000		48,657
Shangri-La Asia Ltd.		32,000		47,364
Sun Hung Kai Properties Ltd.		13,000		188,659
Techtronic Industries Co. Ltd.		27,500		175,414
WH Group Ltd. (c)		251,500		176,567
Wharf Holdings Ltd. (The)		16,000		43,563
Wharf Real Estate Investment Co. Ltd.		16,000		103,081
Wheelock & Co. Ltd.		9,000		54,109
				4,796,031
Italy - 1.7%
Assicurazioni Generali SpA		6,913		119,041
Atlantia SpA		3,173		65,829
Enel SpA		102,597		524,428
Eni SpA		18,286		344,683
Ferrari NV (a)		3,660		502,725
Intesa Sanpaolo SpA		78,923		201,090
Mediobanca Banca di Credito Finanziario SpA		8,681		86,391
Moncler SpA		2,560		110,150
Prysmian SpA		2,292		53,215
Recordati SpA		1,120		37,872
Terna Rete Elettrica Nazionale SpA		23,336		124,658
				2,170,082
Japan - 29.1%
Aeon Co. Ltd.		5,400		130,115
AGC, Inc.		3,300		136,958
Aisin Seiki Co. Ltd.		1,800		87,695
Alfresa Holdings Corp.		1,900		50,893
ANA Holdings, Inc. (a)		9,000		314,411
Asahi Group Holdings Ltd.		9,400		407,840
Asahi Kasei Corp.		24,200		366,923
Astellas Pharma, Inc.		17,700		309,095

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

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INVESTMENTS	SHARES		VALUE
Japan - 29.1% (continued)
Bank of Kyoto Ltd. (The)		1,000	$	52,197
Benesse Holdings, Inc.		2,100		59,799
Bridgestone Corp.		7,300		275,892
Brother Industries Ltd.		6,600		130,318
Canon, Inc.		15,200		481,985
Central Japan Railway Co.		1,600		333,117
Chiba Bank Ltd. (The)		15,000		102,443
Chugai Pharmaceutical Co. Ltd.		7,600		488,553
Coca-Cola Bottlers Japan Holdings, Inc.		2,200		58,881
CyberAgent, Inc.		3,200		170,293
Daicel Corp.		3,400		39,495
Daifuku Co. Ltd.		5,700		290,498
Dai-ichi Life Holdings, Inc.		7,000		145,917
Daiichi Sankyo Co. Ltd.		12,800		554,853
Daikin Industries Ltd.		3,100		412,621
Daito Trust Construction Co. Ltd.		900		115,979
Daiwa House Industry Co. Ltd.		10,100		299,302
Denso Corp.		4,800		253,574
Disco Corp.		700		117,224
Don Quijote Holdings Co. Ltd.		1,300		65,785
Eisai Co. Ltd.		3,800		370,185
FANUC Corp.		1,000		188,133
Fast Retailing Co. Ltd.		800		405,279
Fuji Electric Co. Ltd.		1,200		48,068
FUJIFILM Holdings Corp.		2,000		89,978
Fujitsu Ltd.		600		42,744
Fukuoka Financial Group, Inc.		2,400		66,001
Hikari Tsushin, Inc.		400		79,054
Hisamitsu Pharmaceutical Co., Inc.		700		53,685
Hitachi Construction Machinery Co. Ltd.		5,300		177,190
Hitachi Ltd.		14,600		496,278
Honda Motor Co. Ltd.		1,500		45,174
Hoshizaki Corp.		1,200		124,205
Hoya Corp.		6,900		409,798
Idemitsu Kosan Co. Ltd.		9,200		487,089
IHI Corp.		1,200		45,464
Iida Group Holdings Co. Ltd.		2,400		42,654
Inpex Corp.		15,100		188,668
ITOCHU Corp.		27,600		505,166
Japan Airlines Co. Ltd.		2,300		82,667
JFE Holdings, Inc.		5,900		135,346
JXTG Holdings, Inc.		69,800		527,953
Kajima Corp.		10,500		152,676
Kakaku.com, Inc.		3,100		60,568
Kaneka Corp.		1,400		64,676
Kansai Electric Power Co., Inc. (The)		17,900		270,183
Kao Corp.		8,700		702,767
Keihan Holdings Co. Ltd.		2,600		99,293
Keisei Electric Railway Co. Ltd.		2,700		95,034
Keyence Corp.		2,100		1,219,862
Kikkoman Corp.		2,900		172,714
Kirin Holdings Co. Ltd.		18,600		477,052
Kobayashi Pharmaceutical Co. Ltd.		800		58,897
Koito Manufacturing Co. Ltd.		5,000		328,334
Komatsu Ltd.		13,600		413,860
Konami Holdings Corp.		3,000		117,469
Kose Corp.		1,900		362,036
Kyocera Corp.		1,300		78,028
Kyowa Hakko Kirin Co. Ltd.		2,300		43,158

INVESTMENTS	SHARES		VALUE
Japan - 29.1% (continued)
Lion Corp.		4,900	$	108,827
M3, Inc.		13,600		308,426
Mabuchi Motor Co. Ltd.		900		36,305
Makita Corp.		1,300		65,099
Marubeni Corp.		8,300		75,909
Marui Group Co. Ltd.		3,700		91,293
McDonald’s Holdings Co. Japan Ltd.		3,000		131,746
MEIJI Holdings Co. Ltd.		1,100		73,933
MINEBEA MITSUMI, Inc.		13,700		248,323
MISUMI Group, Inc.		8,400		217,346
Mitsubishi Chemical Holdings Corp.		29,200		279,461
Mitsubishi Corp.		19,900		612,974
Mitsubishi Electric Corp.		7,100		97,265
Mitsubishi Gas Chemical Co., Inc.		10,600		225,653
Mitsubishi Motors Corp.		20,000		141,290
Mitsubishi Tanabe Pharma Corp.		4,300		71,968
Mitsui & Co. Ltd.		13,400		238,127
Mitsui Chemicals, Inc.		2,000		50,010
Nabtesco Corp.		2,200		58,494
Nexon Co. Ltd. *		19,000		248,359
Nidec Corp.		5,700		819,636
Nintendo Co. Ltd.		1,200		436,600
Nippon Electric Glass Co. Ltd.		1,600		50,297
Nippon Express Co. Ltd.		1,000		65,674
Nippon Paint Holdings Co. Ltd.		2,900		108,246
Nippon Telegraph & Telephone Corp.		3,000		135,391
Nisshin Seifun Group, Inc.		5,000		109,653
Nissin Foods Holdings Co. Ltd.		900		61,908
Nitori Holdings Co. Ltd.		2,700		386,926
Nitto Denko Corp.		800		59,980
Nomura Research Institute Ltd.		3,150		159,069
NSK Ltd.		5,000		57,312
NTT Data Corp.		12,500		173,040
NTT DOCOMO, Inc.		1,500		40,316
Obayashi Corp.		15,000		142,070
Obic Co. Ltd.		2,600		245,912
Omron Corp.		4,100		173,257
Oracle Corp. Japan		1,300		104,744
Oriental Land Co. Ltd.		5,700		595,964
Otsuka Corp.		5,100		190,230
Otsuka Holdings Co. Ltd.		5,500		277,415
Panasonic Corp.		24,300		281,667
Park24 Co. Ltd.		2,900		87,650
Persol Holdings Co. Ltd.		6,200		145,517
Pola Orbis Holdings, Inc.		5,200		189,920
Recruit Holdings Co. Ltd.		29,800		995,364
Renesas Electronics Corp. *		6,500		40,697
Resona Holdings, Inc.		7,700		43,231
Rohm Co. Ltd.		3,000		219,480
Ryohin Keikaku Co. Ltd.		900		267,515
Santen Pharmaceutical Co. Ltd.		3,800		60,252
Secom Co. Ltd.		700		57,044
Shimadzu Corp.		5,900		184,892
Shimano, Inc.		1,100		177,374
Shimizu Corp.		12,000		109,563
Shin-Etsu Chemical Co. Ltd.		2,700		238,702
Shionogi & Co. Ltd.		4,300		281,090
Shiseido Co. Ltd.		12,500		968,099
SMC Corp.		800		256,057

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

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INVESTMENTS	SHARES		VALUE
Japan - 29.1% (continued)
SoftBank Group Corp.		1,100	$	109,890
Sohgo Security Services Co. Ltd.		2,000		87,883
Sony Corp.		24,700		1,501,456
Sony Financial Holdings, Inc.		2,900		63,951
Stanley Electric Co. Ltd.		1,500		51,282
SUMCO Corp.		7,200		104,887
Sumitomo Chemical Co. Ltd.		17,000		99,490
Sumitomo Corp.		14,100		234,980
Sumitomo Dainippon Pharma Co. Ltd.		1,900		43,636
Sumitomo Heavy Industries Ltd.		4,800		171,320
Sumitomo Metal Mining Co. Ltd.		5,200		182,335
Sumitomo Realty & Development Co. Ltd.		3,000		107,623
Sundrug Co. Ltd.		1,400		49,956
Suzuki Motor Corp.		9,300		532,994
Sysmex Corp.		2,800		241,454
T&D Holdings, Inc.		10,800		178,358
Taisei Corp.		4,100		186,892
Taisho Pharmaceutical Holdings Co. Ltd.		500		61,167
Takeda Pharmaceutical Co. Ltd.		5,300		226,618
TDK Corp.		900		98,063
Terumo Corp.		6,100		361,023
THK Co. Ltd.		1,800		45,803
Tokyo Electron Ltd.		3,800		523,718
Toray Industries, Inc.		5,000		37,515
Tosoh Corp.		5,300		81,630
TOTO Ltd.		3,500		145,160
Toyota Motor Corp.		31,000		1,931,386
Toyota Tsusho Corp.		3,100		117,046
Trend Micro, Inc.		3,700		237,998
Tsuruha Holdings, Inc.		700		86,163
USS Co. Ltd.		4,900		90,963
West Japan Railway Co.		1,000		69,710
Yakult Honsha Co. Ltd.		3,700		303,439
Yamaha Corp.		6,000		317,927
Yamaha Motor Co. Ltd.		6,000		168,257
Yamato Holdings Co. Ltd.		4,800		147,379
Yaskawa Electric Corp.		9,800		291,071
Yokogawa Electric Corp.		2,900		61,344
ZOZO, Inc.		10,400		314,596
				37,624,967
Luxembourg - 0.2%
ArcelorMittal		7,713		239,460
Tenaris SA		3,839		64,293
				303,753
Macau - 0.3%
MGM China Holdings Ltd. (a)		27,600		43,574
Sands China Ltd.		45,200		203,558
SJM Holdings Ltd.		47,000		43,304
Wynn Macau Ltd.		40,000		91,864
				382,300
Netherlands - 6.1%
ASML Holding NV		8,315		1,561,180
EXOR NV		2,559		170,738
Heineken NV		385		36,132
Koninklijke Ahold Delhaize NV		7,831		179,663
Koninklijke DSM NV		2,304		244,024

INVESTMENTS	SHARES		VALUE
Netherlands - 6.1% (continued)
Koninklijke Philips NV		15,798	$	720,096
Koninklijke Vopak NV		760		37,442
NN Group NV		3,452		154,071
Randstad NV		1,696		90,523
Royal Dutch Shell plc, Class A		99,599		3,415,098
Royal Dutch Shell plc, Class B		22,851		799,935
Wolters Kluwer NV		7,280		453,835
				7,862,737
Norway - 2.0%
DNB ASA		1,811		38,112
Equinor ASA		77,715		2,185,056
Marine Harvest ASA		6,051		140,214
Norsk Hydro ASA		22,252		133,442
Telenor ASA		4,865		95,138
				2,591,962
Portugal - 0.5%
Galp Energia SGPS SA		29,307		581,094
Singapore - 1.9%
CapitaLand Commercial Trust, REIT		39,000		50,811
City Developments Ltd.		10,300		68,672
DBS Group Holdings Ltd.		48,400		923,334
Genting Singapore Ltd.		130,400		101,078
Keppel Corp. Ltd.		25,400		129,318
Oversea-Chinese Banking Corp. Ltd.		57,600		481,979
Singapore Telecommunications Ltd.		54,500		129,148
United Overseas Bank Ltd.		24,500		484,327
UOL Group Ltd.		9,700		48,919
				2,417,586
South Africa - 0.5%
Anglo American plc		27,870		623,479
Spain - 0.9%
Aena SME SA (c)		716		124,052
Amadeus IT Group SA		7,796		722,603
Ferrovial SA		7,001		144,873
Grifols SA		3,042		85,534
Iberdrola SA		17,701		130,011
				1,207,073
Sweden - 2.4%
Assa Abloy AB, Class B		10,741		215,291
Atlas Copco AB, Class A		16,607		477,587
Boliden AB		11,374		316,321
Electrolux AB, Series B		1,668		36,745
Epiroc AB, Class A *		16,607		185,453
Hexagon AB, Class B		3,302		193,321
Kinnevik AB, Class B		2,239		67,610
Lundin Petroleum AB		12,379		471,853
Sandvik AB		29,575		523,604
Swedish Match AB		5,661		289,364
Tele2 AB, Class B		7,236		86,965
Telefonaktiebolaget LM Ericsson, Class B		5,916		52,361
Volvo AB, Class B		13,588		239,651
				3,156,126

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

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INVESTMENTS	SHARES		VALUE
Switzerland - 5.7%
ABB Ltd. (Registered)		10,867	$	257,056
Baloise Holding AG (Registered)		623		94,939
Barry Callebaut AG (Registered)		80		151,491
Chocoladefabriken Lindt & Spruengli AG		9		62,986
Cie Financiere Richemont SA (Registered)		9,450		770,462
Coca-Cola HBC AG *		2,201		74,986
EMS-Chemie Holding AG (Registered)		460		274,339
Geberit AG (Registered)		528		245,067
Givaudan SA (Registered)		118		290,349
Glencore plc *		131,000		564,699
Julius Baer Group Ltd. *		1,875		93,705
Kuehne + Nagel International AG (Registered)		582		92,349
LafargeHolcim Ltd. (Registered) *		974		48,220
Lonza Group AG (Registered)*(a)		2,711		927,426
Partners Group Holding AG		1,400		1,109,805
Schindler Holding AG		335		83,601
Sika AG (Registered)		3,240		471,483
Sonova Holding AG (Registered)		662		131,386
STMicroelectronics NV		13,589		248,714
Straumann Holding AG (Registered)		850		640,359
Swatch Group AG (The)		1,069		424,857
Swisscom AG (Registered)		108		48,984
Vifor Pharma AG		377		65,361
Zurich Insurance Group AG		492		155,130
				7,327,754
United Kingdom - 8.0%
3i Group plc		5,219		63,906
Admiral Group plc		1,746		47,329
Ashtead Group plc		4,765		151,185
Associated British Foods plc		1,417		42,291
AstraZeneca plc		3,436		267,816
Auto Trader Group plc (c)		29,518		171,714
BAE Systems plc		37,113		304,326
Barratt Developments plc		7,602		56,140
BP plc		188,276		1,443,086
British American Tobacco plc		28,247		1,316,889
Bunzl plc		6,811		214,125
CNH Industrial NV		14,972		179,670
Compass Group plc		27,316		607,325
Diageo plc		1,887		66,853
Direct Line Insurance Group plc		42,210		178,160
Experian plc		5,258		134,921
Fiat Chrysler Automobiles NV *		35,383		618,814
HSBC Holdings plc		147,837		1,289,935
International Consolidated Airlines Group SA		30,216		259,210
Intertek Group plc		3,758		244,467
Legal & General Group plc		45,149		154,129
Persimmon plc		12,600		387,920
Prudential plc		20,491		469,819
Reckitt Benckiser Group plc		5,607		512,200
Sage Group plc (The)		32,325		246,884
Smith & Nephew plc		3,009		54,898
Standard Chartered plc		21,181		175,489
Taylor Wimpey plc		76,759		171,572
Vodafone Group plc		183,657		393,508
Whitbread plc		1,309		80,454
				10,305,035

INVESTMENTS	SHARES		VALUE
United States - 0.3%
Bausch Health Cos., Inc. (1)*		12,552	$	322,339
QIAGEN NV *		1,704		64,535
				386,874
Zambia - 0.2%
First Quantum Minerals Ltd. (1)		17,104		194,789
TOTAL COMMON STOCKS (Cost $107,701,203)				124,752,108
SHORT-TERM INVESTMENTS - 2.8%
Investment Companies - 2.8%
Limited Purpose Cash Investment Fund, 2.06% (1)(d)
(Cost $3,656,911)		3,657,783		3,657,418
SECURITIES LENDING COLLATERAL - 1.1%
Investment Companies - 1.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (1)(d)(e)		180,858		180,858
Limited Purpose Cash Investment Fund 2.06% (1)(d)(e)		1,297,767		1,297,638
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,478,626)				1,478,496
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6% (Cost $112,836,740)				129,888,022
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (f)			(768,555)
NET ASSETS - 100.0%			$	129,119,467

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	3,358,736			2.6	%
Consumer Discretionary		18,326,145			14.2
Consumer Staples		8,807,847			6.8
Energy		16,101,176			12.5
Financials		17,708,028			13.7
Health Care		10,507,352			8.1
Industrials		18,662,000			14.6
Information Technology		13,767,886			10.7
Materials		10,469,688			8.1
Real Estate		2,889,759			2.2
Utilities		4,153,491			3.2
Short-Term Investments		3,657,418			2.8
Securities Lending Collateral		1,478,496			1.1
Total Investments In Securities At Value		129,888,022			100.6
Liabilities in Excess of Other Assets (f)		(768,555	)		(0.6	)
Net Assets	$	129,119,467			100.0	%

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

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AQR TM INTERNATIONAL MOMENTUM STYLE FUND

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $1,405,879.

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

(c) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $1,611,643, which represents approximately 1.25% of net assets of the fund.

(d) Represents 7-day effective yield as of September 30, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

(f) 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).

Abbreviations

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		35	12/2018	USD		$3,457,125		$20,679
								$20,679

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$121,749		$121,749

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.2%
Aerospace & Defense - 3.9%
Boeing Co. (The)		51,963	$	19,325,040
Curtiss-Wright Corp.		24,126		3,315,395
General Dynamics Corp.		35,818		7,332,661
Harris Corp.		7,261		1,228,634
Huntington Ingalls Industries, Inc.		1,805		462,224
Lockheed Martin Corp.		23,009		7,960,194
Northrop Grumman Corp.		28,065		8,906,989
Raytheon Co.		128,558		26,567,796
Teledyne Technologies, Inc. *		11,285		2,783,784
United Technologies Corp.		30,524		4,267,560
				82,150,277
Air Freight & Logistics - 0.5%
CH Robinson Worldwide, Inc.		25,824		2,528,686
Expeditors International of Washington, Inc.		71,959		5,291,145
FedEx Corp.		4,513		1,086,685
United Parcel Service, Inc., Class B		6,285		733,774
				9,640,290
Airlines - 0.2%
Southwest Airlines Co.		81,070		5,062,822
Banks - 4.4%
Bank of Hawaii Corp.		19,357		1,527,461
BB&T Corp.		52,967		2,571,018
BOK Financial Corp. (a)		3,011		292,910
Commerce Bancshares, Inc.		34,850		2,300,797
East West Bancorp, Inc.		71,950		4,343,621
JPMorgan Chase & Co.		131,344		14,820,857
M&T Bank Corp.		49,427		8,132,719
PacWest Bancorp		10,904		519,576
PNC Financial Services Group, Inc. (The)		82,260		11,202,989
SunTrust Banks, Inc.		110,383		7,372,481
SVB Financial Group *		23,108		7,182,660
TCF Financial Corp.		103,623		2,467,264
US Bancorp		359,215		18,970,144
Wells Fargo & Co.		239,599		12,593,323
				94,297,820
Beverages - 3.0%
Brown-Forman Corp., Class B		58,785		2,971,582
Coca-Cola Co. (The)		473,086		21,851,842
Constellation Brands, Inc., Class A		46,232		9,968,544
Monster Beverage Corp. *		76,753		4,473,165
PepsiCo, Inc.		221,604		24,775,327
				64,040,460
Biotechnology - 1.0%
AbbVie, Inc.		9,784		925,371
Amgen, Inc.		26,031		5,395,966
Biogen, Inc. *		25,508		9,012,231
Gilead Sciences, Inc.		38,032		2,936,451
Vertex Pharmaceuticals, Inc. *		11,076		2,134,788
				20,404,807
Capital Markets - 2.7%
BlackRock, Inc.		14,181		6,683,931

INVESTMENTS	SHARES		VALUE
Capital Markets - 2.7% (continued)
Cboe Global Markets, Inc.		31,091	$	2,983,492
CME Group, Inc.		102,933		17,520,226
FactSet Research Systems, Inc.		7,520		1,682,299
Intercontinental Exchange, Inc.		104,317		7,812,300
MarketAxess Holdings, Inc.		9,268		1,654,245
MSCI, Inc.		2,198		389,947
S&P Global, Inc.		31,179		6,092,065
SEI Investments Co.		11,120		679,432
T. Rowe Price Group, Inc.		108,842		11,883,370
				57,381,307
Chemicals - 2.8%
Air Products & Chemicals, Inc.		50,037		8,358,681
Ecolab, Inc.		80,722		12,655,595
Huntsman Corp.		14,376		391,458
LyondellBasell Industries NV, Class A		58,306		5,976,948
PPG Industries, Inc.		26,741		2,918,245
Praxair, Inc.		127,998		20,573,119
Sherwin-Williams Co. (The)		19,428		8,843,820
				59,717,866
Commercial Services & Supplies - 2.0%
Cintas Corp.		50,045		9,899,401
Copart, Inc. *		66,509		3,427,209
Republic Services, Inc.		140,313		10,195,143
Rollins, Inc.		44,829		2,720,672
Waste Management, Inc.		182,746		16,512,928
				42,755,353
Communications Equipment - 1.3%
Arista Networks, Inc. *		17,410		4,628,623
Cisco Systems, Inc.		190,943		9,289,377
F5 Networks, Inc. *		54,899		10,947,958
Palo Alto Networks, Inc. *		7,688		1,731,799
Ubiquiti Networks, Inc. (a)		5,328		526,726
				27,124,483
Consumer Finance - 0.6%
American Express Co.		45,711		4,867,764
Credit Acceptance Corp. *		6,069		2,658,647
Discover Financial Services		69,059		5,279,561
				12,805,972
Containers & Packaging - 0.1%
Avery Dennison Corp.		15,124		1,638,685
Distributors - 0.1%
Pool Corp.		10,717		1,788,453
Diversified Consumer Services - 0.1%
Bright Horizons Family Solutions, Inc. *		15,059		1,774,552
Grand Canyon Education, Inc. *		7,757		874,990
				2,649,542
Diversified Telecommunication Services - 0.4%
Verizon Communications, Inc.		179,905		9,605,128
Electric Utilities - 5.5%
Alliant Energy Corp.		42,277		1,799,732
American Electric Power Co., Inc.		190,164		13,478,824

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

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INVESTMENTS	SHARES		VALUE
Electric Utilities - 5.5% (continued)
Avangrid, Inc.		40,399	$	1,936,324
Duke Energy Corp.		189,541		15,167,071
Evergy, Inc.		79,393		4,360,264
Eversource Energy		81,462		5,005,025
Exelon Corp.		151,388		6,609,600
NextEra Energy, Inc.		183,018		30,673,817
OGE Energy Corp.		157,972		5,737,543
Pinnacle West Capital Corp.		94,042		7,446,246
Southern Co. (The)		207,304		9,038,454
Xcel Energy, Inc.		341,149		16,105,644
				117,358,544
Electrical Equipment - 0.9%
Emerson Electric Co.		116,682		8,935,508
Rockwell Automation, Inc.		59,943		11,240,511
				20,176,019
Electronic Equipment, Instruments & Components - 0.5%
Amphenol Corp., Class A		19,003		1,786,662
Dolby Laboratories, Inc., Class A		26,488		1,853,365
FLIR Systems, Inc.		83,532		5,134,712
IPG Photonics Corp. *		1,817		283,579
National Instruments Corp.		45,993		2,222,842
				11,281,160
Entertainment - 0.9%
Activision Blizzard, Inc.		29,124		2,422,826
Walt Disney Co. (The)		138,530		16,199,698
				18,622,524
Food & Staples Retailing - 2.4%
Costco Wholesale Corp.		83,174		19,535,909
Sysco Corp.		164,548		12,053,141
Walmart, Inc.		213,542		20,053,729
				51,642,779
Food Products - 2.2%
Flowers Foods, Inc.		103,542		1,932,094
Hershey Co. (The)		75,199		7,670,298
Hormel Foods Corp. (a)		277,828		10,946,423
Ingredion, Inc.		58,046		6,092,508
Kellogg Co.		13,287		930,356
Lamb Weston Holdings, Inc.		97,662		6,504,289
McCormick & Co., Inc. (Non-Voting)		67,964		8,954,257
Mondelez International, Inc., Class A		102,020		4,382,779
				47,413,004
Gas Utilities - 0.4%
Atmos Energy Corp.		38,449		3,610,746
UGI Corp.		79,711		4,422,366
				8,033,112
Health Care Equipment & Supplies - 5.6%
Abbott Laboratories		163,950		12,027,372
ABIOMED, Inc. *		23,266		10,463,883
Align Technology, Inc. *		30,999		12,127,429
Baxter International, Inc.		12,700		979,043
Becton Dickinson and Co.		13,089		3,416,229
Danaher Corp.		114,535		12,445,373
DexCom, Inc. *		6,101		872,687

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 5.6% (continued)
Edwards Lifesciences Corp. *		57,776	$	10,058,802
ICU Medical, Inc. *		18,833		5,325,031
IDEXX Laboratories, Inc. *		16,231		4,052,231
Intuitive Surgical, Inc. *		27,870		15,997,380
Medtronic plc		64,564		6,351,161
ResMed, Inc.		72,594		8,372,992
Stryker Corp.		46,469		8,256,612
Varian Medical Systems, Inc. *		46,830		5,241,682
West Pharmaceutical Services, Inc.		17,404		2,148,872
				118,136,779
Health Care Providers & Services - 3.7%
Anthem, Inc.		41,375		11,338,819
Chemed Corp.		13,075		4,178,508
Cigna Corp.		60,409		12,580,174
Humana, Inc.		44,723		15,139,630
UnitedHealth Group, Inc.		115,183		30,643,285
WellCare Health Plans, Inc. *		16,146		5,174,632
				79,055,048
Hotels, Restaurants & Leisure - 2.0%
Darden Restaurants, Inc.		49,546		5,509,020
Domino’s Pizza, Inc.		7,900		2,328,920
Las Vegas Sands Corp.		157,657		9,353,790
McDonald’s Corp.		93,761		15,685,278
Starbucks Corp.		56,746		3,225,443
Yum! Brands, Inc.		74,360		6,760,067
				42,862,518
Household Durables - 0.3%
Garmin Ltd.		77,665		5,440,433
Household Products - 2.1%
Church & Dwight Co., Inc.		57,086		3,389,196
Clorox Co. (The)		37,109		5,581,565
Colgate-Palmolive Co.		172,619		11,556,842
Kimberly-Clark Corp.		18,581		2,111,545
Procter & Gamble Co. (The)		270,398		22,505,225
				45,144,373
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. *		72,552		1,805,094
Industrial Conglomerates - 2.0%
3M Co.		101,493		21,385,590
Honeywell International, Inc.		130,105		21,649,472
				43,035,062
Insurance - 6.5%
Aflac, Inc.		37,396		1,760,230
Alleghany Corp.		3,867		2,523,334
Allstate Corp. (The)		186,310		18,388,797
American Financial Group, Inc.		28,418		3,153,545
Aon plc (a)		87,862		13,511,418
Arch Capital Group Ltd. *		84,453		2,517,544
Assurant, Inc.		10,450		1,128,077
Chubb Ltd.		103,905		13,885,864
Cincinnati Financial Corp.		3,010		231,198
CNA Financial Corp.		8,681		396,288
Erie Indemnity Co., Class A		1,885		240,394

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

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INVESTMENTS	SHARES		VALUE
Insurance - 6.5% (continued)
Everest Re Group Ltd.		25,315	$	5,783,718
Fidelity National Financial, Inc.		112,373		4,421,878
First American Financial Corp.		54,392		2,806,083
Hanover Insurance Group, Inc. (The)		17,586		2,169,585
Markel Corp. *		2,686		3,192,284
Marsh & McLennan Cos., Inc.		194,579		16,095,575
Old Republic International Corp.		25,086		561,425
Progressive Corp. (The)		298,111		21,177,805
RenaissanceRe Holdings Ltd.		12,642		1,688,718
Travelers Cos., Inc. (The)		129,421		16,787,198
Willis Towers Watson plc		21,223		2,991,170
WR Berkley Corp.		28,441		2,273,289
				137,685,417
Interactive Media & Services - 2.3%
Alphabet, Inc., Class A *		25,565		30,859,000
Facebook, Inc., Class A *		109,742		18,048,170
				48,907,170
Internet & Direct Marketing Retail - 1.6%
Amazon.com, Inc. *		10,410		20,851,230
Booking Holdings, Inc. *		4,372		8,674,048
Netflix, Inc. *		11,953		4,471,976
				33,997,254
IT Services - 7.8%
Accenture plc, Class A		135,790		23,111,458
Akamai Technologies, Inc. *		58,603		4,286,809
Amdocs Ltd.		43,899		2,896,456
Automatic Data Processing, Inc.		82,914		12,491,823
Black Knight, Inc. *		23,686		1,230,488
Broadridge Financial Solutions, Inc.		36,384		4,800,869
Cognizant Technology Solutions Corp., Class A		195,934		15,116,308
EPAM Systems, Inc. *		19,921		2,743,122
Fiserv, Inc. *		61,178		5,039,844
Gartner, Inc. *		8,089		1,282,106
International Business Machines Corp.		65,974		9,975,928
Jack Henry & Associates, Inc.		28,136		4,504,011
Mastercard, Inc., Class A		135,883		30,248,915
Paychex, Inc.		117,926		8,685,250
PayPal Holdings, Inc. *		39,050		3,430,152
Square, Inc., Class A*		29,605		2,931,191
Teradata Corp. *		19,257		726,181
VeriSign, Inc. *		47,083		7,538,930
Visa, Inc., Class A (a)		160,298		24,059,127
				165,098,968
Leisure Products - 0.0% (b)
Hasbro, Inc. (a)		9,898		1,040,478
Life Sciences Tools & Services - 2.0%
Agilent Technologies, Inc.		43,917		3,097,905
Bio-Techne Corp.		12,142		2,478,304
Illumina, Inc. *		35,066		12,871,326
Mettler-Toledo International, Inc. *		13,634		8,302,833
Thermo Fisher Scientific, Inc.		40,557		9,899,153
Waters Corp. *		31,783		6,187,514
				42,837,035

INVESTMENTS	SHARES		VALUE
Machinery - 1.2%
Cummins, Inc.		9,380	$	1,370,137
Dover Corp.		41,412		3,666,204
Fortive Corp.		32,796		2,761,423
IDEX Corp.		13,226		1,992,629
Illinois Tool Works, Inc.		79,835		11,266,315
Parker-Hannifin Corp.		4,392		807,821
Toro Co. (The)		11,368		681,739
Xylem, Inc.		25,180		2,011,127
				24,557,395
Media - 0.1%
Cable One, Inc.		686		606,156
John Wiley & Sons, Inc., Class A		9,971		604,243
				1,210,399
Metals & Mining - 0.0% (b)
Royal Gold, Inc.		4,901		377,671
Multiline Retail - 0.1%
Target Corp.		20,336		1,793,839
Multi-Utilities - 3.6%
Ameren Corp.		155,221		9,813,072
CenterPoint Energy, Inc.		24,123		667,001
CMS Energy Corp.		249,524		12,226,676
Consolidated Edison, Inc.		176,940		13,481,058
Dominion Energy, Inc.		56,413		3,964,706
DTE Energy Co.		66,062		7,209,346
NiSource, Inc.		8,190		204,095
Public Service Enterprise Group, Inc.		232,509		12,274,150
Sempra Energy		27,191		3,092,976
WEC Energy Group, Inc.		195,154		13,028,481
				75,961,561
Oil, Gas & Consumable Fuels - 1.1%
Chevron Corp.		5,893		720,596
ConocoPhillips		50,013		3,871,006
EOG Resources, Inc.		16,644		2,123,275
Exxon Mobil Corp.		86,161		7,325,408
HollyFrontier Corp.		19,446		1,359,276
Marathon Oil Corp.		165,587		3,854,865
Valero Energy Corp.		27,797		3,161,909
				22,416,335
Personal Products - 0.6%
Estee Lauder Cos., Inc. (The), Class A		68,244		9,917,218
Nu Skin Enterprises, Inc., Class A		25,042		2,063,962
				11,981,180
Pharmaceuticals - 3.9%
Bristol-Myers Squibb Co.		82,947		5,149,350
Eli Lilly & Co.		127,291		13,659,597
Johnson & Johnson		218,799		30,231,458
Merck & Co., Inc.		159,893		11,342,810
Pfizer, Inc.		276,561		12,188,043
Zoetis, Inc.		115,357		10,562,087
				83,133,345
Professional Services - 0.6%
CoStar Group, Inc. *		8,308		3,496,339

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

AQR Funds Annual Report September 2018

149

Schedule of Investments September 30, 2018

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Professional Services - 0.6% (continued)
Equifax, Inc.		3,815	$	498,124
Robert Half International, Inc.		90,368		6,360,100
Verisk Analytics, Inc. *		15,675		1,889,621
				12,244,184
Road & Rail - 0.7%
Landstar System, Inc.		33,243		4,055,646
Old Dominion Freight Line, Inc.		35,782		5,770,205
Union Pacific Corp.		36,731		5,980,909
				15,806,760
Semiconductors & Semiconductor Equipment - 3.0%
Analog Devices, Inc.		54,893		5,075,407
Intel Corp.		203,534		9,625,123
KLA-Tencor Corp.		8,121		825,987
Maxim Integrated Products, Inc.		89,173		5,028,465
NVIDIA Corp.		37,663		10,584,056
Skyworks Solutions, Inc.		54,158		4,912,672
Texas Instruments, Inc.		210,894		22,626,817
Xilinx, Inc.		51,009		4,089,392
				62,767,919
Software - 3.8%
Adobe Systems, Inc. *		60,495		16,330,625
ANSYS, Inc. *		12,963		2,419,933
Aspen Technology, Inc. *		28,340		3,228,209
Cadence Design Systems, Inc. *		29,426		1,333,586
Citrix Systems, Inc. *		2,892		321,475
Fortinet, Inc. *		56,770		5,238,168
Intuit, Inc.		64,463		14,658,886
Manhattan Associates, Inc. *		25,696		1,403,002
Microsoft Corp.		240,881		27,549,560
Oracle Corp.		61,492		3,170,527
Red Hat, Inc. *		21,489		2,928,521
salesforce.com, Inc. *		4,538		721,678
Synopsys, Inc. *		2,890		284,983
VMware, Inc., Class A *		2,209		344,737
				79,933,890
Specialty Retail - 2.3%
AutoZone, Inc. *		510		395,607
Best Buy Co., Inc.		129,367		10,266,565
Home Depot, Inc. (The)		81,193		16,819,130
Lowe’s Cos., Inc.		40,548		4,655,721
O’Reilly Automotive, Inc. *		918		318,840
Ross Stores, Inc.		56,089		5,558,420
TJX Cos., Inc. (The)		76,418		8,560,344
Ulta Beauty, Inc. *		4,533		1,278,850
Williams-Sonoma, Inc. (a)		13,580		892,478
				48,745,955
Technology Hardware, Storage & Peripherals - 0.5%
Apple, Inc.		46,736		10,550,185
Textiles, Apparel & Luxury Goods - 1.7%
Lululemon Athletica, Inc. *		77,869		12,652,934
Michael Kors Holdings Ltd. *		9,724		666,677
NIKE, Inc., Class B		208,816		17,690,892
VF Corp.		45,432		4,245,620
				35,256,123

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 0.0% (b)
TFS Financial Corp.		14,500	$	217,645
Tobacco - 0.4%
Altria Group, Inc.		138,145		8,331,525
Trading Companies & Distributors - 0.3%
Fastenal Co.		32,122		1,863,718
WW Grainger, Inc.		10,238		3,659,164
				5,522,882
Water Utilities - 0.4%
American Water Works Co., Inc.		75,272		6,621,678
Aqua America, Inc.		52,345		1,931,530
				8,553,208
TOTAL COMMON STOCKS (Cost $1,596,046,828)				2,039,998,037
SHORT-TERM INVESTMENTS - 3.6%
Investment Companies - 3.6%
Limited Purpose Cash Investment Fund, 2.06%(c)
(Cost $75,576,962)		75,593,895		75,586,336
SECURITIES LENDING COLLATERAL - 0.3%
Investment Companies - 0.3%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (c)(d)		799,721		799,721
Limited Purpose Cash Investment Fund 2.06% (c)(d)		5,738,479		5,737,906
TOTAL SECURITIES LENDING COLLATERAL (Cost $6,538,201)				6,537,627
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (Cost $1,678,161,991)				2,122,122,000
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% (e)			(1,206,645)
NET ASSETS - 100.0%			$	2,120,915,355

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

AQR Funds Annual Report September 2018

150

Schedule of Investments September 30, 2018

AQR LARGE CAP DEFENSIVE STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	78,345,220			3.7	%
Consumer Discretionary		173,574,594			8.2
Consumer Staples		228,553,321			10.8
Energy		22,416,335			1.0
Financials		302,388,161			14.3
Health Care		343,567,014			16.2
Industrials		260,951,044			12.3
Information Technology		356,756,606			16.8
Materials		61,734,223			2.9
Utilities		211,711,519			10.0
Short-Term Investments		75,586,336			3.6
Securities Lending Collateral		6,537,627			0.3
Total Investments In Securities At Value		2,122,122,000			100.1
Liabilities in Excess of Other Assets (e)		(1,206,645	)		(0.1	)
Net Assets	$	2,120,915,355			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $22,109,794.

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

(c) Represents 7-day effective yield as of September 30, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $16,043,343 was received (See Note 3).

(e) Includes appreciation/(depreciation) on futures contracts.

All securities are Level 1 with respect to ASC 820 (See Note 4).

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index		391	12/2018	USD		$57,066,450		$45,563
								$45,563

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$1,851,822		$1,851,822

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

AQR Funds Annual Report September 2018

151

Schedule of Investments September 30, 2018

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.2%
Australia - 7.8%
AGL Energy Ltd.		90,641	$	1,278,614
Aristocrat Leisure Ltd.		3,419		70,216
Aurizon Holdings Ltd.		31,404		93,237
AusNet Services		94,515		111,019
Australia & New Zealand Banking Group Ltd.		34,236		696,931
BHP Billiton plc		11,661		254,462
BlueScope Steel Ltd.		23,605		289,509
Caltex Australia Ltd.		71,903		1,553,380
CIMIC Group Ltd.		3,710		137,697
Coca-Cola Amatil Ltd.		63,441		447,225
Cochlear Ltd.		6,566		952,044
Commonwealth Bank of Australia		8,215		424,006
Crown Resorts Ltd.		19,855		196,360
CSL Ltd.		3,379		490,967
Flight Centre Travel Group Ltd.		30,107		1,156,163
Fortescue Metals Group Ltd.		243,743		690,702
Insurance Australia Group Ltd.		13,408		70,884
Newcrest Mining Ltd.		51,007		716,255
REA Group Ltd.		4,942		306,614
Rio Tinto plc		2,342		118,134
South32 Ltd.		420,047		1,180,460
Telstra Corp. Ltd.		469,285		1,081,183
Wesfarmers Ltd.		47,947		1,726,534
Westpac Banking Corp.		18,552		373,093
Woolworths Group Ltd.		86,966		1,763,828
				16,179,517
Austria - 0.1%
OMV AG		4,356		244,367
Belgium - 1.2%
Ageas		4,538		243,957
Anheuser-Busch InBev SA/NV		834		73,005
Colruyt SA		23,928		1,354,140
Groupe Bruxelles Lambert SA		618		64,781
KBC Group NV		525		39,038
Proximus SADP		18,794		448,952
Solvay SA		616		82,577
UCB SA		1,007		90,493
				2,396,943
Canada - 11.4%
Agnico Eagle Mines Ltd. (1)		11,684		399,100
Alimentation Couche-Tard, Inc., Class B (1)		1,149		57,474
Atco Ltd., Class I (1)		1,360		39,748
Bank of Montreal (1)		11,490		947,737
Bank of Nova Scotia (The) (1)		17,764		1,058,840
Barrick Gold Corp. (1)		36,900		408,238
BCE, Inc. (1)		51,234		2,075,699
Canadian Imperial Bank of Commerce (1)		10,966		1,027,535
Canadian National Railway Co. (1)		13,103		1,175,735
Canadian Tire Corp. Ltd., Class A (1)		1,447		169,542
Canadian Utilities Ltd., Class A (1)		7,678		188,792
CI Financial Corp. (1)		46,030		730,906
Constellation Software, Inc. (1)		221		162,522
Emera, Inc. (1)(a)		2,988		92,903
Empire Co. Ltd., Class A (1)		33,594		612,242

INVESTMENTS	SHARES		VALUE
Canada - 11.4% (continued)
Fortis, Inc. (1)		11,469	$	371,867
Franco-Nevada Corp. (1)		9,986		624,681
George Weston Ltd. (1)		2,270		171,825
Goldcorp, Inc. (1)		31,892		324,932
Hydro One Ltd. (1)(b)		70,539		1,072,571
Imperial Oil Ltd. (1)(a)		19,218		621,927
Intact Financial Corp. (1)		13,650		1,134,990
Kinross Gold Corp. (1)*		147,606		402,255
Loblaw Cos. Ltd. (1)		11,624		597,196
Manulife Financial Corp. (1)		27,430		490,349
Methanex Corp. (1)		3,238		255,601
Metro, Inc. (1)		3,452		107,383
Power Financial Corp. (1)		43,665		1,000,308
Rogers Communications, Inc., Class B (1)		13,888		714,265
Royal Bank of Canada (1)		17,262		1,383,740
Saputo, Inc. (1)		28,577		850,020
Seven Generations Energy Ltd., Class A (1)*		5,109		60,913
Shaw Communications, Inc., Class B (1)		20,800		405,323
Sun Life Financial, Inc. (1)		9,175		364,755
Suncor Energy, Inc. (1)		14,742		570,437
Teck Resources Ltd., Class B (1)		13,731		330,930
Thomson Reuters Corp. (1)		2,445		111,569
Toronto-Dominion Bank (The) (1)		24,133		1,466,496
Tourmaline Oil Corp. (1)		8,182		144,047
Wheaton Precious Metals Corp. (1)		50,723		887,500
				23,612,893
Chile - 0.1%
Antofagasta plc		10,954		121,725
Lundin Mining Corp. (1)		19,050		100,880
				222,605
China - 0.2%
BOC Hong Kong Holdings Ltd.		70,500		334,615
Denmark - 2.8%
Coloplast A/S, Class B		12,676		1,294,922
Danske Bank A/S		3,404		89,227
DSV A/S		12,130		1,102,260
H Lundbeck A/S		7,242		447,037
Novo Nordisk A/S, Class B		29,678		1,396,798
Novozymes A/S, Class B		11,837		649,242
Orsted A/S (b)		11,227		762,908
				5,742,394
Finland - 1.7%
Elisa OYJ		6,108		258,945
Fortum OYJ		3,366		84,357
Kone OYJ, Class B		20,352		1,086,364
Neste OYJ		16,343		1,347,078
Nokian Renkaat OYJ		1,153		47,194
Orion OYJ, Class B		3,800		143,820
Sampo OYJ, Class A		11,313		585,437
				3,553,195
France - 6.7%
Aeroports de Paris		2,096		471,917
Air Liquide SA		2,476		325,154

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

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152

Schedule of Investments September 30, 2018

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 6.7% (continued)
AXA SA		8,895	$	238,348
BNP Paribas SA		4,427		271,094
Bouygues SA		12,582		544,303
Cie Generale des Etablissements Michelin SCA		2,529		301,851
Danone SA		7,784		604,935
Dassault Systemes SE		8,273		1,237,950
Electricite de France SA		1,824		32,078
Engie SA		69,716		1,026,376
Essilor International Cie Generale d’Optique SA		289		42,778
Hermes International		2,019		1,337,636
Imerys SA		1,346		99,395
Kering SA		76		40,763
L’Oreal SA		7,915		1,908,206
LVMH Moet Hennessy Louis Vuitton SE		1,483		524,049
Pernod Ricard SA		2,024		331,952
Remy Cointreau SA		303		39,517
Sanofi		3,828		342,021
Societe BIC SA (a)		11,282		1,033,190
Societe Generale SA		7,780		334,076
Sodexo SA		2,939		311,671
Suez		2,973		42,291
Thales SA		5,982		849,927
TOTAL SA		18,359		1,193,716
Vinci SA		3,641		346,404
				13,831,598
Germany - 4.6%
Allianz SE (Registered)		2,588		576,003
BASF SE		6,846		607,467
Bayer AG (Registered)		3,544		314,355
Beiersdorf AG		7,238		815,892
Continental AG		367		63,764
Covestro AG (b)		4,880		395,023
Delivery Hero SE *(b)		4,646		223,096
Deutsche Post AG (Registered)		5,438		193,344
FUCHS PETROLUB SE (Preference)		1,561		87,108
Hannover Rueck SE		2,483		350,471
Henkel AG & Co. KGaA (Preference)		3,714		435,469
HOCHTIEF AG		1,022		169,423
HUGO BOSS AG		6,368		489,923
MAN SE		14,212		1,544,971
METRO AG		13,457		210,776
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		1,286		284,060
ProSiebenSat.1 Media SE		10,928		283,123
SAP SE		15,462		1,901,263
Schaeffler AG (Preference)		5,743		73,255
Siemens AG (Registered)		273		34,907
Siemens Healthineers AG *(b)		5,937		260,852
TUI AG		6,141		117,800
Wirecard AG		616		133,271
				9,565,616
Hong Kong - 3.5%
CK Hutchison Holdings Ltd.		23,000		264,747
CLP Holdings Ltd.		138,000		1,616,081
Galaxy Entertainment Group Ltd.		107,000		675,928

INVESTMENTS	SHARES		VALUE
Hong Kong - 3.5% (continued)
Hang Seng Bank Ltd.		16,800	$	455,851
HK Electric Investments & HK Electric Investments Ltd. (b)		679,000		685,597
HKT Trust & HKT Ltd.		210,000		288,762
Hong Kong & China Gas Co. Ltd.		704,015		1,395,393
MTR Corp. Ltd. (a)		178,500		938,718
Power Assets Holdings Ltd.		98,500		684,668
Techtronic Industries Co. Ltd.		12,500		79,734
WH Group Ltd. (b)		83,000		58,271
				7,143,750
Italy - 0.3%
Enel SpA		89,661		458,305
UniCredit SpA		8,172		122,618
				580,923
Japan - 29.0%
ABC-Mart, Inc.		11,200		623,038
AGC, Inc.		800		33,202
Amada Holdings Co. Ltd.		2,000		21,353
ANA Holdings, Inc. (a)		4,900		171,179
Asahi Group Holdings Ltd.		7,500		325,404
Asahi Kasei Corp.		22,800		345,696
Astellas Pharma, Inc.		99,800		1,742,804
Bandai Namco Holdings, Inc.		13,200		512,831
Bank of Kyoto Ltd. (The)		1,600		83,515
Benesse Holdings, Inc.		8,800		250,584
Bridgestone Corp.		28,800		1,088,453
Brother Industries Ltd.		10,100		199,427
Calbee, Inc. (a)		25,500		839,617
Canon, Inc.		27,600		875,184
Casio Computer Co. Ltd. (a)		25,400		415,170
Central Japan Railway Co.		2,300		478,855
Chubu Electric Power Co., Inc.		1,600		24,237
Chugai Pharmaceutical Co. Ltd.		8,400		539,980
Coca-Cola Bottlers Japan Holdings, Inc.		11,900		318,495
Daicel Corp.		21,500		249,745
Dai-ichi Life Holdings, Inc.		68,600		1,429,988
Daiichi Sankyo Co. Ltd.		9,100		394,466
DeNA Co. Ltd.		2,000		35,316
Disco Corp.		3,900		653,105
East Japan Railway Co.		5,000		464,446
Eisai Co. Ltd.		1,900		185,093
FANUC Corp.		300		56,440
Fast Retailing Co. Ltd.		600		303,959
FUJIFILM Holdings Corp.		1,700		76,482
Fujitsu Ltd.		1,500		106,860
Hakuhodo DY Holdings, Inc.		49,500		869,387
Hirose Electric Co. Ltd.		735		80,285
Hisamitsu Pharmaceutical Co., Inc.		12,700		973,992
Hitachi Chemical Co. Ltd.		1,100		22,384
Hitachi Ltd.		11,000		373,908
Hoshizaki Corp.		4,300		445,070
Hoya Corp.		17,300		1,027,464
ITOCHU Corp.		14,300		261,734
Japan Airlines Co. Ltd.		29,600		1,063,887
Japan Airport Terminal Co. Ltd.		5,400		245,648
Japan Post Bank Co. Ltd.		2,600		30,723
Japan Tobacco, Inc.		18,000		470,039

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

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INVESTMENTS	SHARES		VALUE
Japan - 29.0% (continued)
Kajima Corp.		7,500	$	109,054
Kakaku.com, Inc.		4,700		91,828
Kamigumi Co. Ltd.		29,000		639,238
Kansai Paint Co. Ltd.		6,100		112,424
Kao Corp.		5,500		444,278
KDDI Corp.		81,800		2,256,595
Kikkoman Corp.		7,300		434,764
Kirin Holdings Co. Ltd.		14,400		369,330
Komatsu Ltd.		7,000		213,016
Konica Minolta, Inc.		18,100		192,619
Kose Corp.		2,600		495,418
Kuraray Co. Ltd.		9,700		145,825
Kurita Water Industries Ltd.		5,600		163,141
Kyushu Railway Co.		26,600		809,862
Lawson, Inc.		4,900		298,422
Lion Corp.		14,600		324,261
M3, Inc.		5,000		113,392
Makita Corp.		8,800		440,670
Mazda Motor Corp.		57,400		689,948
McDonald’s Holdings Co. Japan Ltd.		6,100		267,884
MEIJI Holdings Co. Ltd.		4,300		289,012
MISUMI Group, Inc.		1,700		43,987
Mitsubishi Electric Corp.		6,400		87,676
Mitsubishi Motors Corp.		15,800		111,619
Mitsubishi Tanabe Pharma Corp.		39,700		664,447
Mitsubishi UFJ Financial Group, Inc.		19,600		121,769
Mitsui & Co. Ltd.		7,900		140,388
Mizuho Financial Group, Inc.		183,700		320,153
Murata Manufacturing Co. Ltd.		500		76,828
Nexon Co. Ltd. *		50,200		656,190
NH Foods Ltd.		1,000		36,942
Nidec Corp.		600		86,277
Nikon Corp.		7,500		140,935
Nippon Express Co. Ltd.		3,400		223,290
Nippon Paint Holdings Co. Ltd.		1,900		70,920
Nippon Telegraph & Telephone Corp.		32,100		1,448,683
Nissan Motor Co. Ltd. (a)		44,200		413,603
Nisshin Seifun Group, Inc.		8,400		184,218
Nissin Foods Holdings Co. Ltd.		9,700		667,234
Nitori Holdings Co. Ltd.		3,700		530,232
Nitto Denko Corp.		8,300		622,291
Nomura Research Institute Ltd.		1,287		64,991
Obayashi Corp.		11,400		107,973
Obic Co. Ltd.		700		66,207
Omron Corp.		25,000		1,056,443
Oracle Corp. Japan		8,900		717,093
Oriental Land Co. Ltd.		9,100		951,451
Osaka Gas Co. Ltd.		74,600		1,456,683
Otsuka Corp.		23,400		872,822
Otsuka Holdings Co. Ltd.		5,000		252,195
Pola Orbis Holdings, Inc.		18,500		675,679
Recruit Holdings Co. Ltd.		54,300		1,813,699
Rinnai Corp.		600		45,742
Ryohin Keikaku Co. Ltd.		1,700		505,307
Secom Co. Ltd.		1,200		97,790
Sekisui Chemical Co. Ltd.		3,900		71,920
Seven & i Holdings Co. Ltd.		21,700		967,493
Seven Bank Ltd.		27,700		87,486
Shimamura Co. Ltd.		5,200		493,265

INVESTMENTS	SHARES		VALUE
Japan - 29.0% (continued)
Shimano, Inc.		3,800	$	612,745
Shin-Etsu Chemical Co. Ltd.		800		70,727
Shionogi & Co. Ltd.		15,000		980,545
SMC Corp.		1,400		448,100
Sony Corp.		1,800		109,418
Sony Financial Holdings, Inc.		2,000		44,104
Stanley Electric Co. Ltd.		9,500		324,783
Subaru Corp.		36,100		1,106,621
Sumitomo Corp.		7,900		131,655
Sumitomo Dainippon Pharma Co. Ltd.		7,000		160,766
Sumitomo Heavy Industries Ltd.		1,200		42,830
Sumitomo Mitsui Financial Group, Inc.		3,300		132,805
Sundrug Co. Ltd.		27,000		963,428
Suntory Beverage & Food Ltd.		9,300		394,004
Suzuken Co. Ltd.		3,400		161,327
Suzuki Motor Corp.		8,400		481,414
Sysmex Corp.		7,300		629,504
T&D Holdings, Inc.		48,100		794,351
Taisei Corp.		5,600		255,267
Toho Co. Ltd.		2,700		84,801
Toho Gas Co. Ltd.		18,500		703,872
Tohoku Electric Power Co., Inc.		2,200		29,924
Tokyo Electric Power Co. Holdings, Inc. *		48,800		239,807
Tokyo Electron Ltd.		1,000		137,820
Tokyo Gas Co. Ltd.		50,700		1,247,120
Tosoh Corp.		17,400		267,994
TOTO Ltd.		2,200		91,244
Toyo Suisan Kaisha Ltd.		25,300		982,207
Trend Micro, Inc.		14,100		906,965
Tsuruha Holdings, Inc.		3,500		430,814
USS Co. Ltd.		16,100		298,878
West Japan Railway Co.		4,900		341,577
Yakult Honsha Co. Ltd.		11,700		959,523
Yamada Denki Co. Ltd. (a)		7,900		39,968
Yamaha Motor Co. Ltd.		8,100		227,147
Yamato Holdings Co. Ltd.		1,200		36,845
Yamazaki Baking Co. Ltd.		19,100		382,612
Yokogawa Electric Corp.		4,600		97,304
ZOZO, Inc.		4,600		139,148
				60,052,311
Macau - 0.6%
Sands China Ltd.		170,800		769,201
SJM Holdings Ltd.		248,000		228,498
Wynn Macau Ltd.		115,200		264,568
				1,262,267
Netherlands - 1.2%
Heineken NV		2,163		202,999
Koninklijke Ahold Delhaize NV		43,960		1,008,554
Koninklijke Philips NV		5,681		258,948
Koninklijke Vopak NV		4,116		202,780
Randstad NV		4,463		238,211
Royal Dutch Shell plc, Class A		19,109		655,218
				2,566,710
Norway - 1.6%
DNB ASA		1,949		41,016
Gjensidige Forsikring ASA		16,603		279,827

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

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INVESTMENTS	SHARES		VALUE
Norway - 1.6% (continued)
Marine Harvest ASA		34,948	$	809,814
Norsk Hydro ASA		24,142		144,776
Orkla ASA		76,822		649,071
Telenor ASA		67,116		1,312,497
Yara International ASA		1,334		65,470
				3,302,471
Portugal - 0.0% (c)
Jeronimo Martins SGPS SA		2,999		44,204
Singapore - 3.8%
ComfortDelGro Corp. Ltd.		243,200		432,225
DBS Group Holdings Ltd.		68,100		1,299,154
Genting Singapore Ltd.		502,900		389,815
Jardine Cycle & Carriage Ltd.		1,700		39,790
Oversea-Chinese Banking Corp. Ltd.		134,400		1,124,619
SATS Ltd.		140,200		535,242
Singapore Airlines Ltd.		88,900		633,259
Singapore Telecommunications Ltd.		499,600		1,183,899
StarHub Ltd.		11,200		15,317
United Overseas Bank Ltd.		58,200		1,150,524
Venture Corp. Ltd.		42,300		545,446
Wilmar International Ltd.		205,800		484,564
				7,833,854
South Africa - 0.1%
Anglo American plc		8,862		198,252
Spain - 0.7%
Endesa SA		13,559		292,464
Iberdrola SA		77,077		566,119
Industria de Diseno Textil SA		9,673		292,236
Mapfre SA		65,467		204,771
Red Electrica Corp. SA		5,122		107,078
Repsol SA		2,886		57,453
				1,520,121
Sweden - 3.9%
Assa Abloy AB, Class B		3,685		73,862
Atlas Copco AB, Class A		19,161		551,036
Boliden AB		1,762		49,003
Essity AB, Class B		23,725		595,528
Hennes & Mauritz AB, Class B (a)		20,322		375,420
ICA Gruppen AB (a)		19,296		612,038
Investor AB, Class B		23,812		1,097,296
L E Lundbergforetagen AB, Class B		8,324		280,498
Nordea Bank AB		27,239		296,377
Sandvik AB		19,119		338,488
Skanska AB, Class B		13,587		266,406
SKF AB, Class B		2,488		48,956
Svenska Handelsbanken AB, Class A		2,802		35,338
Swedish Match AB		27,891		1,425,657
Tele2 AB, Class B (a)		68,457		822,738
Telia Co. AB		139,404		639,250
Volvo AB, Class B		28,527		503,129
				8,011,020
Switzerland - 4.8%
ABB Ltd. (Registered)		18,150		429,334

INVESTMENTS	SHARES		VALUE
Switzerland - 4.8% (continued)
Adecco Group AG (Registered)		1,325	$	69,652
Chocoladefabriken Lindt & Spruengli AG		65		454,902
Coca-Cola HBC AG *		25,235		859,735
Ferguson plc		3,329		282,372
Geberit AG (Registered)		423		196,332
Kuehne + Nagel International AG (Registered)		6,330		1,004,414
Nestle SA (Registered)		21,363		1,778,185
Novartis AG (Registered)		11,270		970,104
Partners Group Holding AG		212		168,056
Roche Holding AG		6,777		1,638,783
Schindler Holding AG		1,889		471,412
SGS SA (Registered)		52		136,913
Sika AG (Registered)		2,220		323,053
Sonova Holding AG (Registered)		1,598		317,152
Swatch Group AG (The)		314		124,794
Swiss Re AG		2,604		239,923
Swisscom AG (Registered)		694		314,770
Zurich Insurance Group AG		638		201,165
				9,981,051
United Kingdom - 9.1%
Admiral Group plc		20,048		543,446
Associated British Foods plc		27,947		834,090
AstraZeneca plc		10,504		818,725
BAE Systems plc		47,484		389,367
BP plc		57,637		441,773
British American Tobacco plc		8,440		393,477
BT Group plc		226,103		663,690
Bunzl plc		3,697		116,227
Burberry Group plc		55,930		1,468,681
Centrica plc		144,546		292,110
Compass Group plc		12,485		277,583
Diageo plc		39,111		1,385,627
Direct Line Insurance Group plc		170,849		721,119
easyJet plc		6,543		111,965
Fiat Chrysler Automobiles NV *		1,982		34,663
GlaxoSmithKline plc		24,653		494,409
Hargreaves Lansdown plc		10,356		301,469
HSBC Holdings plc		89,959		784,927
Imperial Brands plc		11,065		385,039
International Consolidated Airlines Group SA		4,841		41,529
ITV plc		55,063		113,010
Kingfisher plc		103,321		349,352
Marks & Spencer Group plc		98,848		371,910
Mondi plc		26,110		714,885
National Grid plc		101,740		1,050,849
Next plc		4,707		336,862
Pearson plc		58,828		681,015
Reckitt Benckiser Group plc		10,025		915,784
Royal Mail plc		167,833		1,043,315
Sage Group plc (The)		17,119		130,747
Smith & Nephew plc		51,219		934,473
SSE plc		41,219		615,559
Travis Perkins plc		2,417		33,541
Unilever NV, CVA		5,592		311,054
United Utilities Group plc		2,762		25,355
Vodafone Group plc		228,022		488,565

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

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INVESTMENTS	SHARES		VALUE
United Kingdom - 9.1% (continued)
Whitbread plc		1,298	$	79,778
WPP plc		2,453		35,923
				18,731,893
Zambia - 0.0% (c)
First Quantum Minerals Ltd. (1)		4,929		56,134
TOTAL COMMON STOCKS (Cost $175,501,634)				196,968,704
SHORT-TERM INVESTMENTS - 3.8%
Investment Companies - 3.8%
Limited Purpose Cash Investment Fund, 2.06% (1)(d)
(Cost $7,932,788)		7,934,080		7,933,286
SECURITIES LENDING COLLATERAL - 1.9%
Investment Companies - 1.9%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97%(1)(d)(e)		472,586		472,586
Limited Purpose Cash Investment Fund 2.06% (1)(d)(e)		3,391,089		3,390,750
TOTAL SECURITIES LENDING COLLATERAL (Cost $3,863,675)				3,863,336
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.9% (Cost $187,298,097)				208,765,326
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.9)% (f)			(1,826,741)
NET ASSETS - 100.0%			$	206,938,585

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	17,576,340			8.5	%
Consumer Discretionary		22,038,159			10.6
Consumer Staples		36,569,407			17.7
Energy		7,093,090			3.4
Financials		27,086,134			13.1
Health Care		19,034,656			9.2
Industrials		27,499,724			13.3
Information Technology		10,665,541			5.2
Materials		12,810,910			6.2
Utilities		16,594,743			8.0
Short-Term Investments		7,933,286			3.8
Securities Lending Collateral		3,863,336			1.9
Total Investments In Securities At Value		208,765,326			100.9
Liabilities in Excess of Other Assets (f)		(1,826,741	)		(0.9	)
Net Assets	$	206,938,585			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $3,590,896.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $3,458,318, which represents approximately 1.67% of net assets of the fund.

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

(d) Represents 7-day effective yield as of September 30, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $392,324 was received (See Note 3).

(f) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

SCA - Limited partnership with share capital

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		80	12/2018	USD		$7,902,000		$63,217
								$63,217

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$262,953		$262,953

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

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AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.3%
Brazil - 3.2%
Ambev SA, ADR (1)		148,089	$	676,767
BB Seguridade Participacoes SA (1)		15,000		89,289
Engie Brasil Energia SA (1)		29,900		263,200
Equatorial Energia SA (1)		3,800		53,962
Hypera SA (1)*		7,800		55,025
IRB Brasil Resseguros S/A (1)		4,100		67,157
Localiza Rent a Car SA (1)*		24,290		137,492
Lojas Renner SA (1)		12,600		96,593
M Dias Branco SA (1)*		4,100		40,030
Odontoprev SA (1)		138,000		437,385
Raia Drogasil SA (1)*		3,700		66,377
Sul America SA (1)		14,200		91,243
Telefonica Brasil SA, ADR (1)		12,990		126,393
TIM Participacoes SA, ADR (1)		21,702		314,462
Ultrapar Participacoes SA (1)		2,700		24,930
WEG SA (1)		40,554		197,822
				2,738,127
Chile - 4.2%
Aguas Andinas SA, Class A		1,020,599		564,857
Banco de Chile		5,904,291		899,036
Banco de Credito e Inversiones SA		496		33,549
Banco Santander Chile, ADR (1)		6,318		202,050
Cia Cervecerias Unidas SA, ADR (1)(a)		14,930		416,547
Embotelladora Andina SA (Preference), Class B		32,762		127,527
Empresas COPEC SA		3,262		50,394
Enel Americas SA, ADR (1)		24,890		192,400
Enel Chile SA, ADR (1)		36,540		183,065
Enel Generacion Chile SA, ADR (1)		589		12,228
SACI Falabella		75,507		614,572
Sociedad Quimica y Minera de Chile SA, ADR (1)		6,765		309,296
				3,605,521
China - 16.5%
3SBio, Inc. (b)		28,500		47,758
Agricultural Bank of China Ltd., Class H		639,000		313,379
ANTA Sports Products Ltd.		111,000		529,896
Bank of China Ltd., Class H		513,000		226,665
Beijing Capital International Airport Co. Ltd., Class H		152,000		184,353
China Communications Services Corp. Ltd., Class H		1,010,000		931,330
China Construction Bank Corp., Class H		631,000		551,557
China Everbright Bank Co. Ltd., Class H		97,000		42,963
China Huishan Dairy Holdings Co. Ltd. (3)*(c)		700,000		1
China Longyuan Power Group Corp. Ltd., Class H		342,000		287,995
China Medical System Holdings Ltd.		74,000		103,043
China Merchants Bank Co. Ltd., Class H		39,500		159,721
China Mobile Ltd.		133,000		1,307,636
China Petroleum & Chemical Corp., Class H		418,000		419,985
China Resources Beer Holdings Co. Ltd.		26,000		104,264
China Resources Gas Group Ltd.		150,000		609,977
China Resources Pharmaceutical Group Ltd. (b)		33,000		52,400

INVESTMENTS	SHARES		VALUE
China - 16.5% (continued)
China Resources Power Holdings Co. Ltd.		308,000	$	543,403
China Shenhua Energy Co. Ltd., Class H		95,500		217,498
China Telecom Corp. Ltd., Class H		1,262,000		627,340
China Unicom Hong Kong Ltd.		426,000		497,676
Chong Sing Holdings FinTech Gr *		716,000		38,451
CSPC Pharmaceutical Group Ltd.		348,000		736,102
ENN Energy Holdings Ltd.		43,000		373,825
Fuyao Glass Industry Group Co. Ltd., Class H (b)		15,200		55,072
Geely Automobile Holdings Ltd.		83,000		165,291
Great Wall Motor Co. Ltd., Class H (a)		55,500		35,274
Guangdong Investment Ltd.		610,000		1,080,898
Haitian International Holdings Ltd.		71,000		158,010
Hengan International Group Co. Ltd.		3,500		32,165
HengTen Networks Group Ltd. *		4,760,000		179,008
Huaneng Power International, Inc., Class H		54,000		35,384
Huaneng Renewables Corp. Ltd., Class H		494,000		147,304
Industrial & Commercial Bank of China Ltd., Class H		735,000		536,619
Jiangsu Expressway Co. Ltd., Class H		170,000		218,070
Kingdee International Software Group Co. Ltd.		36,000		39,075
Luye Pharma Group Ltd.		46,500		41,632
Nexteer Automotive Group Ltd.		59,000		93,420
PICC Property & Casualty Co. Ltd., Class H		20,000		23,538
Shenzhou International Group Holdings Ltd.		16,000		205,298
Sinopharm Group Co. Ltd., Class H		5,600		27,392
Sinotruk Hong Kong Ltd. (a)		122,000		266,176
Sunny Optical Technology Group Co. Ltd.		2,000		23,090
Tencent Holdings Ltd.		10,600		432,807
Tingyi Cayman Islands Holding Corp.		196,000		359,899
Towngas China Co. Ltd. *		137,000		119,575
TravelSky Technology Ltd., Class H		38,000		98,805
Tsingtao Brewery Co. Ltd., Class H		38,000		178,256
Uni-President China Holdings Ltd.		422,000		449,155
Want Want China Holdings Ltd. (a)		371,000		312,090
Wuxi Biologics Cayman, Inc. *(b)		3,000		30,359
Zhongsheng Group Holdings Ltd.		22,000		53,397
				14,304,277
Hong Kong - 1.3%
China Gas Holdings Ltd.		43,000		121,701
Haier Electronics Group Co. Ltd. *		104,000		281,564
Kingboard Laminates Holdings Ltd.		43,500		38,569
Sino Biopharmaceutical Ltd.		653,500		607,843
SSY Group Ltd.		62,000		60,027
				1,109,704
India - 7.9%
Axis Bank Ltd., GDR *(d)		6,187		261,686
Bajaj Finance Ltd.		598		17,901
Bharti Infratel Ltd.		59,678		216,528
Dr Reddy’s Laboratories Ltd., ADR (1)		12,378		428,279
Hindustan Unilever Ltd.		43,567		966,890
Infosys Ltd., ADR (1)		106,912		1,087,295
Larsen & Toubro Ltd., GDR (d)		20,109		348,887
Nestle India Ltd.		3,832		512,839
Reliance Industries Ltd., GDR (b)		35,228		1,212,158
State Bank of India, GDR *(d)		9,615		354,999

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

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INVESTMENTS	SHARES		VALUE
India - 7.9% (continued)
Tata Consultancy Services Ltd.		14,448	$	435,247
Tata Motors Ltd., ADR (1)*		1,375		21,120
Wipro Ltd., ADR (1)(a)		195,853		1,020,394
				6,884,223
Indonesia - 2.9%
Bank Central Asia Tbk. PT		400,600		648,872
Bank Mandiri Persero Tbk. PT		234,000		105,444
Bank Rakyat Indonesia Persero Tbk. PT		864,000		182,579
Hanjaya Mandala Sampoerna Tbk. PT		1,409,900		364,182
Indofood CBP Sukses Makmur Tbk. PT		220,300		130,556
Kalbe Farma Tbk. PT		2,964,400		274,575
Telekomunikasi Indonesia Persero Tbk. PT		1,102,600		269,889
Unilever Indonesia Tbk. PT		153,200		483,507
United Tractors Tbk. PT		39,800		88,119
				2,547,723
Malaysia - 7.7%
DiGi.Com Bhd.		360,700		420,002
Fraser & Neave Holdings Bhd.		21,600		196,919
Hong Leong Bank Bhd.		103,700		515,726
IHH Healthcare Bhd.		144,000		181,254
Kuala Lumpur Kepong Bhd.		26,100		157,400
Malayan Banking Bhd.		306,300		724,439
Malaysia Airports Holdings Bhd.		39,700		85,350
Nestle Malaysia Bhd.		4,400		155,614
Petronas Chemicals Group Bhd.		338,500		765,512
Petronas Dagangan Bhd.		9,600		60,921
Petronas Gas Bhd.		105,800		482,664
PPB Group Bhd.		68,400		277,202
Public Bank Bhd.		187,800		1,134,265
Sime Darby Plantation Bhd.		245,100		313,519
Telekom Malaysia Bhd.		312,200		242,936
Tenaga Nasional Bhd.		160,100		598,611
Westports Holdings Bhd.		430,500		395,144
				6,707,478
Mexico - 5.8%
America Movil SAB de CV, Class L, ADR (1)		4,647		74,631
Arca Continental SAB de CV (1)		76,300		492,847
Coca-Cola Femsa SAB de CV, ADR (1)		2,295		140,546
El Puerto de Liverpool SAB de CV, Class C1 (1)		3,700		27,767
Fomento Economico Mexicano SAB de CV, ADR (1)		3,354		331,945
Gruma SAB de CV, Class B (1)		29,345		375,147
Grupo Aeroportuario del Pacifico SAB de CV, ADR (1)		6,914		754,870
Grupo Aeroportuario del Sureste SAB de CV, ADR (1)(a)		2,477		508,107
Grupo Bimbo SAB de CV, Series A (1)		107,500		229,258
Grupo Financiero Banorte SAB de CV, Class O (1)		24,300		175,686
Infraestructura Energetica Nova SAB de CV (1)		84,100		417,894
Kimberly-Clark de Mexico SAB de CV, Class A (1)		21,300		37,902
Promotora y Operadora de Infraestructura SAB de CV (1)		16,930		180,111

INVESTMENTS	SHARES		VALUE
Mexico - 5.8% (continued)
Wal-Mart de Mexico SAB de CV (1)		430,400	$	1,311,622
				5,058,333
Philippines - 0.5%
Ayala Corp.		4,000		68,687
Bank of the Philippine Islands		176,330		271,878
BDO Unibank, Inc.		12,190		27,028
Jollibee Foods Corp.		5,120		24,344
				391,937
Poland - 2.5%
Bank Polska Kasa Opieki SA		10,096		290,563
Jastrzebska Spolka Weglowa SA *		4,277		76,952
LPP SA		243		568,484
PGE Polska Grupa Energetyczna SA *		67,912		175,530
Polski Koncern Naftowy ORLEN SA		9,306		255,087
Polskie Gornictwo Naftowe i Gazownictwo SA *		30,228		53,059
Powszechna Kasa Oszczednosci Bank Polski SA		4,356		50,605
Powszechny Zaklad Ubezpieczen SA		30,380		326,939
Santander Bank Polska SA		3,292		334,801
				2,132,020
Russia - 0.8%
Mobile TeleSystems PJSC, ADR (1)		16,755		142,920
Novolipetsk Steel PJSC, GDR (d)		4,160		111,965
Severstal PJSC, GDR (d)		20,460		340,763
Tatneft PJSC, ADR		1,177		89,805
				685,453
South Africa - 5.8%
Bidvest Group Ltd. (The)		22,037		288,260
Capitec Bank Holdings Ltd.		5,945		430,037
Clicks Group Ltd.		7,756		95,860
Coronation Fund Managers Ltd.		27,834		106,020
FirstRand Ltd.		93,749		449,699
Kumba Iron Ore Ltd.		10,004		226,676
Mr Price Group Ltd.		20,222		326,129
Nedbank Group Ltd.		2,862		53,539
Netcare Ltd.		17,991		30,745
Pick n Pay Stores Ltd.		130,952		637,206
RMB Holdings Ltd.		99,315		555,256
Sanlam Ltd.		6,667		37,246
Shoprite Holdings Ltd.		15,793		213,851
SPAR Group Ltd. (The)		13,671		178,052
Standard Bank Group Ltd.		6,730		83,220
Tiger Brands Ltd.		30,449		570,614
Truworths International Ltd.		55,184		325,482
Vodacom Group Ltd.		48,827		434,584
				5,042,476
South Korea - 12.8%
Amorepacific Corp.		476		111,959
BGF retail Co. Ltd.		180		33,362
Celltrion, Inc. *		2,456		658,198
Cheil Worldwide, Inc.		9,056		176,834
CJ Logistics Corp. *		192		27,345
Coway Co. Ltd.		2,743		214,619
DB Insurance Co. Ltd.		9,486		622,529

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

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INVESTMENTS	SHARES		VALUE
South Korea - 12.8% (continued)
E-MART, Inc.		140	$	26,193
Hanmi Science Co. Ltd.		1,393		110,244
Hanon Systems		50,161		572,065
Hanssem Co. Ltd.		1,290		89,090
Hanwha Life Insurance Co. Ltd.		16,322		77,843
Hotel Shilla Co. Ltd.		1,680		164,276
Hyundai Engineering & Construction Co. Ltd.		2,835		172,426
Hyundai Glovis Co. Ltd.		2,099		245,963
Hyundai Marine & Fire Insurance Co. Ltd.		7,322		276,781
Hyundai Mobis Co. Ltd.		689		141,574
Kangwon Land, Inc.		14,048		363,458
Kia Motors Corp.		4,700		148,670
KT Corp.		1,517		41,240
KT&G Corp.		4,999		468,630
LG Chem Ltd.		962		316,926
LG Household & Health Care Ltd.		270		310,532
Medy-Tox, Inc.		231		128,939
NAVER Corp.		206		132,965
NCSoft Corp.		1,533		611,627
Ottogi Corp.		51		34,342
S-1 Corp.		8,200		675,623
Samsung Biologics Co. Ltd. *(b)		1,023		492,291
Samsung Electronics Co. Ltd.		20,750		868,405
Samsung Fire & Marine Insurance Co. Ltd.		1,206		308,723
Samsung Life Insurance Co. Ltd.		2,063		180,956
Samsung SDS Co. Ltd.		2,010		418,510
SillaJen, Inc. *		5,093		469,913
SK Hynix, Inc.		13,687		905,502
SK Innovation Co. Ltd.		197		38,186
SK Telecom Co. Ltd.		1,506		381,824
Woori Bank		4,221		64,274
				11,082,837
Taiwan - 14.6%
Advantech Co. Ltd.		33,998		253,040
Asustek Computer, Inc.		34,000		294,129
Catcher Technology Co. Ltd.		5,000		54,964
Chang Hwa Commercial Bank Ltd.		830,051		513,663
Cheng Shin Rubber Industry Co. Ltd.		16,000		25,150
Chunghwa Telecom Co. Ltd.		334,600		1,205,210
CTBC Financial Holding Co. Ltd.		321,000		241,686
Delta Electronics, Inc.		10,000		42,868
E.Sun Financial Holding Co. Ltd.		489,180		361,175
Far EasTone Telecommunications Co. Ltd.		407,000		970,404
Feng TAY Enterprise Co. Ltd.		19,040		117,255
First Financial Holding Co. Ltd.		1,386,394		944,182
Formosa Chemicals & Fibre Corp.		8,000		33,525
Formosa Petrochemical Corp.		130,000		630,139
Formosa Plastics Corp.		10,000		38,308
Fubon Financial Holding Co. Ltd.		119,000		201,841
Globalwafers Co. Ltd.		24,000		264,481
Hon Hai Precision Industry Co. Ltd.		44,583		115,612
Hua Nan Financial Holdings Co. Ltd.		701,063		424,628
Lite-On Technology Corp.		31,023		38,983
MediaTek, Inc.		3,000		24,207
Mega Financial Holding Co. Ltd.		571,000		514,076
Micro-Star International Co. Ltd.		75,000		202,869
Nanya Technology Corp.		11,000		21,006

INVESTMENTS	SHARES		VALUE
Taiwan - 14.6% (continued)
Nien Made Enterprise Co. Ltd.		26,000	$	203,486
Novatek Microelectronics Corp.		28,000		138,176
President Chain Store Corp.		105,000		1,232,776
Realtek Semiconductor Corp. *		62,442		278,258
TaiMed Biologics, Inc. *		7,000		43,149
Taiwan Cooperative Financial Holding Co. Ltd.		610,176		371,648
Taiwan Mobile Co. Ltd.		250,000		896,405
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		29,421		1,299,232
Teco Electric and Machinery Co. Ltd.		35,000		25,385
Uni-President Enterprises Corp.		192,172		501,378
United Microelectronics Corp.		43,000		22,687
Vanguard International Semiconductor Corp.		38,000		84,808
Win Semiconductors Corp.		10,000		44,025
				12,674,814
Thailand - 6.6%
Airports of Thailand PCL, NVDR		519,900		1,052,982
Bangkok Bank PCL, NVDR		35,200		228,625
Bangkok Dusit Medical Services PCL, NVDR		384,900		303,475
BTS Group Holdings PCL, NVDR		651,100		187,255
Bumrungrad Hospital PCL, NVDR		144,300		829,483
CP All PCL, NVDR		12,700		27,102
Delta Electronics Thailand PCL, NVDR		140,600		303,253
Electricity Generating PCL, NVDR		16,800		122,484
Glow Energy PCL, NVDR		104,500		284,399
Home Product Center PCL, NVDR		1,798,000		878,949
Kasikornbank PCL, NVDR		50,300		335,951
Krung Thai Bank PCL, NVDR		299,700		187,202
Robinson PCL, NVDR		229,600		501,043
Siam Cement PCL (The), NVDR		3,700		51,062
Siam Commercial Bank PCL (The), NVDR		96,900		446,423
				5,739,688
Turkey - 0.9%
BIM Birlesik Magazalar A/S		46,255		622,652
TAV Havalimanlari Holding A/S		13,073		67,621
Turkiye Sise ve Cam Fabrikalari A/S		76,358		73,743
				764,016
United Kingdom - 0.3%
Mondi Ltd.		10,770		295,765
TOTAL COMMON STOCKS (Cost $73,888,695)				81,764,392
	NO. OF WARRANTS
WARRANTS - 0.0%
Thailand - 0.0%
BTS Group Holdings PCL, expiring 12/31/2019 (3)*(c)
(Cost $—)		72,344		—
	SHARES
SHORT-TERM INVESTMENTS - 4.7%
Investment Companies - 4.7%
Limited Purpose Cash Investment Fund, 2.06% (1)(e)
(Cost $4,053,706)		4,054,527		4,054,121

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

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INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 1.4%
Investment Companies - 1.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
1.97% (1)(e)(f)		149,880	$	149,880
Limited Purpose Cash Investment Fund
2.06% (1)(e)(f)		1,075,481		1,075,374
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,225,361)				1,225,254
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.4% (Cost $79,167,762)				87,043,767
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (g)			(377,621)
NET ASSETS - 100.0%			$	86,666,146

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	10,455,640			12.1	%
Consumer Discretionary		7,022,347			8.1
Consumer Staples		14,305,478			16.5
Energy		3,140,281			3.6
Financials		16,784,542			19.4
Health Care		6,149,510			7.1
Industrials		6,250,995			7.2
Information Technology		8,417,491			9.7
Materials		2,566,749			2.9
Utilities		6,671,359			7.7
Short-Term Investments		4,054,121			4.7
Securities Lending Collateral		1,225,254			1.4
Total Investments In Securities At Value		87,043,767			100.4
Liabilities in Excess of Other Assets (g)		(377,621	)		(0.4	)
Net Assets	$	86,666,146			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $1,376,799.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $1,890,038, which represents approximately 2.18% of net assets of the fund.

(c) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $1, which represents approximately 0.00% of net assets of the fund.

(d) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2018, the value of these securities amounted to $1,418,300 or 1.64% of net assets.

(e) Represents 7-day effective yield as of September 30, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $214,878 was received (See Note 3).

(g) 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).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

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

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AQR EMERGING DEFENSIVE STYLE FUND

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		68		12/2018		USD	$	3,568,980	$	52,103
									$	52,103

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$119,751		$119,751

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

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Schedule of Investments September 30, 2018

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 88.2%
Australia - 1.3%
ASX Ltd.		891	$	40,983
Aurizon Holdings Ltd.		300,669		892,670
BHP Billiton Ltd.		14,837		369,603
BlueScope Steel Ltd.		22,904		280,912
Caltex Australia Ltd.		40,036		864,931
CIMIC Group Ltd.		15,991		593,509
Crown Resorts Ltd.		14,618		144,568
CSL Ltd.		873		126,846
Dexus, REIT		14,068		107,473
Goodman Group, REIT		25,367		190,293
GPT Group (The), REIT		42,925		161,668
LendLease Group		2,927		41,587
Macquarie Group Ltd.		1,429		129,994
Mirvac Group, REIT		95,677		166,765
Rio Tinto plc		6,451		325,398
Scentre Group, REIT		45,435		130,569
Stockland, REIT		49,658		149,170
Vicinity Centres, REIT		79,436		150,710
				4,867,649
Belgium - 0.7%
Ageas		13,688		735,848
UCB SA		20,535		1,845,356
				2,581,204
Canada - 2.1%
BlackBerry Ltd. (1) *		44,320		501,652
Canadian Natural Resources Ltd. (1)		11,221		366,606
CGI Group, Inc., Class A (1) *		7,145		460,679
Constellation Software, Inc. (1)		1,648		1,211,928
Crescent Point Energy Corp. (1)		1,800		11,455
Finning International, Inc. (1)		30,670		749,149
Great-West Lifeco, Inc. (1)		1,345		32,634
Husky Energy, Inc. (1)		38,608		677,915
Industrial Alliance Insurance & Financial Services, Inc. (1)		2,730		109,166
Magna International, Inc. (1)		2,804		147,293
Manulife Financial Corp. (1)		33,048		590,778
Methanex Corp. (1)		11,311		892,865
Power Corp. of Canada (1)		1,646		35,758
RioCan REIT (1)		6,747		128,917
Suncor Energy, Inc. (1)		30,745		1,189,668
West Fraser Timber Co. Ltd. (1)		10,117		575,776
				7,682,239
Chile - 0.0% (a)
Antofagasta plc		13,063		145,161
China - 0.0% (a)
Yangzijiang Shipbuilding Holdings Ltd.		117,000		106,071
Denmark - 1.4%
Carlsberg A/S, Class B		821		98,459
Danske Bank A/S		41,516		1,088,239
H Lundbeck A/S		5,485		338,580
Novo Nordisk A/S, Class B		74,108		3,487,899
Orsted A/S (b)		2,628		178,580
				5,191,757

INVESTMENTS	SHARES		VALUE
Finland - 1.1%
Fortum OYJ		30,668	$	768,581
Neste OYJ		6,125		504,856
Orion OYJ, Class B		2,650		100,296
Sampo OYJ, Class A		10,729		555,215
UPM-Kymmene OYJ		51,131		2,005,304
				3,934,252
France - 3.7%
Aeroports de Paris		1,274		286,843
Atos SE		5,553		660,735
AXA SA		12,775		342,315
Capgemini SE		5,438		684,632
Cie de Saint-Gobain		21,303		918,180
Cie Generale des Etablissements Michelin SCA		6,988		834,058
CNP Assurances		14,403		347,194
Engie SA		153,968		2,266,756
Hermes International		1,349		893,745
Klepierre SA, REIT		4,718		167,652
Peugeot SA		57,119		1,540,826
Safran SA		1,352		189,313
Sanofi		3,421		305,657
Societe Generale SA		5,908		253,692
Thales SA		3,231		459,063
TOTAL SA		48,869		3,177,499
Unibail-Rodamco-Westfield, REIT		2,005		403,901
				13,732,061
Germany - 3.5%
Allianz SE (Registered)		9,740		2,167,800
BASF SE		1,122		99,559
Bayer AG (Registered)		8,999		798,217
Commerzbank AG *		19,998		207,778
Covestro AG (b)		45,421		3,676,704
Deutsche Lufthansa AG (Registered)		36,174		887,852
E.ON SE		46,540		473,579
Fresenius SE & Co. KGaA		1,365		100,096
HeidelbergCement AG		2,122		165,745
Infineon Technologies AG		5,507		125,317
Linde AG		1,365		322,354
Porsche Automobil Holding SE (Preference)		865		58,230
SAP SE		5,710		702,122
Schaeffler AG (Preference)		22,678		289,268
TUI AG		23,465		450,120
United Internet AG (Registered)		2,050		96,924
Wirecard AG		11,098		2,401,043
				13,022,708
Hong Kong - 0.8%
CK Infrastructure Holdings Ltd.		2,749		21,755
Henderson Land Development Co. Ltd.		62,700		314,884
Hong Kong Exchanges & Clearing Ltd.		5,269		150,560
Kerry Properties Ltd.		154,500		524,612
Li & Fung Ltd.		990,000		221,758
Link REIT		18,329		180,467
PCCW Ltd.		19,406		11,307
Power Assets Holdings Ltd.		23,000		159,872
Sino Land Co. Ltd.		214,000		366,627

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

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INVESTMENTS	SHARES		VALUE
Hong Kong - 0.8% (continued)
Sun Hung Kai Properties Ltd.		34,000	$	493,415
Techtronic Industries Co. Ltd.		25,000		159,467
Wharf Holdings Ltd. (The)		118,000		321,276
Wharf Real Estate Investment Co. Ltd.		7,000		45,098
Wheelock & Co. Ltd.		35,000		210,424
				3,181,522
Italy - 1.5%
Eni SpA		210,529		3,968,382
Moncler SpA		5,624		241,986
Poste Italiane SpA (b)		37,456		298,763
UniCredit SpA		75,989		1,140,193
				5,649,324
Japan - 6.8%
Aeon Mall Co. Ltd.		700		12,017
Alfresa Holdings Corp.		6,200		166,072
Alps Electric Co. Ltd.		5,000		127,113
ANA Holdings, Inc.		11,800		412,228
Astellas Pharma, Inc.		78,200		1,365,605
Bandai Namco Holdings, Inc.		5,200		202,025
Brother Industries Ltd.		8,500		167,834
Daicel Corp.		9,000		104,544
Daiichi Sankyo Co. Ltd.		8,400		364,122
Daito Trust Construction Co. Ltd.		486		62,629
Daiwa House Industry Co. Ltd.		2,451		72,632
Fujitsu Ltd.		1,612		114,803
Hitachi High-Technologies Corp.		3,258		112,493
Hitachi Ltd.		37,600		1,278,086
Hulic Co. Ltd.		1,500		14,719
Idemitsu Kosan Co. Ltd.		19,500		1,032,418
Inpex Corp.		24,400		304,867
ITOCHU Corp.		20,500		375,214
Japan Airlines Co. Ltd.		46,200		1,660,526
Japan Real Estate Investment Corp., REIT		30		157,314
Japan Retail Fund Investment Corp., REIT		64		116,146
JXTG Holdings, Inc.		230,700		1,744,967
Kajima Corp.		26,500		385,325
Kamigumi Co. Ltd.		9,000		198,384
Kao Corp.		3,500		282,722
Konami Holdings Corp.		4,800		187,950
Kose Corp.		1,300		247,709
Marubeni Corp.		39,900		364,910
McDonald’s Holdings Co. Japan Ltd.		2,600		114,180
Mitsubishi Corp.		13,600		418,917
Mitsubishi Electric Corp.		10,600		145,213
Mitsubishi Estate Co. Ltd.		5,764		97,873
Mitsubishi Gas Chemical Co., Inc.		6,300		134,114
Mitsubishi UFJ Financial Group, Inc.		135,900		844,305
Mitsui & Co. Ltd.		19,900		353,636
Mitsui Fudosan Co. Ltd.		4,598		108,747
Mizuho Financial Group, Inc.		186,400		324,858
MS&AD Insurance Group Holdings, Inc.		5,200		173,701
Nexon Co. Ltd. *		45,500		594,754
Nikon Corp.		28,900		543,069
Nintendo Co. Ltd.		800		291,067
Nippon Building Fund, Inc., REIT		21		121,427
Nippon Express Co. Ltd.		4,600		302,099
Nippon Telegraph & Telephone Corp.		22,296		1,006,226

INVESTMENTS	SHARES		VALUE
Japan - 6.8% (continued)
NOK Corp.		5,700	$	97,842
Nomura Real Estate Holdings, Inc.		1,000		20,173
Nomura Real Estate Master Fund, Inc., REIT		117		159,953
Nomura Research Institute Ltd.		3,400		171,693
NTT DOCOMO, Inc.		5,300		142,451
Omron Corp.		6,900		291,578
Oracle Corp. Japan		3,100		249,774
ORIX Corp.		44,100		714,051
Otsuka Corp.		15,500		578,151
Panasonic Corp.		13,900		161,118
Pola Orbis Holdings, Inc.		4,400		160,702
Recruit Holdings Co. Ltd.		12,200		407,498
Resona Holdings, Inc.		144,800		812,975
Rohm Co. Ltd.		3,300		241,429
Ryohin Keikaku Co. Ltd.		600		178,344
Shimadzu Corp.		9,600		300,841
Shionogi & Co. Ltd.		2,600		169,961
Shiseido Co. Ltd.		6,800		526,646
Sony Corp.		3,000		182,363
Sumitomo Corp.		6,400		106,658
Sumitomo Heavy Industries Ltd.		11,100		396,176
Sumitomo Mitsui Financial Group, Inc.		3,900		156,951
Sumitomo Realty & Development Co. Ltd.		2,624		94,135
Taisei Corp.		16,400		747,567
Tokyo Electric Power Co. Holdings, Inc. *		34,200		168,061
Tokyo Electron Ltd.		3,500		482,372
Tokyo Tatemono Co. Ltd.		1,200		14,635
Tokyu Fudosan Holdings Corp.		2,900		20,204
Tosoh Corp.		14,600		224,868
Toyota Tsusho Corp.		4,500		169,906
				25,358,636
Luxembourg - 0.1%
SES SA, FDR		13,750		301,612
Macau - 0.1%
Wynn Macau Ltd.		103,600		237,927
Malta - 0.0% (a)
BGP Holdings plc (3)*(c)		96,388		140
Netherlands - 2.0%
Aegon NV		92,070		597,584
ASML Holding NV		1,683		315,991
ING Groep NV		19,668		255,273
Koninklijke Ahold Delhaize NV		105,645		2,423,764
Koninklijke DSM NV		12,811		1,356,856
Koninklijke Philips NV		14,576		664,396
NN Group NV		4,798		214,146
Royal Dutch Shell plc, Class A		29,075		996,937
Royal Dutch Shell plc, Class B		22,741		796,084
				7,621,031
Singapore - 0.2%
ComfortDelGro Corp. Ltd.		61,300		108,945
Genting Singapore Ltd.		465,800		361,058
Sembcorp Industries Ltd.		4,477		10,112

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

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INVESTMENTS	SHARES		VALUE
Singapore - 0.2% (continued)
Singapore Airlines Ltd.		22,000	$	156,712
Singapore Exchange Ltd.		4,067		21,919
				658,746
South Africa - 0.1%
Investec plc		41,947		294,263
Spain - 0.7%
ACS Actividades de Construccion y Servicios SA		8,719		370,321
Banco Bilbao Vizcaya Argentaria SA		20,443		129,614
Endesa SA		30,601		660,054
Mapfre SA		296,971		928,881
Repsol SA		29,117		579,641
				2,668,511
Sweden - 0.8%
Electrolux AB, Series B		16,648		366,742
Investor AB, Class B		2,204		101,564
Kinnevik AB, Class B		1,380		41,671
Sandvik AB		30,597		541,697
Swedish Match AB		19,599		1,001,810
Volvo AB, Class B		51,887		915,128
				2,968,612
Switzerland - 3.2%
Adecco Group AG (Registered)		30,030		1,578,598
Barry Callebaut AG (Registered)		59		111,724
Coca-Cola HBC AG *		12,053		410,636
Nestle SA (Registered)		13,772		1,146,335
Novartis AG (Registered)		13,971		1,202,602
Partners Group Holding AG		277		219,583
Roche Holding AG		15,665		3,788,038
Sika AG (Registered)		1,696		246,801
Sonova Holding AG (Registered)		2,576		511,254
STMicroelectronics NV		15,341		280,780
Swiss Life Holding AG (Registered) *		2,281		864,890
Swiss Re AG		1,625		149,722
Vifor Pharma AG		3,066		531,554
Zurich Insurance Group AG		2,945		928,574
				11,971,091
United Kingdom - 3.6%
3i Group plc		9,545		116,877
Ashtead Group plc		16,469		522,533
AstraZeneca plc		3,140		244,744
Aviva plc		54,011		344,616
Barclays plc		492,610		1,092,621
Berkeley Group Holdings plc		25,194		1,206,963
BP plc		220,181		1,687,631
British Land Co. plc (The), REIT		12,747		102,526
Burberry Group plc		48,127		1,263,781
Direct Line Insurance Group plc		49,995		211,019
easyJet plc		8,799		150,570
GVC Holdings plc		25,837		309,179
Hammerson plc, REIT		17,591		104,669
International Consolidated Airlines Group SA		103,606		888,792
Land Securities Group plc, REIT		13,737		158,168

INVESTMENTS	SHARES		VALUE
United Kingdom - 3.6% (continued)
Meggitt plc		31,332	$	231,321
Next plc		5,316		380,445
Persimmon plc		18,005		554,326
Randgold Resources Ltd.		867		61,322
Royal Bank of Scotland Group plc		319,165		1,034,126
Royal Mail plc		75,306		468,131
Standard Life Aberdeen plc		301,147		1,199,959
Taylor Wimpey plc		270,867		605,441
Tesco plc		32,461		101,490
Unilever plc		5,942		326,419
Vodafone Group plc		69,344		148,578
				13,516,247
United States - 54.5%
AbbVie, Inc. (1)		6,818		644,846
ABIOMED, Inc. (1)*		6,558		2,949,461
Accenture plc, Class A (1)		4,002		681,140
Adobe Systems, Inc. (1)*		13,729		3,706,144
Aetna, Inc. (1)		3,218		652,771
Aflac, Inc. (1)		21,000		988,470
Agilent Technologies, Inc. (1)		3,516		248,019
Align Technology, Inc. (1)*		3,262		1,276,160
Allstate Corp. (The) (1)		16,622		1,640,591
Alphabet, Inc., Class A (1)*		2,446		2,952,518
Alphabet, Inc., Class C (1)*		2,378		2,838,072
Amazon.com, Inc. (1)*		3,041		6,091,123
American Tower Corp., REIT (1)		4,396		638,739
Ameriprise Financial, Inc. (1)		2,227		328,839
Amgen, Inc. (1)		5,649		1,170,981
Anadarko Petroleum Corp. (1)		28,304		1,907,973
Anthem, Inc. (1)		5,406		1,481,514
Apple, Inc. (1)		40,037		9,037,952
Applied Materials, Inc. (1)		49,054		1,895,937
AutoZone, Inc. (1)*		729		565,485
AvalonBay Communities, Inc., REIT (1)		811		146,913
Bausch Health Cos., Inc. (1)*		4,960		127,374
Baxter International, Inc. (1)		2,238		172,527
Berkshire Hathaway, Inc., Class B (1)*		9,984		2,137,674
Best Buy Co., Inc. (1)		38,533		3,057,979
Biogen, Inc. (1)*		10,170		3,593,163
Boeing Co. (The) (1)		12,149		4,518,213
Boston Properties, Inc., REIT (1)		1,213		149,308
Bristol-Myers Squibb Co. (1)		20,480		1,271,398
Cadence Design Systems, Inc. (1)*		10,407		471,645
Caterpillar, Inc. (1)		711		108,420
Centene Corp. (1)*		5,545		802,805
Chevron Corp. (1)		13,604		1,663,497
Cigna Corp. (1)		9,903		2,062,300
Cisco Systems, Inc. (1)		63,356		3,082,269
Cognizant Technology Solutions Corp., Class A (1)		14,045		1,083,572
Comcast Corp., Class A (1)		9,048		320,390
ConocoPhillips (1)		32,265		2,497,311
Copart, Inc. (1)*		6,594		339,789
Costco Wholesale Corp. (1)		2,854		670,348
Crown Castle International Corp., REIT (1)		1,970		219,320
Darden Restaurants, Inc. (1)		18,453		2,051,789
Dell Technologies, Inc., Class V (1)*		1,353		131,403
Delta Air Lines, Inc. (1)		15,697		907,758

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

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INVESTMENTS	SHARES		VALUE
United States - 54.5% (continued)
Dollar General Corp. (1)		1,624	$	177,503
DXC Technology Co. (1)		3,587		335,456
eBay, Inc. (1)*		10,645		351,498
Electronic Arts, Inc. (1)*		8,474		1,021,032
Eli Lilly & Co. (1)		2,789		299,288
Equinix, Inc., REIT (1)		445		192,636
Equity Residential, REIT (1)		2,048		135,700
Essex Property Trust, Inc., REIT (1)		720		177,631
Express Scripts Holding Co. (1)*		4,465		424,220
Exxon Mobil Corp. (1)		8,782		746,646
F5 Networks, Inc. (1)*		1,511		301,324
Facebook, Inc., Class A (1)*		33,868		5,569,931
Fidelity National Financial, Inc. (1)		38,455		1,513,204
FLIR Systems, Inc. (1)		8,075		496,370
Fortinet, Inc. (1)*		5,824		537,380
Gap, Inc. (The) (1)		55,805		1,609,974
General Dynamics Corp. (1)		1,892		387,330
Gilead Sciences, Inc. (1)		23,005		1,776,216
HCA Healthcare, Inc. (1)		9,187		1,278,095
HD Supply Holdings, Inc. (1)*		10,607		453,874
HollyFrontier Corp. (1)		39,492		2,760,491
Home Depot, Inc. (The) (1)		8,473		1,755,182
Honeywell International, Inc. (1)		5,980		995,072
Host Hotels & Resorts, Inc., REIT (1)		5,400		113,940
HP, Inc. (1)		39,131		1,008,406
Humana, Inc. (1)		10,770		3,645,860
Huntington Ingalls Industries, Inc. (1)		3,693		945,703
IAC/InterActiveCorp (1)*		3,951		856,261
Intel Corp. (1)		79,764		3,772,040
International Business Machines Corp. (1)		10,815		1,635,336
Intuit, Inc. (1)		3,157		717,902
Intuitive Surgical, Inc. (1)*		540		309,960
IQVIA Holdings, Inc. (1) *		1,795		232,883
Johnson & Johnson (1)		18,743		2,589,720
JPMorgan Chase & Co. (1)		26,819		3,026,256
KLA-Tencor Corp. (1)		4,638		471,731
Kohl’s Corp. (1)		11,937		889,903
Kroger Co. (The) (1)		30,315		882,470
Lam Research Corp. (1)		3,647		553,250
Las Vegas Sands Corp. (1)		6,315		374,669
Lockheed Martin Corp. (1)		2,739		947,584
Lowe’s Cos., Inc. (1)		12,621		1,449,143
Lululemon Athletica, Inc. (1)*		10,120		1,644,399
LyondellBasell Industries NV, Class A (1)		13,606		1,394,751
Macy’s, Inc. (1)		40,633		1,411,184
ManpowerGroup, Inc. (1)		12,687		1,090,575
Marathon Oil Corp. (1)		15,740		366,427
Marathon Petroleum Corp. (1)		14,689		1,174,679
Mastercard, Inc., Class A (1)		4,465		993,954
Maxim Integrated Products, Inc. (1)		9,285		523,581
McKesson Corp. (1)		6,475		858,909
Merck & Co., Inc. (1)		33,037		2,343,645
Michael Kors Holdings Ltd. (1)*		47,230		3,238,089
Micron Technology, Inc. (1)*		93,231		4,216,838
Microsoft Corp. (1)		90,903		10,396,576
NetApp, Inc. (1)		1,186		101,866
NIKE, Inc., Class B (1)		10,905		923,872
Norfolk Southern Corp. (1)		2,984		538,612
Northrop Grumman Corp. (1)		4,546		1,442,764

INVESTMENTS	SHARES		VALUE
United States - 54.5% (continued)
NVIDIA Corp. (1)		8,550	$	2,402,721
NVR, Inc. (1)*		163		402,740
Old Dominion Freight Line, Inc. (1)		697		112,398
Oracle Corp. (1)		3,986		205,518
PayPal Holdings, Inc. (1)*		2,365		207,742
PepsiCo, Inc. (1)		1,474		164,793
Pfizer, Inc. (1)		56,388		2,485,019
Phillips 66 (1)		10,863		1,224,477
PNC Financial Services Group, Inc. (The) (1)		8,527		1,161,292
Procter & Gamble Co. (The) (1)		4,605		383,274
Progressive Corp. (The) (1)		10,152		721,198
Prologis, Inc., REIT (1)		2,980		202,014
Public Storage, REIT (1)		2,236		450,845
Ralph Lauren Corp. (1)		10,634		1,462,707
Raytheon Co. (1)		9,452		1,953,350
Reinsurance Group of America, Inc. (1)		6,562		948,603
ResMed, Inc. (1)		914		105,421
Robert Half International, Inc. (1)		18,018		1,268,107
Ross Stores, Inc. (1)		21,517		2,132,335
S&P Global, Inc. (1)		1,101		215,124
Seagate Technology plc (1)		4,782		226,428
Shire plc		3,495		211,154
Simon Property Group, Inc., REIT (1)		1,352		238,966
Skyworks Solutions, Inc. (1)		16,667		1,511,864
Southwest Airlines Co. (1)		53,226		3,323,964
Steel Dynamics, Inc. (1)		20,816		940,675
Synchrony Financial (1)		37,516		1,165,997
T. Rowe Price Group, Inc. (1)		985		107,542
Target Corp. (1)		24,450		2,156,735
Texas Instruments, Inc. (1)		20,677		2,218,435
Tiffany & Co. (1)		1,023		131,936
TJX Cos., Inc. (The) (1)		22,727		2,545,879
Total System Services, Inc. (1)		4,772		471,187
Travelers Cos., Inc. (The) (1)		3,049		395,486
Twenty-First Century Fox, Inc., Class A (1)		8,466		392,230
Tyson Foods, Inc., Class A (1)		3,883		231,155
United Therapeutics Corp. (1)*		5,592		715,105
UnitedHealth Group, Inc. (1)		11,208		2,981,776
Valero Energy Corp. (1)		30,141		3,428,539
Ventas, Inc., REIT (1)		2,800		152,264
Vertex Pharmaceuticals, Inc. (1)*		5,074		977,963
VMware, Inc., Class A (1)*		654		102,063
Walmart, Inc. (1)		57,663		5,415,132
Waste Management, Inc. (1)		17,721		1,601,270
Wells Fargo & Co. (1)		7,687		404,029
Welltower, Inc., REIT (1)		3,001		193,024
Western Digital Corp. (1)		2,976		174,215
Weyerhaeuser Co., REIT (1)		3,285		106,007
WW Grainger, Inc. (1)		618		220,879
				204,615,268
TOTAL COMMON STOCKS (Cost $287,610,867)				330,306,032

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

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Schedule of Investments September 30, 2018

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INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 9.8%
Investment Companies - 9.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.00% (1)(d)(e)		10,552,488	$	10,552,488
Limited Purpose Cash Investment Fund, 2.06% (1)(d)		26,081,059		26,078,451
TOTAL SHORT-TERM INVESTMENTS (Cost $36,627,523)				36,630,939
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.0% (Cost $324,238,390)				366,936,971
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.0% (f)			7,562,485
NET ASSETS - 100.0%			$	374,499,456
SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	16,731,301		4.5	%
Consumer Discretionary		46,170,247		12.3
Consumer Staples		14,585,585		3.9
Energy		33,673,899		9.0
Financials		34,755,099		9.3
Health Care		53,799,849		14.4
Industrials		38,625,425		10.3
Information Technology		65,133,290		17.4
Materials		13,323,314		3.6
Real Estate		8,810,784		2.3
Utilities		4,697,239		1.2
Short-Term Investments		36,630,939		9.8
Total Investments In Securities At Value		366,936,971		98.0
Other Assets in Excess of Liabilities (f)		7,562,485		2.0
Net Assets	$	374,499,456		100.0	%

_* Non-income producing security.

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

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $4,154,047, which represents approximately 1.11% of net assets of the fund.

(c) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $140, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of September 30, 2018.

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

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

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

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

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

Abbreviations

FDR - Fiduciary Depositary Receipt

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Total return swap contracts outstanding as of September 30, 2018:

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Hang Seng Index October Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		10/30/2018		HKD 61,329,400		$48,960

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

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Schedule of Investments September 30, 2018

AQR GLOBAL EQUITY FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
MSCI Hong Kong Net Return Index	Decreases in total return of reference entity and pays the Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread (0.15%)	Increases in total return of reference entity	Monthly	JPMC		12/21/2018		HKD 20,245,418		$ 33,913
MSCI Japan Net Return Index	Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread (0.10%)	Increases in total return of reference entity	Monthly	JPMC		12/25/2018		JPY 2,367,438,740		1,183,604
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the Singapore Swap Offered Rate (“SOR”) plus or minus a specified spread (0.60%)	Increases in total return of reference entity	Monthly	JPMC		12/24/2018		SGD 1,090,101		26,515
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.60%)	Increases in total return of reference entity	Monthly	JPMC		12/24/2018		SGD 33,178		1,083
										1,294,075
MSCI Italy Net Return Index	Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (0.05%)	Increases in total return of reference entity	Monthly	JPMC		12/21/2018		EUR 5,638,213		(32,572	)

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

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REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Spain Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread (-0.70%)

Monthly

JPMC

12/19/2018

EUR (184,460

)

$ (912

)

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread (-0.8%)

Monthly

JPMC

12/19/2018

SEK (22,772,531

)

(44,775

)

Swiss Market Index December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

12/21/2018

CHF (6,255,540

)

(118,678

)

(196,937

)

$1,097,138

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Hang Seng Index		10			10/2018	HKD		$1,780,516			$(4,265	)
MSCI Singapore Index		1			10/2018	SGD		27,084			415
DAX Index		27			12/2018	EUR		9,593,771			48,390
FTSE 100 Index		19			12/2018	GBP		1,854,002			8,697
FTSE/MIB Index		35			12/2018	EUR		4,202,043			(49,802	)
TOPIX Index		169			12/2018	JPY		27,033,752			2,079,964
											2,083,399
Short Contracts
Amsterdam Exchange Index		(3	)		10/2018	EUR		(382,763	)		(6,147	)
CAC 40 10 Euro Index		(24	)		10/2018	EUR		(1,529,660	)		(10,768	)
IBEX 35 Index		(40	)		10/2018	EUR		(4,350,687	)		10,934
OMXS30 Index		(319	)		10/2018	SEK		(5,958,323	)		(122,326	)
S&P 500 E-Mini Index		(99	)		12/2018	USD		(14,449,050	)		(20,264	)
S&P/TSX 60 Index		(4	)		12/2018	CAD		(588,581	)		(325	)
SPI 200 Index		(124	)		12/2018	AUD		(13,879,731	)		(78,020	)
											(226,916	)
											$1,856,483

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

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Forward foreign currency contracts outstanding as of September 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	7,343,722	USD	5,266,356	CITG		12/19/2018		$45,320
AUD	11,015,583	USD	7,899,544	JPMC		12/19/2018		67,971
CAD	24,440,670	USD	18,700,348	CITG		12/19/2018		254,565
CAD	36,661,003	USD	28,050,556	JPMC		12/19/2018		381,811
DKK	316,400	USD	49,515	CITG		12/19/2018		103
DKK	474,600	USD	74,273	JPMC		12/19/2018		154
GBP	3,154,066	USD	4,091,555	CITG		12/19/2018		35,408
GBP	4,731,097	USD	6,137,338	JPMC		12/19/2018		53,105
HKD	5,470,800	USD	698,476	CITG		12/19/2018		1,174
HKD	8,206,200	USD	1,047,716	JPMC		12/19/2018		1,759
NZD	1,374,950	USD	903,172	CITG		12/19/2018		8,637
NZD	2,062,426	USD	1,354,760	JPMC		12/19/2018		12,952
SEK	9,738,000	USD	1,077,031	CITG		12/19/2018		26,427
SEK	14,607,000	USD	1,615,549	JPMC		12/19/2018		39,639
SGD	20,000	USD	14,601	CITG		12/19/2018		54
SGD	30,000	USD	21,902	JPMC		12/19/2018		81
USD	1,106,509	AUD	1,508,800	CITG		12/19/2018		15,202
USD	1,659,761	AUD	2,263,200	JPMC		12/19/2018		22,800
USD	21,770,116	CHF	20,983,990	CITG		12/19/2018		222,812
USD	32,655,132	CHF	31,475,985	JPMC		12/19/2018		334,177
USD	69,971	DKK	442,000	CITG		12/19/2018		657
USD	104,957	DKK	663,000	JPMC		12/19/2018		985
USD	16,519,637	EUR	14,053,232	CITG		12/19/2018		92,731
USD	24,779,426	EUR	21,079,849	JPMC		12/19/2018		139,064
USD	5,294,282	GBP	4,022,400	CITG		12/19/2018		31,140
USD	7,941,413	GBP	6,033,600	JPMC		12/19/2018		46,700
USD	144,891	HKD	1,130,800	CITG		12/19/2018		276
USD	217,337	HKD	1,696,200	JPMC		12/19/2018		413
USD	2,357	ILS	8,400	CITG		12/19/2018		34
USD	3,536	ILS	12,600	JPMC		12/19/2018		50
USD	2,556,598	JPY	283,029,200	CITG		12/19/2018		49,287
USD	3,834,892	JPY	424,543,800	JPMC		12/19/2018		73,926
USD	287,622	SEK	2,508,800	CITG		12/19/2018		3,338
USD	431,432	SEK	3,763,200	JPMC		12/19/2018		5,006
USD	9,384	SGD	12,800	CITG		12/19/2018		4
USD	14,076	SGD	19,200	JPMC		12/19/2018		6
Total unrealized appreciation								1,967,768
AUD	7,589,478	USD	5,547,529	CITG		12/19/2018		(58,095	)
AUD	11,384,217	USD	8,321,303	JPMC		12/19/2018		(87,157	)
CAD	2,027,730	USD	1,575,890	CITG		12/19/2018		(3,288	)
CAD	3,041,595	USD	2,363,839	JPMC		12/19/2018		(4,936	)
CHF	8,444,800	USD	8,804,945	CITG		12/19/2018		(133,447	)
CHF	12,667,200	USD	13,205,603	JPMC		12/19/2018		(198,352	)
DKK	495,200	USD	78,445	CITG		12/19/2018		(788	)
DKK	742,800	USD	117,668	JPMC		12/19/2018		(1,182	)
EUR	443,200	USD	525,787	CITG		12/19/2018		(7,728	)
EUR	664,800	USD	788,681	JPMC		12/19/2018		(11,593	)
GBP	493,134	USD	648,018	CITG		12/19/2018		(2,772	)
GBP	739,700	USD	972,026	JPMC		12/19/2018		(4,160	)
ILS	1,056,000	USD	293,355	CITG		12/19/2018		(1,223	)
ILS	1,583,999	USD	440,032	JPMC		12/19/2018		(1,837	)
JPY	1,182,106,800	USD	10,710,185	CITG		12/19/2018		(238,092	)

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

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CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
JPY	1,773,160,200	USD	16,065,298	JPMC		12/19/2018		$ (357,152	)
NZD	3,275,850	USD	2,191,863	CITG		12/19/2018		(19,460	)
NZD	4,913,775	USD	3,287,798	JPMC		12/19/2018		(29,194	)
SGD	544,000	USD	399,731	CITG		12/19/2018		(1,103	)
SGD	816,000	USD	599,597	JPMC		12/19/2018		(1,655	)
USD	491,138	CAD	634,800	CITG		12/19/2018		(1,179	)
USD	736,707	CAD	952,200	JPMC		12/19/2018		(1,770	)
USD	1,939,823	CHF	1,890,810	CITG		12/19/2018		(1,745	)
USD	2,909,732	CHF	2,836,215	JPMC		12/19/2018		(2,621	)
USD	1,268,171	DKK	8,102,800	CITG		12/19/2018		(2,510	)
USD	1,902,254	DKK	12,154,200	JPMC		12/19/2018		(3,767	)
USD	7,100,299	EUR	6,088,768	CITG		12/19/2018		(16,899	)
USD	10,650,434	EUR	9,133,151	JPMC		12/19/2018		(25,361	)
USD	3,702,504	GBP	2,861,600	CITG		12/19/2018		(41,778	)
USD	5,554,788	GBP	4,292,400	JPMC		12/19/2018		(61,636	)
USD	157,376	HKD	1,233,200	CITG		12/19/2018		(336	)
USD	236,064	HKD	1,849,800	JPMC		12/19/2018		(503	)
USD	6,068,418	NOK	50,476,800	CITG		12/19/2018		(155,096	)
USD	9,102,616	NOK	75,715,199	JPMC		12/19/2018		(232,655	)
USD	12,238,562	SEK	110,480,005	CITG		12/19/2018		(280,448	)
USD	18,357,819	SEK	165,719,996	JPMC		12/19/2018		(420,695	)
USD	62,067	SGD	85,200	CITG		12/19/2018		(365	)
USD	93,101	SGD	127,800	JPMC		12/19/2018		(547	)
Total unrealized depreciation								(2,413,125	)
Net unrealized depreciation							$	(445,357	)

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$2,480,973		$2,480,973
GSIN
Investment Companies		280,585		—		280,585
CITG
Investment Companies		810,710		—		810,710
JPMC
Investment Companies		9,461,193		—		9,461,193

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 87.4%
Australia - 6.6%
Alumina Ltd.		323,755	$	648,103
ASX Ltd.		5,022		230,996
Aurizon Holdings Ltd.		545,197		1,618,659
Australia & New Zealand Banking Group Ltd.		44,842		912,834
BHP Billiton Ltd.		92,900		2,314,223
BHP Billiton plc		57,482		1,254,349
BlueScope Steel Ltd.		177,824		2,180,966
Caltex Australia Ltd.		113,850		2,459,595
CIMIC Group Ltd.		84,208		3,125,397
Crown Resorts Ltd.		81,040		801,462
CSL Ltd.		3,018		438,514
Dexus, REIT		23,093		176,420
Goodman Group, REIT		54,028		405,296
GPT Group (The), REIT		55,477		208,943
LendLease Group		24,576		349,175
Macquarie Group Ltd.		3,979		361,963
Mirvac Group, REIT		104,753		182,585
Newcrest Mining Ltd.		121,611		1,707,696
Rio Tinto Ltd.		12,593		716,195
Rio Tinto plc		113,464		5,723,301
Scentre Group, REIT		147,628		424,247
South32 Ltd.		873,545		2,454,928
Stockland, REIT		62,453		187,606
Vicinity Centres, REIT		94,695		179,660
Wesfarmers Ltd.		11,060		398,262
Woodside Petroleum Ltd.		7,058		196,896
				29,658,271
Belgium - 1.7%
Ageas		48,984		2,633,314
Groupe Bruxelles Lambert SA		1,290		135,222
KBC Group NV		6,844		508,909
UCB SA		46,103		4,142,997
				7,420,442
Chile - 0.4%
Antofagasta plc		141,752		1,575,199
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		332,100		301,077
Denmark - 2.3%
Coloplast A/S, Class B		16,453		1,680,763
Danske Bank A/S		19,842		520,109
H Lundbeck A/S		7,652		472,346
Novo Nordisk A/S, Class B		164,957		7,763,713
Orsted A/S (a)		1,795		121,976
				10,558,907
Finland - 1.7%
Fortum OYJ		78,985		1,979,471
Neste OYJ		15,635		1,288,721
Sampo OYJ, Class A		3,243		167,822
UPM-Kymmene OYJ		109,836		4,307,653
				7,743,667
France - 9.7%
Atos SE		24,468		2,911,374

INVESTMENTS	SHARES		VALUE
France - 9.7% (continued)
AXA SA		60,641	$	1,624,918
BNP Paribas SA		30,408		1,862,083
Capgemini SE		11,872		1,494,659
Cie Generale des Etablissements Michelin SCA		8,909		1,063,341
CNP Assurances		27,886		672,211
Credit Agricole SA		31,352		450,685
Dassault Aviation SA		106		196,174
Dassault Systemes SE		4,903		733,672
Engie SA		318,409		4,687,697
Essilor International Cie Generale d’Optique SA		1,483		219,513
Hermes International		2,667		1,766,952
Ipsen SA		1,121		188,724
Kering SA		1,464		785,224
Klepierre SA, REIT		3,302		117,335
L’Oreal SA		3,439		829,099
Natixis SA		91,592		621,989
Pernod Ricard SA		2,708		444,133
Peugeot SA		149,386		4,029,795
Renault SA		6,509		563,041
Safran SA		17,080		2,391,611
Sanofi		14,125		1,262,030
Schneider Electric SE		1,683		135,140
Societe Generale SA		18,458		792,594
Thales SA		31,320		4,449,969
TOTAL SA		130,702		8,498,342
Ubisoft Entertainment SA *		1,105		119,319
Unibail-Rodamco-Westfield, REIT		3,742		753,813
				43,665,437
Germany - 8.9%
adidas AG		6,286		1,537,302
Allianz SE (Registered)		25,187		5,605,789
BASF SE		16,677		1,479,803
Bayer AG (Registered)		24,080		2,135,912
Continental AG		2,445		424,806
Covestro AG (a)		75,680		6,126,087
Deutsche Boerse AG		5,074		678,428
Deutsche Lufthansa AG (Registered)		99,286		2,436,868
Deutsche Wohnen SE		9,934		477,147
E.ON SE		119,355		1,214,526
Fresenius Medical Care AG & Co. KGaA		1,245		127,916
Fresenius SE & Co. KGaA		10,315		756,402
Hannover Rueck SE		2,823		398,462
Infineon Technologies AG		113,246		2,577,011
Linde AG		5,612		1,325,314
Porsche Automobil Holding SE (Preference)		4,664		313,969
SAP SE		56,483		6,945,350
Schaeffler AG (Preference)		64,985		828,913
TUI AG		35,934		689,308
Vonovia SE		7,064		345,488
Wirecard AG		17,265		3,735,268
				40,160,069
Hong Kong - 2.2%
CK Asset Holdings Ltd.		25,500		191,153
CK Infrastructure Holdings Ltd.		17,827		141,082

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

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INVESTMENTS	SHARES		VALUE
Hong Kong - 2.2% (continued)
CLP Holdings Ltd. (b)		20,500	$	240,070
Henderson Land Development Co. Ltd.		156,800		787,461
Hong Kong Exchanges & Clearing Ltd.		32,254		921,645
Kerry Properties Ltd.		332,500		1,129,021
Li & Fung Ltd.		3,178,000		711,867
Link, REIT		67,882		668,363
NWS Holdings Ltd.		67,000		132,435
PCCW Ltd.		64,000		37,289
Sino Land Co. Ltd.		620,000		1,062,191
Sun Hung Kai Properties Ltd.		105,000		1,523,781
Wharf Holdings Ltd. (The)		152,000		413,846
Wharf Real Estate Investment Co. Ltd.		42,000		270,587
Wheelock & Co. Ltd.		149,000		895,806
Yue Yuen Industrial Holdings Ltd.		260,000		722,796
				9,849,393
Italy - 2.7%
Enel SpA		281,694		1,439,886
Eni SpA		371,953		7,011,157
Intesa Sanpaolo SpA		411,610		1,048,754
Moncler SpA		33,101		1,424,251
Poste Italiane SpA (a)		21,698		173,071
UniCredit SpA		73,669		1,105,382
				12,202,501
Japan - 20.6%
Alfresa Holdings Corp.		20,600		551,787
Alps Electric Co. Ltd.		40,600		1,032,159
ANA Holdings, Inc.		10,400		363,320
Asahi Kasei Corp.		16,600		251,691
Astellas Pharma, Inc.		354,200		6,185,384
Bandai Namco Holdings, Inc.		55,500		2,156,223
Brother Industries Ltd.		48,300		953,693
Credit Saison Co. Ltd.		7,200		117,428
CyberAgent, Inc.		5,500		292,692
Daiichi Sankyo Co. Ltd.		23,700		1,027,345
Daito Trust Construction Co. Ltd.		2,487		320,490
Daiwa House Industry Co. Ltd.		8,395		248,776
Eisai Co. Ltd.		23,800		2,318,530
Fast Retailing Co. Ltd.		2,100		1,063,857
Fuji Electric Co. Ltd.		12,000		480,683
Fujitsu Ltd.		13,100		933,240
Hikari Tsushin, Inc.		600		118,580
Hitachi Construction Machinery Co. Ltd.		8,600		287,517
Hitachi High-Technologies Corp.		29,300		1,011,679
Hitachi Ltd.		121,800		4,140,181
Hoya Corp.		12,800		760,205
Hulic Co. Ltd.		8,000		78,503
Idemitsu Kosan Co. Ltd.		26,800		1,418,913
Inpex Corp.		23,900		298,620
ITOCHU Corp.		59,500		1,089,034
Japan Airlines Co. Ltd.		94,900		3,410,907
Japan Real Estate Investment Corp., REIT		41		214,996
Japan Retail Fund Investment Corp., REIT		73		132,479
JFE Holdings, Inc.		9,100		208,753
JXTG Holdings, Inc.		509,400		3,852,998
Kajima Corp.		32,500		472,568
Kakaku.com, Inc.		26,800		523,617
Kamigumi Co. Ltd.		9,500		209,406

INVESTMENTS	SHARES		VALUE
Japan - 20.6% (continued)
Kao Corp.		2,600	$	210,022
Konami Holdings Corp.		12,400		485,537
Kose Corp.		4,900		933,673
Kyocera Corp.		6,900		414,149
Mabuchi Motor Co. Ltd.		4,700		189,593
Marubeni Corp.		188,000		1,719,376
McDonald’s Holdings Co. Japan Ltd.		4,400		193,228
Mebuki Financial Group, Inc.		37,900		131,136
Medipal Holdings Corp.		9,600		200,561
MINEBEA MITSUMI, Inc.		6,200		112,380
Mitsubishi Corp.		47,700		1,469,290
Mitsubishi Electric Corp.		30,900		423,309
Mitsubishi Estate Co. Ltd.		38,020		645,582
Mitsubishi Gas Chemical Co., Inc.		54,000		1,149,553
Mitsubishi Motors Corp.		284,800		2,011,971
Mitsubishi UFJ Financial Group, Inc.		209,991		1,304,610
Mitsui & Co. Ltd.		118,800		2,111,155
Mitsui Fudosan Co. Ltd.		29,205		690,723
Mizuho Financial Group, Inc.		231,100		402,762
Murata Manufacturing Co. Ltd.		2,300		353,409
Nexon Co. Ltd. *		199,600		2,609,073
Nikon Corp.		112,200		2,108,385
Nippon Building Fund, Inc., REIT		41		237,071
Nippon Express Co. Ltd.		23,100		1,517,061
Nippon Telegraph & Telephone Corp.		2,938		132,593
Nomura Real Estate Holdings, Inc.		3,900		78,674
Nomura Research Institute Ltd.		9,300		469,632
NTT DOCOMO, Inc.		39,500		1,061,664
Omron Corp.		13,900		587,382
Oracle Corp. Japan		1,800		145,030
Oriental Land Co. Ltd.		14,100		1,474,226
ORIX Corp.		40,000		647,665
Otsuka Corp.		38,400		1,432,323
Panasonic Corp.		34,800		403,375
Pola Orbis Holdings, Inc.		26,700		975,169
Recruit Holdings Co. Ltd.		66,100		2,207,837
Resona Holdings, Inc.		254,400		1,428,320
Rohm Co. Ltd.		20,200		1,477,835
Ryohin Keikaku Co. Ltd.		1,400		416,135
Sega Sammy Holdings, Inc.		13,800		203,486
Shimadzu Corp.		35,800		1,121,888
Shinsei Bank Ltd.		23,800		388,824
Shionogi & Co. Ltd.		14,500		947,860
Shiseido Co. Ltd.		29,800		2,307,949
Sony Corp.		71,800		4,364,555
Stanley Electric Co. Ltd.		5,900		201,707
Sumitomo Corp.		35,600		593,283
Sumitomo Dainippon Pharma Co. Ltd.		78,600		1,805,167
Sumitomo Heavy Industries Ltd.		33,000		1,177,822
Sumitomo Mitsui Financial Group, Inc.		32,536		1,309,374
Sumitomo Realty & Development Co. Ltd.		12,261		439,857
Suzuken Co. Ltd.		8,700		412,808
Taiheiyo Cement Corp.		11,100		348,129
Taisei Corp.		40,300		1,837,008
Taisho Pharmaceutical Holdings Co. Ltd.		1,700		207,968
THK Co. Ltd.		13,900		353,703
Tokyo Electron Ltd.		14,600		2,012,178
Tokyu Fudosan Holdings Corp.		12,883		89,755
Toshiba Corp. *		16,200		468,152

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

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INVESTMENTS	SHARES		VALUE
Japan - 20.6% (continued)
Tosoh Corp.		12,500	$	192,524
Toyota Tsusho Corp.		17,200		649,417
				92,521,137
Luxembourg - 0.1%
SES SA, FDR		21,766		477,446
Macau - 0.1%
Wynn Macau Ltd.		162,800		373,886
Malta - 0.0% (c)
BGP Holdings plc (3)*(d)		143,427		208
Netherlands - 5.7%
ASML Holding NV		17,557		3,296,407
ING Groep NV		98,316		1,276,053
Koninklijke Ahold Delhaize NV		214,313		4,916,882
Koninklijke DSM NV		12,212		1,293,413
Koninklijke Philips NV		80,669		3,677,013
NN Group NV		24,869		1,109,964
Royal Dutch Shell plc, Class A		172,706		5,921,824
Royal Dutch Shell plc, Class B		96,178		3,366,862
Wolters Kluwer NV		11,867		739,788
				25,598,206
Singapore - 0.5%
Ascendas, REIT		102,137		197,288
CapitaLand Commercial Trust, REIT		121,300		158,036
CapitaLand Mall Trust, REIT		120,594		195,999
DBS Group Holdings Ltd.		6,300		120,186
Genting Singapore Ltd.		1,020,800		791,258
Sembcorp Industries Ltd.		29,317		66,216
Singapore Exchange Ltd.		25,572		137,822
United Overseas Bank Ltd.		23,200		458,628
				2,125,433
South Africa - 0.6%
Anglo American plc		80,290		1,796,166
Investec plc		145,353		1,019,668
				2,815,834
Spain - 1.5%
ACS Actividades de Construccion y Servicios SA		10,430		442,992
Banco Bilbao Vizcaya Argentaria SA		139,609		885,156
CaixaBank SA		27,248		123,922
Endesa SA		96,030		2,071,338
Iberdrola SA		33,096		243,085
Mapfre SA		856,351		2,678,536
Repsol SA		10,995		218,881
				6,663,910
Sweden - 3.2%
Atlas Copco AB, Class B		6,481		172,675
Boliden AB		16,802		467,278
Electrolux AB, Series B		10,774		237,343
Hexagon AB, Class B		9,734		569,894
Investor AB, Class B		9,454		435,656
Nordea Bank AB		77,960		848,251
Sandvik AB		193,886		3,432,608

INVESTMENTS	SHARES		VALUE
Sweden - 3.2% (continued)
Skandinaviska Enskilda Banken AB, Class A		48,469	$	540,336
Swedish Match AB		97,429		4,980,114
Volvo AB, Class B		150,365		2,651,979
				14,336,134
Switzerland - 9.2%
Adecco Group AG (Registered)		45,559		2,394,916
Coca-Cola HBC AG *		76,543		2,607,756
Ferguson plc		6,272		532,003
Nestle SA (Registered)		121,085		10,078,707
Novartis AG (Registered)		41,068		3,535,070
Partners Group Holding AG		831		658,749
Roche Holding AG		43,578		10,537,834
Sika AG (Registered)		4,193		610,163
Sonova Holding AG (Registered)		6,680		1,325,767
STMicroelectronics NV		109,730		2,008,344
Straumann Holding AG (Registered)		177		133,345
Swatch Group AG (The)		3,529		1,402,544
Swiss Life Holding AG (Registered) *		1,911		724,597
Vifor Pharma AG		4,147		718,968
Zurich Insurance Group AG		12,470		3,931,856
				41,200,619
United Kingdom - 9.3%
3i Group plc		29,271		358,419
Ashtead Group plc		76,466		2,426,135
AstraZeneca plc		7,252		565,251
Auto Trader Group plc (a)		22,605		131,499
Aviva plc		144,390		921,276
Barclays plc		1,964,917		4,358,234
Berkeley Group Holdings plc		5,891		282,219
BP plc		792,467		6,074,056
British Land Co. plc (The), REIT		28,168		226,560
Burberry Group plc		220,537		5,791,144
Centrica plc		181,213		366,210
Direct Line Insurance Group plc		28,825		121,664
Hammerson plc, REIT		24,134		143,601
International Consolidated Airlines Group SA		334,826		2,872,329
Land Securities Group plc, REIT		21,547		248,093
Lloyds Banking Group plc		3,071,138		2,361,976
London Stock Exchange Group plc		8,751		522,931
Meggitt plc		55,077		406,628
Next plc		4,107		293,922
Persimmon plc		55,267		1,701,524
Randgold Resources Ltd.		1,836		129,858
RELX plc *		25,248		530,440
RELX plc		53,063		1,116,267
Rolls-Royce Holdings plc *		75,204		967,529
Royal Bank of Scotland Group plc		653,036		2,115,902
Royal Mail plc		345,729		2,149,185
Sky plc		35,934		809,719
Smith & Nephew plc		25,972		473,850
Standard Life Aberdeen plc		200,999		800,906
Taylor Wimpey plc		378,536		846,103
Unilever plc		31,121		1,709,605
				41,823,035

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

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INVESTMENTS	SHARES		VALUE
United States - 0.3%
Shire plc		25,194	$	1,522,118
TOTAL COMMON STOCKS (Cost $363,239,925)				392,592,929
SHORT-TERM INVESTMENTS - 9.9%
Investment Companies - 9.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.00% (1)(e)(f)		15,436,473		15,436,473
Limited Purpose Cash Investment Fund, 2.06% (1)(e)		29,145,568		29,142,653
TOTAL SHORT-TERM INVESTMENTS (Cost $44,574,611)				44,579,126
SECURITIES LENDING COLLATERAL - 0.1%
Investment Companies - 0.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.97% (1)(e)(g)		32,031		32,031
Limited Purpose Cash Investment Fund 2.06% (1)(e)(g)		229,843		229,820
TOTAL SECURITIES LENDING COLLATERAL (Cost $261,874)				261,851
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.4% (Cost $408,076,410)				437,433,906
OTHER ASSETS IN EXCESS OF LIABILITIES -2.6% (h)			11,906,933
NET ASSETS - 100.0%			$	449,340,839

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	6,680,447		1.5	%
Consumer Discretionary		42,098,699		9.4
Consumer Staples		30,391,370		6.8
Energy		40,606,865		9.0
Financials		53,668,198		11.9
Health Care		56,095,661		12.5
Industrials		56,831,838		12.6
Information Technology		40,356,759		9.0
Materials		38,261,345		8.5
Real Estate		15,096,406		3.4
Utilities		12,505,341		2.8
Short-Term Investments		44,579,126		9.9
Securities Lending Collateral		261,851		0.1
Total Investments In Securities At Value		437,433,906		97.4
Other Assets in Excess of Liabilities (h)		11,906,933		2.6
Net Assets	$	449,340,839		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $6,552,633, which represents approximately 1.46% of net assets of the fund.

(b) The security or a portion of this security is on loan at September 30, 2018. The total value of securities on loan at September 30, 2018 was $114,361.

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

(d) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $208, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of September 30, 2018.

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

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

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

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

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

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

Abbreviations

FDR - Fiduciary Depositary Receipt

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

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, 2018:

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Hang Seng Index October Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		10/30/2018	HKD	16,726,200		$13,353
Hang Seng Index October Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	JPMC		10/30/2018	HKD	98,963,350		156,393
MSCI Japan Net Return Index	Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.10%)	Increases in total return of reference entity	Monthly	JPMC		12/25/2018	JPY	1,206,157,381		603,019
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.40%)	Increases in total return of reference entity	Monthly	JPMC		12/24/2018	SGD	138,448		4,351
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.60%)	Increases in total return of reference entity	Monthly	JPMC		12/24/2018	SGD	3,298,253		80,223
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.60%)	Increases in total return of reference entity	Monthly	JPMC		12/24/2018	SGD	138,242		4,514
										861,853
MSCI Italy Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.05%)	Increases in total return of reference entity	Monthly	JPMC		12/21/2018	EUR	5,977,604		(34,532	)

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

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REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Netherlands Net Return Index

Increases in total return of reference entity

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

Monthly

JPMC

12/19/2018

EUR

(1,724,999

)

$(86

)

MSCI Spain Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread (-0.70%)

Monthly

JPMC

12/19/2018

EUR

(1,245,878

)

(6,160

)

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-0.80%)

Monthly

JPMC

12/19/2018

SEK

(19,290,134

)

(37,928

)

MSCI Switzerland Net Return Index

Increases in total return of reference entity

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

Monthly

JPMC

12/19/2018

CHF

(2,912,025

)

(35,248

)

Swiss Market Index December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

12/21/2018

CHF

(5,983,560

)

(113,518

)

Swiss Market Index December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

JPMC

12/21/2018

CHF

(24,659,520

)

(469,465

)

(696,937

)

$164,916

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

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Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Hang Seng Index		20		10/2018		HKD	$	3,561,031			$15,532
MSCI Singapore Index		19		10/2018		SGD		514,593			4,170
DAX Index		6		12/2018		EUR		2,131,949			31,742
FTSE/MIB Index		95		12/2018		EUR		11,405,546			(121,013	)
TOPIX Index		506		12/2018		JPY		80,941,296			6,230,294
											6,160,725
Short Contracts
Amsterdam Exchange Index		(22	)	10/2018		EUR		(2,806,931	)		(45,076	)
CAC 40 10 Euro Index		(205	)	10/2018		EUR		(13,065,847	)		(333,663	)
IBEX 35 Index		(65	)	10/2018		EUR		(7,069,866	)		21,245
OMXS30 Index		(610	)	10/2018		SEK		(11,393,658	)		(227,450	)
FTSE 100 Index		(135	)	12/2018		GBP		(13,173,171	)		(365,783	)
SPI 200 Index		(16	)	12/2018		AUD		(1,790,933	)		(6,431	)
											(957,158	)
										$	5,203,567

Forward foreign currency contracts outstanding as of September 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	14,242,019	USD	10,219,498	CITG		12/19/2018		$81,683
AUD	21,363,027	USD	15,329,265	JPMC		12/19/2018		122,506
DKK	95,600	USD	14,960	CITG		12/19/2018		32
DKK	143,400	USD	22,440	JPMC		12/19/2018		48
GBP	5,700,110	USD	7,396,206	CITG		12/19/2018		62,147
GBP	8,550,165	USD	11,094,323	JPMC		12/19/2018		93,207
HKD	16,965,600	USD	2,166,030	CITG		12/19/2018		3,667
HKD	25,448,400	USD	3,249,049	JPMC		12/19/2018		5,496
NZD	4,415,900	USD	2,901,284	CITG		12/19/2018		27,151
NZD	6,623,850	USD	4,351,931	JPMC		12/19/2018		40,722
SEK	1,952,000	USD	216,939	CITG		12/19/2018		4,251
SEK	2,928,000	USD	325,409	JPMC		12/19/2018		6,377
SGD	105,200	USD	76,827	CITG		12/19/2018		261
SGD	157,800	USD	115,241	JPMC		12/19/2018		391
USD	3,624,902	AUD	4,942,800	CITG		12/19/2018		49,800
USD	5,437,347	AUD	7,414,200	JPMC		12/19/2018		74,693
USD	13,193,998	CHF	12,715,538	CITG		12/19/2018		137,113
USD	19,790,973	CHF	19,073,307	JPMC		12/19/2018		205,645
USD	162,368	DKK	1,022,400	CITG		12/19/2018		2,035
USD	243,552	DKK	1,533,600	JPMC		12/19/2018		3,053
USD	27,798,805	EUR	23,644,120	CITG		12/19/2018		161,051
USD	41,698,155	EUR	35,466,180	JPMC		12/19/2018		241,526
USD	7,147,211	GBP	5,426,000	CITG		12/19/2018		47,517
USD	10,720,803	GBP	8,139,000	JPMC		12/19/2018		71,264
USD	17,172	ILS	61,600	CITG		12/19/2018		131
USD	25,757	ILS	92,400	JPMC		12/19/2018		196

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

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CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	7,341,713	JPY	814,683,600	CITG		12/19/2018		$124,561
USD	11,012,556	JPY	1,222,025,400	JPMC		12/19/2018		186,828
USD	194,430	SEK	1,699,200	CITG		12/19/2018		1,885
USD	291,644	SEK	2,548,800	JPMC		12/19/2018		2,828
Total unrealized appreciation								1,758,065
AUD	12,423,621	USD	9,080,739	CITG		12/19/2018		(94,797	)
AUD	18,635,433	USD	13,621,127	JPMC		12/19/2018		(142,212	)
CHF	574,400	USD	597,687	CITG		12/19/2018		(7,866	)
CHF	861,600	USD	896,531	JPMC		12/19/2018		(11,803	)
DKK	855,200	USD	135,185	CITG		12/19/2018		(1,073	)
DKK	1,282,800	USD	202,778	JPMC		12/19/2018		(1,610	)
EUR	4,000	USD	4,681	CITG		12/19/2018		(6	)
EUR	6,000	USD	7,022	JPMC		12/19/2018		(9	)
GBP	477,210	USD	625,887	CITG		12/19/2018		(1,478	)
GBP	715,815	USD	938,832	JPMC		12/19/2018		(2,218	)
ILS	3,701,600	USD	1,028,773	CITG		12/19/2018		(4,765	)
ILS	5,552,400	USD	1,543,161	JPMC		12/19/2018		(7,149	)
JPY	2,425,389,120	USD	21,919,893	CITG		12/19/2018		(433,756	)
JPY	3,638,083,680	USD	32,879,881	JPMC		12/19/2018		(650,676	)
NZD	8,232,100	USD	5,508,054	CITG		12/19/2018		(48,881	)
NZD	12,348,150	USD	8,262,092	JPMC		12/19/2018		(73,331	)
SEK	53,600	USD	6,140	CITG		12/19/2018		(66	)
SEK	80,400	USD	9,210	JPMC		12/19/2018		(99	)
SGD	1,777,720	USD	1,306,102	CITG		12/19/2018		(3,440	)
SGD	2,666,580	USD	1,959,155	JPMC		12/19/2018		(5,161	)
USD	1,140,807	CHF	1,111,982	CITG		12/19/2018		(1,026	)
USD	1,711,208	CHF	1,667,973	JPMC		12/19/2018		(1,542	)
USD	1,202,003	DKK	7,680,000	CITG		12/19/2018		(2,374	)
USD	1,803,003	DKK	11,520,000	JPMC		12/19/2018		(3,564	)
USD	11,542,026	EUR	9,897,720	CITG		12/19/2018		(27,478	)
USD	17,313,017	EUR	14,846,580	JPMC		12/19/2018		(41,240	)
USD	5,268,109	GBP	4,076,400	CITG		12/19/2018		(65,688	)
USD	7,902,153	GBP	6,114,600	JPMC		12/19/2018		(98,544	)
USD	121,437	HKD	951,600	CITG		12/19/2018		(261	)
USD	182,156	HKD	1,427,400	JPMC		12/19/2018		(391	)
USD	5,374,694	SEK	48,508,795	CITG		12/19/2018		(122,066	)
USD	8,062,032	SEK	72,763,205	JPMC		12/19/2018		(183,110	)
USD	105,994	SGD	145,600	CITG		12/19/2018		(698	)
USD	158,990	SGD	218,400	JPMC		12/19/2018		(1,047	)
Total unrealized depreciation								(2,039,425	)
Net unrealized depreciation								$(281,360	)

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

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

AQR Funds Annual Report September 2018

179

Schedule of Investments September 30, 2018

AQR INTERNATIONAL EQUITY FUND

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—	$	2,269,749		$2,269,749
CITG
Investment Companies		681,298		—		681,298
GSIN
Investment Companies		941,573		—		941,573
JPMC
Investment Companies		13,813,602		—		13,813,602

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

AQR Funds Annual Report September 2018

180

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 130.0%
COMMON STOCKS - 126.3%
Aerospace & Defense - 5.8%
Boeing Co. (The) (a)		997	$	370,784
Curtiss-Wright Corp.		277		38,065
Esterline Technologies Corp. *		239		21,737
General Dynamics Corp.		202		41,354
Huntington Ingalls Industries, Inc.		459		117,541
L3 Technologies, Inc.		168		35,720
Lockheed Martin Corp.		156		53,970
Northrop Grumman Corp.		132		41,893
Raytheon Co. (a)		916		189,301
Spirit AeroSystems Holdings, Inc., Class A (a)		1,339		122,746
Teledyne Technologies, Inc. *		299		73,757
				1,106,868
Air Freight & Logistics - 0.7%
Expeditors International of Washington, Inc.		148		10,882
FedEx Corp.		534		128,582
				139,464
Airlines - 0.0% (b)
Southwest Airlines Co.		36		2,248
Auto Components - 0.8%
Lear Corp. (a)		1,010		146,450
Banks - 6.2%
Bank of America Corp. (a)		4,962		146,180
Citigroup, Inc.		1,670		119,806
Citizens Financial Group, Inc.		1,710		65,955
Comerica, Inc.		344		31,029
Fifth Third Bancorp		336		9,381
First Citizens BancShares, Inc., Class A		51		23,066
JPMorgan Chase & Co. (a)		2,596		292,933
KeyCorp		2,209		43,937
M&T Bank Corp.		154		25,339
PNC Financial Services Group, Inc. (The) (a)		1,080		147,085
Popular, Inc.		1,037		53,146
Regions Financial Corp.		2,955		54,224
TCF Financial Corp.		2,313		55,073
Wells Fargo & Co.		2,392		125,724
				1,192,878
Beverages - 0.4%
Boston Beer Co., Inc. (The), Class A *		65		18,688
PepsiCo, Inc.		488		54,558
				73,246
Biotechnology - 4.6%
AbbVie, Inc.		1,337		126,454
Amgen, Inc.		444		92,037
Biogen, Inc. *		488		172,415
Celgene Corp. *		1,750		156,608
Exelixis, Inc. *		1,964		34,802
Gilead Sciences, Inc.		1,616		124,771
Regeneron Pharmaceuticals, Inc. *		14		5,657
United Therapeutics Corp. *		538		68,799
Vertex Pharmaceuticals, Inc. *		533		102,730
				884,273

INVESTMENTS	SHARES		VALUE
Building Products - 0.2%
Armstrong World Industries, Inc. *		544	$	37,863
Capital Markets - 1.6%
Ameriprise Financial, Inc.		87		12,846
BlackRock, Inc.		104		49,018
CME Group, Inc.		243		41,361
Federated Investors, Inc., Class B		3,149		75,954
Goldman Sachs Group, Inc. (The)		105		23,545
Moody’s Corp.		115		19,228
Morgan Stanley		130		6,054
S&P Global, Inc.		152		29,699
State Street Corp.		88		7,373
T. Rowe Price Group, Inc.		458		50,005
				315,083
Chemicals - 3.3%
Cabot Corp.		662		41,521
Celanese Corp.		829		94,506
Chemours Co. (The)		1,529		60,304
Eastman Chemical Co.		818		78,299
Huntsman Corp.		2,338		63,664
LyondellBasell Industries NV, Class A (a)		1,950		199,894
Olin Corp.		791		20,313
PolyOne Corp.		881		38,517
Westlake Chemical Corp.		383		31,831
				628,849
Commercial Services & Supplies - 0.7%
Herman Miller, Inc.		1,005		38,592
KAR Auction Services, Inc.		469		27,995
Waste Management, Inc.		812		73,372
				139,959
Communications Equipment - 1.3%
Arista Networks, Inc. *		70		18,610
Cisco Systems, Inc.		3,223		156,799
F5 Networks, Inc. *		340		67,803
				243,212
Construction & Engineering - 0.7%
EMCOR Group, Inc.		1,254		94,188
KBR, Inc.		2,170		45,852
				140,040
Containers & Packaging - 0.1%
Greif, Inc., Class A		418		22,430
Diversified Consumer Services - 0.0% (b)
Graham Holdings Co., Class B		6		3,476
Diversified Financial Services - 1.4%
Berkshire Hathaway, Inc., Class B *(a)		1,237		264,854
Diversified Telecommunication Services - 0.5%
AT&T, Inc.		1,358		45,602
Verizon Communications, Inc.		978		52,215
				97,817
Electric Utilities - 1.2%
Exelon Corp. (a)		4,226		184,507

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

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181

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Electric Utilities - 1.2% (continued)
OGE Energy Corp.		1,419	$	51,538
				236,045
Electrical Equipment - 0.6%
Eaton Corp. plc		590		51,171
Emerson Electric Co.		250		19,145
nVent Electric plc (United Kingdom)		1,315		35,715
				106,031
Electronic Equipment, Instruments & Components - 0.6%
CDW Corp.		527		46,861
Jabil, Inc.		1,238		33,525
Zebra Technologies Corp., Class A *		143		25,287
				105,673
Energy Equipment & Services - 0.6%
Halliburton Co.		836		33,883
Helmerich & Payne, Inc.		232		15,955
Patterson-UTI Energy, Inc.		2,695		46,112
Schlumberger Ltd.		209		12,732
				108,682
Entertainment - 1.6%
Activision Blizzard, Inc.		271		22,544
Electronic Arts, Inc. *		537		64,703
Take-Two Interactive Software, Inc. *		199		27,460
Twenty-First Century Fox, Inc., Class A		666		30,856
Viacom, Inc., Class B		1,620		54,691
Walt Disney Co. (The)		624		72,971
Zynga, Inc., Class A *		10,408		41,736
				314,961
Equity Real Estate Investment Trusts (REITs) - 2.8%
American Tower Corp.		248		36,035
AvalonBay Communities, Inc.		34		6,159
Boston Properties, Inc.		183		22,526
Crown Castle International Corp.		212		23,602
Digital Realty Trust, Inc.		220		24,746
Equinix, Inc.		49		21,212
Equity Residential		274		18,155
Host Hotels & Resorts, Inc.		664		14,010
Prologis, Inc.		751		50,910
Public Storage		408		82,265
Realty Income Corp.		977		55,582
SBA Communications Corp. *		80		12,850
Simon Property Group, Inc.		340		60,095
Ventas, Inc.		772		41,981
Welltower, Inc.		595		38,270
Weyerhaeuser Co.		578		18,652
				527,050
Food & Staples Retailing - 1.4%
Costco Wholesale Corp.		159		37,346
Kroger Co. (The)		182		5,298
US Foods Holding Corp. *		557		17,167
Walmart, Inc. (a)		2,150		201,906
				261,717
Food Products - 0.7%
Archer-Daniels-Midland Co.		1,560		78,421

INVESTMENTS	SHARES		VALUE
Food Products - 0.7% (continued)
Ingredion, Inc.		197	$	20,677
Tyson Foods, Inc., Class A		660		39,290
				138,388
Gas Utilities - 0.0% (b)
UGI Corp.		146		8,100
Health Care Equipment & Supplies - 5.8%
Abbott Laboratories		185		13,572
ABIOMED, Inc. *		334		150,216
Align Technology, Inc. *		253		98,979
Baxter International, Inc. (a)		2,432		187,483
Boston Scientific Corp. *		759		29,221
Cantel Medical Corp.		692		63,705
Danaher Corp.		560		60,850
DexCom, Inc. *		386		55,213
Edwards Lifesciences Corp. *		76		13,232
Globus Medical, Inc., Class A *		924		52,446
Haemonetics Corp. *		1,606		184,015
Hill-Rom Holdings, Inc.		149		14,066
ICU Medical, Inc. *		29		8,200
IDEXX Laboratories, Inc. *		16		3,995
Intuitive Surgical, Inc. *		138		79,212
Medtronic plc		857		84,303
Varian Medical Systems, Inc. *		28		3,134
				1,101,842
Health Care Providers & Services - 4.2%
Aetna, Inc.		206		41,787
Anthem, Inc.		103		28,227
Cardinal Health, Inc.		527		28,458
Centene Corp. *		533		77,168
Cigna Corp.		433		90,172
Envision Healthcare Corp. *		76		3,475
Express Scripts Holding Co. *		375		35,629
Humana, Inc.		444		150,303
McKesson Corp.		445		59,029
MEDNAX, Inc. *		82		3,826
UnitedHealth Group, Inc.		540		143,662
WellCare Health Plans, Inc. *		451		144,541
				806,277
Hotels, Restaurants & Leisure - 1.6%
Darden Restaurants, Inc.		434		48,257
Extended Stay America, Inc.		2,366		47,864
Hyatt Hotels Corp., Class A		323		25,708
Las Vegas Sands Corp.		1,691		100,327
Starbucks Corp.		143		8,128
Wyndham Hotels & Resorts, Inc.		78		4,334
Wynn Resorts Ltd.		484		61,497
				296,115
Household Durables - 0.6%
DR Horton, Inc.		1,061		44,753
NVR, Inc. *		26		64,241
Toll Brothers, Inc.		294		9,711
				118,705
Household Products - 0.2%
Procter & Gamble Co. (The)		383		31,877

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

AQR Funds Annual Report September 2018

182

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Independent Power and Renewable Electricity Producers - 0.0% (b)
Vistra Energy Corp. *		156	$	3,881
Industrial Conglomerates - 0.3%
Honeywell International, Inc.		390		64,896
Insurance - 2.9%
Aflac, Inc.		2,284		107,508
Allstate Corp. (The)		1,082		106,793
Assured Guaranty Ltd.		946		39,950
Everest Re Group Ltd.		34		7,768
Fidelity National Financial, Inc. (a)		3,070		120,805
First American Financial Corp.		683		35,236
Hanover Insurance Group, Inc. (The)		140		17,272
Progressive Corp. (The)		105		7,459
Reinsurance Group of America, Inc.		372		53,776
Travelers Cos., Inc. (The)		419		54,348
Unum Group		72		2,813
				553,728
Interactive Media & Services - 6.1%
Alphabet, Inc., Class A *(a)		209		252,280
Alphabet, Inc., Class C *(a)		210		250,629
Facebook, Inc., Class A *(a)		2,618		430,556
IAC/InterActiveCorp *		744		161,240
Match Group, Inc. *		483		27,970
Twitter, Inc. *		1,591		45,280
				1,167,955
Internet & Direct Marketing Retail - 5.3%
Amazon.com, Inc. *(a)		356		713,068
Booking Holdings, Inc. *		65		128,960
eBay, Inc. *		795		26,251
Netflix, Inc. *		341		127,578
TripAdvisor, Inc. *		345		17,619
				1,013,476
IT Services - 6.2%
Accenture plc, Class A		25		4,255
Akamai Technologies, Inc. *		780		57,057
Booz Allen Hamilton Holding Corp.		142		7,047
Broadridge Financial Solutions, Inc.		868		114,533
Cognizant Technology Solutions Corp., Class A		1,150		88,722
DXC Technology Co.		1,249		116,806
EPAM Systems, Inc. *		442		60,863
International Business Machines Corp. (a)		1,389		210,031
Mastercard, Inc., Class A		447		99,507
MAXIMUS, Inc.		863		56,147
PayPal Holdings, Inc. *(a)		1,858		163,207
Science Applications International Corp.		933		75,200
Teradata Corp. *		432		16,291
Total System Services, Inc.		1,050		103,677
Twilio, Inc., Class A *		173		14,926
				1,188,269
Leisure Products - 0.3%
Brunswick Corp.		705		47,249
Life Sciences Tools & Services - 1.1%
Agilent Technologies, Inc.		1,022		72,092

INVESTMENTS	SHARES		VALUE
Life Sciences Tools & Services - 1.1% (continued)
Bruker Corp.		2,016	$	67,435
Charles River Laboratories International, Inc. *		160		21,526
IQVIA Holdings, Inc. *		29		3,763
Thermo Fisher Scientific, Inc.		210		51,257
				216,073
Machinery - 2.2%
Caterpillar, Inc.		348		53,067
Crane Co.		326		32,062
Cummins, Inc.		655		95,676
Ingersoll-Rand plc		1,017		104,039
ITT, Inc.		832		50,968
Oshkosh Corp.		940		66,966
PACCAR, Inc.		159		10,842
				413,620
Media - 0.9%
Comcast Corp., Class A		4,114		145,677
John Wiley & Sons, Inc., Class A		540		32,724
				178,401
Metals & Mining - 1.3%
Alcoa Corp. *		1,592		64,317
Freeport-McMoRan, Inc.		4,131		57,503
Reliance Steel & Aluminum Co.		788		67,209
Steel Dynamics, Inc.		1,491		67,378
				256,407
Multiline Retail - 2.9%
Big Lots, Inc.		280		11,701
Dollar General Corp.		38		4,153
Kohl’s Corp.		1,149		85,658
Macy’s, Inc.		3,389		117,700
Ollie’s Bargain Outlet Holdings, Inc. *		399		38,344
Target Corp. (a)		3,342		294,798
				552,354
Multi-Utilities - 0.7%
CenterPoint Energy, Inc.		2,385		65,945
MDU Resources Group, Inc.		794		20,398
NorthWestern Corp.		903		52,970
				139,313
Oil, Gas & Consumable Fuels - 9.8%
Anadarko Petroleum Corp.		2,487		167,649
Chevron Corp.		1,678		205,186
CNX Resources Corp. *		2,565		36,705
ConocoPhillips (a)		3,798		293,965
CONSOL Energy, Inc. *		916		37,382
Devon Energy Corp.		1,579		63,065
Energen Corp. *		60		5,170
EOG Resources, Inc.		436		55,621
Exxon Mobil Corp. (a)		2,388		203,028
HollyFrontier Corp.		2,920		204,108
Marathon Oil Corp.		3,930		91,490
Marathon Petroleum Corp.		365		29,189
Newfield Exploration Co. *		954		27,504
Occidental Petroleum Corp.		1,546		127,035
PBF Energy, Inc., Class A		511		25,504
Phillips 66		619		69,774

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

AQR Funds Annual Report September 2018

183

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 9.8% (continued)
Pioneer Natural Resources Co.		96	$	16,722
Southwestern Energy Co. *		2,475		12,647
Valero Energy Corp.		1,367		155,496
Whiting Petroleum Corp. *		798		42,326
World Fuel Services Corp.		371		10,269
				1,879,835
Personal Products - 0.1%
Nu Skin Enterprises, Inc., Class A		127		10,467
Pharmaceuticals - 2.9%
Bristol-Myers Squibb Co.		793		49,230
Johnson & Johnson (a)		1,231		170,087
Merck & Co., Inc.		2,089		148,194
Nektar Therapeutics *		41		2,499
Pfizer, Inc. (a)		4,048		178,395
				548,405
Professional Services - 1.0%
Dun & Bradstreet Corp. (The)		635		90,494
ManpowerGroup, Inc.		191		16,418
Robert Half International, Inc.		1,123		79,037
				185,949
Road & Rail - 1.8%
CSX Corp.		668		49,465
Kansas City Southern		348		39,421
Norfolk Southern Corp.		732		132,126
Old Dominion Freight Line, Inc.		153		24,673
Ryder System, Inc.		111		8,111
Union Pacific Corp.		553		90,045
				343,841
Semiconductors & Semiconductor Equipment - 7.3%
Applied Materials, Inc. (a)		3,370		130,250
Cirrus Logic, Inc. *		82		3,165
First Solar, Inc. *		1,062		51,422
Intel Corp. (a)		5,883		278,207
KLA-Tencor Corp.		541		55,025
Lam Research Corp.		531		80,553
Marvell Technology Group Ltd.		93		1,795
Maxim Integrated Products, Inc.		1,127		63,552
Micron Technology, Inc. *(a)		6,187		279,838
MKS Instruments, Inc.		355		28,453
NVIDIA Corp.		633		177,886
ON Semiconductor Corp. *		1,166		21,489
Skyworks Solutions, Inc.		1,010		91,617
Texas Instruments, Inc.		1,240		133,040
				1,396,292
Software - 8.2%
Adobe Systems, Inc. *(a)		870		234,856
Aspen Technology, Inc. *		851		96,937
Cadence Design Systems, Inc. *		1,667		75,548
Citrix Systems, Inc. *		311		34,571
Dell Technologies, Inc., Class V *		464		45,064
Fortinet, Inc. *		758		69,941
Intuit, Inc.		237		53,894
Manhattan Associates, Inc. *		476		25,990

INVESTMENTS	SHARES		VALUE
Software - 8.2% (continued)
Microsoft Corp. (a)		6,074	$	694,683
Nutanix, Inc., Class A *		363		15,507
Oracle Corp.		2,262		116,629
Red Hat, Inc. *		238		32,435
salesforce.com, Inc. *		217		34,509
Splunk, Inc. *		349		42,198
				1,572,762
Specialty Retail - 6.2%
American Eagle Outfitters, Inc.		7,288		180,961
AutoZone, Inc. *		35		27,149
Best Buy Co., Inc.		1,337		106,104
Burlington Stores, Inc. *		966		157,381
Foot Locker, Inc.		3,927		200,198
Gap, Inc. (The)		2,741		79,078
Home Depot, Inc. (The)		410		84,932
Lowe’s Cos., Inc.		557		63,955
Ross Stores, Inc.		554		54,901
TJX Cos., Inc. (The)		933		104,515
Urban Outfitters, Inc. *		3,162		129,326
				1,188,500
Technology Hardware, Storage & Peripherals - 4.0%
Apple, Inc. (a)		3,074		693,925
Hewlett Packard Enterprise Co.		193		3,148
HP, Inc.		2,051		52,854
Seagate Technology plc		176		8,334
Western Digital Corp.		280		16,391
				774,652
Textiles, Apparel & Luxury Goods - 3.2%
Carter’s, Inc.		281		27,707
Columbia Sportswear Co.		138		12,844
Deckers Outdoor Corp. *		1,129		133,877
Lululemon Athletica, Inc. *		654		106,268
Michael Kors Holdings Ltd. *		3,226		221,174
PVH Corp.		21		3,032
Ralph Lauren Corp.		285		39,202
Skechers U.S.A., Inc., Class A *		2,599		72,590
				616,694
Tobacco - 0.1%
Philip Morris International, Inc.		190		15,493
Trading Companies & Distributors - 1.3%
HD Supply Holdings, Inc. *		1,905		81,515
MSC Industrial Direct Co., Inc., Class A		187		16,477
United Rentals, Inc. *		133		21,759
WESCO International, Inc. *		638		39,205
WW Grainger, Inc.		237		84,706
				243,662
TOTAL COMMON STOCKS (Cost $20,542,006)				24,172,647
EXCHANGE TRADED FUNDS - 2.3%
SPDR S&P 500 ETF Trust (Cost $432,517)		1,531		445,092

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

AQR Funds Annual Report September 2018

184

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 1.4%
Investment Companies - 1.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.97% (c)		2,728		$	2,728
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.96% (c)		10,910			10,910
Limited Purpose Cash Investment Fund, 2.06% (c)		249,706			249,680
UBS Select Treasury Preferred Fund, Class I, 1.97% (c)		13,637			13,637
TOTAL SHORT-TERM INVESTMENTS (Cost $276,954)					276,955
TOTAL LONG POSITIONS (Cost $21,251,477)					24,894,694
SHORT POSITIONS - (29.5)%
COMMON STOCKS - (29.5)%
Airlines - (0.5)%
American Airlines Group, Inc.		(753	)		(31,122	)
Spirit Airlines, Inc. *		(1,330	)		(62,470	)
					(93,592	)
Auto Components - (0.5)%
Adient plc		(2,397	)		(94,226	)
Visteon Corp. *		(89	)		(8,268	)
					(102,494	)
Automobiles - (0.8)%
Harley-Davidson, Inc.		(165	)		(7,474	)
Tesla, Inc. *		(561	)		(148,536	)
					(156,010	)
Banks - (2.9)%
Bank OZK		(79	)		(2,999	)
Chemical Financial Corp.		(1,511	)		(80,687	)
Home BancShares, Inc.		(2,012	)		(44,063	)
Pinnacle Financial Partners, Inc.		(983	)		(59,128	)
Sterling Bancorp		(9,134	)		(200,948	)
Texas Capital Bancshares, Inc. *		(171	)		(14,133	)
United Bankshares, Inc.		(3,987	)		(144,927	)
					(546,885	)
Biotechnology - (1.6)%
Agios Pharmaceuticals, Inc. *		(939	)		(72,416	)
Alkermes plc *		(344	)		(14,599	)
Alnylam Pharmaceuticals, Inc. *		(393	)		(34,395	)
BioMarin Pharmaceutical, Inc. *		(164	)		(15,903	)
Bluebird Bio, Inc. *		(212	)		(30,952	)
Exact Sciences Corp. *		(814	)		(64,241	)
Ionis Pharmaceuticals, Inc. *		(142	)		(7,324	)
OPKO Health, Inc. *		(9,487	)		(32,825	)
Seattle Genetics, Inc. *		(530	)		(40,874	)
					(313,529	)
Capital Markets - (0.3)%
Charles Schwab Corp. (The)		(400	)		(19,660	)
MarketAxess Holdings, Inc.		(109	)		(19,456	)
Stifel Financial Corp.		(482	)		(24,707	)
					(63,823	)

INVESTMENTS	SHARES			VALUE
Chemicals - (0.9)%
Albemarle Corp.		(1,557	)	$	(155,357	)
Platform Specialty Products Corp. *		(353	)		(4,402	)
Valvoline, Inc.		(596	)		(12,820	)
					(172,579	)
Commercial Services & Supplies - (0.3)%
Healthcare Services Group, Inc.		(1,244	)		(50,531	)
Stericycle, Inc. *		(249	)		(14,612	)
					(65,143	)
Communications Equipment - (0.8)%
CommScope Holding Co., Inc. *		(235	)		(7,229	)
EchoStar Corp., Class A *		(311	)		(14,421	)
NetScout Systems, Inc. *		(372	)		(9,393	)
ViaSat, Inc. *		(1,891	)		(120,929	)
					(151,972	)
Construction & Engineering - 0.0% (b)
Granite Construction, Inc.		(91	)		(4,159	)
Containers & Packaging - (0.7)%
Ball Corp.		(417	)		(18,344	)
Crown Holdings, Inc. *		(2,226	)		(106,848	)
					(125,192	)
Diversified Telecommunication Services - (0.4)%
CenturyLink, Inc.		(2,527	)		(53,572	)
Zayo Group Holdings, Inc. *		(425	)		(14,756	)
					(68,328	)
Electric Utilities - (1.0)%
PPL Corp.		(6,589	)		(192,794	)
Electrical Equipment - 0.0% (b)
GrafTech International Ltd.		(382	)		(7,453	)
Electronic Equipment, Instruments & Components - (1.0)%
Belden, Inc.		(1,445	)		(103,187	)
Cognex Corp.		(964	)		(53,811	)
Corning, Inc.		(787	)		(27,781	)
					(184,779	)
Energy Equipment & Services - (2.4)%
Baker Hughes a GE Co.		(305	)		(10,318	)
Core Laboratories NV		(162	)		(18,765	)
Dril-Quip, Inc. *		(634	)		(33,127	)
Ensco plc, Class A		(10,376	)		(87,573	)
Nabors Industries Ltd.		(12,056	)		(74,265	)
Rowan Cos. plc, Class A *		(2,548	)		(47,979	)
Transocean Ltd. *		(4,732	)		(66,011	)
Weatherford International plc *		(42,531	)		(115,259	)
					(453,297	)
Entertainment - (0.4)%
Lions Gate Entertainment Corp., Class A		(569	)		(13,878	)
Pandora Media, Inc. *		(7,114	)		(67,654	)
					(81,532	)
Food & Staples Retailing - (0.3)%
Casey’s General Stores, Inc.		(214	)		(27,630	)

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

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185

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Food & Staples Retailing - (0.3)% (continued)
Rite Aid Corp. *		(23,150	)	$	(29,632	)
					(57,262	)
Food Products - (1.5)%
Campbell Soup Co.		(3,612	)		(132,308	)
Hain Celestial Group, Inc. (The) *		(1,696	)		(45,996	)
Kraft Heinz Co. (The)		(995	)		(54,834	)
McCormick & Co., Inc. (Non-Voting)		(171	)		(22,529	)
Post Holdings, Inc. *		(98	)		(9,608	)
TreeHouse Foods, Inc. *		(297	)		(14,211	)
					(279,486	)
Health Care Providers & Services - (0.8)%
Acadia Healthcare Co., Inc. *		(2,200	)		(77,440	)
Henry Schein, Inc. *		(201	)		(17,091	)
Premier, Inc., Class A *		(1,302	)		(59,606	)
					(154,137	)
Health Care Technology - (0.1)%
Medidata Solutions, Inc. *		(342	)		(25,072	)
Hotels, Restaurants & Leisure - (1.1)%
Caesars Entertainment Corp. *		(17,290	)		(177,223	)
Scientific Games Corp. *		(1,213	)		(30,810	)
					(208,033	)
Household Durables - (1.3)%
Leggett & Platt, Inc.		(391	)		(17,122	)
Newell Brands, Inc.		(7,967	)		(161,730	)
Tempur Sealy International, Inc. *		(1,232	)		(65,173	)
					(244,025	)
Insurance - (0.1)%
Kemper Corp.		(286	)		(23,009	)
ProAssurance Corp.		(128	)		(6,009	)
					(29,018	)
IT Services - (0.6)%
Gartner, Inc. *		(742	)		(117,607	)
Leisure Products - (0.3)%
Mattel, Inc. *		(3,538	)		(55,547	)
Life Sciences Tools & Services - (0.2)%
Syneos Health, Inc. *		(775	)		(39,951	)
Machinery - (1.4)%
Colfax Corp. *		(2,426	)		(87,481	)
Flowserve Corp.		(1,888	)		(103,255	)
Middleby Corp. (The) *		(443	)		(57,302	)
Wabtec Corp.		(136	)		(14,264	)
					(262,302	)
Media - (2.4)%
Charter Communications, Inc., Class A *		(192	)		(62,569	)
Discovery, Inc., Class A *		(6,100	)		(195,200	)
DISH Network Corp., Class A *		(330	)		(11,801	)
GCI Liberty, Inc., Class A *		(922	)		(47,022	)
Liberty Broadband Corp., Class C *		(205	)		(17,281	)
Meredith Corp.		(830	)		(42,371	)

INVESTMENTS	SHARES			VALUE
Media - (2.4)% (continued)
New York Times Co. (The), Class A		(3,199	)	$	(74,057	)
Sirius XM Holdings, Inc.		(1,774	)		(11,212	)
					(461,513	)
Metals & Mining - (1.2)%
Allegheny Technologies, Inc. *		(3,774	)		(111,522	)
Compass Minerals International, Inc.		(608	)		(40,858	)
Royal Gold, Inc.		(1,056	)		(81,375	)
					(233,755	)
Multi-Utilities - (0.1)%
Black Hills Corp.		(399	)		(23,178	)
Oil, Gas & Consumable Fuels - (0.7)%
Callon Petroleum Co. *		(2,932	)		(35,155	)
Chesapeake Energy Corp. *		(3,303	)		(14,830	)
Extraction Oil & Gas, Inc. *		(523	)		(5,905	)
Matador Resources Co. *		(563	)		(18,607	)
Targa Resources Corp.		(1,097	)		(61,772	)
					(136,269	)
Personal Products - (0.3)%
Coty, Inc., Class A		(4,083	)		(51,283	)
Pharmaceuticals - (0.3)%
Akorn, Inc. *		(1,668	)		(21,651	)
Prestige Consumer Healthcare, Inc. *		(846	)		(32,055	)
					(53,706	)
Semiconductors & Semiconductor Equipment - (0.9)%
Advanced Micro Devices, Inc. *		(2,313	)		(71,448	)
Cree, Inc. *		(132	)		(4,999	)
Cypress Semiconductor Corp.		(185	)		(2,681	)
Microchip Technology, Inc.		(41	)		(3,235	)
Universal Display Corp.		(709	)		(83,591	)
					(165,954	)
Software - (0.2)%
FireEye, Inc. *		(1,310	)		(22,270	)
Workday, Inc., Class A *		(69	)		(10,073	)
					(32,343	)
Specialty Retail - (0.7)%
CarMax, Inc. *		(734	)		(54,808	)
Floor & Decor Holdings, Inc., Class A *		(873	)		(26,338	)
L Brands, Inc.		(899	)		(27,240	)
Office Depot, Inc.		(7,198	)		(23,105	)
					(131,491	)
Technology Hardware, Storage & Peripherals - (0.1)%
NCR Corp. *		(701	)		(19,915	)
Textiles, Apparel & Luxury Goods - (0.3)%
Under Armour, Inc., Class A *		(2,810	)		(59,628	)
Thrifts & Mortgage Finance - 0.0% (b)
LendingTree, Inc. *		(22	)		(5,062	)

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

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186

Schedule of Investments September 30, 2018

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Trading Companies & Distributors - (0.1)%
NOW, Inc. *		(1,457	)	$	(24,113	)
TOTAL COMMON STOCKS (Proceeds $(5,517,155))					(5,654,211	)
TOTAL SHORT POSITIONS (Proceeds $(5,517,155))					(5,654,211	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.5% (Cost $15,734,322)					19,240,483
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)%				(96,313)
NET ASSETS - 100.0%				$19,144,170

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	1,147,760			6.0	%
Consumer Discretionary		3,025,791			15.8
Consumer Staples		143,158			0.7
Energy		1,398,951			7.3
Exchange Traded Funds		445,092			2.3
Financials		1,681,755			8.8
Health Care		2,970,475			15.5
Industrials		2,467,679			12.9
Information Technology		4,608,289			24.1
Materials		376,160			2.0
Real Estate		527,050			2.8
Utilities		171,368			0.9
Short-Term Investments		276,955			1.4
Total Investments In Securities At Value		19,240,483			100.5
Liabilities in Excess of Other Assets		(96,313	)		(0.5	)
Net Assets	$	19,144,170			100.0	%

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

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $6,220,510.

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

(c) Represents 7-day effective yield as of September 30, 2018.

All securities are Level 1 with respect to ASC 820 (See Note 4).

Abbreviations

SPDR - Standard & Poor’s Depositary Receipt

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

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187

Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 131.8%
COMMON STOCKS - 128.6%
Aerospace & Defense - 2.4%
AAR Corp.		153	$	7,327
Axon Enterprise, Inc. *		121		8,280
Engility Holdings, Inc. *		37		1,332
Esterline Technologies Corp. *(a)		177		16,098
KLX, Inc. *		78		4,897
Moog, Inc., Class A		159		13,669
Vectrus, Inc. *		922		28,757
				80,360
Air Freight & Logistics - 0.3%
Hub Group, Inc., Class A *		190		8,664
Airlines - 0.2%
Allegiant Travel Co.		14		1,775
SkyWest, Inc.		80		4,712
				6,487
Auto Components - 2.0%
Cooper-Standard Holdings, Inc. *		88		10,558
Dana, Inc.		124		2,315
Stoneridge, Inc. *		726		21,577
Tenneco, Inc.		153		6,447
Tower International, Inc.		846		25,592
				66,489
Banks - 7.6%
1st Source Corp. (a)		288		15,154
BancFirst Corp.		85		5,096
Bancorp, Inc. (The) *		1,362		13,062
Bank of Marin Bancorp		29		2,433
Cathay General Bancorp		109		4,517
Central Pacific Financial Corp.		292		7,717
CoBiz Financial, Inc.		184		4,074
Community Trust Bancorp, Inc.		102		4,728
Customers Bancorp, Inc. *		231		5,435
Eagle Bancorp, Inc. *		223		11,284
Fidelity Southern Corp.		51		1,264
Financial Institutions, Inc.		365		11,461
First Bancorp/PR *		3,428		31,195
First Busey Corp.		96		2,981
First of Long Island Corp. (The)		111		2,414
Fulton Financial Corp.		233		3,879
Great Southern Bancorp, Inc.		248		13,727
Great Western Bancorp, Inc.		114		4,810
Hanmi Financial Corp.		468		11,653
Hilltop Holdings, Inc.		612		12,344
IBERIABANK Corp.		37		3,010
Independent Bank Corp./MI		753		17,808
International Bancshares Corp. (a)		365		16,425
Investors Bancorp, Inc.		203		2,491
MB Financial, Inc.		134		6,179
Mercantile Bank Corp.		63		2,102
National Commerce Corp. *		126		5,204
OFG Bancorp		100		1,615
Opus Bank		20		548
Peapack Gladstone Financial Corp.		123		3,799

INVESTMENTS	SHARES		VALUE
Banks - 7.6% (continued)
Sandy Spring Bancorp, Inc.		131	$	5,150
TriCo Bancshares		117		4,518
Triumph Bancorp, Inc. *		164		6,265
United Community Banks, Inc.		185		5,160
				249,502
Beverages - 0.0% (b)
National Beverage Corp. *		11		1,283
Biotechnology - 6.7%
Acorda Therapeutics, Inc. *		423		8,312
Adverum Biotechnologies, Inc. *		411		2,487
Amicus Therapeutics, Inc. *		215		2,599
Arena Pharmaceuticals, Inc. *		79		3,636
Array BioPharma, Inc. *		252		3,830
Blueprint Medicines Corp. *		10		781
CareDx, Inc. *		286		8,251
Catalyst Biosciences, Inc. *		188		2,027
Clovis Oncology, Inc. *		52		1,527
Concert Pharmaceuticals, Inc. *		373		5,535
CytomX Therapeutics, Inc. *		56		1,036
Eagle Pharmaceuticals, Inc. *		55		3,813
Emergent BioSolutions, Inc. *(a)		282		18,564
Enanta Pharmaceuticals, Inc. *(a)		186		15,896
FibroGen, Inc. *		104		6,318
Genomic Health, Inc. *(a)		388		27,245
Halozyme Therapeutics, Inc. *		187		3,398
ImmunoGen, Inc. *		174		1,648
Insmed, Inc. *		120		2,426
Intercept Pharmaceuticals, Inc. *		33		4,170
Ligand Pharmaceuticals, Inc. *		26		7,137
Loxo Oncology, Inc. *		53		9,054
Mirati Therapeutics, Inc. *		83		3,909
Momenta Pharmaceuticals, Inc. *		20		526
Myriad Genetics, Inc. *(a)		437		20,102
Natera, Inc. *		27		646
Palatin Technologies, Inc. *		1,021		1,018
PDL BioPharma, Inc. *		3,120		8,206
Pieris Pharmaceuticals, Inc. *		332		1,859
Portola Pharmaceuticals, Inc. *		71		1,891
PTC Therapeutics, Inc. *		84		3,948
Puma Biotechnology, Inc. *		41		1,880
REGENXBIO, Inc. *(a)		240		18,120
Sangamo Therapeutics, Inc. *		144		2,441
Spectrum Pharmaceuticals, Inc. *		419		7,039
Vericel Corp. *		628		8,886
				220,161
Building Products - 3.5%
Armstrong Flooring, Inc. *		303		5,484
Builders FirstSource, Inc. *		778		11,421
Continental Building Products, Inc. *(a)		743		27,900
CSW Industrials, Inc. *		238		12,781
Insteel Industries, Inc.		129		4,628
NCI Building Systems, Inc. *(a)		1,882		28,512
PGT Innovations, Inc. *		459		9,914
Simpson Manufacturing Co., Inc.		136		9,855
Universal Forest Products, Inc.		126		4,452
				114,947

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

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188

Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Capital Markets - 0.9%
Blucora, Inc. *		122	$	4,910
BrightSphere Investment Group plc		118		1,463
Diamond Hill Investment Group, Inc.		4		661
Federated Investors, Inc., Class B		280		6,754
Investment Technology Group, Inc.		298		6,455
Oppenheimer Holdings, Inc., Class A		263		8,311
Waddell & Reed Financial, Inc., Class A		39		826
				29,380
Chemicals - 3.6%
AdvanSix, Inc. *		337		11,441
FutureFuel Corp.		1,552		28,774
Hawkins, Inc.		119		4,933
Ingevity Corp. *		59		6,011
Innospec, Inc.		34		2,609
Kraton Corp. *		113		5,328
OMNOVA Solutions, Inc. *		1,217		11,987
PolyOne Corp.		248		10,843
Stepan Co.		78		6,787
Trinseo SA (a)		350		27,405
Valhi, Inc.		1,516		3,456
				119,574
Commercial Services & Supplies - 3.4%
Brady Corp., Class A		73		3,194
Ennis, Inc.		218		4,458
Heritage-Crystal Clean, Inc. *		659		14,070
Herman Miller, Inc.		208		7,987
Interface, Inc. (a)		722		16,859
Kimball International, Inc., Class B		686		11,490
McGrath RentCorp (a)		311		16,940
Pitney Bowes, Inc.		358		2,535
SP Plus Corp. *		299		10,913
Steelcase, Inc., Class A		663		12,265
UniFirst Corp.		27		4,689
VSE Corp.		163		5,400
				110,800
Communications Equipment - 0.7%
Aerohive Networks, Inc. *		2,741		11,293
Comtech Telecommunications Corp.		19		689
NETGEAR, Inc. *		74		4,651
Ribbon Communications, Inc. *		702		4,795
				21,428
Construction & Engineering - 1.4%
Comfort Systems USA, Inc.		115		6,486
EMCOR Group, Inc. (a)		170		12,769
KBR, Inc. (a)		717		15,150
MYR Group, Inc. *		13		424
Primoris Services Corp.		407		10,102
				44,931
Consumer Finance - 0.9%
Enova International, Inc. *		354		10,195
FirstCash, Inc.		49		4,018
Green Dot Corp., Class A *		68		6,040
LendingClub Corp. *		451		1,750
Regional Management Corp. *		277		7,986
				29,989

INVESTMENTS	SHARES		VALUE
Diversified Consumer Services - 1.9%
Adtalem Global Education, Inc. *		96	$	4,627
American Public Education, Inc. *		725		23,961
Cambium Learning Group, Inc. *		735		8,702
Career Education Corp. *		544		8,122
K12, Inc. *		474		8,390
Strategic Education, Inc.		16		2,193
Weight Watchers International, Inc. *		75		5,399
				61,394
Diversified Telecommunication Services - 0.0% (b)
Vonage Holdings Corp. *		58		821
Electrical Equipment - 1.4%
Allied Motion Technologies, Inc.		49		2,667
Atkore International Group, Inc. *(a)		1,027		27,246
Encore Wire Corp.		141		7,064
EnerSys		68		5,925
Generac Holdings, Inc. *		48		2,708
Vicor Corp. *		38		1,748
				47,358
Electronic Equipment, Instruments & Components - 2.5%
Anixter International, Inc. *		36		2,531
Control4 Corp. *		203		6,969
Electro Scientific Industries, Inc. *		199		3,472
ePlus, Inc. *(a)		187		17,335
FARO Technologies, Inc. *		49		3,153
Insight Enterprises, Inc. *(a)		365		19,743
KEMET Corp. *		539		9,998
Methode Electronics, Inc.		63		2,280
Rogers Corp. *		34		5,009
ScanSource, Inc. *		84		3,352
SYNNEX Corp.		47		3,981
Tech Data Corp. *		7		501
Vishay Precision Group, Inc. *		107		4,002
				82,326
Energy Equipment & Services - 1.1%
ION Geophysical Corp. *		241		3,747
KLX Energy Services Holdings, Inc. *		31		999
Mammoth Energy Services, Inc.		182		5,296
Matrix Service Co. *		823		20,287
Ocean Rig UDW, Inc., Class A (Angola) *		79		2,735
Pioneer Energy Services Corp. *		1		3
Profire Energy, Inc. *		499		1,592
				34,659
Entertainment - 0.2%
Rosetta Stone, Inc. *		345		6,862
Equity Real Estate Investment Trusts (REITs) - 1.5%
Alexander’s, Inc.		3		1,030
Ashford Hospitality Trust, Inc.		435		2,780
Cedar Realty Trust, Inc.		595		2,773
CoreCivic, Inc.		175		4,258
CorePoint Lodging, Inc.		63		1,225
GEO Group, Inc. (The)		115		2,893
Getty Realty Corp.		183		5,226
Gramercy Property Trust		249		6,832
Kite Realty Group Trust		180		2,997

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

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AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 1.5% (continued)
LaSalle Hotel Properties		179	$	6,192
MedEquities Realty Trust, Inc.		118		1,147
Ramco-Gershenson Properties Trust		136		1,850
Select Income REIT		133		2,918
Xenia Hotels & Resorts, Inc.		337		7,987
				50,108
Food & Staples Retailing - 0.1%
Performance Food Group Co. *		79		2,631
SpartanNash Co.		44		882
				3,513
Food Products - 0.9%
Darling Ingredients, Inc. *		507		9,795
Dean Foods Co.		142		1,008
John B Sanfilippo & Son, Inc.		150		10,707
Sanderson Farms, Inc.		94		9,717
				31,227
Health Care Equipment & Supplies - 7.6%
AngioDynamics, Inc. *		159		3,457
Atrion Corp.		1		695
Cardiovascular Systems, Inc. *		303		11,859
Cerus Corp. *		886		6,388
Cutera, Inc. *		196		6,380
Globus Medical, Inc., Class A *(a)		364		20,661
Haemonetics Corp. *(a)		238		27,270
Inogen, Inc. *(a)		73		17,821
Integer Holdings Corp. *		20		1,659
IntriCon Corp. *		137		7,699
Lantheus Holdings, Inc. *		833		12,453
LeMaitre Vascular, Inc.		324		12,552
LivaNova plc *		14		1,735
Meridian Bioscience, Inc.		59		879
Merit Medical Systems, Inc. *		148		9,095
Natus Medical, Inc. *		178		6,346
Novocure Ltd. *		334		17,502
NuVasive, Inc. *		51		3,620
OraSure Technologies, Inc. *		371		5,732
Orthofix Medical, Inc. *		224		12,949
STAAR Surgical Co. *(a)		508		24,384
Surmodics, Inc. *		188		14,034
Tandem Diabetes Care, Inc. *(a)		493		21,120
Utah Medical Products, Inc.		54		5,087
				251,377
Health Care Providers & Services - 3.0%
Addus HomeCare Corp. *		106		7,436
Amedisys, Inc. *		64		7,997
Civitas Solutions, Inc. *		212		3,127
CorVel Corp. *(a)		294		17,714
Cross Country Healthcare, Inc. *		375		3,274
LHC Group, Inc. *		13		1,339
LifePoint Health, Inc. *		52		3,349
Magellan Health, Inc. *		145		10,447
National HealthCare Corp.		63		4,748
Patterson Cos., Inc.		114		2,787
Providence Service Corp. (The) *		63		4,239
RadNet, Inc. *		1,406		21,160

INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 3.0% (continued)
Tenet Healthcare Corp. *		23	$	655
Triple-S Management Corp., Class B *		552		10,427
				98,699
Health Care Technology - 1.8%
Castlight Health, Inc., Class B *		3,944		10,649
HealthStream, Inc.		629		19,505
HMS Holdings Corp. *		432		14,174
Inovalon Holdings, Inc., Class A *		67		673
Tabula Rasa HealthCare, Inc. *(a)		192		15,589
				60,590
Hotels, Restaurants & Leisure - 3.5%
BJ’s Restaurants, Inc. (a)		217		15,667
Bloomin’ Brands, Inc.		683		13,517
Bojangles’, Inc. *		118		1,853
Boyd Gaming Corp.		256		8,666
Carrols Restaurant Group, Inc. *		208		3,037
Cheesecake Factory, Inc. (The)		8		428
Dave & Buster’s Entertainment, Inc. *		204		13,509
Del Frisco’s Restaurant Group, Inc. *		279		2,316
International Speedway Corp., Class A		118		5,168
Marriott Vacations Worldwide Corp.		3		335
Monarch Casino & Resort, Inc. *		70		3,182
OBH, Inc. *		9		1,632
Penn National Gaming, Inc. *(a)		483		15,900
Pinnacle Entertainment, Inc. *		83		2,796
RCI Hospitality Holdings, Inc.		118		3,494
Ruth’s Hospitality Group, Inc.		571		18,015
Texas Roadhouse, Inc.		30		2,079
Town Sports International Holdings, Inc. *		373		3,226
				114,820
Household Durables - 1.4%
Cavco Industries, Inc. *		36		9,108
Flexsteel Industries, Inc.		167		4,967
Hooker Furniture Corp.		22		744
La-Z-Boy, Inc.		69		2,180
Meritage Homes Corp. *		62		2,474
Roku, Inc. *		62		4,528
Taylor Morrison Home Corp., Class A *		362		6,530
ZAGG, Inc. *		1,010		14,897
				45,428
Insurance - 3.6%
Ambac Financial Group, Inc. *		550		11,231
Argo Group International Holdings Ltd.		187		11,790
CNO Financial Group, Inc.		545		11,565
Employers Holdings, Inc. (a)		530		24,009
Enstar Group Ltd. *		12		2,502
FedNat Holding Co.		310		7,899
Genworth Financial, Inc., Class A *		530		2,210
National Western Life Group, Inc., Class A		29		9,257
Safety Insurance Group, Inc.		101		9,049
Stewart Information Services Corp.		78		3,511
Third Point Reinsurance Ltd. *		716		9,308
United Fire Group, Inc.		8		406
Universal Insurance Holdings, Inc. (a)		332		16,119
				118,856

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

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Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Interactive Media & Services - 2.7%
Care.com, Inc. *		796	$	17,600
Cargurus, Inc. *		71		3,954
Cars.com, Inc. *		107		2,954
QuinStreet, Inc. *		1,198		16,257
TrueCar, Inc. *		591		8,333
XO Group, Inc. *		627		21,619
Yelp, Inc. *(a)		404		19,877
				90,594
Internet & Direct Marketing Retail - 2.6%
1-800-Flowers.com, Inc., Class A *		1,983		23,399
Etsy, Inc. *(a)		503		25,844
Groupon, Inc. *		4,133		15,581
Lands’ End, Inc. *		29		509
Liberty TripAdvisor Holdings, Inc., Class A *		175		2,599
Overstock.com, Inc. *		107		2,964
PetMed Express, Inc.		79		2,608
Shutterfly, Inc. *		40		2,636
Shutterstock, Inc.		35		1,910
Stamps.com, Inc. *		39		8,822
				86,872
IT Services - 2.7%
Acxiom Holdings, Inc. *		116		5,732
Brightcove, Inc. *		1,254		10,534
CACI International, Inc., Class A *		4		737
EVERTEC, Inc.		603		14,532
Hackett Group, Inc. (The)		202		4,070
Limelight Networks, Inc. *		1,909		9,583
MAXIMUS, Inc.		133		8,653
MoneyGram International, Inc. *		250		1,337
NIC, Inc.		38		562
Perficient, Inc. *		43		1,146
Perspecta, Inc.		220		5,658
Science Applications International Corp.		9		725
ServiceSource International, Inc. *		843		2,403
Sykes Enterprises, Inc. *		37		1,128
Syntel, Inc. *		52		2,131
Travelport Worldwide Ltd.		839		14,154
Unisys Corp. *		229		4,672
Web.com Group, Inc. *		59		1,646
				89,403
Leisure Products - 1.4%
Johnson Outdoors, Inc., Class A		139		12,926
MCBC Holdings, Inc. *		542		19,447
Nautilus, Inc. *		971		13,545
				45,918
Life Sciences Tools & Services - 0.7%
Enzo Biochem, Inc. *		493		2,031
Luminex Corp.		83		2,516
Medpace Holdings, Inc. *(a)		289		17,314
				21,861
Machinery - 4.3%
Alamo Group, Inc.		30		2,748
Barnes Group, Inc.		55		3,907
Briggs & Stratton Corp.		183		3,519
Columbus McKinnon Corp.		252		9,964

INVESTMENTS	SHARES		VALUE
Machinery - 4.3% (continued)
Commercial Vehicle Group, Inc. *		908	$	8,317
DMC Global, Inc.		106		4,325
EnPro Industries, Inc.		26		1,896
Global Brass & Copper Holdings, Inc.		583		21,513
Gorman-Rupp Co. (The)		79		2,883
Harsco Corp. *		438		12,505
Kadant, Inc.		81		8,736
Lydall, Inc. *		26		1,121
Meritor, Inc. *(a)		758		14,675
Milacron Holdings Corp. *		218		4,414
Mueller Water Products, Inc., Class A		1,011		11,637
Spartan Motors, Inc.		411		6,062
SPX Corp. *		113		3,764
Standex International Corp.		35		3,649
TriMas Corp. *		417		12,677
Wabash National Corp.		172		3,135
				141,447
Marine - 0.0% (b)
Genco Shipping & Trading Ltd. *		44		616
Media - 0.8%
Entravision Communications Corp., Class A		3,424		16,778
TechTarget, Inc. *		310		6,020
tronc, Inc. *		242		3,952
				26,750
Metals & Mining - 1.7%
Materion Corp.		182		11,011
Ryerson Holding Corp. *		1,093		12,351
SunCoke Energy, Inc. *		1,268		14,734
Warrior Met Coal, Inc.		611		16,522
				54,618
Mortgage Real Estate Investment Trusts (REITs) - 0.3%
Apollo Commercial Real Estate Finance, Inc.		181		3,415
Blackstone Mortgage Trust, Inc., Class A		152		5,094
				8,509
Multiline Retail - 0.3%
Big Lots, Inc.		210		8,776
Multi-Utilities - 0.2%
Avista Corp.		148		7,483
Oil, Gas & Consumable Fuels - 7.2%
Abraxas Petroleum Corp. *		5,174		12,055
Arch Coal, Inc., Class A (a)		273		24,406
Bonanza Creek Energy, Inc. *		505		15,039
California Resources Corp. *		262		12,715
Clean Energy Fuels Corp. *		419		1,089
Delek US Holdings, Inc. (a)		284		12,050
Denbury Resources, Inc. *		2,524		15,649
Evolution Petroleum Corp.		1,823		20,144
HighPoint Resources Corp. *		607		2,962
Laredo Petroleum, Inc. *		172		1,405
Midstates Petroleum Co., Inc. *		259		2,308
Northern Oil and Gas, Inc. *		4,158		16,632
Oasis Petroleum, Inc. *		260		3,687
Overseas Shipholding Group, Inc., Class A *		5,160		16,254

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

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Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 7.2% (continued)
PDC Energy, Inc. *		170	$	8,323
Peabody Energy Corp.		275		9,801
Penn Virginia Corp. *(a)		175		14,095
SandRidge Energy, Inc. *		55		598
Southwestern Energy Co. *		901		4,604
W&T Offshore, Inc. *(a)		4,148		39,987
WildHorse Resource Development Corp. *		215		5,083
				238,886
Paper & Forest Products - 1.9%
Boise Cascade Co.		162		5,962
KapStone Paper and Packaging Corp.		135		4,578
Louisiana-Pacific Corp. (a)		952		25,218
Schweitzer-Mauduit International, Inc.		21		805
Verso Corp., Class A *(a)		735		24,747
				61,310
Personal Products - 1.3%
Medifast, Inc. (a)		102		22,598
USANA Health Sciences, Inc. *(a)		171		20,614
				43,212
Pharmaceuticals - 1.3%
Assertio Therapeutics, Inc. *		124		729
Corcept Therapeutics, Inc. *		306		4,290
Durect Corp. *		1,450		1,595
Endo International plc *		290		4,881
Horizon Pharma plc *		342		6,696
Innoviva, Inc. *		239		3,642
Intersect ENT, Inc. *		33		949
Intra-Cellular Therapies, Inc. *		91		1,975
Mallinckrodt plc *		73		2,140
Phibro Animal Health Corp., Class A (a)		329		14,114
Supernus Pharmaceuticals, Inc. *		26		1,309
Zogenix, Inc. *		22		1,091
				43,411
Professional Services - 4.8%
Acacia Research Corp. *		1,979		6,333
Barrett Business Services, Inc.		251		16,762
CRA International, Inc.		142		7,131
Heidrick & Struggles International, Inc.		251		8,496
ICF International, Inc.		172		12,977
Insperity, Inc. (a)		351		41,401
Kelly Services, Inc., Class A		88		2,115
Kforce, Inc.		1,027		38,615
Navigant Consulting, Inc.		446		10,285
Resources Connection, Inc.		117		1,942
TrueBlue, Inc. *		475		12,374
				158,431
Real Estate Management & Development - 0.4%
HFF, Inc., Class A (a)		348		14,783
Road & Rail - 0.9%
ArcBest Corp.		147		7,137
Covenant Transportation Group, Inc., Class A *		371		10,781
Marten Transport Ltd.		246		5,178
USA Truck, Inc. *		147		2,974

INVESTMENTS	SHARES		VALUE
Road & Rail - 0.9% (continued)
YRC Worldwide, Inc. *		403	$	3,619
				29,689
Semiconductors & Semiconductor Equipment - 4.9%
Advanced Energy Industries, Inc. *		213		11,001
Alpha & Omega Semiconductor Ltd. *		550		6,397
Amkor Technology, Inc. *		1,306		9,651
Axcelis Technologies, Inc. *		258		5,070
Brooks Automation, Inc.		102		3,573
Cabot Microelectronics Corp.		113		11,658
Cirrus Logic, Inc. *		66		2,548
Entegris, Inc. (a)		622		18,007
FormFactor, Inc. *		932		12,815
Ichor Holdings Ltd. *		126		2,573
Lattice Semiconductor Corp. *		1,117		8,936
Nanometrics, Inc. *		291		10,918
Photronics, Inc. *		501		4,935
Rudolph Technologies, Inc. *		675		16,504
Semtech Corp. *		203		11,287
SMART Global Holdings, Inc. *		495		14,226
Synaptics, Inc. *		64		2,920
Ultra Clean Holdings, Inc. *		564		7,078
				160,097
Software - 8.2%
8x8, Inc. *		459		9,754
A10 Networks, Inc. *		780		4,742
Appfolio, Inc., Class A *(a)		243		19,051
Apptio, Inc., Class A *		106		3,918
Box, Inc., Class A *		405		9,684
CommVault Systems, Inc. *		57		3,990
eGain Corp. *		1,635		13,243
Five9, Inc. *		89		3,888
Glu Mobile, Inc. *(a)		2,480		18,476
Hortonworks, Inc. *		326		7,436
Imperva, Inc. *		168		7,804
j2 Global, Inc.		66		5,468
LivePerson, Inc. *(a)		707		18,347
MicroStrategy, Inc., Class A *		84		11,812
Mitek Systems, Inc. *		1,000		7,050
MobileIron, Inc. *		1,045		5,538
New Relic, Inc. *		56		5,277
NextGen Healthcare Information Systems LLC *(a)		934		18,755
OneSpan, Inc. *		578		11,011
Progress Software Corp.		228		8,046
Qualys, Inc. *		119		10,603
Rapid7, Inc. *		364		13,439
SPS Commerce, Inc. *		134		13,298
Varonis Systems, Inc. *		88		6,446
Verint Systems, Inc. *		274		13,727
Zix Corp. *		3,238		17,971
				268,774
Specialty Retail - 7.5%
Abercrombie & Fitch Co., Class A		829		17,509
American Eagle Outfitters, Inc. (a)		1,363		33,843
America’s Car-Mart, Inc. *		16		1,251
Asbury Automotive Group, Inc. *		57		3,919

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

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Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Specialty Retail - 7.5% (continued)
Ascena Retail Group, Inc. *		181	$	827
Barnes & Noble Education, Inc. *		562		3,237
Bed Bath & Beyond, Inc.		346		5,190
Boot Barn Holdings, Inc. *		378		10,739
Buckle, Inc. (The)		189		4,356
Caleres, Inc.		151		5,415
Cato Corp. (The), Class A		489		10,279
Chico’s FAS, Inc.		1,181		10,239
Children’s Place, Inc. (The)		145		18,531
Citi Trends, Inc.		765		22,009
DSW, Inc., Class A (a)		691		23,411
Express, Inc. *		955		10,562
Francesca’s Holdings Corp. *		711		2,638
Genesco, Inc. *		193		9,090
Haverty Furniture Cos., Inc.		194		4,287
Hibbett Sports, Inc. *		282		5,302
J. Jill, Inc. *		468		2,892
Shoe Carnival, Inc.		177		6,815
Signet Jewelers Ltd.		82		5,406
Tailored Brands, Inc.		367		9,245
Tilly’s, Inc., Class A		725		13,739
Zumiez, Inc. *		190		5,007
				245,738
Technology Hardware, Storage & Peripherals - 0.2%
Immersion Corp. *		774		8,181
Textiles, Apparel & Luxury Goods - 3.1%
Crocs, Inc. *		493		10,496
Deckers Outdoor Corp. *(a)		194		23,005
Fossil Group, Inc. *(a)		861		20,044
Movado Group, Inc.		245		10,265
Perry Ellis International, Inc. *		445		12,162
Rocky Brands, Inc.		223		6,311
Unifi, Inc. *		154		4,363
Vera Bradley, Inc. *		1,088		16,603
				103,249
Thrifts & Mortgage Finance - 3.1%
Dime Community Bancshares, Inc.		635		11,335
Essent Group Ltd. *		77		3,407
Federal Agricultural Mortgage Corp., Class C		14		1,011
First Defiance Financial Corp.		514		15,477
MGIC Investment Corp. *(a)		2,695		35,870
Ocwen Financial Corp. *		166		654
PHH Corp. *		50		550
Radian Group, Inc. (a)		741		15,316
TrustCo Bank Corp.		1,176		9,996
Walker & Dunlop, Inc.		73		3,860
Washington Federal, Inc.		197		6,304
				103,780
Tobacco - 0.4%
Pyxus International, Inc. *		457		10,511
Vector Group Ltd.		105		1,447
				11,958
Trading Companies & Distributors - 1.6%
BMC Stock Holdings, Inc. *		266		4,961
GMS, Inc. *		849		19,697

INVESTMENTS	SHARES			VALUE
Trading Companies & Distributors - 1.6% (continued)
H&E Equipment Services, Inc.		16		$	604
Herc Holdings, Inc. *		22			1,126
Nexeo Solutions, Inc. *		606			7,424
Rush Enterprises, Inc., Class A		247			9,710
Systemax, Inc.		283			9,322
					52,844
TOTAL COMMON STOCKS (Cost $3,622,033)					4,239,223
EXCHANGE TRADED FUNDS - 0.9%
iShares Russell 2000 ETF (Cost $27,145)		170			28,654
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Food Products - 0.0% (b)
Schuman, Inc., CVR (3)*(c)		44			87
Media - 0.0% (b)
Media General, Inc., CVR (3)*(c)		112			2
TOTAL RIGHTS (Cost $33)					89
	SHARES
SHORT-TERM INVESTMENTS - 2.3%
Investment Companies - 2.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.97% (d)		3,706			3,706
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.96% (d)		14,824			14,824
Limited Purpose Cash Investment Fund, 2.06% (d)		39,838			39,833
UBS Select Treasury Preferred Fund, Class I, 1.97% (d)		18,529			18,529
TOTAL SHORT-TERM INVESTMENTS (Cost $76,887)					76,892
TOTAL LONG POSITIONS (Cost $3,726,098)					4,344,858
SHORT POSITIONS - (30.5)%
COMMON STOCKS - (30.5)%
Aerospace & Defense - (1.2)%
KeyW Holding Corp. (The) *		(1,989	)		(17,225	)
Kratos Defense & Security Solutions, Inc. *		(590	)		(8,720	)
Mercury Systems, Inc. *		(229	)		(12,668	)
					(38,613	)
Auto Components - (1.4)%
Cooper Tire & Rubber Co.		(209	)		(5,915	)
Motorcar Parts of America, Inc. *		(714	)		(16,743	)
Superior Industries International, Inc.		(1,409	)		(24,023	)
					(46,681	)
Beverages - 0.0% (b)
MGP Ingredients, Inc.		(11	)		(869	)

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

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193

Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Biotechnology - (0.9)%
Adamas Pharmaceuticals, Inc. *		(186	)	$	(3,724	)
Aduro Biotech, Inc. *		(236	)		(1,734	)
Agenus, Inc. *		(1,299	)		(2,780	)
Bellicum Pharmaceuticals, Inc. *		(381	)		(2,347	)
Fate Therapeutics, Inc. *		(138	)		(2,248	)
Flexion Therapeutics, Inc. *		(193	)		(3,611	)
Inovio Pharmaceuticals, Inc. *		(491	)		(2,730	)
Lexicon Pharmaceuticals, Inc. *		(422	)		(4,503	)
Ra Pharmaceuticals, Inc. *		(29	)		(525	)
Radius Health, Inc. *		(119	)		(2,118	)
Selecta Biosciences, Inc. *		(150	)		(2,332	)
					(28,652	)
Building Products - (0.8)%
AAON, Inc.		(293	)		(11,075	)
American Woodmark Corp. *		(150	)		(11,768	)
Gibraltar Industries, Inc. *		(49	)		(2,234	)
Griffon Corp.		(105	)		(1,696	)
					(26,773	)
Capital Markets - (0.2)%
Cowen, Inc. *		(288	)		(4,695	)
Greenhill & Co., Inc.		(72	)		(1,897	)
					(6,592	)
Chemicals - (1.5)%
Flotek Industries, Inc. *		(5,235	)		(12,564	)
Intrepid Potash, Inc. *		(725	)		(2,603	)
LSB Industries, Inc. *		(1,896	)		(18,543	)
Rayonier Advanced Materials, Inc.		(658	)		(12,127	)
Tronox Ltd., Class A		(276	)		(3,298	)
					(49,135	)
Commercial Services & Supplies - (0.9)%
LSC Communications, Inc.		(204	)		(2,256	)
Multi-Color Corp.		(306	)		(19,049	)
Team, Inc. *		(412	)		(9,270	)
					(30,575	)
Communications Equipment - (0.9)%
Acacia Communications, Inc. *		(443	)		(18,327	)
Finisar Corp. *		(102	)		(1,943	)
Harmonic, Inc. *		(175	)		(962	)
Infinera Corp. *		(724	)		(5,285	)
ViaSat, Inc. *		(29	)		(1,855	)
					(28,372	)
Construction & Engineering - (0.3)%
NV5 Global, Inc. *		(110	)		(9,537	)
Diversified Telecommunication Services - (0.7)%
Consolidated Communications Holdings, Inc.		(910	)		(11,867	)
ORBCOMM, Inc. *		(935	)		(10,154	)
					(22,021	)
Electronic Equipment, Instruments & Components - (0.3)%
II-VI, Inc. *		(47	)		(2,223	)
Iteris, Inc. *		(1,439	)		(7,742	)
					(9,965	)

INVESTMENTS	SHARES			VALUE
Energy Equipment & Services - (2.5)%
Basic Energy Services, Inc. *		(263	)	$	(2,627	)
Bristow Group, Inc. *		(204	)		(2,475	)
CARBO Ceramics, Inc. *		(118	)		(856	)
Dril-Quip, Inc. *		(163	)		(8,517	)
Forum Energy Technologies, Inc. *		(607	)		(6,283	)
Frank’s International NV *		(1,918	)		(16,648	)
NCS Multistage Holdings, Inc. *		(483	)		(7,974	)
Noble Corp. plc *		(1,076	)		(7,564	)
Oil States International, Inc. *		(236	)		(7,835	)
Rowan Cos. plc, Class A *		(448	)		(8,436	)
SEACOR Marine Holdings, Inc. *		(494	)		(11,179	)
Tidewater, Inc. *		(70	)		(2,183	)
					(82,577	)
Entertainment - (0.4)%
AMC Entertainment Holdings, Inc., Class A		(556	)		(11,398	)
Liberty Media Corp.-Liberty Braves, Class C *		(121	)		(3,297	)
					(14,695	)
Equity Real Estate Investment Trusts (REITs) - (1.1)%
Bluerock Residential Growth REIT, Inc.		(1,898	)		(18,600	)
Front Yard Residential Corp.		(435	)		(4,720	)
Government Properties Income Trust		(269	)		(3,037	)
New Senior Investment Group, Inc.		(105	)		(620	)
Pennsylvania REIT		(213	)		(2,015	)
Preferred Apartment Communities, Inc., Class A		(374	)		(6,575	)
					(35,567	)
Food & Staples Retailing - (0.1)%
Smart & Final Stores, Inc. *		(412	)		(2,348	)
Food Products - (0.3)%
Hostess Brands, Inc. *		(920	)		(10,184	)
Health Care Equipment & Supplies - (0.1)%
GenMark Diagnostics, Inc. *		(400	)		(2,940	)
Health Care Providers & Services - (0.9)%
BioScrip, Inc. *		(3,545	)		(10,989	)
Capital Senior Living Corp. *		(1,558	)		(14,708	)
Quorum Health Corp. *		(531	)		(3,112	)
					(28,809	)
Health Care Technology - (0.1)%
Evolent Health, Inc., Class A *		(178	)		(5,055	)
Hotels, Restaurants & Leisure - (0.4)%
Dine Brands Global, Inc.		(124	)		(10,082	)
Golden Entertainment, Inc. *		(191	)		(4,586	)
					(14,668	)
Household Durables - (0.6)%
Hovnanian Enterprises, Inc., Class A *		(623	)		(997	)
Universal Electronics, Inc. *		(466	)		(18,337	)
					(19,334	)
Independent Power and Renewable Electricity Producers - (0.7)%
Pattern Energy Group, Inc., Class A		(1,143	)		(22,711	)

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

AQR Funds Annual Report September 2018

194

Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Independent Power and Renewable Electricity Producers - (0.7)% (continued)
TerraForm Power, Inc., Class A		(63	)	$	(728	)
					(23,439	)
Insurance - (0.2)%
HCI Group, Inc.		(34	)		(1,488	)
MBIA, Inc. *		(215	)		(2,298	)
State Auto Financial Corp.		(42	)		(1,283	)
					(5,069	)
Internet & Direct Marketing Retail - (0.1)%
Fluent, Inc. *		(1,212	)		(2,606	)
IT Services - (0.1)%
Internap Corp. *		(229	)		(2,892	)
Life Sciences Tools & Services - (0.2)%
Accelerate Diagnostics, Inc. *		(44	)		(1,010	)
Pacific Biosciences of California, Inc. *		(1,126	)		(6,091	)
					(7,101	)
Machinery - (0.7)%
CIRCOR International, Inc.		(389	)		(18,477	)
Energy Recovery, Inc. *		(487	)		(4,359	)
					(22,836	)
Marine - (0.1)%
Scorpio Bulkers, Inc.		(693	)		(5,024	)
Media - (1.0)%
Entercom Communications Corp., Class A		(1,231	)		(9,725	)
EW Scripps Co. (The), Class A		(1,149	)		(18,959	)
Nexstar Media Group, Inc., Class A		(16	)		(1,302	)
WideOpenWest, Inc. *		(314	)		(3,520	)
					(33,506	)
Metals & Mining - (3.3)%
AK Steel Holding Corp. *		(4,022	)		(19,708	)
Allegheny Technologies, Inc. *		(351	)		(10,372	)
Coeur Mining, Inc. *		(1,085	)		(5,783	)
Compass Minerals International, Inc.		(306	)		(20,563	)
Hecla Mining Co.		(16,274	)		(45,405	)
TimkenSteel Corp. *		(561	)		(8,342	)
					(110,173	)
Oil, Gas & Consumable Fuels - (2.7)%
Alta Mesa Resources, Inc. *		(2,749	)		(11,491	)
Callon Petroleum Co. *		(410	)		(4,916	)
DHT Holdings, Inc.		(921	)		(4,329	)
Dorian LPG Ltd. *		(46	)		(367	)
Eclipse Resources Corp. *		(1,571	)		(1,869	)
Golar LNG Ltd.		(346	)		(9,619	)
Green Plains, Inc.		(950	)		(16,340	)
Halcon Resources Corp. *		(173	)		(773	)
International Seaways, Inc. *		(168	)		(3,363	)
Lilis Energy, Inc. *		(1,144	)		(5,606	)
Matador Resources Co. *		(90	)		(2,975	)
Ring Energy, Inc. *		(486	)		(4,816	)
Scorpio Tankers, Inc. (Monaco)		(6,118	)		(12,297	)

INVESTMENTS	SHARES			VALUE
Oil, Gas & Consumable Fuels - (2.7)% (continued)
SemGroup Corp., Class A		(442	)	$	(9,746	)
					(88,507	)
Pharmaceuticals - (1.2)%
Aclaris Therapeutics, Inc. *		(484	)		(7,028	)
Aerie Pharmaceuticals, Inc. *		(64	)		(3,939	)
Corium International, Inc. *		(692	)		(6,581	)
Dermira, Inc. *		(358	)		(3,902	)
Medicines Co. (The) *		(117	)		(3,500	)
Ocular Therapeutix, Inc. *		(656	)		(4,513	)
Paratek Pharmaceuticals, Inc. *		(1,132	)		(10,980	)
Tetraphase Pharmaceuticals, Inc. *		(197	)		(544	)
					(40,987	)
Professional Services - (1.0)%
WageWorks, Inc. *		(72	)		(3,078	)
Willdan Group, Inc. *		(895	)		(30,394	)
					(33,472	)
Real Estate Management & Development - 0.0% (b)
Kennedy-Wilson Holdings, Inc.		(52	)		(1,118	)
Semiconductors & Semiconductor Equipment - (1.9)%
Adesto Technologies Corp. *		(1,974	)		(11,745	)
AXT, Inc. *		(1,216	)		(8,694	)
Inphi Corp. *		(169	)		(6,419	)
Kopin Corp. *		(3,844	)		(9,302	)
MACOM Technology Solutions Holdings, Inc. *		(101	)		(2,081	)
MaxLinear, Inc. *		(881	)		(17,514	)
PDF Solutions, Inc. *		(593	)		(5,355	)
					(61,110	)
Software - 0.0% (b)
PROS Holdings, Inc. *		(47	)		(1,646	)
Specialty Retail - (0.2)%
Camping World Holdings, Inc., Class A		(264	)		(5,628	)
Thrifts & Mortgage Finance - (1.3)%
LendingTree, Inc. *		(97	)		(22,320	)
Meta Financial Group, Inc.		(233	)		(19,257	)
					(41,577	)
Trading Companies & Distributors - (0.2)%
Beacon Roofing Supply, Inc. *		(68	)		(2,461	)
SiteOne Landscape Supply, Inc. *		(52	)		(3,918	)
					(6,379	)
TOTAL COMMON STOCKS (Proceeds $(987,246))					(1,007,032	)
TOTAL SHORT POSITIONS (Proceeds $(987,246))					(1,007,032	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.3% (Cost $2,738,852)					3,337,826
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.3)%				(41,471)
NET ASSETS - 100.0%				$	3,296,355

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

AQR Funds Annual Report September 2018

195

Schedule of Investments September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	54,807			1.7	%
Consumer Discretionary		689,766			20.9
Consumer Staples		77,879			2.4
Energy		102,461			3.1
Exchange Traded Funds		28,654			0.9
Financials		486,780			14.8
Health Care		582,554			17.7
Industrials		623,365			18.9
Information Technology		526,224			16.0
Materials		76,194			2.3
Real Estate		28,206			0.8
Utilities		(15,956	)		(0.5	)
Short-Term Investments		76,892			2.3
Total Investments In Securities At Value		3,337,826			101.3
Liabilities in Excess of Other Assets		(41,471	)		(1.3	)
Net Assets	$	3,296,355			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,107,990.

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

(c) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $89, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of September 30, 2018.

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

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

Abbreviations

CVR - Contingent Value Rights

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

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196

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 127.8%
COMMON STOCKS - 125.3%
Australia - 9.9%
AGL Energy Ltd.		3,400	$	47,962
Alumina Ltd.		68,677		137,480
Ansell Ltd.		8,472		154,536
Aurizon Holdings Ltd.		89,333		265,225
Australia & New Zealand Banking Group Ltd.		16,269		331,183
BHP Billiton Ltd.		13,029		324,564
BHP Billiton plc		1,723		37,599
BlueScope Steel Ltd.		46,748		573,352
Caltex Australia Ltd.		22,610		488,462
CIMIC Group Ltd.		960		35,631
Cochlear Ltd.		859		124,552
Crown Resorts Ltd.		15,142		149,750
CSL Ltd.		210		30,513
Dexus, REIT		18,310		139,880
Goodman Group, REIT		5,489		41,176
GPT Group (The), REIT		5,521		20,794
LendLease Group		27,394		389,213
Macquarie Group Ltd.		2,124		193,217
Mirvac Group, REIT		12,917		22,514
National Australia Bank Ltd.		9,969		200,138
Newcrest Mining Ltd.		27,252		382,680
Orica Ltd.		1,652		20,321
Origin Energy Ltd. *		70,208		418,485
Qantas Airways Ltd.		117,211		499,583
REA Group Ltd.		2,262		140,340
Rio Tinto Ltd.		994		56,531
Rio Tinto plc		10,665		537,959
Scentre Group, REIT		20,611		59,231
South32 Ltd.		164,053		461,039
Star Entertainment Grp Ltd. (The)		16,074		60,251
Suncorp Group Ltd.		15,907		166,203
Vicinity Centres, REIT		11,572		21,955
Wesfarmers Ltd.		5,546		199,707
Woodside Petroleum Ltd.		7,984		222,729
				6,954,755
Belgium - 1.7%
Ageas		5,235		281,427
Bekaert SA		791		19,653
KBC Group NV		3,626		269,624
UCB SA (a)		6,825		613,321
				1,184,025
Chile - 0.4%
Antofagasta plc		27,745		308,312
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		97,900		88,755
Denmark - 4.4%
Coloplast A/S, Class B		2,309		235,877
Danske Bank A/S		1,509		39,555
Dfds A/S		877		43,375
GN Store Nord A/S (a)		20,217		984,090
H Lundbeck A/S		3,520		217,284

INVESTMENTS	SHARES		VALUE
Denmark - 4.4% (continued)
Jyske Bank A/S (Registered)		750	$	36,316
Novo Nordisk A/S, Class B (a)		26,261		1,235,976
Rockwool International A/S, Class B		661		282,831
William Demant Holding A/S *		521		19,558
				3,094,862
Finland - 2.7%
Fortum OYJ		12,451		312,039
Kesko OYJ, Class B		367		19,910
Neste OYJ (a)		6,741		555,630
Nokia OYJ		7,083		39,380
Orion OYJ, Class B		2,224		84,173
Stora Enso OYJ, Class R		6,209		118,568
UPM-Kymmene OYJ (a)		18,942		742,884
				1,872,584
France - 12.9%
Aeroports de Paris		325		73,174
Airbus SE		664		83,360
Amundi SA (b)		1,926		144,234
Arkema SA		429		53,166
Atos SE		2,385		283,784
BioMerieux		255		21,285
BNP Paribas SA		7,848		480,585
Bouygues SA		3,535		152,926
Capgemini SE		2,081		261,993
Cie de Saint-Gobain		9,078		391,271
Cie Generale des Etablissements Michelin SCA		4,334		517,288
CNP Assurances		2,216		53,418
Dassault Aviation SA		41		75,879
Eiffage SA		190		21,225
Engie SA (a)		50,783		747,639
Faurecia SA		1,056		63,508
Hermes International (a)		858		568,445
Kering SA		288		154,470
Klepierre SA, REIT		785		27,895
L’Oreal SA		158		38,092
LVMH Moet Hennessy Louis Vuitton SE		988		349,131
Natixis SA		3,038		20,631
Peugeot SA (a)		32,082		865,434
Renault SA		1,322		114,356
Safran SA		3,822		535,171
Sanofi		4,190		374,365
Sartorius Stedim Biotech		243		33,460
Societe BIC SA		344		31,503
Societe Generale SA		4,218		181,123
Sopra Steria Group		412		66,043
Teleperformance		1,472		277,700
Thales SA		1,225		174,049
TOTAL SA (a)		21,981		1,429,220
Ubisoft Entertainment SA *		900		97,183
Unibail-Rodamco-Westfield, REIT		881		177,475
Veolia Environnement SA		1,447		28,874
Vinci SA		1,164		110,743
				9,080,098
Germany - 12.4%
adidas AG		1,528		373,687

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

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197

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 12.4% (continued)
Allianz SE (Registered) (a)		5,348	$	1,190,287
Aurubis AG		1,911		133,367
BASF SE		4,470		396,637
Bayer AG (Registered)		1,046		92,781
Carl Zeiss Meditec AG		323		27,151
Covestro AG (a)(b)		14,460		1,170,497
Deutsche Boerse AG		942		125,952
Deutsche Lufthansa AG (Registered)		3,377		82,885
Deutsche Wohnen SE		1,675		80,453
E.ON SE		48,985		498,459
Fresenius Medical Care AG & Co. KGaA		3,337		342,855
Fresenius SE & Co. KGaA		1,557		114,175
HeidelbergCement AG		1,012		79,045
Hella GmbH & Co. KGaA *		3,921		218,518
HOCHTIEF AG		547		90,679
Infineon Technologies AG (a)		23,467		534,012
Linde AG		672		158,698
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		95		20,984
Puma SE		41		20,230
Rheinmetall AG		4,027		420,942
Salzgitter AG		4,178		208,453
SAP SE (a)		5,952		731,879
Schaeffler AG (Preference)		11,872		151,433
Scout24 AG (b)		976		45,459
Software AG		7,564		344,383
STADA Arzneimittel AG		592		55,736
Talanx AG		4,062		154,341
TUI AG		11,273		216,246
Vonovia SE		1,077		52,674
Wacker Chemie AG		152		19,081
Wirecard AG		2,695		583,061
				8,735,040
Hong Kong - 3.1%
CK Asset Holdings Ltd.		10,500		78,710
CLP Holdings Ltd.		23,000		269,347
Hang Lung Properties Ltd.		11,000		21,459
Henderson Land Development Co. Ltd.		17,510		87,936
Hong Kong Exchanges & Clearing Ltd.		3,600		102,869
Kerry Properties Ltd.		29,000		98,471
Li & Fung Ltd.		810,000		181,439
Link REIT		2,500		24,615
Sino Land Co. Ltd.		98,000		167,895
Sun Hung Kai Properties Ltd.		27,000		391,829
Swire Properties Ltd.		19,400		73,564
Techtronic Industries Co. Ltd.		6,500		41,461
Wharf Holdings Ltd. (The)		82,000		223,259
Wharf Real Estate Investment Co. Ltd.		3,000		19,328
Wheelock & Co. Ltd.		19,000		114,230
Yue Yuen Industrial Holdings Ltd.		97,500		271,048
				2,167,460
Italy - 3.3%
A2A SpA		31,337		54,346
Autogrill SpA		8,485		86,597
BPER Banca		89,163		411,247
Eni SpA (a)		58,613		1,104,830
Hera SpA		23,712		73,739

INVESTMENTS	SHARES		VALUE
Italy - 3.3% (continued)
Luxottica Group SpA		56	$	3,795
Mediobanca Banca di Credito Finanziario SpA		13,729		136,628
Moncler SpA		2,460		105,847
Poste Italiane SpA (b)		7,918		63,157
UniCredit SpA		14,509		217,703
Unipol Gruppo SpA		10,671		47,428
				2,305,317
Japan - 28.0%
Advantest Corp.		10,000		211,346
Alfresa Holdings Corp.		13,200		353,573
Alps Electric Co. Ltd.		10,100		256,769
Amada Holdings Co. Ltd.		8,100		86,481
ANA Holdings, Inc.		6,700		234,062
Asahi Intecc Co. Ltd.		4,000		174,419
Asahi Kasei Corp.		8,500		128,878
Astellas Pharma, Inc. (a)		36,000		628,666
Bandai Namco Holdings, Inc.		6,600		256,416
Brother Industries Ltd.		7,900		155,987
Canon Marketing Japan, Inc.		4,600		97,593
Canon, Inc.		1,100		34,881
Citizen Watch Co. Ltd.		7,300		48,105
Credit Saison Co. Ltd.		8,500		138,630
Daicel Corp.		4,800		55,757
Daiichi Sankyo Co. Ltd.		7,900		342,448
Daiwa House Industry Co. Ltd.		1,300		38,524
Disco Corp.		500		83,731
Eisai Co. Ltd.		5,300		516,310
Electric Power Development Co. Ltd.		900		24,912
Ezaki Glico Co. Ltd.		400		19,657
Fast Retailing Co. Ltd.		100		50,660
Fuji Electric Co. Ltd.		1,400		56,080
FUJIFILM Holdings Corp.		1,200		53,987
GungHo Online Entertainment, Inc.		20,300		41,776
Haseko Corp.		23,400		303,917
Hiroshima Bank Ltd. (The)		3,200		21,654
Hitachi Construction Machinery Co. Ltd.		5,400		180,534
Hitachi High-Technologies Corp.		1,300		44,887
Hitachi Ltd. (a)		19,600		666,235
Hoya Corp.		6,700		397,920
Idemitsu Kosan Co. Ltd.		4,800		254,134
Inpex Corp.		12,700		158,681
ITOCHU Corp.		13,800		252,583
Itochu Techno-Solutions Corp.		4,600		99,936
Japan Airlines Co. Ltd. (a)		22,800		819,479
JFE Holdings, Inc.		6,500		149,110
JXTG Holdings, Inc. (a)		90,300		683,010
Kajima Corp.		17,500		254,460
Kakaku.com, Inc.		4,600		89,875
Kamigumi Co. Ltd.		11,000		242,470
Konami Holdings Corp.		1,000		39,156
Kose Corp.		700		133,382
Kyocera Corp.		3,500		210,076
Kyushu Railway Co.		4,700		143,096
Lion Corp.		3,900		86,618
Marubeni Corp.		28,500		260,650
Matsumotokiyoshi Holdings Co. Ltd.		6,200		254,251
McDonald’s Holdings Co. Japan Ltd.		1,100		48,307

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

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198

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 28.0% (continued)
Mebuki Financial Group, Inc.		6,100	$	21,106
Medipal Holdings Corp.		7,200		150,421
MINEBEA MITSUMI, Inc.		4,800		87,004
Mitsubishi Chemical Holdings Corp.		5,100		48,810
Mitsubishi Corp.		11,100		341,910
Mitsubishi Electric Corp.		10,700		146,583
Mitsubishi Estate Co. Ltd.		2,300		39,054
Mitsubishi Gas Chemical Co., Inc.		4,900		104,311
Mitsubishi Motors Corp.		16,700		117,977
Mitsubishi Tanabe Pharma Corp.		5,900		98,747
Mitsubishi UFJ Financial Group, Inc.		11,000		68,340
Mitsui & Co. Ltd.		17,200		305,655
Mitsui Fudosan Co. Ltd.		1,600		37,841
Mixi, Inc.		4,100		98,340
Mizuho Financial Group, Inc.		11,800		20,565
Murata Manufacturing Co. Ltd.		1,700		261,215
Nexon Co. Ltd. *		16,400		214,373
NHK Spring Co. Ltd.		11,900		123,753
Nikon Corp.		14,200		266,837
Nintendo Co. Ltd.		300		109,150
Nippon Express Co. Ltd.		3,700		242,993
Nippon Shinyaku Co. Ltd.		500		32,801
Nitto Denko Corp.		300		22,492
Nomura Research Institute Ltd.		600		30,299
NTT DOCOMO, Inc.		5,100		137,076
Obic Co. Ltd.		500		47,291
Omron Corp.		5,500		232,418
Oriental Land Co. Ltd.		1,200		125,466
ORIX Corp.		8,500		137,629
Otsuka Corp.		5,200		193,960
Panasonic Corp.		12,600		146,049
Pola Orbis Holdings, Inc.		6,100		222,791
Recruit Holdings Co. Ltd.		6,900		230,470
Resona Holdings, Inc.		50,000		280,723
Rohm Co. Ltd.		5,100		373,117
Ryohin Keikaku Co. Ltd.		900		267,515
Sega Sammy Holdings, Inc.		3,500		51,609
Seiko Epson Corp.		2,800		47,767
Seven & i Holdings Co. Ltd.		500		22,292
SG Holdings Co. Ltd.		4,100		107,413
Shikoku Electric Power Co., Inc.		1,500		19,599
Shimadzu Corp.		6,100		191,160
Shimamura Co. Ltd.		800		75,887
Shimizu Corp.		4,500		41,086
Shinsei Bank Ltd.		5,300		86,587
Shionogi & Co. Ltd.		3,600		235,331
Shiseido Co. Ltd.		4,600		356,261
Sojitz Corp.		115,100		415,341
Sony Corp.		7,300		443,749
Square Enix Holdings Co. Ltd.		3,000		124,039
Stanley Electric Co. Ltd.		600		20,513
Sugi Holdings Co. Ltd.		500		24,557
Sumitomo Chemical Co. Ltd.		7,000		40,966
Sumitomo Corp.		2,800		46,663
Sumitomo Dainippon Pharma Co. Ltd.		17,300		397,320
Sumitomo Heavy Industries Ltd.		5,100		182,027
Sumitomo Mitsui Financial Group, Inc.		2,800		112,683
Suzuken Co. Ltd.		3,500		166,072
Taiheiyo Cement Corp.		1,000		31,363

INVESTMENTS	SHARES		VALUE
Japan - 28.0% (continued)
Taisei Corp.		6,700	$	305,408
THK Co. Ltd.		3,500		89,062
Tokyo Electron Ltd.		2,900		399,679
Toshiba Corp. *		1,400		40,458
Tosoh Corp.		17,200		264,913
Toyo Suisan Kaisha Ltd.		800		31,058
Toyota Boshoku Corp.		1,200		22,427
Toyota Tsusho Corp.		3,600		135,924
				19,798,365
Luxembourg - 0.5%
Aperam SA		2,994		136,959
ArcelorMittal		2,400		74,511
SES SA, FDR		5,868		128,717
				340,187
Macau - 0.3%
Sands China Ltd.		10,400		46,837
Wynn Macau Ltd.		76,400		175,460
				222,297
Malta - 0.6%
Kindred Group plc, SDR		39,020		437,400
Netherlands - 7.2%
Aalberts Industries NV		507		21,592
ASM International NV		3,891		201,578
ASML Holding NV		3,991		749,328
ASR Nederland NV (a)		15,650		745,972
ING Groep NV		15,785		204,875
Koninklijke Ahold Delhaize NV (a)		28,107		644,846
Koninklijke DSM NV		2,349		248,790
Koninklijke Philips NV (a)		13,009		592,970
Royal Dutch Shell plc, Class A		20,855		715,086
Royal Dutch Shell plc, Class B		18,239		638,485
Signify NV (b)		11,253		291,282
				5,054,804
Norway - 2.7%
Equinor ASA (a)		27,825		782,334
Leroy Seafood Group ASA		50,179		409,768
Norsk Hydro ASA		3,615		21,679
Salmar ASA		9,988		498,970
Telenor ASA		11,264		220,275
				1,933,026
Portugal - 0.1%
Galp Energia SGPS SA		3,177		62,993
Russia - 0.5%
Evraz plc		46,049		338,940
Singapore - 1.4%
ComfortDelGro Corp. Ltd.		76,300		135,604
DBS Group Holdings Ltd.		6,800		129,725
Genting Singapore Ltd.		466,300		361,444
Singapore Airlines Ltd.		20,700		147,452
United Overseas Bank Ltd.		7,900		156,171
Venture Corp. Ltd.		5,200		67,052
			997,448

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

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199

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
South Africa - 0.6%
Anglo American plc		17,845	$	399,210
Investec plc		8,172		57,328
				456,538
Spain - 3.4%
Acerinox SA		15,657		223,359
ACS Actividades de Construccion y Servicios SA		2,281		96,881
Amadeus IT Group SA		2,047		189,734
Banco Bilbao Vizcaya Argentaria SA		77,641		492,263
Banco de Sabadell SA		23,626		36,523
Banco Santander SA		27,220		136,281
Cia de Distribucion Integral Logista Holdings SA		1,591		40,875
Endesa SA (a)		27,321		589,306
Mapfre SA		57,464		179,739
Mediaset Espana Comunicacion SA		2,811		20,465
Melia Hotels International SA		4,490		50,183
Repsol SA		18,489		368,066
				2,423,675
Sweden - 3.5%
Ahlsell AB (b)		7,206		40,329
Atlas Copco AB, Class B		307		8,179
Boliden AB		7,169		199,376
Electrolux AB, Series B		5,796		127,681
Elekta AB, Class B		11,788		158,499
Investor AB, Class B		1,119		51,565
Nordea Bank AB		6,154		66,959
Sandvik AB		25,084		444,094
Skandinaviska Enskilda Banken AB, Class A		15,925		177,533
SKF AB, Class B		1,115		21,940
SSAB AB, Class A		21,284		106,831
Swedbank AB, Class A		1,265		31,286
Swedish Match AB		3,607		184,373
Swedish Orphan Biovitrum AB *		14,091		412,025
Volvo AB, Class B		26,112		460,537
				2,491,207
Switzerland - 10.0%
Adecco Group AG (Registered)		9,423		495,342
Bucher Industries AG (Registered)		368		118,491
Coca-Cola HBC AG *		2,625		89,432
GAM Holding AG *		37,984		270,091
Georg Fischer AG (Registered)		259		293,361
Helvetia Holding AG (Registered)		51		31,067
Idorsia Ltd. *		1,300		32,685
IWG plc		49,429		156,215
Nestle SA (Registered) (a)		8,425		701,269
Novartis AG (Registered) (a)		11,339		976,044
OC Oerlikon Corp. AG (Registered) *		6,246		85,837
Partners Group Holding AG		42		33,294
Roche Holding AG (a)		6,272		1,516,665
Sonova Holding AG (Registered)		2,753		546,383
STMicroelectronics NV (a)		37,078		679,335
STMicroelectronics NV		516		9,444
Swatch Group AG (The)		573		227,730
Swiss Life Holding AG (Registered) *		539		204,373
Temenos AG (Registered) *		1,865		303,757

INVESTMENTS	SHARES		VALUE
Switzerland - 10.0% (continued)
Zurich Insurance Group AG		917	$	289,135
				7,059,950
United Kingdom - 15.2%
Ashtead Group plc		3,874		122,915
Associated British Foods plc		5,481		163,583
BAE Systems plc		2,601		21,328
Balfour Beatty plc		5,647		20,145
Barclays plc		182,453		404,685
BBA Aviation plc		24,202		94,734
Bellway plc		3,678		144,350
Berkeley Group Holdings plc		8,081		387,134
BP plc		130,012		996,509
British Land Co. plc (The), REIT		4,014		32,285
BT Group plc		184,106		540,415
BTG plc *		8,512		61,135
Burberry Group plc		36,772		965,606
Close Brothers Group plc		6,072		125,146
Dialog Semiconductor plc *		4,550		99,577
Direct Line Insurance Group plc		9,033		38,126
Dixons Carphone plc		135,077		297,770
Drax Group plc		19,986		101,041
Fiat Chrysler Automobiles NV *		15,665		273,965
GlaxoSmithKline plc		2,806		56,274
Hammerson plc, REIT		7,915		47,095
Hays plc		40,236		106,809
Howden Joinery Group plc		4,066		24,830
HSBC Holdings plc		25,624		223,579
Inchcape plc		26,236		228,447
Intermediate Capital Group plc		2,649		37,572
International Consolidated Airlines Group SA		2,435		20,933
JD Sports Fashion plc		44,779		267,592
Just Eat plc *		23,128		201,852
Land Securities Group plc, REIT		4,815		55,440
Lloyds Banking Group plc		496,412		381,785
London Stock Exchange Group plc		925		55,275
Man Group plc		167,014		383,124
Meggitt plc		17,481		129,061
Melrose Industries plc		12,830		33,398
Mondi plc		936		25,627
Moneysupermarket.com Group plc		99,200		360,964
Next plc		956		68,417
Persimmon plc		7,972		245,437
Playtech plc		6,304		40,009
Provident Financial plc *		3,493		27,480
RELX plc *		4,136		86,894
RELX plc		5,134		108,002
Royal Bank of Scotland Group plc		95,193		308,435
Royal Mail plc		45,112		280,434
Segro plc, REIT		5,458		45,418
Sky plc		4,482		100,995
Smith & Nephew plc		28,202		514,536
Spectris plc		4,013		123,952
Standard Life Aberdeen plc		76,885		306,358
Tate & Lyle plc		3,513		31,239
Taylor Wimpey plc		26,198		58,558
Thomas Cook Group plc		134,344		101,250
Unilever plc		5,326		292,579

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

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200

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
United Kingdom - 15.2% (continued)
Vodafone Group plc		52,292		$	112,042
WH Smith plc		2,855			76,657
William Hill plc		104,916			344,754
					10,803,552
United States - 0.4%
Shire plc		4,253			256,949
TOTAL COMMON STOCKS (Cost $90,334,757)					88,468,539
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.97% (1)(c)		3,381			3,381
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.96% (1)(c)		13,524			13,524
Limited Purpose Cash Investment Fund, 2.06% (1)(c)		1,733,564			1,733,392
UBS Select Treasury Preferred Fund, Class I, 1.97% (1)(c)		16,905			16,905
TOTAL SHORT-TERM INVESTMENTS (Cost $1,767,202)					1,767,202
TOTAL LONG POSITIONS (Cost $92,101,959)					90,235,741
SHORT POSITIONS - (29.2)%
COMMON STOCKS - (29.2)%
Australia - (3.1)%
APA Group		(9,205	)		(66,381	)
Challenger Ltd.		(60,767	)		(491,689	)
Fortescue Metals Group Ltd.		(97,966	)		(277,609	)
Healthscope Ltd.		(26,578	)		(40,318	)
Magellan Financial Group Ltd.		(8,601	)		(171,952	)
SEEK Ltd.		(35,791	)		(535,902	)
Tabcorp Holdings Ltd.		(29,798	)		(104,838	)
TPG Telecom Ltd.		(37,786	)		(233,082	)
Transurban Group		(2,492	)		(20,196	)
Vocus Group Ltd. *		(102,320	)		(242,319	)
					(2,184,286	)
Austria - (0.3)%
ams AG *		(3,340	)		(187,991	)
Belgium - (0.5)%
Telenet Group Holding NV *		(5,966	)		(328,721	)
Colombia - (0.2)%
Millicom International Cellular SA, SDR		(2,447	)		(140,338	)
Denmark - (1.9)%
AP Moller - Maersk A/S, Class B		(661	)		(928,619	)
Chr Hansen Holding A/S		(658	)		(66,712	)
Genmab A/S *		(867	)		(136,182	)
ISS A/S		(795	)		(27,931	)
Pandora A/S		(988	)		(61,624	)

INVESTMENTS	SHARES			VALUE
Denmark - (1.9)% (continued)
Vestas Wind Systems A/S		(2,116	)	$	(142,949	)
					(1,364,017	)
Finland - (0.7)%
Huhtamaki OYJ		(5,747	)		(184,095	)
Outokumpu OYJ		(54,611	)		(320,265	)
					(504,360	)
France - (3.2)%
Air France-KLM *		(47,391	)		(493,924	)
Bollore SA		(17,810	)		(76,929	)
Elior Group SA (b)		(3,782	)		(58,564	)
Iliad SA		(4,263	)		(556,848	)
Ingenico Group SA		(3,516	)		(267,326	)
SPIE SA		(1,780	)		(35,449	)
Suez		(28,204	)		(401,199	)
Technicolor SA (Registered) *		(98,431	)		(118,002	)
Valeo SA		(6,222	)		(269,418	)
					(2,277,659	)
Germany - (2.0)%
1&1 Drillisch AG		(2,799	)		(136,065	)
Daimler AG (Registered)		(4,644	)		(292,675	)
Delivery Hero SE *(b)		(378	)		(18,151	)
Deutsche Bank AG (Registered)		(37,618	)		(428,459	)
Fraport AG Frankfurt Airport Services Worldwide		(261	)		(23,042	)
GEA Group AG		(2,153	)		(76,634	)
OSRAM Licht AG		(1,292	)		(51,301	)
Sartorius AG (Preference)		(342	)		(55,435	)
thyssenkrupp AG		(12,793	)		(322,722	)
Zalando SE *(b)		(474	)		(18,419	)
					(1,422,903	)
Ireland - (0.4)%
James Hardie Industries plc, CHESS		(16,771	)		(254,038	)
Italy - (2.5)%
Banco BPM SpA *		(99,814	)		(245,117	)
Brembo SpA		(19,509	)		(255,099	)
Buzzi Unicem SpA		(8,487	)		(175,981	)
Davide Campari-Milano SpA		(13,558	)		(115,456	)
Leonardo SpA		(30,567	)		(367,392	)
Pirelli & C SpA *(b)		(14,842	)		(124,357	)
Recordati SpA		(5,479	)		(185,266	)
Unione di Banche Italiane SpA		(69,679	)		(278,849	)
					(1,747,517	)
Japan - (5.3)%
Acom Co. Ltd.		(7,600	)		(30,640	)
Bank of Kyoto Ltd. (The)		(3,300	)		(172,249	)
Calbee, Inc.		(1,300	)		(42,804	)
Chugoku Electric Power Co., Inc. (The)		(10,900	)		(140,075	)
Denso Corp.		(3,700	)		(195,464	)
Hitachi Metals Ltd.		(21,000	)		(260,042	)
Hokuriku Electric Power Co. *		(40,400	)		(413,899	)
Kansai Paint Co. Ltd.		(6,400	)		(117,953	)
Keikyu Corp.		(22,000	)		(400,970	)
Kyushu Electric Power Co., Inc.		(2,200	)		(26,591	)

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

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201

Schedule of Investments September 30, 2018

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Japan - (5.3)% (continued)
LINE Corp. *		(4,900	)	$	(206,437	)
Marui Group Co. Ltd.		(8,200	)		(202,326	)
Nagoya Railroad Co. Ltd.		(900	)		(22,288	)
Nifco, Inc.		(2,600	)		(69,910	)
Nippon Paint Holdings Co. Ltd.		(5,700	)		(212,759	)
Odakyu Electric Railway Co. Ltd.		(6,000	)		(141,941	)
Ricoh Co. Ltd.		(12,200	)		(131,084	)
Sawai Pharmaceutical Co. Ltd.		(400	)		(21,593	)
Seven Bank Ltd.		(10,700	)		(33,794	)
Sony Financial Holdings, Inc.		(1,100	)		(24,257	)
Sosei Group Corp. *		(14,700	)		(177,354	)
Suzuki Motor Corp.		(2,000	)		(114,622	)
Toho Gas Co. Ltd.		(1,600	)		(60,875	)
Toray Industries, Inc.		(40,800	)		(306,124	)
Toyota Industries Corp.		(700	)		(41,431	)
Yokohama Rubber Co. Ltd. (The)		(6,500	)		(140,102	)
					(3,707,584	)
Luxembourg - (0.6)%
Eurofins Scientific SE		(366	)		(208,229	)
Tenaris SA		(14,389	)		(240,979	)
					(449,208	)
Netherlands - (1.4)%
ABN AMRO Group NV, CVA (b)		(3,751	)		(102,155	)
ALTICE EUROPE NV *		(35,075	)		(94,601	)
Boskalis Westminster		(9,623	)		(303,014	)
Koninklijke KPN NV		(15,940	)		(42,050	)
Koninklijke Vopak NV		(1,115	)		(54,932	)
OCI NV *		(9,171	)		(293,195	)
SBM Offshore NV		(4,302	)		(77,659	)
					(967,606	)
Norway - (0.7)%
Gjensidige Forsikring ASA		(4,570	)		(77,023	)
Schibsted ASA, Class A		(783	)		(29,392	)
Yara International ASA		(8,421	)		(413,288	)
				(519,703)
Portugal - 0.0% (d)
NOS SGPS SA		(3,933	)		(23,556	)
Spain - (1.2)%
Bankia SA		(69,384	)		(270,855	)
Cellnex Telecom SA (b)		(19,824	)		(519,929	)
Distribuidora Internacional de Alimentacion SA		(38,478	)		(89,181	)
					(879,965	)
Sweden - (0.6)%
Getinge AB, Class B		(17,288	)		(198,541	)
Saab AB, Class B		(3,134	)		(157,606	)
Tele2 AB, Class B		(7,955	)		(95,606	)
				(451,753)
United Kingdom - (4.4)%
Babcock International Group plc		(9,141	)		(86,089	)
ConvaTec Group plc (b)		(112,432	)		(340,182	)
Greene King plc		(8,226	)		(52,525	)
John Wood Group plc		(80,845	)		(811,100	)

INVESTMENTS	SHARES			VALUE
United Kingdom - (4.4)% (continued)
Merlin Entertainments plc (b)		(65,028	)	$	(339,132	)
Metro Bank plc *		(966	)		(37,398	)
Micro Focus International plc		(22,181	)		(412,497	)
Pennon Group plc		(5,811	)		(54,006	)
Severn Trent plc		(12,976	)		(312,785	)
Subsea 7 SA		(11,917	)		(175,751	)
United Utilities Group plc		(52,825	)		(484,930	)
					(3,106,395	)
United States - (0.2)%
QIAGEN NV *		(3,243	)		(122,821	)
TOTAL COMMON STOCKS (Proceeds $(21,356,798))					(20,640,421	)
TOTAL SHORT POSITIONS (Proceeds $(21,356,798))					(20,640,421	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.6% (Cost $70,745,161)					69,595,320
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (e)				985,719
NET ASSETS - 100.0%				$70,581,039

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	(300,833	)		(0.4	)%
Consumer Discretionary		10,062,454			14.3
Consumer Staples		4,177,192			5.9
Energy		7,518,237			10.7
Financials		8,977,473			12.7
Health Care		11,893,959			16.9
Industrials		9,000,110			12.7
Information Technology		7,705,804			10.9
Materials		5,356,988			7.6
Real Estate		2,630,214			3.7
Utilities		806,520			1.1
Short-Term Investments		1,767,202			2.5
Total Investments In Securities At Value		69,595,320			98.6
Other Assets in Excess of Liabilities (e)		985,719			1.4
Net Assets	$	70,581,039			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $22,821,449.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $234,069, which represents approximately 0.33% of net assets of the fund.

(c) Represents 7-day effective yield as of September 30, 2018.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

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

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

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

CVA - Dutch Certification

FDR - Fiduciary Depositary Receipt

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index	15	12/2018		USD		$1,481,625		$15,643
								$15,643

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$47,017		$47,017

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

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INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 71.2%
Brazil - 7.6%
Braskem SA (Preference), Class A (1)		14,200	$	204,919
Cia Brasileira de Distribuicao (Preference) (1)*		600		12,924
Embraer SA, ADR (1)		1,320		25,859
IRB Brasil Resseguros S/A (1)		1,000		16,380
Odontoprev SA (1)		12,400		39,301
Petrobras Distribuidora SA (1)		13,200		63,638
Petroleo Brasileiro SA (Preference) (1)*		71,400		373,040
Porto Seguro SA (1)		6,000		88,368
Sul America SA (1)		18,540		119,130
Suzano Papel e Celulose SA (1)		67,100		797,348
TIM Participacoes SA, ADR (1)		11,588		167,910
Vale SA, ADR (1)		63,869		947,816
				2,856,633
Chile - 1.6%
Banco de Chile, ADR (1)		1,653		150,505
Banco de Credito e Inversiones SA		288		19,480
Banco Santander Chile, ADR (1)		5,557		177,712
Empresas CMPC SA		24,756		99,908
Empresas COPEC SA		4,786		73,938
Enel Americas SA, ADR (1)		2,697		20,848
Enel Chile SA, ADR (1)		8,670		43,437
Itau CorpBanca		1,781,511		18,344
				604,172
China - 7.5%
58.com, Inc., ADR (1)*		858		63,149
Alibaba Group Holding Ltd., ADR (1)*		8,250		1,359,269
Autohome, Inc., ADR (1)		520		40,253
Baidu, Inc., ADR (1)*		1,949		445,697
Ctrip.com International Ltd., ADR (1)*		3,695		137,343
Huazhu Group Ltd., ADR (1)		1,296		41,861
JD.com, Inc., ADR (1)*		6,072		158,418
Momo, Inc., ADR (1)*		1,127		49,363
NetEase, Inc., ADR (1)		549		125,309
New Oriental Education & Technology Group, Inc., ADR (1)*		1,251		92,587
SINA Corp. (1)*		568		39,465
TAL Education Group, ADR (1)*		2,653		68,209
Vipshop Holdings Ltd., ADR (1)*		3,741		23,344
Weibo Corp., ADR (1)*		222		16,235
Yum China Holdings, Inc. (1)		3,591		126,080
				2,786,582
Hungary - 0.2%
MOL Hungarian Oil & Gas plc		4,222		45,475
OTP Bank Nyrt		853		31,611
				77,086
India - 6.4%
Dr Reddy’s Laboratories Ltd., ADR (1)		7,816		270,434
ICICI Bank Ltd., ADR (1)		34,404		292,090
Infosys Ltd., ADR (1)		84,546		859,833
Tata Motors Ltd., ADR (1)*		10,188		156,488
Vedanta Ltd., ADR (1)		16,413		210,086
Wipro Ltd., ADR (1)		113,916		593,502
				2,382,433

INVESTMENTS	SHARES		VALUE
Indonesia - 2.6%
Adaro Energy Tbk. PT		3,269,200	$	402,255
Bank Central Asia Tbk. PT		70,500		114,192
Bank Mandiri Persero Tbk. PT		62,200		28,028
Bank Negara Indonesia Persero Tbk. PT		343,200		170,430
Indah Kiat Pulp & Paper Corp. Tbk. PT		14,600		16,988
Perusahaan Gas Negara Persero Tbk.		246,500		37,183
United Tractors Tbk. PT		98,200		217,418
				986,494
Peru - 0.3%
Credicorp Ltd. (1)		441		98,378
Southern Copper Corp. (1)		529		22,821
				121,199
Philippines - 0.6%
Ayala Corp.		610		10,475
Ayala Land, Inc.		64,900		48,107
Jollibee Foods Corp.		17,050		81,067
Metro Pacific Investments Corp.		109,100		9,583
SM Investments Corp.		1,000		16,725
SM Prime Holdings, Inc.		97,800		65,444
				231,401
Poland - 1.5%
Alior Bank SA *		893		15,240
CD Projekt SA *		293		14,876
Jastrzebska Spolka Weglowa SA *		14,919		268,424
LPP SA		26		60,825
PGE Polska Grupa Energetyczna SA *		65,135		168,353
Polskie Gornictwo Naftowe i Gazownictwo SA *		16,739		29,382
				557,100
Qatar - 0.6%
Industries Qatar QSC		1,440		49,461
Qatar National Bank QPSC		3,516		171,468
				220,929
Romania - 0.1%
NEPI Rockcastle plc		4,687		42,463
New Europe Property Investments plc (3)*(a)		246		—
				42,463
South Africa - 4.9%
Anglo American Platinum Ltd.		1,167		38,153
Bid Corp. Ltd.		3,200		66,699
Exxaro Resources Ltd.		61,201		629,165
Gold Fields Ltd., ADR (1)		9,363		22,658
Growthpoint Properties Ltd., REIT		45,523		74,699
MMI Holdings Ltd. *		32,169		39,453
Mr Price Group Ltd.		27,891		449,811
Naspers Ltd., Class N		1,239		266,817
Netcare Ltd.		56,601		96,727
Pick n Pay Stores Ltd.		5,328		25,926
Redefine Properties Ltd., REIT		73,102		51,773
Remgro Ltd.		4,935		68,776
RMB Holdings Ltd.		2,038		11,394
				1,842,051

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

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INVESTMENTS	SHARES		VALUE
South Korea - 24.8%
BGF retail Co. Ltd.		8	$	1,483
BNK Financial Group, Inc.		19,118		148,188
Daelim Industrial Co. Ltd.		1,574		117,213
DB Insurance Co. Ltd.		1,170		76,783
DGB Financial Group, Inc.		1,374		12,570
Doosan Bobcat, Inc.		644		23,455
Hana Financial Group, Inc.		8,512		341,781
Hanwha Corp.		6,060		179,222
Hanwha Life Insurance Co. Ltd.		35,381		168,739
HDC Hyundai Development Co.-Engineering & Construction *		263		12,065
Hotel Shilla Co. Ltd.		2,585		252,769
Hyundai Department Store Co. Ltd.		2,381		213,370
Hyundai Marine & Fire Insurance Co. Ltd.		2,213		83,654
Korea Investment Holdings Co. Ltd.		5,747		394,083
KT Corp., ADR (1)		11,280		167,508
Kumho Petrochemical Co. Ltd.		758		67,301
LG Corp.		7,942		519,844
LG Electronics, Inc.		1,214		77,685
Lotte Chemical Corp.		492		123,299
Lotte Shopping Co. Ltd.		1,603		302,933
Medy-Tox, Inc.		356		198,711
NCSoft Corp.		882		351,895
OCI Co. Ltd.		1,440		142,772
POSCO		586		155,552
Posco Daewoo Corp.		4,883		92,133
Samsung Electro-Mechanics Co. Ltd.		1,040		130,259
Samsung Electronics Co. Ltd.		64,227		2,687,955
Samsung SDS Co. Ltd.		2,948		613,814
Shinsegae, Inc.		174		56,885
SK Hynix, Inc.		19,250		1,273,539
SK Innovation Co. Ltd.		1,495		289,791
			9,277,251
Taiwan - 11.7%
Catcher Technology Co. Ltd.		51,000		560,637
China Airlines Ltd.		379,000		114,796
China Development Financial Holding Corp.		1,014,000		378,337
China Life Insurance Co. Ltd.		37,280		37,485
CTBC Financial Holding Co. Ltd.		312,000		234,910
E.Sun Financial Holding Co. Ltd.		148,250		109,457
Eva Airways Corp.		196,350		95,478
First Financial Holding Co. Ltd.		326,472		222,339
Formosa Chemicals & Fibre Corp.		17,000		71,241
Globalwafers Co. Ltd.		24,000		264,481
Hiwin Technologies Corp.		15,690		129,638
Nanya Technology Corp.		120,000		229,151
Novatek Microelectronics Corp.		10,000		49,349
Phison Electronics Corp.		2,000		15,940
President Chain Store Corp.		2,000		23,481
Realtek Semiconductor Corp. *		25,000		111,407
Shin Kong Financial Holding Co. Ltd.		338,809		132,503
SinoPac Financial Holdings Co. Ltd.		42,840		15,639
Taiwan Cooperative Financial Holding Co. Ltd.		20,600		12,547
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		34,420		1,519,986
Uni-President Enterprises Corp.		16,000		41,744
			4,370,546

INVESTMENTS	SHARES		VALUE
United Arab Emirates - 0.5%
Emaar Properties PJSC		37,388	$	50,400
Emirates Telecommunications Group Co. PJSC		16,258		73,915
First Abu Dhabi Bank PJSC		11,250		43,900
			168,215
United Kingdom - 0.3%
Mondi Ltd.		3,434		94,304
TOTAL COMMON STOCKS (Cost $27,343,618)				26,618,859
SHORT-TERM INVESTMENTS - 26.7%
Investment Companies - 26.7%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.00% (1)(b)(c)		6,595,297		6,595,297
Limited Purpose Cash Investment Fund, 2.06% (1)(b)		3,370,314		3,369,977
TOTAL SHORT-TERM INVESTMENTS (Cost $9,965,038)				9,965,274
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.9% (Cost $37,308,656)				36,584,133
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.1% (d)			785,037
NET ASSETS - 100.0%			$	37,369,170

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	1,822,392		4.9	%
Consumer Discretionary		3,722,581		10.0
Consumer Staples		172,257		0.4
Energy		2,060,461		5.5
Financials		4,063,953		10.9
Health Care		605,174		1.6
Industrials		1,375,889		3.7
Information Technology		8,909,855		23.8
Materials		3,283,590		8.8
Real Estate		332,887		0.9
Utilities		269,820		0.7
Short-Term Investments		9,965,274		26.7
Total Investments In Securities At Value		36,584,133		97.9
Other Assets in Excess of Liabilities (d)		785,037		2.1
Net Assets	$	37,369,170		100.0	%

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

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* Non-income producing security.

(a) Security fair valued as of September 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(b) Represents 7-day effective yield as of September 30, 2018.

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

(d) Includes appreciation/(depreciation) on futures contracts 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).

Abbreviations

ADR - American Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		19	12/2018	USD		$997,215		$14,479
								$14,479

USD - United States Dollar

Total Return Basket Swaps Outstanding at September 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Warsaw Interbank Effective Rate plus or minus a specified spread (-0.70% to -0.40%), which is denominated in PLN based on the local currencies of the positions within the swap.	53-61 months maturity ranging from 02/06/2023-08/02/2023		$151,760		$6,275		$1,276		$7,551

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

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Johannesburg Interbank Agreed Rate plus or minus a specified spread (-0.75%), which is denominated in ZAR based on the local currencies of the positions within the swap.	50-61 months maturity ranging from 10/18/2022-09/13/2023		$107,765		$13,550		$51,301		$64,851
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-3.25% to 0.75%), which is denominated in USD based on the local currencies of the positions within the swap.	40-61 months maturity ranging from 12/20/2021-09/14/2023		$9,956,817		$543,853		$27,762		$571,615

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

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
China
Bank of China Ltd.		174,600		$94,394		$5,234			0.9	%
Bank of Communications Co. Ltd.		40,413		34,303		1,746			0.3
Jiangsu Hengrui Medicine Co. Ltd.		8,000		73,827		(8,789	)		(1.5	)
India
Axis Bank Ltd.		3,120		131,964		2,956			0.5
Larsen & Toubro Ltd.		8,914		154,656		(27,962	)		(4.9	)
Reliance Industries Ltd.		13,394		460,873		79,385			13.9
State Bank of India		3,621		133,692		(15,116	)		(2.6	)
Malaysia
AirAsia Bhd.		85,000		64,883		(20,128	)		(3.5	)
Hartalega Holdings Bhd.		15,200		24,300		(2,994	)		(0.5	)
Hong Leong Bank Bhd.		13,100		65,150		3,627			0.6
Malayan Banking Bhd.		52,400		123,933		(19,232	)		(3.4	)
Malaysia Airports Holdings Bhd.		152,800		328,502		(13,113	)		(2.3	)
My EG Services Bhd.		707,600		298,969		110,599			19.3
Public Bank Bhd.		26,100		157,638		4,937			0.9
Top Glove Corp. Bhd.		70,700		182,020		(3,349	)		(0.6	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Russia
Gazprom PJSC, ADR		40,385		$	201,522		$	4,360			0.8	%
LUKOIL PJSC, ADR		3,338			255,602			36,210			6.3
Novatek PJSC		634			116,283			29,199			5.1
Novolipetsk Steel PJSC		5,508			148,247			5,253			0.9
Rosneft Oil Co. PJSC		11,077			82,765			19,515			3.4
Severstal PJSC		15,633			260,368			4,547			0.8
Surgutneftegas PJSC, ADR		5,639			23,280			(4,114	)		(0.7	)
Tatneft PJSC, ADR		2,369			180,754			40,043			7.0
Thailand
Bangkok Dusit Medical Services PCL		75,900			59,843			(920	)		(0.2	)
Bumrungrad Hospital PCL		5,500			31,616			(852	)		(0.1	)
Central Pattana PCL		10,900			27,975			(763	)		(0.1	)
Home Product Center PCL		504,400			246,575			19,997			3.5
PTT Exploration & Production PCL		17,800			85,428			8,660			1.5
PTT Global Chemical PCL		102,800			258,327			(37,533	)		(6.6	)
PTT PCL		71,200			119,530			7,181			1.3
Thai Oil PCL		168,600			461,642			(74,243	)		(13.0	)
Short Positions
Common Stock
Brazil
B3 SA - Brasil Bolsa Balcao		(2,700	)		(15,644	)		(1,088	)		(0.2	)
BRF SA		(137,000	)		(745,290	)		9,655			1.7
Mexico
Grupo Televisa SAB, ADR		(9,068	)		(160,866	)		5,928			1.0
Russia
Magnit PJSC		(6,381	)		(90,521	)		7,077			1.2
South Korea
Amorepacific Corp.		(66	)		(15,524	)		1,601			0.3
CJ CheilJedang Corp.		(2,262	)		(679,901	)		11,220			2.0
CJ Corp.		(1,169	)		(142,258	)		28,740			5.0
CJ Logistics Corp.		(3,004	)		(427,831	)		(41,681	)		(7.3	)
GS Retail Co. Ltd.		(7,762	)		(269,474	)		(16,078	)		(2.8	)
Hanssem Co. Ltd.		(2,872	)		(198,346	)		176,040			30.8
Hyundai Heavy Industries Co. Ltd.		(6,321	)		(766,153	)		(140,589	)		(24.6	)
Hyundai Motor Co.		(956	)		(111,593	)		(6,204	)		(1.1	)
Kakao Corp.		(719	)		(77,104	)		(2,901	)		(0.5	)
Korea Aerospace Industries Ltd.		(21,493	)		(680,834	)		297,980			52.1
Lotte Corp.		(3,099	)		(159,531	)		(5,767	)		(1.0	)
Ottogi Corp.		(36	)		(24,242	)		1,025			0.2
Pan Ocean Co. Ltd.		(61,386	)		(289,953	)		44,421			7.8
Samsung C&T Corp.		(1,157	)		(135,013	)		15,270			2.7
Thailand
True Corp. PCL		(210,100	)		(39,314	)		6,785			1.2

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

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AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread (0.50%), which is denominated in MXN based on the local currencies of the positions within the swap.	43-55 months maturity ranging from 12/20/2021-08/15/2022		$1,638,712		$311,194		$(4,306	)		$306,888

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

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Mexico
Fibra Uno Administracion SA de CV		41,400	$	54,443	$	(6,450	)		(2.1	)%
Mexichem SAB de CV		127,178		437,382		64,216			20.9
Wal-Mart de Mexico SAB de CV		376,343		1,146,887		253,428			82.6

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

JPMC

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR plus or minus a specified spread (-6.00% to 0.40%), which is denominated in HKD based on the local currencies of the positions within the swap.

40-61 months maturity ranging from 12/20/2021-09/14/2023

$19,572,327

$(973,590

)

$21,360

$(952,230

)

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

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
China
AAC Technologies Holdings, Inc.		19,500	$	201,363	$	(154,766	)		16.3	%
ANTA Sports Products Ltd.		135,000		644,468		(32,130	)		3.4
China CITIC Bank Corp. Ltd.		131,000		83,655		4,833			(0.5	)
China Construction Bank Corp.		887,000		775,327		(174,080	)		18.3
China Evergrande Group		38,000		106,092		(8,160	)		0.9
China Longyuan Power Group Corp. Ltd.		95,000		79,999		1,985			(0.2	)

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

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209

Schedule of Investments September 30, 2018

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
China (continued)
China Medical System Holdings Ltd.		71,000		$	98,866		$	(30,957	)		3.3	%
China Mengniu Dairy Co. Ltd.		39,000			129,652			6,910			(0.7	)
China Mobile Ltd.		52,000			511,256			34,815			(3.7	)
China National Building Material Co. Ltd.		642,000			569,333			(134,677	)		14.1
China Overseas Land & Investment Ltd.		40,000			125,237			(17,965	)		1.9
China Petroleum & Chemical Corp.		410,000			411,947			34,028			(3.6	)
China Resources Cement Holdings Ltd.		676,000			786,141			44,130			(4.6	)
China Resources Gas Group Ltd.		32,000			130,129			1,455			(0.2	)
China Resources Land Ltd.		30,000			105,123			(7,359	)		0.8
China Shenhua Energy Co. Ltd.		128,500			292,654			(40,596	)		4.3
CNOOC Ltd.		484,000			958,382			174,564			(18.3	)
Country Garden Holdings Co. Ltd.		104,000			131,059			(48,185	)		5.1
CSPC Pharmaceutical Group Ltd.		446,000			943,394			(248,187	)		26.1
Far East Horizon Ltd.		88,000			83,929			(3,941	)		0.4
Fosun International Ltd.		101,500			178,849			(33,938	)		3.6
Haitian International Holdings Ltd.		109,000			242,578			(62,854	)		6.6
Kingdee International Software Group Co. Ltd.		212,000			230,108			(11,576	)		1.2
Luye Pharma Group Ltd.		132,500			118,628			(21,265	)		2.2
MMG Ltd.		240,000			123,556			(43,408	)		4.6
People’s Insurance Co. Group of China Ltd. (The)		366,000			164,016			(21,975	)		2.3
PetroChina Co. Ltd.		236,000			191,017			13,627			(1.4	)
PICC Property & Casualty Co. Ltd.		109,000			128,284			85,935			(9.0	)
Shandong Weigao Group Medical Polymer Co. Ltd.		100,000			98,681			18,652			(2.0	)
Sinotruk Hong Kong Ltd.		421,000			918,525			311,789			(32.7	)
Sunac China Holdings Ltd.		30,000			91,923			(23,476	)		2.5
Sunny Optical Technology Group Co. Ltd.		6,600			76,197			(45,073	)		4.7
Tencent Holdings Ltd.		13,900			567,549			(118,208	)		12.4
Tingyi Cayman Islands Holding Corp.		94,000			172,605			(806	)		0.1
Uni-President China Holdings Ltd.		467,000			497,051			18,304			(1.9	)
Yanzhou Coal Mining Co. Ltd.		134,000			154,936			(14,335	)		1.5
Hong Kong
Haier Electronics Group Co. Ltd.		278,000			752,642			(218,608	)		23.0
Kingboard Laminates Holdings Ltd.		177,000			156,936			(46,728	)		4.9
Sino Biopharmaceutical Ltd.		1,146,000			1,065,934			(197,892	)		20.8
SSY Group Ltd.		172,000			166,525			(5,122	)		0.5
Short Positions
Common Stock
China
Beijing Enterprises Water Group Ltd.		(1,576,000	)		(840,190	)		5,156			(0.5	)
Brilliance China Automotive Holdings Ltd.		(604,000	)		(973,933	)		69,234			(7.3	)
BYD Co. Ltd.		(63,500	)		(451,472	)		18,424			(1.9	)
CGN Power Co. Ltd.		(1,670,000	)		(396,253	)		47,408			(5.0	)
China Galaxy Securities Co. Ltd.		(782,500	)		(364,020	)		130,097			(13.7	)
China International Capital Corp. Ltd.		(70,400	)		(129,668	)		(4,510	)		0.5
China State Construction International Holdings Ltd.		(568,000	)		(601,666	)		137,625			(14.5	)
Lenovo Group Ltd.		(1,452,000	)		(1,057,918	)		(319,425	)		33.5
Semiconductor Manufacturing International Corp.		(186,000	)		(200,441	)		25,516			(2.7	)
Hong Kong
Alibaba Pictures Group Ltd.		(2,330,000	)		(318,915	)		(18,178	)		1.9

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

AQR Funds Annual Report September 2018

210

Schedule of Investments September 30, 2018

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMC
Investment Companies		$6,595,297		$—		$6,595,297
JPMS
Cash		—		20,476		20,476

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

AQR Funds Annual Report September 2018

211

Schedule of Investments

The following reference rates, and their values as of period-end, are used for security descriptions:

Euro Interbank Offered Rate (“EURIBOR”): -0.37%

Federal Fund Floating Rate: 2.18%

Hong Kong Interbank Offered Rate (“HIBOR”): 2.23%

Johannesburg Interbank Agreed Rate: 6.78%

London Interbank Offered Rate (“LIBOR”): 2.26%

Mexico Equilibrium Interbank Interest Rate: 8.12%

Singapore Swap Offered Rate (“SOR”): 1.51%

Stockholm Interbank Offered Rate (“STIBOR”): -0.49%

Warsaw Interbank Effective Rate: 1.54%

The following abbreviations are used for counterparty descriptions:

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank NA

JPMS - J.P. Morgan Securities LLC

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

AQR Funds Annual Report September 2018

212

Statements of Assets and Liabilities September 30, 2018

	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 of unaffiliated issuers, at cost	$	1,462,877,979	$	655,041,115	$	369,851,718	$	265,088,483
Investments in securities of unaffiliated issuers, at value*	$	1,902,701,035	$	793,492,677	$	411,082,909	$	309,639,409
Cash		—		16,949		—		8,312
Cash denominated in foreign currencies‡		—		—		1,609,689		993,803
Deposits with brokers for futures contracts		1,755,234		633,844		396,326		194,440
Variation margin on futures contracts		—		36,111		—		—
Receivables:
Securities sold		123,225,380		—		114,266,618		—
Foreign tax reclaims		—		—		1,229,371		—
Dividends		1,337,225		432,503		1,517,564		588,336
Capital shares sold		826,272		230,750		312,195		412,153
Prepaid expenses		50,923		31,370		31,782		30,417
Total Assets		2,029,896,069		794,874,204		530,446,454		311,866,870
LIABILITIES:
Due to custodian		73,946		—		3,279		—
Variation margin on futures contracts		11,268		—		405,808		22,497
Payables:
Securities purchased		47,411,990		—		63,137,706		9,558
Collateral received on securities loaned		11,270,160		48,526,097		—		2,489,424
Accrued investment advisory fees		533,697		313,055		152,497		104,450
Accrued distribution fees—Class N		14,650		1,629		1,420		1,077
Capital shares redeemed		1,153,461		372,039		154,219		84,603
Line of credit (Note 12)		24,000,000		—		47,000,000		—
Other accrued expenses and liabilities		452,296		230,908		184,572		538,005
Total Liabilities		84,921,468		49,443,728		111,039,501		3,249,614
Net Assets	$	1,944,974,601	$	745,430,476	$	419,406,953	$	308,617,256
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,409,604,374	$	542,733,261	$	386,260,430	$	287,258,862
Total distributable earnings (loss)		535,370,227		202,697,215		33,146,523		21,358,394
Net Assets	$	1,944,974,601	$	745,430,476	$	419,406,953	$	308,617,256
NET ASSETS:
Class I	$	507,108,323	$	61,690,253	$	82,660,697	$	34,903,061
Class N		71,104,038		7,795,354		6,891,830		5,311,303
Class R6		1,366,762,240		675,944,869		329,854,426		268,402,892
SHARES OUTSTANDING:
Class I		26,927,588		3,884,358		7,029,983		3,431,269
Class N		3,794,725		492,827		587,720		522,910
Class R6		72,590,387		42,484,766		28,081,392		26,340,267
NET ASSET VALUE:
Class I	$	18.83	$	15.88	$	11.76	$	10.17
Class N	$	18.74	$	15.82	$	11.73	$	10.16
Class R6	$	18.83	$	15.91	$	11.75	$	10.19
*  Includes market value of securities out on loan	$	11,002,002	$	46,920,908	$	—	$	3,115,254
‡  Cash denominated in foreign currencies at cost	$	—	$	—	$	1,613,213	$	987,760

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

AQR Funds Annual Report September 2018

213

Statements of Assets and Liabilities September 30, 2018

	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 of unaffiliated issuers, at cost	$	233,132,744	$	29,948,710	$	161,486,214	$	260,365,133
Investments in securities of unaffiliated issuers, at value*	$	303,684,112	$	36,933,601	$	189,616,274	$	332,768,162
Cash		8		734		2,965		8,889
Cash denominated in foreign currencies‡		—		—		675,109		1,408,267
Due from broker		3,053		—		—		—
Deposits with brokers for futures contracts		247,752		18,968		237,772		303,885
Variation margin on futures contracts		63,157		1,664		—		—
Receivables:
Securities sold		9,549,092		—		177,688		—
Foreign tax reclaims		—		—		529,912		—
Dividends		207,702		20,885		602,644		652,360
Capital shares sold		98,607		22,611		276,744		29,834
Prepaid expenses		21,538		16,419		19,056		18,701
Total Assets		313,875,021		37,014,882		192,138,164		335,190,098
LIABILITIES:
Variation margin on futures contracts		—		—		41,911		36,351
Payables:
Securities purchased		10,909,089		—		176,889		7,831
Collateral received on securities loaned		1,618,753		2,102,658		52,330		2,394,189
Accrued investment advisory fees		65,420		2,393		55,901		113,310
Accrued distribution fees—Class N		467		1,360		316		340
Capital shares redeemed		91,458		1,723		29,778		14,877
Other accrued expenses and liabilities		110,030		72,087		109,389		612,294
Total Liabilities		12,795,217		2,180,221		466,514		3,179,192
Net Assets	$	301,079,804	$	34,834,661	$	191,671,650	$	332,010,906
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	227,935,306	$	26,762,587	$	166,308,877	$	265,624,963
Total distributable earnings (loss)		73,144,498		8,072,074		25,362,773		66,385,943
Net Assets	$	301,079,804	$	34,834,661	$	191,671,650	$	332,010,906
NET ASSETS:
Class I	$	87,555,999	$	25,754,716	$	28,703,272	$	17,266,544
Class N		2,295,000		6,512,369		1,546,147		1,674,714
Class R6		211,228,805		2,567,576		161,422,231		313,069,648
SHARES OUTSTANDING:
Class I		6,377,943		1,995,387		2,596,584		1,632,300
Class N		167,713		506,568		140,413		158,387
Class R6		15,366,286		198,460		14,573,362		29,565,703
NET ASSET VALUE:
Class I	$	13.73	$	12.91	$	11.05	$	10.58
Class N	$	13.68	$	12.86	$	11.01	$	10.57
Class R6	$	13.75	$	12.94	$	11.08	$	10.59
*  Includes market value of securities out on loan	$	2,729,408	$	2,030,699	$	50,138	$	2,998,511
‡  Cash denominated in foreign currencies at cost	$	—	$	—	$	676,311	$	1,402,274

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

AQR Funds Annual Report September 2018

214

Statements of Assets and Liabilities September 30, 2018

	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 of unaffiliated issuers, at cost	$	849,233,088	$	301,214,150	$	391,272,698	$	10,489,524
Investments in securities of unaffiliated issuers, at value*	$	1,184,442,197	$	393,931,430	$	451,198,844	$	12,469,015
Cash		—		1,195		36,094		1,433
Cash denominated in foreign currencies‡		406		—		1,479,328		31,722
Deposits with brokers for futures contracts		956,761		19,150		603,986		—
Variation margin on futures contracts		—		1,233		—		—
Receivables:
Securities sold		—		—		431,043		9,321
Foreign tax reclaims		—		—		1,002,326		—
Dividends		458,056		163,058		1,260,862		25,668
Capital shares sold		956,248		121,912		433,961		24,051
Due from Investment Adviser		—		—		—		4,519
Prepaid expenses		41,027		30,166		32,398		25,581
Total Assets		1,186,854,695		394,268,144		456,478,842		12,591,310
LIABILITIES:
Variation margin on futures contracts		6,236		—		107,879		—
Payables:
Securities purchased		—		—		429,570		9,472
Collateral received on securities loaned		14,715,208		22,908,891		2,426,324		81,466
Accrued investment advisory fees		251,129		141,689		128,303		—
Accrued distribution fees—Class N		15,827		582		8,185		233
Capital shares redeemed		5,656,727		367,034		84,474		4,174
Other accrued expenses and liabilities		399,914		187,901		220,930		102,648
Total Liabilities		21,045,041		23,606,097		3,405,665		197,993
Net Assets	$	1,165,809,654	$	370,662,047	$	453,073,177	$	12,393,317
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	747,054,928	$	223,638,677	$	397,491,307	$	11,397,302
Total distributable earnings (loss)		418,754,726		147,023,370		55,581,870		996,015
Net Assets	$	1,165,809,654	$	370,662,047	$	453,073,177	$	12,393,317
NET ASSETS:
Class I	$	986,457,883	$	346,665,402	$	348,643,668	$	8,935,163
Class N		77,380,907		2,834,704		40,451,768		1,147,588
Class R6		101,970,864		21,161,941		63,977,741		2,310,566
SHARES OUTSTANDING:
Class I		39,475,038		12,775,107		22,041,901		862,744
Class N		3,100,311		104,431		2,564,776		110,889
Class R6		4,088,262		780,973		4,048,617		222,785
NET ASSET VALUE:
Class I	$	24.99	$	27.14	$	15.82	$	10.36
Class N	$	24.96	$	27.14	$	15.77	$	10.35
Class R6	$	24.94	$	27.10	$	15.80	$	10.37
*  Includes market value of securities out on loan	$	31,122,264	$	22,135,678	$	2,424,445	$	88,670
‡  Cash denominated in foreign currencies at cost	$	425	$	—	$	1,483,195	$	31,560

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

AQR Funds Annual Report September 2018

215

Statements of Assets and Liabilities September 30, 2018

	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 of unaffiliated issuers, at cost	$	145,891,335	$	60,408,522	$	112,836,740	$	1,678,161,991
Investments in securities of unaffiliated issuers, at value*	$	230,901,202	$	77,464,362	$	129,888,022	$	2,122,122,000
Cash		—		—		10,823		—
Cash denominated in foreign currencies‡		—		—		401,157		—
Deposits with brokers for futures contracts		197,501		53,262		173,322		2,580,017
Variation margin on futures contracts		—		3,453		—		—
Receivables:
Securities sold		—		—		88,229		—
Foreign tax reclaims		—		—		284,116		—
Dividends		112,527		27,674		319,792		1,783,702
Capital shares sold		5,066		1,132		23,446		3,678,035
Prepaid expenses		21,397		20,865		22,175		61,473
Total Assets		231,237,693		77,570,748		131,211,082		2,130,225,227
LIABILITIES:
Variation margin on futures contracts		1,148		—		30,894		682,632
Payables:
Securities purchased		—		—		87,849		—
Collateral received on securities loaned		2,617,030		8,721,842		1,478,496		6,537,627
Accrued investment advisory fees		39,910		15,317		19,789		409,108
Accrued distribution fees—Class N		2,760		1,184		1,582		60,221
Capital shares redeemed		60,100		8,386		368,151		1,031,048
Other accrued expenses and liabilities		105,183		75,590		104,854		589,236
Total Liabilities		2,826,131		8,822,319		2,091,615		9,309,872
Net Assets	$	228,411,562	$	68,748,429	$	129,119,467	$	2,120,915,355
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	143,358,463	$	47,438,780	$	122,814,861	$	1,650,414,274
Total distributable earnings (loss)		85,053,099		21,309,649		6,304,606		470,501,081
Net Assets	$	228,411,562	$	68,748,429	$	129,119,467	$	2,120,915,355
NET ASSETS:
Class I	$	112,850,666	$	62,799,896	$	58,512,210	$	1,502,430,635
Class N		13,547,881		5,720,340		7,817,498		309,273,945
Class R6		102,013,015		228,193		62,789,759		309,210,775
SHARES OUTSTANDING:
Class I		4,686,066		2,783,889		4,221,232		70,944,959
Class N		566,003		255,490		567,899		14,651,012
Class R6		4,240,403		10,115		4,539,868		14,618,977
NET ASSET VALUE:
Class I	$	24.08	$	22.56	$	13.86	$	21.18
Class N	$	23.94	$	22.39	$	13.77	$	21.11
Class R6	$	24.06	$	22.56	$	13.83	$	21.15
*  Includes market value of securities out on loan	$	5,184,280	$	8,434,961	$	1,405,879	$	22,109,794
‡  Cash denominated in foreign currencies at cost	$	—	$	—	$	401,085	$	—

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

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Statements of Assets and Liabilities September 30, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND		AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	187,298,097	$	79,167,762		$	324,238,390	$	408,076,410
Investments in securities of unaffiliated issuers, at value	$	208,765,326	$	87,043,767		$	366,936,971	$	437,433,906
Cash		8,255		20,631			278,186		421,342
Cash denominated in foreign currencies‡		709,334		273,713			1,474,101		1,554,145
Unrealized appreciation on forward foreign currency exchange contracts		—		—			1,967,768		1,758,065
Unrealized appreciation on OTC swaps		—		—			1,294,075		861,853
Due from broker		—		—			—		23,535
Deposits with brokers for futures contracts		396,410		195,056			4,297,047		6,810,823
Variation margin on futures contracts		—		—			40,409		662,493
Receivables:
Securities sold		113,412		—			576,305		641,988
Foreign tax reclaims		325,140		5,257			457,020		1,931,886
Dividends		792,188		113,042			492,005		1,182,617
Capital shares sold		210,167		457,851			307,736		300,049
Due from custodian		—		—			—		522,194
Prepaid expenses		28,787		23,836			20,703		38,264
Total Assets		211,349,019		88,133,153			378,142,326		454,143,160
LIABILITIES:
Due to broker		—		—			65,321		20,810
Unrealized depreciation on forward foreign currency exchange contracts		—		—			2,413,125		2,039,425
Unrealized depreciation on OTC swaps		—		—			196,937		696,937
Variation margin on futures contracts		70,240		23,202			—		—
Payables:
Securities purchased		113,560		2,091			575,062		1,162,393
Collateral received on securities loaned		3,863,336		1,225,254			—		261,851
Accrued investment advisory fees		53,391		14,884			172,234		214,205
Accrued distribution fees—Class N		857		2,009			414		2,528
Capital shares redeemed		177,458		24,785			4,800		97,890
Other accrued expenses and liabilities		131,592		174,782			214,977		306,282
Total Liabilities		4,410,434		1,467,007			3,642,870		4,802,321
Net Assets	$	206,938,585	$	86,666,146		$	374,499,456	$	449,340,839
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	181,876,321	$	89,104,118		$	327,939,796	$	416,522,850
Total distributable earnings (loss)		25,062,264		(2,437,972	)		46,559,660		32,817,989
Net Assets	$	206,938,585	$	86,666,146		$	374,499,456	$	449,340,839
NET ASSETS:
Class I	$	173,931,950	$	76,490,984		$	198,953,621	$	391,508,688
Class N		4,265,619		9,977,482			2,120,536		13,090,228
Class R6		28,741,016		197,680			173,425,299		44,741,923
SHARES OUTSTANDING:
Class I		12,996,510		7,937,988			21,833,772		37,314,673
Class N		311,098		1,011,849			234,167		1,219,218
Class R6		2,148,850		20,571			18,868,677		3,993,723
NET ASSET VALUE:
Class I	$	13.38	$	9.64		$	9.11	$	10.49
Class N	$	13.71	$	9.86		$	9.06	$	10.74
Class R6	$	13.38	$	9.61		$	9.19	$	11.20
*  Includes market value of securities out on loan	$	3,590,896	$	1,376,799		$	—	$	114,361
‡  Cash denominated in foreign currencies at cost	$	709,481	$	271,939		$	1,478,929	$	1,554,598

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

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Statements of Assets and Liabilities September 30, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND		AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND		AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND			AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	21,251,477	$	3,726,098	$	92,101,959		$	37,308,656
Investments in securities of unaffiliated issuers, at value	$	24,894,694	$	4,344,858	$	90,235,741		$	36,584,133
Cash		250,494		37		90,059			600,423
Cash denominated in foreign currencies‡		—		—		368,405			111,821
Unrealized appreciation on OTC swaps		—		—		—			950,905
Deposits with brokers for futures contracts		—		—		75,024			54,426
Receivables:
Securities sold		—		—		150,373			47,084
Foreign tax reclaims		—		—		72,055			618
Dividends		14,859		2,153		252,016			40,521
Capital shares sold		—		—		341,186			80,052
Due from Investment Adviser		—		4,621		—			4,131
Prepaid expenses		11,844		11,761		12,892			12,669
Total Assets		25,171,891		4,363,430		91,597,751			38,486,783
LIABILITIES:
Securities sold short, at value (proceeds $5,517,155, $987,246, $21,356,798 and $—, respectively)		5,654,211		1,007,032		20,640,421			—
Unrealized depreciation on OTC swaps		—		—		—			952,230
Variation margin on futures contracts		—		—		12,364			19,471
Payables:
Securities purchased		297,880		—		149,699			47,839
Accrued investment advisory fees		5,549		—		29,181			—
Accrued distribution fees—Class N		158		121		2,723			2,103
Capital shares redeemed		—		—		51,088			—
Dividends payable on securities sold short		9,277		1,834		44,085			—
Other accrued expenses and liabilities		60,646		58,088		87,151			95,970
Total Liabilities		6,027,721		1,067,075		21,016,712			1,117,613
Net Assets	$	19,144,170	$	3,296,355	$	70,581,039		$	37,369,170
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	16,023,013	$	3,080,692	$	73,845,010		$	41,110,704
Total distributable earnings (loss)		3,121,157		215,663		(3,263,971	)		(3,741,534	)
Net Assets	$	19,144,170	$	3,296,355	$	70,581,039		$	37,369,170
NET ASSETS:
Class I	$	16,556,243	$	1,375,978	$	55,144,439		$	21,062,523
Class N		772,969		583,806		13,443,631			10,383,427
Class R6		1,814,958		1,336,571		1,992,969			5,923,220
SHARES OUTSTANDING:
Class I		1,320,495		130,496		4,512,297			1,703,182
Class N		61,640		55,474		1,104,502			841,893
Class R6		144,619		126,690		162,897			478,572
NET ASSET VALUE:
Class I	$	12.54	$	10.54	$	12.22		$	12.37
Class N	$	12.54	$	10.52	$	12.17		$	12.33
Class R6	$	12.55	$	10.55	$	12.23		$	12.38
‡  Cash denominated in foreign currencies at cost	$	—	$	—	$	368,793		$	110,875

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

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218

Statements of Operations September 30, 2018

	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, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME: Dividend income:
Unaffiliated issuers†	$	33,841,170		$	8,520,014		$	14,040,648		$	8,437,687
Securities lending income, net		64,467			990,771			17,311			24,091
Total Income		33,905,637			9,510,785			14,057,959			8,461,778
EXPENSES:
Investment advisory fees		5,917,551			3,713,936			2,151,092			1,980,948
Custody fees		57,288			34,675			92,182			268,774
Administration & accounting fees		358,730			137,152			90,049			62,491
Legal fees		42,042			14,910			10,883			7,752
Audit & tax fees		57,919			56,462			47,026			56,934
Shareholder reporting fees		100,377			130,966			65,075			61,413
Transfer agent fees		506,371			81,692			109,638			87,302
Trustee fees		60,698			23,557			15,603			11,069
Distribution fees—Class N		176,423			19,134			19,385			16,660
Interest expense		2,596			6,501			—			—
Recoupment of waiver		176,087			2,679			—			—
Registration fees		87,953			56,382			55,955			49,522
Pricing fee		7			1,326			22,556			22,594
Other expenses		57,646			23,006			14,303			10,779
Total Expenses		7,601,688			4,302,378			2,693,747			2,636,238
Less fee waivers and/or reimbursements		—			(114,621	)		(187,593	)		(401,363	)
Net Expenses		7,601,688			4,187,757			2,506,154			2,234,875
Net Investment Income (Loss)		26,303,949			5,323,028			11,551,805			6,226,903
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		111,738,641			70,753,702			17,350,239			8,789,969
Settlement of foreign currency and foreign currency transactions		—			—			(79,444	)		(155,922	)
Expiration or closing of futures contracts		4,218,931			2,608,205			471,709			(23,963	)
Net realized gain (loss)		115,957,572			73,361,907			17,742,504			8,610,084
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $294,104)		114,779,415			(11,741,248	)		(24,497,629	)		(24,961,709	)
Foreign currency and foreign currency transactions		—			—			30,057			11,220
Futures contracts		(589,811	)		(870,445	)		(52,195	)		83,728
Net change in unrealized appreciation (depreciation)		114,189,604			(12,611,693	)		(24,519,767	)		(24,866,761	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		230,147,176			60,750,214			(6,777,263	)		(16,256,677	)
Net increase (decrease) in net assets resulting from operations		$256,451,125			$66,073,242			$4,774,542			$(10,029,774	)
†  Net of foreign taxes withheld of		$474			$—			$1,446,664			$793,834

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

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Statements of Operations September 30, 2018

	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 YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	4,709,068		$	360,292		$	5,347,370		$	9,732,583
Securities lending income, net		4,956			34,887			385			31,107
Total Income		4,714,024			395,179			5,347,755			9,763,690
EXPENSES:
Investment advisory fees		802,742			163,736			847,279			2,152,033
Custody fees		16,161			18,832			50,611			301,229
Administration & accounting fees		46,030			5,789			34,858			67,867
Legal fees		6,164			921			4,473			8,572
Audit & tax fees		44,954			49,076			46,333			55,197
Shareholder reporting fees		20,751			3,894			21,461			23,952
Transfer agent fees		95,468			47,249			45,542			36,767
Trustee fees		9,055			1,987			6,738			11,911
Distribution fees—Class N		5,976			15,606			5,283			5,669
Interest expense		—			105			—			—
Registration fees		59,332			50,757			51,259			52,274
Pricing fee		7			70			21,531			21,600
Other expenses		8,236			2,678			6,377			11,515
Total Expenses		1,114,876			360,700			1,141,745			2,748,586
Less fee waivers and/or reimbursements		(89,070	)		(133,943	)		(163,415	)		(385,696	)
Net Expenses		1,025,806			226,757			978,330			2,362,890
Net Investment Income (Loss)		3,688,218			168,422			4,369,425			7,400,800
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		2,024,985			1,185,400			1,562,283			873,388
Settlement of foreign currency and foreign currency transactions		—			—			(25,835	)		(169,463	)
Expiration or closing of futures contracts		680,338			29,734			(461	)		(186,085	)
Net realized gain (loss)		2,705,323			1,215,134			1,535,987			517,840
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $360,398)		29,860,727			1,835,420			(3,302,914	)		(18,597,422	)
Foreign currency and foreign currency transactions		—			—			(13,027	)		15,646
Futures contracts		24,624			(4,102	)		4,940			178,928
Net change in unrealized appreciation (depreciation)		29,885,351			1,831,318			(3,311,001	)		(18,402,848	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		32,590,674			3,046,452			(1,775,014	)		(17,885,008	)
Net increase (decrease) in net assets resulting from operations		$36,278,892			$3,214,874			$2,594,411			$(10,484,208	)
†  Net of foreign taxes withheld of		$121			$7			$532,369			$931,153

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

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220

Statements of Operations September 30, 2018

	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, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	13,150,625		$	2,444,165		$	10,315,376		$	328,595
Securities lending income, net		125,222			665,935			32,732			1,431
Total Income		13,275,847			3,110,100			10,348,108			330,026
EXPENSES:
Investment advisory fees		2,684,496			1,717,051			1,724,451			73,371
Custody fees		43,323			35,193			99,891			54,006
Administration & accounting fees		198,605			70,964			79,991			2,535
Legal fees		21,358			7,789			9,409			3,088
Audit & tax fees		51,013			55,888			63,730			56,548
Shareholder reporting fees		71,399			29,054			44,796			2,942
Transfer agent fees		952,127			381,575			396,337			26,007
Trustee fees		33,404			12,478			14,124			1,406
Distribution fees—Class N		169,945			4,248			93,411			3,156
Interest expense		—			—			—			361
Recoupment of waiver		29,155			1,540			—			—
Registration fees		64,190			50,820			57,057			45,110
Pricing fee		16			287			22,675			22,785
Other expenses		31,564			11,542			12,692			2,291
Total Expenses		4,350,595			2,378,429			2,618,564			293,606
Less fee waivers and/or reimbursements		(7,872	)		(95,456	)		(198,531	)		(200,851	)
Net Expenses		4,342,723			2,282,973			2,420,033			92,755
Net Investment Income (Loss)		8,933,124			827,127			7,928,075			237,271
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		88,359,582			59,688,954			16,785,185			1,242,008
Settlement of foreign currency and foreign currency transactions		—			—			38,977			1,792
Expiration or closing of futures contracts		3,319,796			1,023,109			69,260			—
Net realized gain (loss)		91,679,378			60,712,063			16,893,422			1,243,800
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $2,226)		129,662,009			8,737,537			(7,568,969	)		(1,475,499	)
Foreign currency and foreign currency transactions		(8	)		—			(22,400	)		(29	)
Futures contracts		(127,311	)		(190,261	)		32,617			—
Net change in unrealized appreciation (depreciation)		129,534,690			8,547,276			(7,558,752	)		(1,475,528	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		221,214,068			69,259,339			9,334,670			(231,728	)
Net increase (decrease) in net assets resulting from operations		$230,147,192			$70,086,466			$17,262,745			$5,543
†  Net of foreign taxes withheld of		$1,233			$391			$1,152,405			$30,115

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

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Statements of Operations September 30, 2018

	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, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	2,508,104		$	392,163		$	2,904,786		$	28,803,554
Securities lending income, net		14,574			103,080			20,723			38,785
Total Income		2,522,678			495,243			2,925,509			28,842,339
EXPENSES:
Investment advisory fees		516,166			272,874			480,886			3,771,414
Custody fees		21,200			21,396			53,490			43,549
Administration & accounting fees		37,431			10,554			21,714			257,489
Legal fees		4,746			1,307			2,501			31,879
Audit & tax fees		43,225			44,768			48,819			55,209
Shareholder reporting fees		10,353			6,655			8,865			109,810
Transfer agent fees		128,802			77,449			75,200			1,129,155
Trustee fees		7,213			2,808			4,647			45,771
Distribution fees—Class N		28,050			11,574			16,062			701,548
Recoupment of waiver		—			—			—			13,352
Registration fees		61,623			52,254			58,006			194,448
Pricing fee		11			69			22,624			8
Other expenses		6,742			3,355			4,628			40,864
Total Expenses		865,562			505,063			797,442			6,394,496
Less fee waivers and/or reimbursements		(102,301	)		(128,626	)		(180,018	)		(29,563	)
Net Expenses		763,261			376,437			617,424			6,364,933
Net Investment Income (Loss)		1,759,417			118,806			2,308,085			22,477,406
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		980,442			4,126,999			(253,000	)		1,361,390
Settlement of foreign currency and foreign currency transactions		—			—			1,208			—
Expiration or closing of futures contracts		764,572			141,208			205,715			10,201,063
Net realized gain (loss)		1,745,014			4,268,207			(46,077	)		11,562,453
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		41,806,755			6,097,898			771,020			228,130,472
Foreign currency and foreign currency transactions		—			—			(5,822	)		—
Futures contracts		(9,928	)		(12,493	)		7,236			(698,856	)
Net change in unrealized appreciation (depreciation)		41,796,827			6,085,405			772,434			227,431,616
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		43,541,841			10,353,612			726,357			238,994,069
Net increase (decrease) in net assets resulting from operations	$	45,301,258		$	10,472,418			$3,034,442		$	261,471,475
†  Net of foreign taxes withheld of		$193			$110			$300,444			$—

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

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222

Statements of Operations September 30, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND			AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	5,796,007		$	2,080,042		$	7,166,183		$	12,475,325
Securities lending income, net		10,498			6,345			1,029			1,107
Total Income		5,806,505			2,086,387			7,167,212			12,476,432
EXPENSES:
Investment advisory fees		790,632			430,392			1,996,394			2,935,218
Custody fees		46,723			72,371			102,802			110,466
Administration & accounting fees		36,646			14,001			55,472			84,531
Legal fees		4,872			1,805			3,606			3,968
Audit & tax fees		44,926			56,010			78,530			128,089
Shareholder reporting fees		18,059			11,091			12,948			30,421
Transfer agent fees		191,367			94,344			171,457			384,648
Trustee fees		7,022			3,378			11,066			14,428
Distribution fees—Class N		44,460			17,346			5,255			41,532
Recoupment of waiver		—			—			8,810			12,409
Registration fees		51,821			49,650			76,993			73,991
Pricing fee		22,587			18,289			25,733			26,973
Other expenses		6,725			3,788			9,665			13,136
Total Expenses		1,265,840			772,465			2,558,731			3,859,810
Less fee waivers and/or reimbursements		(154,359	)		(207,124	)		(61,918	)		(86,583	)
Net Expenses		1,111,481			565,341			2,496,813			3,773,227
Net Investment Income (Loss)		4,695,024			1,521,046			4,670,399			8,703,205
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		446,925			(234,796	)		2,121,464			5,957,038
Settlement of foreign currency and foreign currency transactions		(38,138	)		(28,888	)		(254,514	)		(402,112	)
Settlement of forward foreign currency contracts		—			—			1,198,349			(2,684,483	)
Expiration or closing of futures contracts		(390,308	)		(179,149	)		(1,438,750	)		2,375,390
Expiration or closing of swap contracts		—			—			(1,810,064	)		(2,342,017	)
Net realized gain (loss)		18,479			(442,833	)		(183,515	)		2,903,816
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $54,241, $— and $—)		1,422,049			1,018,628			11,366,877			(25,004,563	)
Foreign currency and foreign currency transactions		(6,027	)		1,208			(19,051	)		(54,078	)
Forward foreign currency exchange contracts		—			—			886,830			3,513,165
Futures contracts		28,383			70,850			509,864			2,006,546
Swap contracts		—			—			1,246,089			540,913
Net change in unrealized appreciation (depreciation)		1,444,405			1,090,686			13,990,609			(18,998,017	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		1,462,884			647,853			13,807,094			(16,094,201	)
Net increase (decrease) in net assets resulting from operations		$6,157,908			$2,168,899			$18,477,493			$(7,390,996	)
†  Net of foreign taxes withheld of		$565,405			$243,015			$409,721			$1,200,181

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

AQR Funds Annual Report September 2018

223

Statements of Operations September 30, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND			AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	385,720		$	38,564		$	2,406,542		$	899,946
Total Income		385,720			38,564			2,406,542			899,946
EXPENSES:
Investment advisory fees		104,815			27,263			419,233			399,436
Custody fees		456			—			1,893			63,696
Administration & accounting fees		2,815			591			8,913			6,793
Legal fees		2,024			1,458			3,159			2,249
Audit & tax fees		48,002			50,298			55,883			59,807
Shareholder reporting fees		2,306			815			4,763			4,778
Transfer agent fees		32,374			18,672			70,522			41,880
Trustee fees		1,522			1,102			2,722			2,272
Offering costs		5,813			4,359			4,337			4,552
Distribution fees—Class N		1,714			1,457			27,714			18,778
Dividends and interest on securities sold short (Note 3)		92,445			24,352			553,807			—
Interest expense		427			—			21			—
Registration fees		62,535			49,003			58,327			54,106
Pricing fee		118			417			1,027			1,031
Other expenses		2,396			1,944			3,178			2,968
Total Expenses		359,762			181,731			1,215,499			662,346
Less fee waivers and/or reimbursements		(127,212	)		(123,588	)		(104,883	)		(176,795	)
Net Expenses		232,550			58,143			1,110,616			485,551
Net Investment Income (Loss)		153,170			(19,579	)		1,295,926			414,395
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		413,025			49,220			(2,860,422	)		(2,426,658	)
Settlement of foreign currency and foreign currency transactions		—			—			(72,790	)		(68,820	)
Expiration or closing of futures contracts		—			—			42,551			(425,140	)
Closed short positions in securities		(861,939	)		(285,212	)		(471,196	)		—
Expiration or closing of swap contracts		—			—			—			(333,737	)
Net realized gain (loss)		(448,914	)		(235,992	)		(3,361,857	)		(3,254,355	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated		2,288,723			320,766			(3,395,430	)		(1,353,960	)
Foreign currency and foreign currency transactions		—			—			(2,479	)		1,918
Futures contracts		—			—			15,643			14,479
Short positions in securities		19,118			33,976			858,547			—
Swap contracts		—			—			—			(176,033	)
Net change in unrealized appreciation (depreciation)		2,307,841			354,742			(2,523,719	)		(1,513,596	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		1,858,927			118,750			(5,885,576	)		(4,767,951	)
Net increase (decrease) in net assets resulting from operations		$2,012,097			$99,171			$(4,589,650	)		$(4,353,556	)
†  Net of foreign taxes withheld of		$185			$9			$251,582			$94,922

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

AQR Funds Annual Report September 2018

224

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	26,303,949		$	23,973,165		$	5,323,028		$	6,623,510
Net realized gain (loss)		115,957,572			73,435,382			73,361,907			58,774,178
Net change in unrealized appreciation (depreciation)		114,189,604			224,902,747			(12,611,693	)		65,323,839
Net increase (decrease) in net assets resulting from operations		256,451,125			322,311,294			66,073,242			130,721,527
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(10,776,250	)		(4,975,827	)		(5,462,948	)		(1,262,080	)
Class N		(1,302,797	)		(669,401	)		(690,037	)		(247,535	)
Class R6		(30,638,035	)		(15,350,782	)		(64,425,548	)		(18,973,901	)
Total distributions		(42,717,082	)		(20,996,010	)		(70,578,533	)		(20,483,516	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		95,787,362			140,833,316			15,582,728			28,720,541
Reinvestment of distributions		9,776,384			4,346,415			5,462,948			1,261,541
Cost of shares redeemed		(108,671,308	)		(390,857,879	)		(14,167,311	)		(26,858,961	)
Net increase (decrease) from capital transactions		(3,107,562	)		(245,678,148	)		6,878,365			3,123,121
CLASS N
Proceeds from shares sold		25,335,787			10,166,505			3,216,149			3,396,863
Reinvestment of distributions		1,300,872			668,290			687,488			246,619
Cost of shares redeemed		(25,474,909	)		(24,588,845	)		(4,669,146	)		(6,058,076	)
Net increase (decrease) from capital transactions		1,161,750			(13,754,050	)		(765,509	)		(2,414,594	)
CLASS R6
Proceeds from shares sold		350,817,533			443,553,869			83,802,921			116,160,936
Reinvestment of distributions		30,519,773			15,022,031			59,088,320			17,579,880
Cost of shares redeemed		(414,196,743	)		(219,065,217	)		(196,791,558	)		(190,166,011	)
Net increase (decrease) from capital transactions		(32,859,437	)		239,510,683			(53,900,317	)		(56,425,195	)
Net increase (decrease) in net assets resulting from capital transactions		(34,805,249	)		(19,921,515	)		(47,787,461	)		(55,716,668	)
Total increase (decrease) in net assets		178,928,794			281,393,769			(52,292,752	)		54,521,343
NET ASSETS:
Beginning of period		1,766,045,807			1,484,652,038			797,723,228			743,201,885
End of period	$	1,944,974,601		$	1,766,045,807		$	745,430,476		$	797,723,228

The accompanying notes are an integral part of these financial statements. (continued on p. 226)

AQR Funds Annual Report September 2018

225

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		27,105,928			44,811,070			3,425,976			3,258,870
Shares sold		5,333,007			9,220,046			999,126			1,907,423
Shares issued on reinvestment of distributions		550,162			294,273			365,415			82,453
Shares redeemed		(6,061,509	)		(27,219,461	)		(906,159	)		(1,822,770	)
Shares outstanding, end of period		26,927,588			27,105,928			3,884,358			3,425,976
CLASS N
Shares outstanding, beginning of period		3,733,125			4,643,563			538,645			700,486
Shares sold		1,415,274			665,568			205,765			228,754
Shares issued on reinvestment of distributions		73,454			45,369			46,078			16,161
Shares redeemed		(1,427,128	)		(1,621,375	)		(297,661	)		(406,756	)
Shares outstanding, end of period		3,794,725			3,733,125			492,827			538,645
CLASS R6
Shares outstanding, beginning of period		73,872,372			56,611,041			45,548,724			49,226,271
Shares sold		19,575,372			30,560,220			5,393,761			7,765,757
Shares issued on reinvestment of distributions		1,719,424			1,017,753			3,949,754			1,147,512
Shares redeemed		(22,576,781	)		(14,316,642	)		(12,407,473	)		(12,590,816	)
Shares outstanding, end of period		72,590,387			73,872,372			42,484,766			45,548,724

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

226

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	11,551,805		$	9,925,411		$	6,226,903		$	5,648,402
Net realized gain (loss)		17,742,504			15,744,900			8,610,084			8,322,666
Net change in unrealized appreciation (depreciation)		(24,519,767	)		53,141,324			(24,866,761	)		45,882,489
Net increase (decrease) in net assets resulting from operations		4,774,542			78,811,635			(10,029,774	)		59,853,557
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(1,871,811	)		(1,615,459	)		(1,550,648	)		(1,429,461	)
Class N		(162,279	)		(194,539	)		(84,835	)		(130,267	)
Class R6		(9,653,985	)		(7,987,798	)		(3,875,940	)		(3,682,831	)
Total distributions		(11,688,075	)		(9,797,796	)		(5,511,423	)		(5,242,559	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		26,293,510			19,633,543			25,979,657			37,682,958
Reinvestment of distributions		1,868,748			1,612,750			1,550,537			1,428,298
Cost of shares redeemed		(20,451,269	)		(24,211,103	)		(95,086,495	)		(31,081,689	)
Net increase (decrease) from capital transactions		7,710,989			(2,964,810	)		(67,556,301	)		8,029,567
CLASS N
Proceeds from shares sold		2,806,811			2,954,447			9,802,946			2,013,359
Reinvestment of distributions		161,205			193,541			84,835			130,267
Cost of shares redeemed		(4,820,322	)		(4,121,548	)		(11,280,986	)		(4,308,730	)
Net increase (decrease) from capital transactions		(1,852,306	)		(973,560	)		(1,393,205	)		(2,165,104	)
CLASS R6
Proceeds from shares sold		56,823,039			79,290,772			112,121,781			36,137,353
Reinvestment of distributions		9,578,079			7,922,560			3,839,830			3,653,343
Cost of shares redeemed		(116,207,995	)		(60,093,576	)		(49,354,536	)		(39,269,853	)
Net increase (decrease) from capital transactions		(49,806,877	)		27,119,756			66,607,075			520,843
Net increase (decrease) in net assets resulting from capital transactions		(43,948,194	)		23,181,386			(2,342,431	)		6,385,306
Total increase (decrease) in net assets		(50,861,727	)		92,195,225			(17,883,628	)		60,996,304
NET ASSETS:
Beginning of period		470,268,680			378,073,455			326,500,884			265,504,580
End of period	$	419,406,953		$	470,268,680		$	308,617,256		$	326,500,884

The accompanying notes are an integral part of these financial statements. (continued on p. 228)

AQR Funds Annual Report September 2018

227

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		6,382,844			6,677,387			9,084,086			8,243,713
Shares sold		2,185,654			1,849,100			2,323,815			3,799,597
Shares issued on reinvestment of distributions		156,381			163,898			141,990			174,183
Shares redeemed		(1,694,896	)		(2,307,541	)		(8,118,622	)		(3,133,407	)
Shares outstanding, end of period		7,029,983			6,382,844			3,431,269			9,084,086
CLASS N
Shares outstanding, beginning of period		741,408			832,639			629,566			850,737
Shares sold		233,747			286,397			900,890			226,977
Shares issued on reinvestment of distributions		13,501			19,689			7,769			15,886
Shares redeemed		(400,936	)		(397,317	)		(1,015,315	)		(464,034	)
Shares outstanding, end of period		587,720			741,408			522,910			629,566
CLASS R6
Shares outstanding, beginning of period		32,248,885			29,492,098			20,749,080			20,536,218
Shares sold		4,735,673			7,577,114			9,659,418			3,893,741
Shares issued on reinvestment of distributions		802,856			805,957			351,311			444,987
Shares redeemed		(9,706,022	)		(5,626,284	)		(4,419,542	)		(4,125,866	)
Shares outstanding, end of period		28,081,392			32,248,885			26,340,267			20,749,080

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

228

Statements of Changes in Net Assets September 30, 2018

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	3,688,218		$	2,766,020		$	168,422		$	181,185
Net realized gain (loss)		2,705,323			424,382			1,215,134			439,324
Net change in unrealized appreciation (depreciation)		29,885,351			33,816,540			1,831,318			3,195,344
Net increase (decrease) in net assets resulting from operations		36,278,892			37,006,942			3,214,874			3,815,853
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(818,162	)		(560,731	)		(602,144	)		(154,814	)
Class N		(21,911	)		(22,922	)		(137,360	)		(25,593	)
Class R6		(2,148,486	)		(1,372,023	)		(65,206	)		(22,170	)
Total distributions		(2,988,559	)		(1,955,676	)		(804,710	)		(202,577	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		21,740,496			18,063,674			5,052,196			6,781,869
Reinvestment of distributions		813,559			556,533			601,692			154,181
Cost of shares redeemed		(8,616,650	)		(4,512,759	)		(2,891,525	)		(2,124,391	)
Net increase (decrease) from capital transactions		13,937,405			14,107,448			2,762,363			4,811,659
CLASS N
Proceeds from shares sold		659,520			991,351			1,998,957			3,690,705
Reinvestment of distributions		21,911			22,922			137,360			25,593
Cost of shares redeemed		(892,234	)		(1,389,436	)		(1,601,248	)		(1,836,542	)
Net increase (decrease) from capital transactions		(210,803	)		(375,163	)		535,069			1,879,756
CLASS R6
Proceeds from shares sold		49,575,877			52,090,671			—			—
Reinvestment of distributions		2,145,431			1,367,976			65,206			22,170
Cost of shares redeemed		(25,434,061	)		(14,687,541	)		—			—
Net increase (decrease) from capital transactions		26,287,247			38,771,106			65,206			22,170
Net increase (decrease) in net assets resulting from capital transactions		40,013,849			52,503,391			3,362,638			6,713,585
Total increase (decrease) in net assets		73,304,182			87,554,657			5,772,802			10,326,861
NET ASSETS:
Beginning of period		227,775,622			140,220,965			29,061,859			18,734,998
End of period	$	301,079,804		$	227,775,622		$	34,834,661		$	29,061,859

The accompanying notes are an integral part of these financial statements. (continued on p. 230)

AQR Funds Annual Report September 2018

229

Statements of Changes in Net Assets September 30, 2018

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		5,295,943			3,995,600			1,766,988			1,338,219
Shares sold		1,676,676			1,651,972			410,222			604,397
Shares issued on reinvestment of distributions		63,214			52,652			49,974			13,489
Shares redeemed		(657,890	)		(404,281	)		(231,797	)		(189,117	)
Shares outstanding, end of period		6,377,943			5,295,943			1,995,387			1,766,988
CLASS N
Shares outstanding, beginning of period		183,388			217,083			457,078			289,019
Shares sold		50,916			91,182			166,366			329,990
Shares issued on reinvestment of distributions		1,705			2,171			11,437			2,243
Shares redeemed		(68,296	)		(127,048	)		(128,313	)		(164,174	)
Shares outstanding, end of period		167,713			183,388			506,568			457,078
CLASS R6
Shares outstanding, beginning of period		13,352,220			9,800,397			193,053			191,117
Shares sold		3,792,122			4,764,209			—			—
Shares issued on reinvestment of distributions		166,700			129,420			5,407			1,936
Shares redeemed		(1,944,756	)		(1,341,806	)		—			—
Shares outstanding, end of period		15,366,286			13,352,220			198,460			193,053

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

230

Statements of Changes in Net Assets September 30, 2018

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	4,369,425		$	3,739,025		$	7,400,800		$	5,997,876
Net realized gain (loss)		1,535,987			61,909			517,840			2,417,623
Net change in unrealized appreciation (depreciation)		(3,311,001	)		26,561,545			(18,402,848	)		58,623,612
Net increase (decrease) in net assets resulting from operations		2,594,411			30,362,479			(10,484,208	)		67,039,111
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(644,479	)		(422,289	)		(286,290	)		(296,146	)
Class N		(47,940	)		(30,453	)		(31,785	)		(49,154	)
Class R6		(3,770,415	)		(2,510,600	)		(5,586,088	)		(6,513,104	)
Total distributions		(4,462,834	)		(2,963,342	)		(5,904,163	)		(6,858,404	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		8,564,970			5,883,701			5,010,657			3,979,959
Reinvestment of distributions		639,789			413,893			277,677			283,665
Cost of shares redeemed		(5,986,354	)		(4,563,660	)		(4,025,314	)		(2,771,277	)
Net increase (decrease) from capital transactions		3,218,405			1,733,934			1,263,020			1,492,347
CLASS N
Proceeds from shares sold		539,743			828,696			537,217			781,758
Reinvestment of distributions		47,940			30,453			31,785			49,154
Cost of shares redeemed		(1,087,872	)		(686,814	)		(1,093,736	)		(1,165,523	)
Net increase (decrease) from capital transactions		(500,189	)		172,335			(524,734	)		(334,611	)
CLASS R6
Proceeds from shares sold		27,806,384			26,791,516			15,239,075			16,416,631
Reinvestment of distributions		3,766,767			2,506,738			5,584,281			6,510,144
Cost of shares redeemed		(20,020,485	)		(17,661,501	)		(26,016,762	)		(19,083,778	)
Net increase (decrease) from capital transactions		11,552,666			11,636,753			(5,193,406	)		3,842,997
Net increase (decrease) in net assets resulting from capital transactions		14,270,882			13,543,022			(4,455,120	)		5,000,733
Total increase (decrease) in net assets		12,402,459			40,942,159			(20,843,491	)		65,181,440
NET ASSETS:
Beginning of period		179,269,191			138,327,032			352,854,397			287,672,957
End of period	$	191,671,650		$	179,269,191		$	332,010,906		$	352,854,397

The accompanying notes are an integral part of these financial statements. (continued on p. 232)

AQR Funds Annual Report September 2018

231

Statements of Changes in Net Assets September 30, 2018

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,306,712			2,128,774			1,529,628			1,370,519
Shares sold		764,768			585,383			447,137			407,778
Shares issued on reinvestment of distributions		57,073			45,086			24,552			33,451
Shares redeemed		(531,969	)		(452,531	)		(369,017	)		(282,120	)
Shares outstanding, end of period		2,596,584			2,306,712			1,632,300			1,529,628
CLASS N
Shares outstanding, beginning of period		186,870			168,987			207,005			233,206
Shares sold		48,084			85,293			46,682			84,653
Shares issued on reinvestment of distributions		4,284			3,325			2,808			5,789
Shares redeemed		(98,825	)		(70,735	)		(98,108	)		(116,643	)
Shares outstanding, end of period		140,413			186,870			158,387			207,005
CLASS R6
Shares outstanding, beginning of period		13,549,216			12,337,482			29,960,986			29,394,195
Shares sold		2,458,198			2,714,486			1,347,163			1,733,236
Shares issued on reinvestment of distributions		335,420			272,768			493,747			767,706
Shares redeemed		(1,769,472	)		(1,775,520	)		(2,236,193	)		(1,934,151	)
Shares outstanding, end of period		14,573,362			13,549,216			29,565,703			29,960,986

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

232

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	8,933,124		$	10,923,780		$	827,127		$	1,572,201
Net realized gain (loss)		91,679,378			73,752,927			60,712,063			36,171,814
Net change in unrealized appreciation (depreciation)		129,534,690			57,914,342			8,547,276			26,319,546
Net increase (decrease) in net assets resulting from operations		230,147,192			142,591,049			70,086,466			64,063,561
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(76,341,133	)		(60,101,472	)		(32,807,701	)		(2,567,241	)
Class N		(5,133,765	)		(4,122,187	)		(99,309	)		—
Class R6		(5,802,831	)		(4,515,475	)		(1,143,211	)		(79,227	)
Total distributions		(87,277,729	)		(68,739,134	)		(34,050,221	)		(2,646,468	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		163,829,903			154,774,327			45,235,866			51,370,096
Reinvestment of distributions		76,128,358			60,037,357			32,791,199			2,558,986
Cost of shares redeemed		(246,125,073	)		(230,601,389	)		(125,115,397	)		(70,940,111	)
Net increase (decrease) from capital transactions		(6,166,812	)		(15,789,705	)		(47,088,332	)		(17,011,029	)
CLASS N
Proceeds from shares sold		15,958,025			7,404,914			1,813,033			396,727
Reinvestment of distributions		5,133,360			4,121,868			99,309			—
Cost of shares redeemed		(11,837,299	)		(14,419,255	)		(951,481	)		(531,776	)
Net increase (decrease) from capital transactions		9,254,086			(2,892,473	)		960,861			(135,049	)
CLASS R6
Proceeds from shares sold		42,405,165			16,080,377			8,229,692			2,308,572
Reinvestment of distributions		5,772,894			4,492,109			1,142,144			79,139
Cost of shares redeemed		(22,976,645	)		(18,757,198	)		(1,722,087	)		(773,259	)
Net increase (decrease) from capital transactions		25,201,414			1,815,288			7,649,749			1,614,452
Net increase (decrease) in net assets resulting from capital transactions		28,288,688			(16,866,890	)		(38,477,722	)		(15,531,626	)
Total increase (decrease) in net assets		171,158,151			56,985,025			(2,441,477	)		45,885,467
NET ASSETS:
Beginning of period		994,651,503			937,666,478			373,103,524			327,218,057
End of period	$	1,165,809,654		$	994,651,503		$	370,662,047		$	373,103,524

The accompanying notes are an integral part of these financial statements. (continued on p. 234)

AQR Funds Annual Report September 2018

233

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		39,535,338			40,158,763			14,479,520			15,247,228
Shares sold		7,100,399			7,605,960			1,806,138			2,290,061
Shares issued on reinvestment of distributions		3,516,321			3,118,824			1,394,777			114,240
Shares redeemed		(10,677,020	)		(11,348,209	)		(4,905,328	)		(3,172,009	)
Shares outstanding, end of period		39,475,038			39,535,338			12,775,107			14,479,520
CLASS N
Shares outstanding, beginning of period		2,686,851			2,823,181			69,288			76,105
Shares sold		691,541			363,923			68,924			17,898
Shares issued on reinvestment of distributions		236,888			213,901			4,217			—
Shares redeemed		(514,969	)		(714,154	)		(37,998	)		(24,715	)
Shares outstanding, end of period		3,100,311			2,686,851			104,431			69,288
CLASS R6
Shares outstanding, beginning of period		3,001,708			2,895,803			480,490			408,690
Shares sold		1,830,232			791,962			318,663			102,839
Shares issued on reinvestment of distributions		267,388			233,842			48,705			3,541
Shares redeemed		(1,011,066	)		(919,899	)		(66,885	)		(34,580	)
Shares outstanding, end of period		4,088,262			3,001,708			780,973			480,490

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

234

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	7,928,075		$	8,066,811		$	237,271		$	255,005
Net realized gain (loss)		16,893,422			11,516,102			1,243,800			289,377
Net change in unrealized appreciation (depreciation)		(7,558,752	)		33,527,943			(1,475,528	)		2,041,026
Net increase (decrease) in net assets resulting from operations		17,262,745			53,110,856			5,543			2,585,408
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(7,041,640	)		(6,221,505	)		(197,095	)		(124,339	)
Class N		(676,884	)		(598,973	)		(22,047	)		(12,317	)
Class R6		(1,097,301	)		(869,430	)		(39,256	)		(14,922	)
Total distributions		(8,815,825	)		(7,689,908	)		(258,398	)		(151,578	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		72,031,543			74,964,141			1,447,045			1,485,262
Reinvestment of distributions		7,039,182			6,218,003			197,095			124,339
Cost of shares redeemed		(63,862,539	)		(63,513,055	)		(3,299,564	)		(1,563,236	)
Net increase (decrease) from capital transactions		15,208,186			17,669,089			(1,655,424	)		46,365
CLASS N
Proceeds from shares sold		9,462,734			5,679,592			44,782			53,618
Reinvestment of distributions		676,884			598,973			22,047			12,317
Cost of shares redeemed		(4,340,652	)		(6,388,590	)		(90,261	)		(217,315	)
Net increase (decrease) from capital transactions		5,798,966			(110,025	)		(23,432	)		(151,380	)
CLASS R6
Proceeds from shares sold		23,220,150			11,815,084			891,752			676,411
Reinvestment of distributions		1,097,301			868,265			39,256			14,922
Cost of shares redeemed		(7,166,865	)		(7,080,653	)		(297,908	)		(155,649	)
Net increase (decrease) from capital transactions		17,150,586			5,602,696			633,100			535,684
Net increase (decrease) in net assets resulting from capital transactions		38,157,738			23,161,760			(1,045,756	)		430,669
Total increase (decrease) in net assets		46,604,658			68,582,708			(1,298,611	)		2,864,499
NET ASSETS:
Beginning of period		406,468,519			337,885,811			13,691,928			10,827,429
End of period	$	453,073,177		$	406,468,519		$	12,393,317		$	13,691,928

The accompanying notes are an integral part of these financial statements. (continued on p. 236)

AQR Funds Annual Report September 2018

235

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		21,061,118			19,627,772			1,008,926			1,003,384
Shares sold		4,535,715			5,546,955			125,054			166,954
Shares issued on reinvestment of distributions		450,363			488,837			17,788			15,699
Shares redeemed		(4,005,295	)		(4,602,446	)		(289,024	)		(177,111	)
Shares outstanding, end of period		22,041,901			21,061,118			862,744			1,008,926
CLASS N
Shares outstanding, beginning of period		2,200,569			2,207,600			112,797			126,465
Shares sold		594,470			415,499			3,879			5,909
Shares issued on reinvestment of distributions		43,362			47,126			1,986			1,553
Shares redeemed		(273,625	)		(469,656	)		(7,773	)		(21,130	)
Shares outstanding, end of period		2,564,776			2,200,569			110,889			112,797
CLASS R6
Shares outstanding, beginning of period		2,964,194			2,555,356			166,502			107,058
Shares sold		1,465,684			858,078			78,904			73,914
Shares issued on reinvestment of distributions		70,340			68,367			3,540			1,882
Shares redeemed		(451,601	)		(517,607	)		(26,161	)		(16,352	)
Shares outstanding, end of period		4,048,617			2,964,194			222,785			166,502

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

236

Statements of Changes in Net Assets September 30, 2018

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	1,759,417		$	1,841,956		$	118,806		$	187,402
Net realized gain (loss)		1,745,014			367,291			4,268,207			771,880
Net change in unrealized appreciation (depreciation)		41,796,827			21,797,950			6,085,405			6,910,549
Net increase (decrease) in net assets resulting from operations		45,301,258			24,007,197			10,472,418			7,869,831
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(716,329	)		(955,242	)		(169,922	)		(254,946	)
Class N		(65,175	)		(2,128	)		(10,537	)		(918	)
Class R6		(777,211	)		(1,235,381	)		(821	)		(1,393	)
Total distributions		(1,558,715	)		(2,192,751	)		(181,280	)		(257,257	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		16,390,697			21,637,497			10,834,814			11,256,908
Reinvestment of distributions		716,292			955,242			169,922			254,946
Cost of shares redeemed		(12,862,332	)		(13,438,274	)		(5,456,512	)		(4,321,955	)
Net increase (decrease) from capital transactions		4,244,657			9,154,465			5,548,224			7,189,899
CLASS N
Proceeds from shares sold		5,079,649			8,608,192			2,527,376			3,053,888
Reinvestment of distributions		65,175			2,128			10,537			918
Cost of shares redeemed		(2,566,725	)		(521,673	)		(898,531	)		(129,774	)
Net increase (decrease) from capital transactions		2,578,099			8,088,647			1,639,382			2,925,032
CLASS R6
Proceeds from shares sold		18,538,623			12,410,098			—			—
Reinvestment of distributions		776,372			1,234,108			821			1,393
Cost of shares redeemed		(21,657,707	)		(20,260,706	)		(8,633	)		(105	)
Net increase (decrease) from capital transactions		(2,342,712	)		(6,616,500	)		(7,812	)		1,288
Net increase (decrease) in net assets resulting from capital transactions		4,480,044			10,626,612			7,179,794			10,116,219
Total increase (decrease) in net assets		48,222,587			32,441,058			17,470,932			17,728,793
NET ASSETS:
Beginning of period		180,188,975			147,747,917			51,277,497			33,548,704
End of period	$	228,411,562		$	180,188,975		$	68,748,429		$	51,277,497

The accompanying notes are an integral part of these financial statements. (continued on p. 238)

AQR Funds Annual Report September 2018

237

Statements of Changes in Net Assets September 30, 2018

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,484,510			3,971,690			2,509,919			2,094,916
Shares sold		751,698			1,220,231			524,732			650,112
Shares issued on reinvestment of distributions		34,388			55,764			8,638			14,866
Shares redeemed		(584,530	)		(763,175	)		(259,400	)		(249,975	)
Shares outstanding, end of period		4,686,066			4,484,510			2,783,889			2,509,919
CLASS N
Shares outstanding, beginning of period		440,406			9,538			170,348			9,764
Shares sold		238,388			458,095			127,061			167,850
Shares issued on reinvestment of distributions		3,142			125			539			54
Shares redeemed		(115,933	)		(27,352	)		(42,458	)		(7,320	)
Shares outstanding, end of period		566,003			440,406			255,490			170,348
CLASS R6
Shares outstanding, beginning of period		4,353,778			4,730,865			10,527			10,452
Shares sold		860,572			684,733			—			—
Shares issued on reinvestment of distributions		37,344			72,170			42			81
Shares redeemed		(1,011,291	)		(1,133,990	)		(454	)		(6	)
Shares outstanding, end of period		4,240,403			4,353,778			10,115			10,527

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

238

Statements of Changes in Net Assets September 30, 2018

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	2,308,085		$	1,967,026		$	22,477,406		$	16,836,566
Net realized gain (loss)		(46,077	)		(50,751	)		11,562,453			10,732,066
Net change in unrealized appreciation (depreciation)		772,434			9,894,957			227,431,616			138,976,696
Net increase (decrease) in net assets resulting from operations		3,034,442			11,811,232			261,471,475			166,545,328
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(797,114	)		(685,240	)		(18,654,170	)		(10,646,267	)
Class N		(85,403	)		(3,572	)		(5,492,715	)		(3,989,741	)
Class R6		(1,116,578	)		(1,215,630	)		(6,324,648	)		(2,736,853	)
Total distributions		(1,999,095	)		(1,904,442	)		(30,471,533	)		(17,372,861	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		19,357,361			18,560,003			810,293,817			326,890,251
Reinvestment of distributions		797,114			685,240			18,133,691			10,296,185
Cost of shares redeemed		(6,113,073	)		(13,430,020	)		(267,178,907	)		(155,458,852	)
Net increase (decrease) from capital transactions		14,041,402			5,815,223			561,248,601			181,727,584
CLASS N
Proceeds from shares sold		3,893,025			4,746,198			186,299,595			101,293,568
Reinvestment of distributions		85,403			3,572			5,487,991			3,988,957
Cost of shares redeemed		(979,905	)		(271,772	)		(162,802,126	)		(126,268,724	)
Net increase (decrease) from capital transactions		2,998,523			4,477,998			28,985,460			(20,986,199	)
CLASS R6
Proceeds from shares sold		12,953,829			10,548,840			149,983,329			66,260,633
Reinvestment of distributions		1,114,827			1,215,630			6,238,950			2,735,594
Cost of shares redeemed		(8,789,957	)		(15,985,275	)		(87,148,011	)		(21,617,756	)
Net increase (decrease) from capital transactions		5,278,699			(4,220,805	)		69,074,268			47,378,471
Net increase (decrease) in net assets resulting from capital transactions		22,318,624			6,072,416			659,308,329			208,119,856
Total increase (decrease) in net assets		23,353,971			15,979,206			890,308,271			357,292,323
NET ASSETS:
Beginning of period		105,765,496			89,786,290			1,230,607,084			873,314,761
End of period	$	129,119,467		$	105,765,496		$	2,120,915,355		$	1,230,607,084

The accompanying notes are an integral part of these financial statements. (continued on p. 240)

AQR Funds Annual Report September 2018

239

Statements of Changes in Net Assets September 30, 2018

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,220,835			2,762,443			43,542,452			33,090,713
Shares sold		1,378,829			1,550,374			40,283,448			19,100,641
Shares issued on reinvestment of distributions		57,512			60,856			947,919			637,535
Shares redeemed		(435,944	)		(1,152,838	)		(13,828,860	)		(9,286,437	)
Shares outstanding, end of period		4,221,232			3,220,835			70,944,959			43,542,452
CLASS N
Shares outstanding, beginning of period		352,156			13,105			13,152,323			14,418,150
Shares sold		279,751			359,329			9,463,472			5,985,115
Shares issued on reinvestment of distributions		6,193			318			287,329			247,147
Shares redeemed		(70,201	)		(20,596	)		(8,252,112	)		(7,498,089	)
Shares outstanding, end of period		567,899			352,156			14,651,012			13,152,323
CLASS R6
Shares outstanding, beginning of period		4,159,523			4,552,606			10,858,002			8,114,231
Shares sold		925,199			856,159			7,774,083			3,882,814
Shares issued on reinvestment of distributions		80,668			108,249			326,818			169,702
Shares redeemed		(625,522	)		(1,357,491	)		(4,339,926	)		(1,308,745	)
Shares outstanding, end of period		4,539,868			4,159,523			14,618,977			10,858,002

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

240

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	4,695,024		$	3,846,795		$	1,521,046		$	1,143,552
Net realized gain (loss)		18,479			432,068			(442,833	)		(871,477	)
Net change in unrealized appreciation (depreciation)		1,444,405			14,750,315			1,090,686			5,963,387
Net increase (decrease) in net assets resulting from operations		6,157,908			19,029,178			2,168,899			6,235,462
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(3,331,251	)		(1,376,647	)		(1,062,921	)		(775,009	)
Class N		(496,071	)		(325,467	)		(73,559	)		(2,256	)
Class R6		(542,164	)		(216,668	)		(3,683	)		(3,159	)
Total distributions		(4,369,486	)		(1,918,782	)		(1,140,163	)		(780,424	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		55,344,839			59,917,668			19,640,073			20,433,053
Reinvestment of distributions		3,331,251			1,376,647			1,062,921			774,826
Cost of shares redeemed		(30,897,704	)		(24,967,749	)		(7,485,865	)		(13,445,045	)
Net increase (decrease) from capital transactions		27,778,386			36,326,566			13,217,129			7,762,834
CLASS N
Proceeds from shares sold		1,017,221			17,910,739			6,009,703			4,546,034
Reinvestment of distributions		496,071			325,467			73,559			2,256
Cost of shares redeemed		(27,897,011	)		(12,515,245	)		(1,037,741	)		(387,794	)
Net increase (decrease) from capital transactions		(26,383,719	)		5,720,961			5,045,521			4,160,496
CLASS R6
Proceeds from shares sold		12,207,346			7,431,980			—			—
Reinvestment of distributions		542,164			216,668			3,683			3,159
Cost of shares redeemed		(3,902,657	)		(4,545,300	)		(19,572	)		—
Net increase (decrease) from capital transactions		8,846,853			3,103,348			(15,889	)		3,159
Net increase (decrease) in net assets resulting from capital transactions		10,241,520			45,150,875			18,246,761			11,926,489
Total increase (decrease) in net assets		12,029,942			62,261,271			19,275,497			17,381,527
NET ASSETS:
Beginning of period		194,908,643			132,647,372			67,390,649			50,009,122
End of period	$	206,938,585		$	194,908,643		$	86,666,146		$	67,390,649

The accompanying notes are an integral part of these financial statements. (continued on p. 242)

AQR Funds Annual Report September 2018

241

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		10,933,855			8,004,942			6,592,892			5,639,656
Shares sold		4,112,394			4,874,827			1,993,757			2,394,166
Shares issued on reinvestment of distributions		250,470			122,805			108,683			98,079
Shares redeemed		(2,300,209	)		(2,068,719	)		(757,344	)		(1,539,009	)
Shares outstanding, end of period		12,996,510			10,933,855			7,937,988			6,592,892
CLASS N
Shares outstanding, beginning of period		2,216,623			1,704,809			509,044			22,961
Shares sold		74,336			1,474,453			599,651			527,245
Shares issued on reinvestment of distributions		36,342			28,326			7,341			279
Shares redeemed		(2,016,203	)		(990,965	)		(104,187	)		(41,441	)
Shares outstanding, end of period		311,098			2,216,623			1,011,849			509,044
CLASS R6
Shares outstanding, beginning of period		1,486,721			1,213,597			22,106			21,705
Shares sold		910,345			619,312			—			—
Shares issued on reinvestment of distributions		40,826			19,363			378			401
Shares redeemed		(289,042	)		(365,551	)		(1,913	)		—
Shares outstanding, end of period		2,148,850			1,486,721			20,571			22,106

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

242

Statements of Changes in Net Assets September 30, 2018

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)	$	4,670,399		$	2,290,063		$	8,703,205		$	7,839,516
Net realized gain (loss)		(183,515	)		11,600,253			2,903,816			27,108,617
Net change in unrealized appreciation (depreciation)		13,990,609			16,779,337			(18,998,017	)		40,336,968
Net increase (decrease) in net assets resulting from operations		18,477,493			30,669,653			(7,390,996	)		75,285,101
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(5,971,499	)		(2,836,396	)		(32,028,888	)		(15,797,705	)
Class N		(93,517	)		(135,011	)		(1,432,451	)		(1,458,842	)
Class R6		(8,440,765	)		(10,323,682	)		(3,935,384	)		(671,372	)
Total distributions		(14,505,781	)		(13,295,089	)		(37,396,723	)		(17,927,919	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		189,043,769			12,128,871			150,167,056			84,815,575
Reinvestment of distributions		5,948,575			2,835,116			29,711,153			14,138,963
Cost of shares redeemed		(37,557,817	)		(10,315,994	)		(95,825,332	)		(171,249,833	)
Net increase (decrease) from capital transactions		157,434,527			4,647,993			84,052,877			(72,295,295	)
CLASS N
Proceeds from shares sold		1,143,324			1,153,074			13,150,275			9,270,889
Reinvestment of distributions		93,517			135,011			1,312,338			1,335,280
Cost of shares redeemed		(1,421,316	)		(939,549	)		(14,711,432	)		(37,068,943	)
Net increase (decrease) from capital transactions		(184,475	)		348,536			(248,819	)		(26,462,774	)
CLASS R6
Proceeds from shares sold		28,557,257			16,049,836			12,877,931			26,475,529
Reinvestment of distributions		8,440,765			10,323,682			3,935,384			671,372
Cost of shares redeemed		(13,692,590	)		(70,541	)		(11,544,367	)		(2,904,530	)
Net increase (decrease) from capital transactions		23,305,432			26,302,977			5,268,948			24,242,371
Net increase (decrease) in net assets resulting from capital transactions		180,555,484			31,299,506			89,073,006			(74,515,698	)
Total increase (decrease) in net assets		184,527,196			48,674,070			44,285,287			(17,158,516	)
NET ASSETS:
Beginning of period		189,972,260			141,298,190			405,055,552			422,214,068
End of period	$	374,499,456		$	189,972,260		$	449,340,839		$	405,055,552

The accompanying notes are an integral part of these financial statements. (continued on p. 244)

AQR Funds Annual Report September 2018

243

Statements of Changes in Net Assets September 30, 2018

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,671,412			4,067,125			29,670,936			36,446,082
Shares sold		20,630,784			1,502,926			13,619,612			8,011,359
Shares issued on reinvestment of distributions		667,629			376,010			2,728,297			1,482,072
Shares redeemed		(4,136,053	)		(1,274,649	)		(8,704,172	)		(16,268,577	)
Shares outstanding, end of period		21,833,772			4,671,412			37,314,673			29,670,936
CLASS N
Shares outstanding, beginning of period		255,046			212,001			1,251,644			3,604,797
Shares sold		126,366			141,204			1,137,530			875,834
Shares issued on reinvestment of distributions		10,531			17,978			117,593			137,092
Shares redeemed		(157,776	)		(116,137	)		(1,287,549	)		(3,366,079	)
Shares outstanding, end of period		234,167			255,046			1,219,218			1,251,644
CLASS R6
Shares outstanding, beginning of period		16,309,218			13,023,243			3,560,850			1,335,884
Shares sold		3,120,635			1,934,027			1,083,990			2,411,991
Shares issued on reinvestment of distributions		939,952			1,360,169			338,673			66,341
Shares redeemed		(1,501,128	)		(8,221	)		(989,790	)		(253,366	)
Shares outstanding, end of period		18,868,677			16,309,218			3,993,723			3,560,850

(a) As disclosed in Note 14, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 5 to review the character of each respective Funds’ distributable earnings for the year ended September 30, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report September 2018

244

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND						AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17
OPERATIONS:
Net investment income (loss)	$	153,170		$	69,027		$	(19,579	)	$	(2,677	)
Net realized gain (loss)		(448,914	)		(39,665	)		(235,992	)		(130,457	)
Net change in unrealized appreciation (depreciation)		2,307,841			1,198,320			354,742			244,232
Net increase (decrease) in net assets resulting from operations		2,012,097			1,227,682			99,171			111,098
DISTRIBUTIONS TO SHAREHOLDERS:
Distributable earnings:
Class I		(133,818	)		—			(12,632	)		—
Class N		(2,636	)		—			(3,898	)		—
Class R6		(19,501	)		—			(13,750	)		—
Total		(155,955	)		—			(30,280	)		—
Return of capital:
Class I		—			—			(1,266	)		—
Class N		—			—			(500	)		—
Class R6		—			—			(1,160	)		—
Total		—			—			(2,926	)		—
Total distributions		(155,955	)		—			(33,206	)		—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		5,959,715			12,983,234			714,894			1,490,338
Reinvestment of distributions		133,818			—			13,898			—
Cost of shares redeemed		(4,690,532	)		(286,671	)		(737,762	)		(189,170	)
Net increase (decrease) from capital transactions		1,403,001			12,696,563			(8,970	)		1,301,168
CLASS N
Proceeds from shares sold		146,602			1,186,574			208			652,860
Reinvestment of distributions		2,636			—			4,398			—
Cost of shares redeemed		(473,515	)		(302,831	)		(8,008	)		(92,255	)
Net increase (decrease) from capital transactions		(324,277	)		883,743			(3,402	)		560,605
CLASS R6
Proceeds from shares sold		—			1,754,717			20,000			1,291,979
Reinvestment of distributions		19,501			—			14,910			—
Cost of shares redeemed		(372,902	)		—			(56,998	)		—
Net increase (decrease) from capital transactions		(353,401	)		1,754,717			(22,088	)		1,291,979
Net increase (decrease) in net assets resulting from capital transactions		725,323			15,335,023			(34,460	)		3,153,752
Total increase (decrease) in net assets		2,581,465			16,562,705			31,505			3,264,850
NET ASSETS:
Beginning of period		16,562,705			—			3,264,850			—
End of period	$	19,144,170		$	16,562,705		$	3,296,355		$	3,264,850

The accompanying notes are an integral part of these financial statements. (continued on p. 246)

AQR Funds Annual Report September 2018

245

Statements of Changes in Net Assets September 30, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND						AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		1,201,816			—			130,756			—
Shares sold		496,007			1,228,307			69,373			150,276
Shares issued on reinvestment of distributions		11,096			—			1,323			—
Shares redeemed		(388,424	)		(26,491	)		(70,956	)		(19,520	)
Shares outstanding, end of period		1,320,495			1,201,816			130,496			130,756
CLASS N
Shares outstanding, beginning of period		90,163			—			55,789			—
Shares sold		11,944			118,572			19			65,305
Shares issued on reinvestment of distributions		218			—			419			—
Shares redeemed		(40,685	)		(28,409	)		(753	)		(9,516	)
Shares outstanding, end of period		61,640			90,163			55,474			55,789
CLASS R6
Shares outstanding, beginning of period		174,492			—			129,090			—
Shares sold		—			174,492			1,907			129,090
Shares issued on reinvestment of distributions		1,616			—			1,420			—
Shares redeemed		(31,489	)		—			(5,727	)		—
Shares outstanding, end of period		144,619			174,492			126,690			129,090

* Commencement of operations.

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

AQR Funds Annual Report September 2018

246

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND						AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17
OPERATIONS:
Net investment income (loss)	$	1,295,926		$	123,723		$	414,395		$	43,615
Net realized gain (loss)		(3,361,857	)		43,434			(3,254,355	)		72,887
Net change in unrealized appreciation (depreciation)		(2,523,719	)		1,387,106			(1,513,596	)		804,369
Net increase (decrease) in net assets resulting from operations		(4,589,650	)		1,554,263			(4,353,556	)		920,871
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		(179,771	)		—			(84,119	)		—
Class N		(62,248	)		—			(19,157	)		—
Class R6		(22,470	)		—			(241,766	)		—
Total distributions		(264,489	)		—			(345,042	)		—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		59,836,354			6,484,383			23,216,965			4,817,453
Reinvestment of distributions		179,771			—			82,736			—
Cost of shares redeemed		(8,145,103	)		(76,732	)		(4,717,912	)		(69,013	)
Net increase (decrease) from capital transactions		51,871,022			6,407,651			18,581,789			4,748,440
CLASS N
Proceeds from shares sold		13,627,325			1,816,453			11,184,219			1,797,659
Reinvestment of distributions		62,248			—			19,157			—
Cost of shares redeemed		(1,377,377	)		(99,652	)		(1,399,406	)		(114,361	)
Net increase (decrease) from capital transactions		12,312,196			1,716,801			9,803,970			1,683,298
CLASS R6
Proceeds from shares sold		1,012,141			2,099,000			511,840			17,599,000
Reinvestment of distributions		22,470			—			241,766			—
Cost of shares redeemed		(1,560,366	)		—			(12,023,206	)		—
Net increase (decrease) from capital transactions		(525,755	)		2,099,000			(11,269,600	)		17,599,000
Net increase (decrease) in net assets resulting from capital transactions		63,657,463			10,223,452			17,116,159			24,030,738
Total increase (decrease) in net assets		58,803,324			11,777,715			12,417,561			24,951,609
NET ASSETS:
Beginning of period		11,777,715			—			24,951,609			—
End of period	$	70,581,039		$	11,777,715		$	37,369,170		$	24,951,609

The accompanying notes are an integral part of these financial statements. (continued on p. 248)

AQR Funds Annual Report September 2018

247

Statements of Changes in Net Assets September 30, 2018

	AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND						AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE YEAR ENDED SEPTEMBER 30, 2018			FOR THE PERIOD 12/14/16*- 9/30/17
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		559,080			—			406,006			—
Shares sold		4,587,751			565,347			1,651,223			411,586
Shares issued on reinvestment of distributions		13,957			—			6,249			—
Shares redeemed		(648,491	)		(6,267	)		(360,296	)		(5,580	)
Shares outstanding, end of period		4,512,297			559,080			1,703,182			406,006
CLASS N
Shares outstanding, beginning of period		156,150			—			154,227			—
Shares sold		1,051,980			164,254			791,443			163,536
Shares issued on reinvestment of distributions		4,844			—			1,448			—
Shares redeemed		(108,472	)		(8,104	)		(105,225	)		(9,309	)
Shares outstanding, end of period		1,104,502			156,150			841,893			154,227
CLASS R6
Shares outstanding, beginning of period		207,857			—			1,405,781			—
Shares sold		78,149			207,857			37,048			1,405,781
Shares issued on reinvestment of distributions		1,745			—			18,260			—
Shares redeemed		(124,854	)		—			(982,517	)		—
Shares outstanding, end of period		162,897			207,857			478,572			1,405,781

* Commencement of operations.

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

AQR Funds Annual Report September 2018

248

Statements of Cash Flows September 30, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	2,012,097		$	99,171		$	(4,589,650	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(20,082,755	)		(4,308,876	)		(118,717,031	)
Payments to cover short positions in securities		(7,247,513	)		(1,541,688	)		(15,675,225	)
Proceeds from short positions in securities		7,160,131			1,374,128			33,246,197
Proceeds from sale of securities		19,538,872			4,568,109			39,117,745
(Purchases) sales of short-term investments, net		77,171			(26,196	)		(1,717,796	)
Realized (gain) loss on investments in securities		(413,025	)		(49,220	)		2,860,422
Realized (gain) loss on short positions in securities		861,939			285,212			471,196
Change in unrealized (appreciation) depreciation on investments in securities		(2,288,723	)		(320,766	)		3,395,430
Change in unrealized (appreciation) depreciation on short positions in securities		(19,118	)		(33,976	)		(858,547	)
(Increases) decreases in operating assets
Deposits with brokers for futures contracts		—			—			(75,024	)
Foreign tax reclaim		—			—			(66,434	)
Dividends		5,216			163			(209,778	)
Due from Investment Adviser		1,051			3,087			—
Prepaid expenses		22,730			7,950			6,801
Increases (decreases) in operating liabilities
Variation margin on futures contracts		—			—			12,364
Accrued investment advisory fees		5,549			—			20,837
Accrued distribution fees—Class N		(51	)		8			2,319
Dividends payable on securities sold short		4,995			1,063			36,195
Other accrued expenses and liabilities		9,101			9,501			36,700
Net cash provided by (used in) operating activities	$	(352,333	)	$	67,670		$	(62,703,279	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		6,126,282			735,102			74,134,634
Payments on shares redeemed		(5,536,949	)		(802,768	)		(11,032,258	)
Net cash provided by (used in) financing activities	$	589,333		$	(67,666	)	$	63,102,376
Net change in cash and cash denominated in foreign currencies		237,000			4			399,097
Cash, beginning of period		13,494			33			59,367
Cash, end of period**	$	250,494		$	37		$	458,464

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $39,285, $12,944 and $163,526.

Non-cash financing activities consist of reinvestment of distributions in the amount $155,955, $33,206, and $264,489.

** The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statements of Cash Flows:

FUND	CASH		CASH DENOMINATED IN FOREIGN CURRENCIES		TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES
AQR Large Cap Relaxed Constraint Equity Fund	$	250,494	$	—	$	250,494
AQR Small Cap Relaxed Constraint Equity Fund		37		—		37
AQR International Relaxed Constraint Equity Fund		90,059		368,405		458,464

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

AQR Funds Annual Report September 2018

249

Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR LARGE CAP MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.87		0.23			2.13			2.36			(0.22	)		(0.18	)		(0.40	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	14.00		0.22			2.84			3.06			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.25		0.19			0.68			0.87			(0.12	)		(0.00	)7		(0.12	)
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	)
AQR LARGE CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.79		0.18			2.13			2.31			(0.18	)		(0.18	)		(0.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.94		0.18			2.82			3.00			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.19		0.16			0.68			0.84			(0.09	)		(0.00	)7		(0.09	)
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	)
AQR LARGE CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.87		0.25			2.13			2.38			(0.24	)		(0.18	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	14.00		0.24			2.84			3.08			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.25		0.21			0.68			0.89			(0.14	)		(0.00	)7		(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.36		0.18			(0.17	)		0.01			(0.06	)		(0.06	)		(0.12	)
FOR THE PERIOD 7/10/148—9/30/14	$	13.32		0.04			0.00	7		0.04			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.09		0.10			1.27			1.37			(0.12	)		(1.46	)		(1.58	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.96		0.12	9		2.39			2.51			(0.14	)		(0.24	)		(0.38	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.30		0.13			1.56			1.69			(0.03	)		(0.00	)7		(0.03	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.34		0.12	10		0.02	11		0.14			(0.03	)		(0.15	)		(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.05	12		0.57			0.62			(0.04	)		(0.12	)		(0.16	)
AQR SMALL CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.01		0.06			1.28			1.34			(0.07	)		(1.46	)		(1.53	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.90		0.08	9		2.37			2.45			(0.10	)		(0.24	)		(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.25		0.10			1.55			1.65			(0.00	)7		(0.00	)7		(0.00	)7
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.30		0.09	10		0.01	11		0.10			(0.00	)7		(0.15	)		(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.87		0.01	12		0.56			0.57			(0.02	)		(0.12	)		(0.14	)
AQR SMALL CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	16.11		0.11			1.29			1.40			(0.14	)		(1.46	)		(1.60	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.98		0.13	9		2.39			2.52			(0.15	)		(0.24	)		(0.39	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.31		0.16			1.55			1.71			(0.04	)		(0.00	)7		(0.04	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.35		0.15	10		0.00	7,11		0.15			(0.04	)		(0.15	)		(0.19	)
FOR THE PERIOD 7/10/148—9/30/14	$	12.95		0.01	12		(0.61	)11		(0.60	)		—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	11.95		0.28			(0.18	)		0.10			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.23		0.24			1.74			1.98			(0.26	)		—			(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.21		0.26			(0.09	)		0.17			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.47		0.27	10		(1.26	)		(0.99	)		(0.19	)		(0.08	)		(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.28		0.28			0.01	11		0.29			(0.10	)		—			(0.10	)
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	11.92		0.24			(0.17	)		0.07			(0.26	)		—			(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.20		0.21			1.75			1.96			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.20		0.23			(0.10	)		0.13			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.44		0.24	10		(1.25	)		(1.01	)		(0.15	)		(0.08	)		(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.27		0.24			0.01	11		0.25			(0.08	)		—			(0.08	)
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018	$	11.94		0.29			(0.18	)		0.11			(0.30	)		—			(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.22		0.26			1.73			1.99			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.20		0.25			(0.07	)		0.18			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.47		0.30	10		(1.28	)		(0.98	)		(0.21	)		(0.08	)		(0.29	)
FOR THE PERIOD 7/10/148—9/30/14	$	11.94		0.13			(0.60	)		(0.47	)		—			—			—

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

AQR Funds Annual Report September 2018

250

Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$18.83		14.11	%		$507,109		0.44	%		0.44	%		0.44	%		1.28	%		64	%
	$16.87		22.01	%		$457,339		0.45	%		0.44	%		0.44	%		1.46	%		61	%
	$14.00		6.61	%		$627,269		0.46	%		0.45	%		0.45	%		1.43	%		80	%
	$13.25		0.03	%		$490,709		0.54	%		0.49	%		0.49	%		1.17	%		59	%
	$13.36		21.39	%		$166,058		0.71	%		0.54	%		0.54	%		1.17	%		277	%
	$18.74		13.83	%		$71,104		0.70	%		0.70	%		0.70	%		1.02	%		64	%
	$16.79		21.69	%		$62,679		0.71	%		0.70	%		0.70	%		1.19	%		61	%
	$13.94		6.40	%		$64,718		0.71	%		0.70	%		0.70	%		1.18	%		80	%
	$13.19		(0.25	)%		$59,733		0.79	%		0.74	%		0.74	%		0.93	%		59	%
	$13.33		21.05	%		$10,328		1.14	%		0.79	%		0.79	%		0.90	%		277	%
	$18.83		14.20	%		$1,366,762		0.35	%		0.35	%		0.35	%		1.37	%		64	%
	$16.87		22.18	%		$1,246,028		0.36	%		0.35	%		0.35	%		1.54	%		61	%
	$14.00		6.71	%		$792,665		0.37	%		0.35	%		0.35	%		1.52	%		80	%
	$13.25		0.07	%		$563,785		0.42	%		0.36	%		0.36	%		1.28	%		59	%
	$13.36		0.30	%		$42,256		0.61	%		0.44	%		0.44	%		1.23	%		277	%
	$15.88		9.18	%		$61,690		0.66	%		0.65	%		0.64	%		0.63	%		64	%
	$16.09		18.12	%		$55,115		0.69	%		0.65	%		0.65	%		0.79	%9		61	%
	$13.96		13.74	%		$45,483		0.75	%		0.65	%		0.65	%		1.00	%		96	%
	$12.30		1.02	%		$26,634		1.17	%		0.68	%		0.68	%		0.88	%10		228	%
	$12.34		5.13	%		$8,233		2.58	%		0.75	%		0.75	%		0.37	%12		189	%
	$15.82		8.94	%		$7,795		0.92	%		0.90	%		0.90	%		0.38	%		64	%
	$16.01		17.79	%		$8,624		0.94	%		0.90	%		0.90	%		0.53	%9		61	%
	$13.90		13.51	%		$9,733		0.99	%		0.90	%		0.90	%		0.76	%		96	%
	$12.25		0.72	%		$5,681		1.40	%		0.93	%		0.93	%		0.65	%10		228	%
	$12.30		4.78	%		$1,284		3.27	%		1.00	%		1.00	%		0.11	%12		189	%
	$15.91		9.34	%		$675,945		0.57	%		0.55	%		0.55	%		0.73	%		64	%
	$16.11		18.17	%		$733,984		0.59	%		0.55	%		0.55	%		0.89	%9		61	%
	$13.98		13.90	%		$687,986		0.62	%		0.55	%		0.55	%		1.23	%		96	%
	$12.31		1.06	%		$9,494		0.96	%		0.55	%		0.55	%		1.17	%10		228	%
	$12.35		(4.63	)%		$95		2.34	%		0.65	%		0.65	%		0.45	%12		189	%
	$11.76		0.81	%		$82,661		0.64	%		0.60	%		0.60	%		2.36	%		61	%
	$11.95		19.91	%		$76,307		0.65	%		0.60	%13		0.60	%13		2.26	%14		55	%
	$10.23		1.62	%		$68,288		0.68	%		0.59	%		0.59	%		2.62	%		106	%
	$10.21		(8.78	)%		$40,047		0.82	%		0.64	%		0.64	%		2.45	%10		236	%
	$11.47		2.53	%		$26,729		1.38	%		0.70	%		0.70	%		2.36	%		204	%
	$11.73		0.51	%		$6,892		0.89	%		0.85	%		0.85	%		2.04	%		61	%
	$11.92		19.69	%		$8,836		0.91	%		0.85	%13		0.85	%13		1.95	%14		55	%
	$10.20		1.28	%		$8,491		0.93	%		0.85	%		0.85	%		2.32	%		106	%
	$10.20		(8.92	)%		$4,142		1.06	%		0.88	%		0.88	%		2.19	%10		236	%
	$11.44		2.19	%		$2,756		1.85	%		0.95	%		0.95	%		2.02	%		204	%
	$11.75		0.90	%		$329,854		0.54	%		0.50	%		0.50	%		2.44	%		61	%
	$11.94		20.04	%		$385,126		0.56	%		0.50	%13		0.50	%13		2.41	%14		55	%
	$10.22		1.71	%		$301,294		0.59	%		0.50	%		0.50	%		2.52	%		106	%
	$10.20		(8.68	)%		$241,780		0.66	%		0.51	%		0.51	%		2.70	%10		236	%
	$11.47		(3.94	)%		$26,412		1.34	%		0.60	%		0.60	%		5.13	%		204	%

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

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Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR EMERGING MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.71		0.15			(0.51	)		(0.36	)		(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.95		0.18			1.75			1.93			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.19		0.15			0.81			0.96			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.27			(1.97	)		(1.70	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 5/13/1415—9/30/14		$10.00		0.14			(0.18	)		(0.04	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.68		0.16			(0.53	)		(0.37	)		(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.93		0.14			1.76			1.90			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.17		0.13			0.81			0.94			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.95		0.29			(2.01	)		(1.72	)		(0.06	)		—			(0.06	)
FOR THE PERIOD 5/13/1415—9/30/14		$10.00		0.14			(0.19	)		(0.05	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.72		0.22			(0.56	)		(0.34	)		(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.97		0.19			1.74			1.93			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.20		0.16			0.81			0.97			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.45			(2.14	)		(1.69	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 7/10/148—9/30/14		$10.47		0.05			(0.56	)		(0.51	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.09		0.17			1.62			1.79			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.00		0.16			2.05			2.21			(0.12	)		(0.00	)7		(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.42		0.15			0.49			0.64			(0.05	)		(0.01	)		(0.06	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.08			(0.66	)		(0.58	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.05		0.14			1.61			1.75			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.97		0.13			2.05			2.18			(0.10	)		(0.00	)7		(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.40		0.13			0.48			0.61			(0.03	)		(0.01	)		(0.04	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.06			(0.66	)		(0.60	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.10		0.18			1.63			1.81			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.01		0.17			2.05			2.22			(0.13	)		(0.00	)7		(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.42		0.16			0.49			0.65			(0.05	)		(0.01	)		(0.06	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.08			(0.66	)		(0.58	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.03		0.07			1.14			1.21			(0.07	)		(0.26	)		(0.33	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.31		0.09			1.74			1.83			(0.11	)		—			(0.11	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.21		0.12	18		1.04			1.16			(0.06	)		—			(0.06	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.05			(0.84	)		(0.79	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.98		0.04			1.14			1.18			(0.04	)		(0.26	)		(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.28		0.05			1.74			1.79			(0.09	)		—			(0.09	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$ 9.20		0.10	18		1.03			1.13			(0.05	)		—			(0.05	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.04			(0.84	)		(0.80	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.06		0.08			1.14			1.22			(0.08	)		(0.26	)		(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.32		0.10			1.76			1.86			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.22		0.12	18		1.04			1.16			(0.06	)		—			(0.06	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.06			(0.84	)		(0.78	)		—			—			—

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

AQR Funds Annual Report September 2018

252

Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.17		(3.48	)%		$34,903		0.87	%		0.75	%		0.75	%		1.33	%		60	%
	$10.71		22.17	%		$97,264		0.89	%		0.75	%		0.75	%		1.93	%		53	%
	$8.95		11.97	%		$73,793		0.95	%		0.75	%		0.75	%		1.85	%		94	%
	$8.19		(17.14	)%		$48,992		1.39	%		0.79	%		0.79	%		2.79	%		317	%
	$9.96		(0.40	)%		$11,572		3.30	%16,17		0.85	%		0.85	%		3.49	%		154	%
	$10.16		(3.58	)%		$5,311		1.12	%		1.00	%		1.00	%		1.42	%		60	%
	$10.68		21.82	%		$6,726		1.14	%		1.00	%		1.00	%		1.54	%		53	%
	$8.93		11.72	%		$7,600		1.20	%		1.00	%		1.00	%		1.64	%		94	%
	$8.17		(17.34	)%		$4,494		1.61	%		1.04	%		1.04	%		2.98	%		317	%
	$9.95		(0.50	)%		$2,388		3.55	%16,17		1.10	%		1.10	%		3.49	%		154	%
	$10.19		(3.29	)%		$268,403		0.77	%		0.65	%		0.65	%		2.02	%		60	%
	$10.72		22.13	%		$222,511		0.79	%		0.65	%		0.65	%		2.01	%		53	%
	$8.97		12.13	%		$184,112		0.85	%		0.65	%		0.65	%		1.96	%		94	%
	$8.20		(17.06	)%		$135,503		0.89	%		0.65	%		0.65	%		4.66	%		317	%
	$9.96		(4.87	)%		$95		2.73	%16,17		0.75	%		0.75	%		2.09	%		154	%
	$13.73		14.86	%		$87,556		0.48	%		0.45	%		0.45	%		1.31	%		69	%
	$12.09		22.33	%		$64,006		0.53	%		0.45	%		0.45	%		1.44	%		77	%
	$10.00		6.82	%		$39,964		0.59	%16		0.43	%		0.43	%		1.57	%		173	%
	$9.42		(5.80	)%		$2,087		1.66	%16		0.46	%		0.46	%		1.20	%		207	%
	$13.68		14.57	%		$2,295		0.74	%		0.70	%		0.70	%		1.05	%		69	%
	$12.05		22.04	%		$2,210		0.78	%		0.70	%		0.70	%		1.20	%		77	%
	$9.97		6.48	%		$2,165		0.84	%16		0.69	%		0.69	%		1.34	%		173	%
	$9.40		(6.00	)%		$135		2.48	%16		0.70	%		0.70	%		0.99	%		207	%
	$13.75		15.03	%		$211,229		0.39	%		0.35	%		0.35	%		1.41	%		69	%
	$12.10		22.37	%		$161,560		0.43	%		0.35	%		0.35	%		1.54	%		77	%
	$10.01		6.95	%		$98,092		0.53	%16		0.35	%		0.35	%		1.63	%		173	%
	$9.42		(5.80	)%		$26,703		1.41	%16		0.36	%		0.36	%		1.33	%		207	%
	$12.91		10.23	%		$25,755		1.06	%		0.65	%		0.65	%		0.56	%		80	%
	$12.03		17.79	%		$21,257		1.23	%		0.65	%		0.65	%		0.79	%		92	%
	$10.31		12.64	%		$13,792		1.90	%16		0.64	%		0.64	%		1.27	%18		179	%
	$9.21		(7.90	)%		$1,702		5.66	%16		0.65	%		0.65	%		0.77	%		98	%
	$12.86		10.00	%		$6,512		1.31	%		0.90	%		0.90	%		0.30	%		80	%
	$11.98		17.44	%		$5,478		1.47	%		0.90	%		0.90	%		0.48	%		92	%
	$10.28		12.34	%		$2,970		2.03	%16		0.88	%		0.88	%		1.05	%18		179	%
	$9.20		(8.00	)%		$128		6.53	%16		0.92	%		0.92	%		0.59	%		98	%
	$12.94		10.30	%		$2,568		0.96	%		0.55	%		0.55	%		0.66	%		80	%
	$12.06		18.04	%		$2,327		1.13	%		0.55	%		0.55	%		0.90	%		92	%
	$10.32		12.63	%		$1,973		2.29	%16		0.55	%		0.55	%		1.26	%18		179	%
	$9.22		(7.80	)%		$1,660		6.28	%16		0.57	%		0.57	%		0.96	%		98	%

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

AQR Funds Annual Report September 2018

253

Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.16		0.25			(0.09	)		0.16			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.44		0.23			1.68			1.91			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.40		0.24			(0.08	)11		0.16			(0.12	)		—			(0.12	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.18			(0.78	)		(0.60	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.12		0.22			(0.09	)		0.13			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.42		0.20			1.68			1.88			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.39		0.22			(0.08	)11		0.14			(0.11	)		—			(0.11	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.15			(0.76	)		(0.61	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.18		0.26			(0.08	)		0.18			(0.28	)		—			(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.45		0.24			1.69			1.93			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.41		0.25			(0.09	)11		0.16			(0.12	)		—			(0.12	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.18			(0.77	)		(0.59	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.12		0.23	19		(0.59	)		(0.36	)		(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.27		0.18			1.88			2.06			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$ 8.31		0.17			0.82			0.99			(0.03	)		—			(0.03	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.21			(1.90	)		(1.69	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.12		0.19	19		(0.59	)		(0.40	)		(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.28		0.15			1.89			2.04			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.30		0.17			0.81			0.98			—			—			—
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.19			(1.89	)		(1.70	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.13		0.24	19		(0.59	)		(0.35	)		(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.28		0.19			1.88			2.07			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.32		0.18			0.82			1.00			(0.04	)		—			(0.04	)
FOR THE PERIOD 2/11/1515—9/30/15		$10.00		0.22			(1.90	)		(1.68	)		—			—			—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$22.00		0.19			4.77			4.96			(0.21	)		(1.76	)		(1.97	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.44		0.24			2.88			3.12			(0.32	)		(1.24	)		(1.56	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.96		0.27			1.87			2.14			(0.21	)		(1.45	)		(1.66	)
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	)
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$21.98		0.13			4.77			4.90			(0.16	)		(1.76	)		(1.92	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.42		0.19			2.87			3.06			(0.26	)		(1.24	)		(1.50	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.92		0.21			1.88			2.09			(0.14	)		(1.45	)		(1.59	)
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	)
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$21.96		0.22			4.75			4.97			(0.23	)		(1.76	)		(1.99	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.41		0.26			2.87			3.13			(0.34	)		(1.24	)		(1.58	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.94		0.29			1.86			2.15			(0.23	)		(1.45	)		(1.68	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.89		0.23			(0.08	)		0.15			(0.18	)		(1.92	)		(2.10	)
FOR THE PERIOD 7/10/148—9/30/14		$21.90		0.04			(0.05	)11		(0.01	)		—			—			—

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

AQR Funds Annual Report September 2018

254

Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$11.05		1.39	%		$28,704		0.68	%		0.60	%		0.60	%		2.26	%		54	%
	$11.16		20.71	%		$25,736		0.71	%		0.60	%		0.60	%		2.31	%		52	%
	$9.44		1.68	%		$20,094		0.81	%16		0.59	%		0.58	%		2.58	%		135	%
	$9.40		(6.00	)%		$3,213		1.42	%16		0.61	%		0.61	%		2.85	%		172	%
	$11.01		1.17	%		$1,546		0.94	%		0.85	%		0.85	%		1.99	%		54	%
	$11.12		20.39	%		$2,078		0.97	%		0.85	%		0.85	%		2.03	%		52	%
	$9.42		1.43	%		$1,592		1.07	%16		0.82	%		0.82	%		2.41	%		135	%
	$9.39		(6.10	)%		$143		2.65	%16		0.81	%		0.81	%		2.28	%		172	%
	$11.08		1.56	%		$161,422		0.59	%		0.50	%		0.50	%		2.34	%		54	%
	$11.18		20.89	%		$151,455		0.62	%		0.50	%		0.50	%		2.42	%		52	%
	$9.45		1.71	%		$116,641		0.72	%16		0.50	%		0.50	%		2.73	%		135	%
	$9.41		(5.90	)%		$41,373		1.22	%16		0.51	%		0.51	%		2.81	%		172	%
	$10.58		(3.35	)%		$17,266		0.85	%		0.74	%		0.74	%		2.01	%19		54	%
	$11.12		22.99	%		$17,013		0.86	%		0.74	%		0.74	%		1.89	%		51	%
	$9.21		12.02	%		$12,711		0.94	%16		0.72	%		0.72	%		2.00	%		181	%
	$8.31		(16.90	)%		$2,986		2.66	%16		0.77	%		0.77	%		3.46	%		173	%
	$10.57		(3.70	)%		$1,675		1.11	%		1.00	%		1.00	%		1.63	%19		54	%
	$11.12		22.64	%		$2,301		1.12	%		1.00	%		1.00	%		1.58	%		51	%
	$9.28		11.81	%		$2,163		1.20	%16		0.95	%		0.95	%		2.01	%		181	%
	$8.30		(17.00	)%		$881		3.06	%16		1.03	%		1.03	%		3.08	%		173	%
	$10.59		(3.27	)%		$313,070		0.76	%		0.65	%		0.65	%		2.07	%19		54	%
	$11.13		23.05	%		$333,540		0.77	%		0.65	%		0.65	%		1.94	%		51	%
	$9.28		12.05	%		$272,799		0.87	%16		0.65	%		0.65	%		2.09	%		181	%
	$8.32		(16.80	)%		$15,381		2.46	%16		0.67	%		0.67	%		3.66	%		173	%
	$24.99		23.94	%		$986,458		0.40	%		0.39	%		0.39	%		0.84	%		66	%
	$22.00		16.37	%		$869,688		0.41	%		0.40	%		0.40	%		1.19	%		88	%
	$20.44		11.12	%		$820,914		0.42	%		0.40	%		0.40	%		1.34	%		77	%
	$19.96		0.18	%		$874,115		0.50	%		0.45	%		0.45	%		1.06	%		90	%
	$21.89		16.86	%		$953,235		0.55	%		0.49	%		0.49	%		0.55	%		83	%
	$24.96		23.61	%		$77,381		0.65	%		0.65	%		0.65	%		0.58	%		66	%
	$21.98		16.07	%		$59,044		0.66	%		0.65	%		0.65	%		0.94	%		88	%
	$20.42		10.89	%		$57,644		0.66	%		0.65	%		0.65	%		1.08	%		77	%
	$19.92		(0.10	)%		$68,535		0.77	%		0.70	%		0.70	%		0.81	%		90	%
	$21.85		16.59	%		$79,272		0.83	%		0.74	%		0.74	%		0.30	%		83	%
	$24.94		24.06	%		$101,971		0.30	%		0.30	%		0.30	%		0.93	%		66	%
	$21.96		16.47	%		$65,920		0.31	%		0.30	%		0.30	%		1.28	%		88	%
	$20.41		11.23	%		$59,108		0.32	%		0.30	%		0.30	%		1.45	%		77	%
	$19.94		0.28	%		$62,973		0.36	%		0.31	%		0.31	%		1.09	%		90	%
	$21.89		(0.05	)%		$131		0.48	%		0.39	%		0.39	%		0.75	%		83	%

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

AQR Funds Annual Report September 2018

255

Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$24.83		0.05	19		4.58			4.63			(0.06	)		(2.26	)		(2.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.80		0.10	9		4.10			4.20			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.10		0.15			1.79			1.94			(0.16	)		(0.08	)		(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.09		0.15	10		0.26	11		0.41			(0.04	)		(2.36	)		(2.40	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$21.77		0.00	7,12		0.73			0.73			(0.06	)		(1.35	)		(1.41	)
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$24.82		(0.00	)7,19		4.58			4.58			—			(2.26	)		(2.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.68		0.05	9		4.09			4.14			—			—			—
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$18.99		0.09			1.78			1.87			(0.10	)		(0.08	)		(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.00		0.09	10		0.26	11		0.35			—			(2.36	)		(2.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$21.73		(0.06	)12		0.73			0.67			(0.05	)		(1.35	)		(1.40	)
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$24.79		0.08	19		4.58			4.66			(0.09	)		(2.26	)		(2.35	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$20.77		0.12	9		4.09			4.21			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.09		0.13			1.81			1.94			(0.18	)		(0.08	)		(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.10		0.13	10		0.29	11		0.42			(0.07	)		(2.36	)		(2.43	)
FOR THE PERIOD 7/10/148—9/30/14		$22.08		0.01	12		(0.99	)11		(0.98	)		—			—			—
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$15.50		0.29			0.37			0.66			(0.34	)		—			(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$13.86		0.31			1.65			1.96			(0.32	)		—			(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.24		0.25			0.59			0.84			(0.22	)		—			(0.22	)
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	12		(0.36	)		(0.09	)		(0.25	)		—			(0.25	)
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$15.46		0.26			0.36			0.62			(0.31	)		—			(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$13.82		0.28			1.65			1.93			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.19		0.21			0.60			0.81			(0.18	)		—			(0.18	)
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	12		(0.35	)		(0.13	)		(0.23	)		—			(0.23	)
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$15.49		0.32			0.35			0.67			(0.36	)		—			(0.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$13.85		0.33			1.65			1.98			(0.34	)		—			(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.23		0.27			0.59			0.86			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.94		0.33			(1.53	)		(1.20	)		(0.34	)		(0.17	)		(0.51	)
FOR THE PERIOD 7/10/148—9/30/14		$15.54		0.05	12		(0.65	)		(0.60	)		—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.63		0.20			(0.25	)		(0.05	)		(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.75		0.20			1.81			2.01			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.29		0.10			0.59			0.69			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.02		0.20			(1.84	)		(1.64	)		(0.09	)		—			(0.09	)
FOR THE PERIOD 5/13/1415—9/30/14		$10.00		0.09			(0.07	)		0.02			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.62		0.17			(0.25	)		(0.08	)		(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.74		0.18			1.80			1.98			(0.10	)		—			(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$ 8.27		0.09			0.59			0.68			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.01		0.16			(1.82	)		(1.66	)		(0.08	)		—			(0.08	)
FOR THE PERIOD 5/13/1415—9/30/14		$10.00		0.09			(0.08	)		0.01			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.64		0.22			(0.27	)		(0.05	)		(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.76		0.23			1.78			2.01			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.30		0.14			0.56			0.70			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.02		0.19			(1.81	)		(1.62	)		(0.10	)		—			(0.10	)
FOR THE PERIOD 7/10/148—9/30/14		$10.63		0.05			(0.66	)11		(0.61	)		—			—			—

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

AQR Funds Annual Report September 2018

256

Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$27.14		20.11	%		$346,665		0.63	%		0.60	%		0.60	%		0.21	%19		73	%
	$24.83		20.30	%		$359,470		0.64	%		0.60	%		0.60	%		0.46	%9		86	%
	$20.80		10.24	%		$317,154		0.65	%		0.60	%		0.60	%		0.77	%		85	%
	$19.10		1.17	%		$316,232		0.68	%		0.63	%		0.62	%		0.69	%10		86	%
	$21.09		3.07	%		$301,173		0.68	%		0.65	%		0.65	%		0.01	%12		83	%
	$27.14		19.84	%		$2,835		0.85	%		0.83	%		0.83	%		(0.02	)%19		73	%
	$24.82		20.02	%		$1,720		0.86	%		0.82	%		0.82	%		0.24	%9		86	%
	$20.68		9.96	%		$1,574		0.91	%		0.84	%		0.84	%		0.47	%		85	%
	$18.99		0.89	%		$8,195		0.94	%		0.88	%		0.87	%		0.43	%10		86	%
	$21.00		2.83	%		$7,189		1.04	%		0.90	%		0.90	%		(0.26	)%12		83	%
	$27.10		20.26	%		$21,162		0.53	%		0.50	%		0.50	%		0.31	%19		73	%
	$24.79		20.39	%		$11,914		0.54	%		0.50	%		0.50	%		0.54	%9		86	%
	$20.77		10.30	%		$8,490		0.56	%		0.50	%		0.50	%		0.69	%		85	%
	$19.09		1.25	%		$77,416		0.59	%		0.50	%		0.50	%		0.62	%10		86	%
	$21.10		(4.44	)%		$96		0.63	%		0.55	%		0.55	%		0.13	%12		83	%
	$15.82		4.31	%		$348,643		0.60	%		0.55	%		0.55	%		1.84	%		65	%
	$15.50		14.67	%		$326,526		0.63	%		0.55	%13		0.55	%13		2.26	%14		84	%
	$13.86		6.40	%		$272,002		0.63	%		0.55	%		0.55	%		1.89	%		85	%
	$13.24		(8.40	)%		$257,299		0.68	%		0.60	%		0.60	%		1.95	%		112	%
	$14.95		(0.64	)%		$279,838		0.71	%		0.65	%		0.65	%		1.73	%12		98	%
	$15.77		4.02	%		$40,452		0.85	%		0.80	%		0.80	%		1.61	%		65	%
	$15.46		14.38	%		$34,030		0.88	%		0.80	%13		0.80	%13		1.99	%14		84	%
	$13.82		6.16	%		$30,502		0.87	%		0.80	%		0.79	%		1.59	%		85	%
	$13.19		(8.62	)%		$35,343		0.94	%		0.85	%		0.85	%		1.71	%		112	%
	$14.89		(0.91	)%		$40,054		1.00	%		0.90	%		0.90	%		1.42	%12		98	%
	$15.80		4.34	%		$63,978		0.50	%		0.45	%		0.45	%		1.99	%		65	%
	$15.49		14.80	%		$45,913		0.53	%		0.45	%13		0.45	%13		2.35	%14		84	%
	$13.85		6.53	%		$35,382		0.53	%		0.45	%		0.45	%		1.98	%		85	%
	$13.23		(8.24	)%		$31,058		0.55	%		0.46	%		0.46	%		2.31	%		112	%
	$14.94		(3.86	)%		$96		0.64	%		0.55	%		0.55	%		1.38	%12		98	%
	$10.36		(0.63	)%		$8,935		2.19	%		0.68	%		0.68	%		1.76	%		110	%
	$10.63		23.48	%		$10,722		2.52	%		0.68	%		0.68	%		2.19	%		121	%
	$8.75		8.53	%		$8,784		2.75	%		0.65	%		0.65	%		1.26	%		155	%
	$8.29		(16.45	)%		$6,612		2.92	%		0.75	%		0.75	%		2.06	%		159	%
	$10.02		0.20	%		$6,260		4.03	%16,17		0.80	%		0.80	%		2.27	%		72	%
	$10.35		(0.84	)%		$1,148		2.44	%		0.94	%		0.93	%		1.54	%		110	%
	$10.62		23.06	%		$1,198		2.73	%		0.89	%		0.89	%		1.99	%		121	%
	$8.74		8.38	%		$1,105		2.95	%		0.89	%		0.89	%		1.10	%		155	%
	$8.27		(16.72	)%		$1,132		3.17	%		1.00	%		1.00	%		1.68	%		159	%
	$10.01		0.10	%		$1,034		4.18	%16,17		1.05	%		1.05	%		2.13	%		72	%
	$10.37		(0.56	)%		$2,310		2.11	%		0.60	%		0.60	%		2.01	%		110	%
	$10.64		23.52	%		$1,772		2.43	%		0.60	%		0.60	%		2.44	%		121	%
	$8.76		8.63	%		$938		2.69	%		0.60	%		0.60	%		1.69	%		155	%
	$8.30		(16.34	)%		$80		3.02	%		0.66	%		0.66	%		1.93	%		159	%
	$10.02		(5.74	)%		$94		3.73	%16,17		0.70	%		0.70	%		2.01	%		72	%

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

AQR Funds Annual Report September 2018

257

Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$19.43		0.18			4.63			4.81			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$16.97		0.20			2.51			2.71			(0.25	)		—			(0.25	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.54		0.23	18		1.35			1.58			(0.15	)		—			(0.15	)
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	)
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$19.36		0.12			4.61			4.73			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$16.92		0.15			2.51			2.66			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.50		0.20	18		1.36			1.56			(0.14	)		—			(0.14	)
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	)
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$19.41		0.20			4.63			4.83			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$16.95		0.22			2.51			2.73			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.54		0.24	18		1.36			1.60			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$15.90		0.19			(0.19	)		0.00	7		(0.09	)		(0.27	)		(0.36	)
FOR THE PERIOD 7/10/148—9/30/14		$15.78		0.03			0.09			0.12			—			—			—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$19.06		0.04			3.52			3.56			(0.05	)		(0.01	)		(0.06	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.86		0.08			3.24			3.32			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.51		0.12			1.33			1.45			(0.10	)		—			(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.11	10		0.23	11		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	)
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$18.96		(0.01	)		3.49			3.48			(0.04	)		(0.01	)		(0.05	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.79		0.03			3.23			3.26			(0.09	)		—			(0.09	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.44		0.10			1.33			1.43			(0.08	)		—			(0.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.67		0.07	10		0.24	11		0.31			—			(0.54	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$14.81		(0.03	)		0.14			0.11			(0.00	)7		(0.25	)		(0.25	)
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$19.06		0.07			3.51			3.58			(0.07	)		(0.01	)		(0.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.86		0.10			3.23			3.33			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.50		0.14			1.34			1.48			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.12	10		0.24	11		0.36			(0.04	)		(0.54	)		(0.58	)
FOR THE PERIOD 7/10/148—9/30/14		$15.45		0.01			(0.74	)11		(0.73	)		—			—			—

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

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Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$24.08		24.87	%		$112,851		0.45	%		0.40	%		0.40	%		0.82	%		50	%
	$19.43		16.16	%		$87,151		0.48	%		0.40	%		0.40	%		1.14	%		57	%
	$16.97		10.22	%		$67,397		0.49	%		0.40	%		0.40	%		1.39	%18		49	%
	$15.54		(0.16	)%		$56,141		0.65	%		0.48	%		0.48	%		1.08	%		62	%
	$15.90		18.15	%		$101,336		0.69	%		0.54	%		0.54	%		0.57	%		153	%
	$23.94		24.53	%		$13,548		0.70	%		0.65	%		0.65	%		0.57	%		50	%
	$19.36		15.89	%		$8,524		0.70	%		0.65	%		0.65	%		0.78	%		57	%
	$16.92		10.11	%		$161		0.65	%		0.56	%		0.56	%		1.22	%18		49	%
	$15.50		(0.39	)%		$147		0.75	%		0.64	%		0.64	%		0.89	%		62	%
	$15.86		17.81	%		$137		1.60	%		0.79	%		0.79	%		0.30	%		153	%
	$24.06		25.00	%		$102,013		0.35	%		0.30	%		0.30	%		0.92	%		50	%
	$19.41		16.30	%		$84,514		0.38	%		0.30	%		0.30	%		1.25	%		57	%
	$16.95		10.32	%		$80,190		0.39	%		0.30	%		0.30	%		1.48	%18		49	%
	$15.54		(0.09	)%		$70,197		0.43	%		0.31	%		0.31	%		1.15	%		62	%
	$15.90		0.76	%		$101		0.67	%		0.44	%		0.44	%		0.77	%		153	%
	$22.56		18.75	%		$62,800		0.81	%		0.60	%		0.60	%		0.22	%		67	%
	$19.06		21.02	%		$47,847		0.92	%		0.60	%		0.60	%		0.47	%		69	%
	$15.86		10.07	%		$33,229		1.10	%		0.60	%		0.60	%		0.83	%		92	%
	$14.51		2.13	%		$19,992		1.34	%		0.64	%		0.64	%		0.68	%10		111	%
	$14.72		0.98	%		$14,690		1.61	%		0.70	%		0.70	%		0.04	%		154	%
	$22.39		18.43	%		$5,720		1.06	%		0.85	%		0.85	%		(0.04	)%		67	%
	$18.96		20.73	%		$3,230		1.12	%		0.84	%		0.84	%		0.15	%		69	%
	$15.79		9.95	%		$154		1.26	%		0.76	%		0.76	%		0.65	%		92	%
	$14.44		1.90	%		$127		1.49	%		0.86	%		0.86	%		0.45	%10		111	%
	$14.67		0.69	%		$125		2.44	%		0.95	%		0.95	%		(0.21	)%		154	%
	$22.56		18.85	%		$228		0.71	%		0.50	%		0.50	%		0.32	%		67	%
	$19.06		21.11	%		$200		0.83	%		0.50	%		0.50	%		0.58	%		69	%
	$15.86		10.24	%		$166		1.00	%		0.50	%		0.50	%		0.92	%		92	%
	$14.50		2.23	%		$97		1.24	%		0.54	%		0.54	%		0.77	%10		111	%
	$14.72		(4.72	)%		$95		1.65	%		0.60	%		0.60	%		0.22	%		154	%

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

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Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.70		0.27			0.13			0.40			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.27		0.27			1.45			1.72			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.70		0.23			0.49			0.72			(0.15	)		—			(0.15	)
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	12		(0.10	)		0.13			(0.06	)		(0.16	)		(0.22	)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.63		0.24			0.13			0.37			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.22		0.27			1.41			1.68			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.68		0.19			0.51			0.70			(0.16	)		—			(0.16	)
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	12		(0.08	)		0.09			(0.02	)		(0.16	)		(0.18	)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.67		0.27			0.14			0.41			(0.25	)		—			(0.25	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.24		0.28			1.45			1.73			(0.30	)		—			(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.70		0.23			0.50			0.73			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.09		0.31			(1.37	)		(1.06	)		(0.27	)		(0.06	)		(0.33	)
FOR THE PERIOD 7/10/148—9/30/14		$13.66		0.03	12		(0.60	)		(0.57	)		—			—			—
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$18.23		0.30			3.10			3.40			(0.27	)		(0.18	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.71		0.29			2.55			2.84			(0.23	)		(0.09	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.64		0.27			1.70			1.97			(0.14	)		(0.76	)		(0.90	)
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	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$18.18		0.25			3.09			3.34			(0.23	)		(0.18	)		(0.41	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.68		0.25			2.54			2.79			(0.20	)		(0.09	)		(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.64		0.23			1.70			1.93			(0.13	)		(0.76	)		(0.89	)
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	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$18.21		0.32			3.09			3.41			(0.29	)		(0.18	)		(0.47	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$15.69		0.30			2.55			2.85			(0.24	)		(0.09	)		(0.33	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.62		0.29			1.69			1.98			(0.15	)		(0.76	)		(0.91	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.07		0.26			1.03			1.29			(0.32	)		(0.42	)		(0.74	)
FOR THE PERIOD 9/02/148—9/30/14		$14.13		0.02			(0.08	)11		(0.06	)		—			—			—

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

AQR Funds Annual Report September 2018

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Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$13.86		2.93	%		$58,512		0.70	%		0.55	%		0.55	%		1.90	%		34	%
	$13.70		14.49	%		$44,119		0.74	%		0.55	%13		0.55	%13		2.22	%14		62	%
	$12.27		6.18	%		$33,887		0.76	%		0.55	%		0.55	%		1.90	%		87	%
	$11.70		(8.36	)%		$23,699		0.94	%		0.65	%		0.65	%		1.57	%		147	%
	$13.09		0.97	%		$81,624		0.91	%		0.70	%		0.70	%		1.73	%12		185	%
	$13.77		2.75	%		$7,817		0.95	%		0.80	%		0.80	%		1.75	%		34	%
	$13.63		14.23	%		$4,800		0.95	%		0.80	%13		0.80	%13		2.08	%14		62	%
	$12.22		6.01	%		$160		0.93	%		0.72	%		0.72	%		1.61	%		87	%
	$11.68		(8.51	)%		$103		1.03	%		0.79	%		0.78	%		1.69	%		147	%
	$13.06		0.69	%		$112		1.92	%		0.95	%		0.95	%		1.26	%12		185	%
	$13.83		3.03	%		$62,790		0.60	%		0.45	%		0.45	%		1.95	%		34	%
	$13.67		14.66	%		$56,847		0.65	%		0.45	%13		0.45	%13		2.27	%14		62	%
	$12.24		6.25	%		$55,739		0.66	%		0.45	%		0.45	%		1.97	%		87	%
	$11.70		(8.25	)%		$48,003		0.70	%		0.46	%		0.46	%		2.40	%		147	%
	$13.09		(4.17	)%		$96		0.94	%		0.60	%		0.60	%		1.13	%12		185	%
	$21.18		18.92	%		$1,502,430		0.39	%		0.39	%		0.39	%		1.52	%		18	%
	$18.23		18.32	%		$793,828		0.41	%		0.40	%		0.40	%		1.69	%		16	%
	$15.71		14.00	%		$519,984		0.42	%		0.39	%		0.39	%		1.79	%		8	%
	$14.64		9.13	%		$158,468		0.55	%		0.45	%		0.45	%		1.65	%		24	%
	$14.07		16.44	%		$224,826		0.62	%		0.49	%		0.49	%		1.51	%		16	%
	$21.11		18.58	%		$309,274		0.65	%		0.64	%		0.64	%		1.27	%		18	%
	$18.18		17.99	%		$239,074		0.67	%		0.65	%		0.65	%		1.46	%		16	%
	$15.68		13.70	%		$226,020		0.68	%		0.65	%		0.65	%		1.53	%		8	%
	$14.64		8.97	%		$30,629		0.81	%		0.70	%		0.70	%		1.38	%		24	%
	$14.04		16.16	%		$28,843		0.92	%		0.74	%		0.74	%		1.26	%		16	%
	$21.15		18.99	%		$309,211		0.30	%		0.30	%		0.30	%		1.61	%		18	%
	$18.21		18.43	%		$197,705		0.32	%		0.30	%		0.30	%		1.79	%		16	%
	$15.69		14.13	%		$127,311		0.33	%		0.30	%		0.30	%		1.87	%		8	%
	$14.62		9.23	%		$109		0.45	%		0.35	%		0.34	%		1.76	%		24	%
	$14.07		(0.42	)%		$100		0.54	%		0.39	%		0.39	%		1.69	%		16	%

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

AQR Funds Annual Report September 2018

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Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.27		0.32	19		0.10			0.42			(0.29	)		(0.02	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.10		0.30	9		1.04			1.34			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.95		0.29			1.09			1.38			(0.23	)		—			(0.23	)
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	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.58		0.26	19		0.14			0.40			(0.25	)		(0.02	)		(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.40		0.28	9		1.06			1.34			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.20		0.30			1.09			1.39			(0.19	)		—			(0.19	)
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	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$13.26		0.34	19		0.10			0.44			(0.30	)		(0.02	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$12.09		0.31	9		1.03			1.34			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.94		0.36			1.03			1.39			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.37		0.29			(1.10	)		(0.81	)		(0.34	)		(0.28	)		(0.62	)
FOR THE PERIOD 9/02/148—9/30/14		$13.02		0.03			(0.68	)11		(0.65	)		—			—			—
AQR EMERGING DEFENSIVE STYLE FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$ 9.44		0.19			0.17			0.36			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.80		0.17			0.61			0.78			(0.14	)		—			(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.21		0.16			0.69			0.85			(0.26	)		—			(0.26	)
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	12		0.03	11		0.28			(0.09	)		(0.00	)7		(0.09	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$9.67		0.19			0.14			0.33			(0.14	)		—			(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$9.00		0.20			0.59			0.79			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.34		0.15			0.70			0.85			(0.19	)		—			(0.19	)
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	12		0.08	11		0.26			(0.07	)		(0.00	)7		(0.07	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$9.42		0.19			0.17			0.36			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.77		0.18			0.62			0.80			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.21		0.17			0.67			0.84			(0.28	)		—			(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.46		0.21			(2.27	)		(2.06	)		(0.19	)		—			(0.19	)
FOR THE PERIOD 9/02/148—9/30/14		$11.15		0.03	12		(0.72	)		(0.69	)		—			—			—

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

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					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$13.38		3.15	%		$173,932		0.63	%		0.55	%		0.55	%		2.41	%19		21	%
	$13.27		11.29	%		$145,091		0.67	%		0.55	%13		0.55	%13		2.43	%9,14		3	%
	$12.10		12.84	%		$96,844		0.83	%		0.54	%		0.54	%		2.51	%		83	%
	$10.95		(6.89	)%		$34,191		1.11	%		0.60	%		0.60	%		2.40	%		47	%
	$12.37		6.68	%		$27,316		1.24	%		0.65	%		0.65	%		2.53	%		57	%
	$13.71		2.90	%		$4,266		0.88	%		0.80	%		0.80	%		1.84	%19		21	%
	$13.58		11.01	%		$30,102		0.92	%		0.80	%13		0.80	%13		2.21	%9,14		3	%
	$12.40		12.59	%		$21,135		1.08	%		0.79	%		0.78	%		2.51	%		83	%
	$11.20		(7.15	)%		$141		1.43	%		0.86	%		0.86	%		1.94	%		47	%
	$12.35		6.32	%		$462		1.85	%		0.90	%		0.90	%		2.18	%		57	%
	$13.38		3.32	%		$28,741		0.53	%		0.45	%		0.45	%		2.54	%19		21	%
	$13.26		11.38	%		$19,716		0.57	%		0.45	%13		0.45	%13		2.57	%9,14		3	%
	$12.09		12.95	%		$14,668		0.67	%		0.45	%		0.45	%		3.06	%		83	%
	$10.94		(6.78	)%		$89		1.01	%		0.50	%		0.50	%		2.45	%		47	%
	$12.37		(4.99	)%		$95		1.23	%		0.55	%		0.55	%		3.49	%		57	%
	$9.64		3.77	%		$76,491		0.97	%		0.70	%		0.70	%		1.94	%		16	%
	$9.44		9.17	%		$62,261		1.07	%		0.70	%		0.70	%		1.99	%		17	%
	$8.80		10.73	%		$49,612		1.15	%		0.68	%		0.68	%		1.90	%		23	%
	$8.21		(20.07	)%		$27,221		1.12	%		0.76	%		0.76	%		1.92	%		117	%
	$10.46		2.78	%		$70,070		1.23	%		0.85	%		0.85	%		2.35	%12		124	%
	$9.86		3.39	%		$9,977		1.22	%		0.95	%		0.95	%		1.95	%		16	%
	$9.67		9.04	%		$4,922		1.28	%		0.93	%		0.93	%		2.21	%		17	%
	$9.00		10.42	%		$207		1.38	%		0.91	%		0.91	%		1.79	%		23	%
	$8.34		(20.19	)%		$54		1.40	%		1.03	%		1.03	%		1.22	%		117	%
	$10.45		2.60	%		$1,017		1.68	%		1.10	%		1.10	%		1.73	%12		124	%
	$9.61		3.76	%		$198		0.87	%		0.60	%		0.60	%		1.94	%		16	%
	$9.42		9.40	%		$208		0.97	%		0.60	%		0.60	%		2.02	%		17	%
	$8.77		10.67	%		$190		1.05	%		0.60	%		0.60	%		2.06	%		23	%
	$8.21		(19.96	)%		$75		1.08	%		0.66	%		0.65	%		2.16	%		117	%
	$10.46		(6.19	)%		$94		1.36	%		0.70	%		0.70	%		4.04	%12		124	%

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

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Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR GLOBAL EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$8.89		0.13			0.54			0.67			(0.08	)		(0.37	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.12		0.11			1.43			1.54			(0.18	)		(0.59	)		(0.77	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.80		0.10			0.76			0.86			(0.12	)		(0.42	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.91		0.12	10		(0.23	)		(0.11	)		(0.15	)		(0.85	)		(1.00	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.33		0.15	12		1.13			1.28			(0.39	)		(5.31	)		(5.70	)
AQR GLOBAL EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$8.84		0.09			0.55			0.64			(0.05	)		(0.37	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$ 8.07		0.09			1.43			1.52			(0.16	)		(0.59	)		(0.75	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.73		0.10			0.72			0.82			(0.06	)		(0.42	)		(0.48	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.85		0.10	10		(0.23	)		(0.13	)		(0.14	)		(0.85	)		(0.99	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.27		0.12	12		1.12			1.24			(0.35	)		(5.31	)		(5.66	)
AQR GLOBAL EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$8.96		0.13			0.55			0.68			(0.08	)		(0.37	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$8.18		0.12			1.45			1.57			(0.20	)		(0.59	)		(0.79	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.85		0.12			0.75			0.87			(0.12	)		(0.42	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.96		0.14	10		(0.24	)		(0.10	)		(0.16	)		(0.85	)		(1.01	)
FOR THE PERIOD 1/08/148—9/30/14		$8.70		0.15	12		0.11			0.26			—			—			—
AQR INTERNATIONAL EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.66		0.22	19		(0.32	)		(0.10	)		(0.25	)		(0.82	)		(1.07	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.17		0.20			1.73			1.93			(0.30	)		(0.14	)		(0.44	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.61		0.21			0.67			0.88			(0.20	)		(0.12	)		(0.32	)
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	12		(0.09	)		0.19			(0.22	)		(0.86	)		(1.08	)
AQR INTERNATIONAL EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.88		0.21	19		(0.33	)		(0.12	)		(0.20	)		(0.82	)		(1.02	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.35		0.18			1.77			1.95			(0.28	)		(0.14	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.77		0.19			0.68			0.87			(0.17	)		(0.12	)		(0.29	)
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	12		(0.10	)		0.15			(0.20	)		(0.86	)		(1.06	)
AQR INTERNATIONAL EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.39		0.24	19		(0.35	)		(0.11	)		(0.26	)		(0.82	)		(1.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017		$10.77		0.27			1.81			2.08			(0.32	)		(0.14	)		(0.46	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.16		0.16			0.77			0.93			(0.20	)		(0.12	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.56		0.18			(0.68	)		(0.50	)		(0.35	)		(0.55	)		(0.90	)
FOR THE PERIOD 1/08/148—9/30/14		$12.08		0.34	12		(0.86	)		(0.52	)		—			—			—

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

AQR Funds Annual Report September 2018

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Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.11		7.65	%		$198,954		0.82	%		0.80	%		0.80	%		1.42	%		87	%
	$8.89		20.70	%		$41,551		0.89	%		0.82	%		0.82	%		1.37	%		88	%
	$8.12		11.33	%		$33,013		0.96	%		0.89	%		0.89	%		1.36	%		78	%
	$7.80		(1.64	)%		$34,186		0.90	%		0.90	%		0.90	%		1.49	%10		73	%
	$8.91		11.55	%		$2,492		1.14	%		0.91	%		0.91	%		1.62	%12		90	%
	$9.06		7.36	%		$2,120		1.07	%		1.05	%		1.05	%		1.02	%		87	%
	$8.84		20.57	%		$2,254		1.14	%		1.07	%		1.07	%		1.09	%		88	%
	$8.07		10.93	%		$1,712		1.20	%		1.13	%		1.12	%		1.28	%		78	%
	$7.73		(1.86	)%		$765		1.17	%		1.17	%		1.17	%		1.18	%10		73	%
	$8.85		11.17	%		$1,128		1.60	%		1.21	%		1.21	%		1.28	%12		90	%
	$9.19		7.74	%		$173,425		0.72	%		0.70	%		0.70	%		1.39	%		87	%
	$8.96		20.98	%		$146,167		0.77	%		0.70	%		0.70	%		1.48	%		88	%
	$8.18		11.33	%		$106,573		0.77	%		0.70	%		0.70	%		1.59	%		78	%
	$7.85		(1.47	)%		$85,017		0.71	%		0.70	%		0.70	%		1.69	%10		73	%
	$8.96		2.99	%		$76,031		0.73	%		0.70	%		0.70	%		2.23	%12		90	%
	$10.49		(1.24	)%		$391,509		0.88	%		0.86	%		0.86	%		1.97	%19		87	%
	$11.66		19.96	%		$346,078		0.98	%		0.91	%13		0.91	%13		1.89	%14		83	%
	$10.17		9.34	%		$370,530		0.97	%		0.95	%		0.95	%		2.14	%		62	%
	$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	%12		71	%
	$10.74		(1.41	)%		$13,090		1.10	%		1.09	%		1.09	%		1.85	%19		87	%
	$11.88		19.68	%		$14,873		1.24	%		1.16	%13		1.16	%13		1.71	%14		83	%
	$10.35		9.04	%		$37,297		1.20	%		1.18	%		1.18	%		1.89	%		62	%
	$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	%12		71	%
	$11.20		(1.23	)%		$44,742		0.79	%		0.77	%		0.77	%		2.04	%19		87	%
	$12.39		20.20	%		$44,105		0.85	%		0.81	%13		0.81	%13		2.39	%14		83	%
	$10.77		9.40	%		$14,387		0.77	%		0.77	%		0.77	%		1.57	%		62	%
	$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	%12		71	%

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

AQR Funds Annual Report September 2018

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Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.30		0.11			1.24			1.35			(0.11	)		—			—			(0.11	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.09			1.21			1.30			—			—			—			—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.27		0.07			1.25			1.32			(0.05	)		—			—			(0.05	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.06			1.21			1.27			—			—			—			—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$11.30		0.12			1.24			1.36			(0.11	)		—			—			(0.11	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.09			1.21			1.30			—			—			—			—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.35		(0.06	)		0.36			0.30			(0.10	)		—			(0.01	)		(0.11	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		(0.01	)		0.36			0.35			—			—			—			—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.32		(0.08	)		0.36			0.28			(0.07	)		—			(0.01	)		(0.08	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		(0.03	)		0.35			0.32			—			—			—			—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$10.35		(0.05	)		0.36			0.31			(0.10	)		—			(0.01	)		(0.11	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		(0.00	)7		0.35			0.35			—			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.76		0.31	19		(0.75	)		(0.44	)		(0.09	)		(0.01	)		—			(0.10	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.21			2.55			2.76			—			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.73		0.26	19		(0.73	)		(0.47	)		(0.08	)		(0.01	)		—			(0.09	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.18			2.55			2.73			—			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.77		0.22	19		(0.66	)		(0.44	)		(0.09	)		(0.01	)		—			(0.10	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.21			2.56			2.77			—			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.69		0.17	19		(0.32	)		(0.15	)		(0.11	)		(0.06	)		—			(0.17	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.08			2.61			2.69			—			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.66		0.15	19		(0.34	)		(0.19	)		(0.08	)		(0.06	)		—			(0.14	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.07			2.59			2.66			—			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE YEAR ENDED SEPTEMBER 30, 2018		$12.70		0.09	19		(0.23	)		(0.14	)		(0.12	)		(0.06	)		—			(0.18	)
FOR THE PERIOD 12/14/1615—9/30/17		$10.00		0.07			2.63			2.70			—			—			—			—

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

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Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$12.54		11.95	%		$16,556		2.06	%16		1.33	%		0.80	%		0.88	%		119	%
	$11.30		13.00	%		$13,575		2.69	%16		1.40	%		0.78	%		1.06	%		139	%
	$12.54		11.72	%		$773		2.30	%16		1.56	%		1.03	%		0.60	%		119	%
	$11.27		12.70	%		$1,016		4.22	%16		1.65	%		1.03	%		0.72	%		139	%
	$12.55		12.09	%		$1,815		1.98	%16		1.23	%		0.70	%		0.97	%		119	%
	$11.30		13.00	%		$1,972		3.94	%16		1.32	%		0.70	%		1.02	%		139	%
	$10.54		2.86	%		$1,376		5.29	%16		1.70	%		0.98	%		(0.57	)%		135	%
	$10.35		3.50	%		$1,353		6.62	%16		1.41	%		0.98	%		(0.10	)%		124	%
	$10.52		2.70	%		$584		5.58	%16		1.94	%		1.22	%		(0.81	)%		135	%
	$10.32		3.20	%		$576		6.82	%16		1.64	%		1.22	%		(0.34	)%		124	%
	$10.55		3.04	%		$1,336		5.27	%16		1.62	%		0.90	%		(0.48	)%		135	%
	$10.35		3.50	%		$1,336		6.53	%16		1.33	%		0.90	%		(0.02	)%		124	%
	$12.22		(3.45	)%		$55,144		2.12	%16		1.94	%		0.95	%		2.44	%19		106	%
	$12.76		27.60	%		$7,136		3.81	%16		1.88	%		0.94	%		2.28	%		162	%
	$12.17		(3.68	)%		$13,444		2.38	%16		2.19	%		1.20	%		2.00	%19		106	%
	$12.73		27.30	%		$1,988		4.19	%16		2.12	%		1.18	%		1.98	%		162	%
	$12.23		(3.42	)%		$1,993		2.16	%16		1.84	%		0.85	%		1.72	%19		106	%
	$12.77		27.70	%		$2,654		4.18	%16		1.79	%		0.85	%		2.36	%		162	%
	$12.37		(1.30	)%		$21,063		1.57	%16		1.15	%		1.15	%		1.24	%19		168	%
	$12.69		26.90	%		$5,151		3.82	%16		1.14	%		1.14	%		0.89	%		114	%
	$12.33		(1.60	)%		$10,383		1.81	%16		1.40	%		1.40	%		1.13	%19		168	%
	$12.66		26.60	%		$1,953		4.16	%16		1.38	%		1.38	%		0.77	%		114	%
	$12.38		(1.25	)%		$5,923		1.49	%16		1.05	%		1.05	%		0.67	%19		168	%
	$12.70		27.00	%		$17,848		3.66	%16		1.05	%		1.05	%		0.71	%		114	%

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

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Financial Highlights September 30, 2018

  * Annualized for periods less than one year.

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

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

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

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

  ⁵ Portfolio turnover is not annualized.

  ⁶ Effective April 1, 2015, Class L Shares were renamed Class I Shares.

  ⁷ Amount is less than $.005 per share.

  ⁸ Commencement of offering of shares.

  ⁹ For the period ended September 30, 2017 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		0.63	%
AQR Small Cap Multi-Style Fund—Class N		0.06		0.37
AQR Small Cap Multi-Style Fund—Class R6		0.11		0.73
AQR Small Cap Momentum Style Fund—Class I		0.08		0.35
AQR Small Cap Momentum Style Fund—Class N		0.03		0.13
AQR Small Cap Momentum Style Fund—Class R6		0.10		0.43
AQR International Defensive Style Fund—Class I		0.28		2.24
AQR International Defensive Style Fund—Class N		0.26		2.02
AQR International Defensive Style Fund—Class R6		0.29		2.38

¹⁰   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

¹¹   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.

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

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Financial Highlights September 30, 2018

¹²  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
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 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 R6		0.32			3.71

¹³   Excludes impact of IRS closing agreement tax expense.

¹⁴  Includes impact of IRS closing agreement reimbursement.

¹⁵  Commencement of operations.

¹⁶  Certain expenses incurred by the Fund were not annualized for the period.

¹⁷  Ratios are disproportionate between classes due to size of net assets and fixed expenses.

¹⁸  For the period ended September 30, 2016 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 TM Small Cap Multi-Style Fund—Class I		$0.11		1.14	%
AQR TM Small Cap Multi-Style Fund—Class N		0.09		0.92
AQR TM Small Cap Multi-Style Fund—Class R6		0.11		1.13
AQR TM Large Cap Momentum Style Fund—Class I		0.21		1.27
AQR TM Large Cap Momentum Style Fund—Class N		0.18		1.10
AQR TM Large Cap Momentum Style Fund—Class R6		0.22		1.36

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

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Financial Highlights September 30, 2018

¹⁹  For the period ended September 30, 2018 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 TM Emerging Multi-Style Fund—Class I		$0.22			1.90	%
AQR TM Emerging Multi-Style Fund—Class N		0.18			1.52
AQR TM Emerging Multi-Style Fund—Class R6		0.23			1.96
AQR Small Cap Momentum Style Fund—Class I		0.03			0.12
AQR Small Cap Momentum Style Fund—Class N		(0.02	)		(0.11	)
AQR Small Cap Momentum Style Fund—Class R6		0.06			0.22
AQR International Defensive Style Fund-Class I		0.28			2.14
AQR International Defensive Style Fund-Class N		0.22			1.57
AQR International Defensive Style Fund-Class R6		0.30			2.27
AQR International Equity Fund—Class I		0.21			1.86
AQR International Equity Fund—Class N		0.20			1.74
AQR International Equity Fund—Class R6		0.23			1.93
AQR International Relaxed Constraint Equity Fund—Class I		0.29			2.28
AQR International Relaxed Constraint Equity Fund—Class N		0.24			1.84
AQR International Relaxed Constraint Equity Fund—Class R6		0.20			1.56
AQR Emerging Relaxed Constraint Equity Fund—Class I		0.14			1.04
AQR Emerging Relaxed Constraint Equity Fund—Class N		0.12			0.93
AQR Emerging Relaxed Constraint Equity Fund—Class R6		0.06			0.47

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

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270

Notes to Financial Statements September 30, 2018

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of September 30, 2018, the Trust consists of thirty-nine active series, twenty-four 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, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective 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, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint 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. Each Fund offers Class I, N and R6 shares.

2. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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

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

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

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

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

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

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271

Notes to Financial Statements September 30, 2018

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. 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.

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 taxable net investment income and capital gains, if applicable, to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of September 30, 2018, the Funds had no examinations in progress.

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

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital.

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

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272

Notes to Financial Statements September 30, 2018

3. Securities and Other Investments

Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising significant influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments, if applicable.

Securities Sold Short: Certain Funds may engage in short sales, which is when a Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.

The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.

The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND
AQR Large Cap Relaxed Constraint Equity Fund	$	23,233
AQR Small Cap Relaxed Constraint Equity Fund		9,745
AQR International Relaxed Constraint Equity Fund		112,426

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

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. 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.

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Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. If there is no up-front payment or receipt, market value will equal unrealized appreciation (depreciation). Periodic payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Schedule of Investments. The use of short total return swaps subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) from the expiration or closing of swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Total Return Basket Swaps: Certain Funds may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and/or short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash or securities issued by the U.S. Treasury valued at 102% to 105% of the market value of the securities on loan. The Funds may invest cash collateral in money market funds as indicated on the Schedule of Investments. 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.

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. 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, net on the Statement of Operations represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. 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.

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Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. At period end, Funds with investment securities on loan disclose the balance of such securities on loan in the footnotes to the Schedule of Investment. The fair value of the Fund’s investment securities on loan and a related liability for collateral received on securities loaned are both presented gross on the Statement 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 i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between 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 centrally cleared swaps and Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

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

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

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

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

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liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).

The Adviser has established a Valuation Committee (the “VC”) to assist the Board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

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

Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels as follows:

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

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

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 classified Level 1. Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.

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

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by

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

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

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

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market 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 fair valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract 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. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

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	$	1,886,798,655	$	—	$	—	$	1,886,798,655
Securities Lending Collateral		11,270,160		—		—		11,270,160
Short-Term Investments		4,632,220		—		—		4,632,220
Total Assets	$	1,902,701,035	$	—	$	—	$	1,902,701,035

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AQR LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
LIABILITIES
Futures Contracts*	$	(124,860	)	$	—	$	—	$	(124,860	)
Total Liabilities	$	(124,860	)	$	—	$	—	$	(124,860	)
AQR SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	723,293,819		$	—	$	—	$	723,293,819
Preferred Stocks		68,366			—		—		68,366
Rights		—			—		627		627
Securities Lending Collateral		48,526,097			—		—		48,526,097
Short-Term Investments		21,603,768			—		—		21,603,768
Total Assets	$	793,492,050		$	—	$	627	$	793,492,677
LIABILITIES
Futures Contracts*	$	(154,866	)	$	—	$	—	$	(154,866	)
Total Liabilities	$	(154,866	)	$	—	$	—	$	(154,866	)
AQR INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	36,568,398		$	370,937,277	$	—	$	407,505,675
Short-Term Investments		3,577,234			—		—		3,577,234
Total Assets	$	40,145,632		$	370,937,277	$	—	$	411,082,909
LIABILITIES
Futures Contracts*	$	(9,809	)	$	—	$	—	$	(9,809	)
Total Liabilities	$	(9,809	)	$	—	$	—	$	(9,809	)
AQR EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	77,366,989		$	222,747,435	$	—	$	300,114,424
Securities Lending Collateral		2,489,424			—		—		2,489,424
Short-Term Investments		7,035,561			—		—		7,035,561
Futures Contracts*		60,750			—		—		60,750
Total Assets	$	86,952,724		$	222,747,435	$	—	$	309,700,159
AQR TM LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	292,115,636		$	—	$	—	$	292,115,636
Securities Lending Collateral		1,618,753			—		—		1,618,753
Short-Term Investments		9,949,723			—		—		9,949,723
Futures Contracts*		24,624			—		—		24,624
Total Assets	$	303,708,736		$	—	$	—	$	303,708,736
AQR TM SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	33,941,699		$	—	$	—	$	33,941,699
Preferred Stocks		2,632			—		—		2,632
Rights		—			—		13		13
Securities Lending Collateral		2,102,658			—		—		2,102,658
Short-Term Investments		886,599			—		—		886,599
Total Assets	$	36,933,588		$	—	$	13	$	36,933,601

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AQR TM SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
LIABILITIES
Futures Contracts*	$	(4,102	)	$	—	$	—		$	(4,102	)
Total Liabilities	$	(4,102	)	$	—	$	—		$	(4,102	)
AQR TM INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	15,957,658		$	168,909,783	$	—		$	184,867,441
Securities Lending Collateral		52,330			—		—			52,330
Short-Term Investments		4,696,503			—		—			4,696,503
Futures Contracts*		26,906			—		—			26,906
Total Assets	$	20,733,397		$	168,909,783	$	—		$	189,643,180
AQR TM EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	83,701,221		$	237,469,232	$	—		$	321,170,453
Securities Lending Collateral		2,394,189			—		—			2,394,189
Short-Term Investments		9,203,520			—		—			9,203,520
Futures Contracts*		119,288			—		—			119,288
Total Assets	$	95,418,218		$	237,469,232	$	—		$	332,887,450
AQR LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	1,139,990,311		$	—	$	—		$	1,139,990,311
Securities Lending Collateral		14,715,208			—		—			14,715,208
Short-Term Investments		29,736,678			—		—			29,736,678
Futures Contracts*		99,080			—		—			99,080
Total Assets	$	1,184,541,277		$	—	$	—		$	1,184,541,277
AQR SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	367,301,427		$	—	$	—	(a)	$	367,301,427
Securities Lending Collateral		22,908,891			—		—			22,908,891
Short-Term Investments		3,721,112			—		—			3,721,112
Warrants		—			—		—	(a)		—	(a)
Total Assets	$	393,931,430		$	—	$	—	(a)	$	393,931,430
LIABILITIES
Futures Contracts*	$	(2,170	)	$	—	$	—		$	(2,170	)
Total Liabilities	$	(2,170	)	$	—	$	—		$	(2,170	)
AQR INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	45,001,820		$	390,577,035	$	—		$	435,578,855
Securities Lending Collateral		2,426,324			—		—			2,426,324
Short-Term Investments		13,193,665			—		—			13,193,665
Futures Contracts*		86,250			—		—			86,250
Total Assets	$	60,708,059		$	390,577,035	$	—		$	451,285,094

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AQR EMERGING MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	1,674,607		$	10,060,754	$	—	(a)	$	11,735,361
Exchange-Traded Funds †		478,172			—		—			478,172
Securities Lending Collateral		81,466			—		—			81,466
Short-Term Investments		174,016			—		—			174,016
Total Assets	$	2,408,261		$	10,060,754	$	—	(a)	$	12,469,015
AQR TM LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	220,931,001		$	—	$	—		$	220,931,001
Securities Lending Collateral		2,617,030			—		—			2,617,030
Short-Term Investments		7,353,171			—		—			7,353,171
Futures Contracts*		20,957			—		—			20,957
Total Assets	$	230,922,159		$	—	$	—		$	230,922,159
AQR TM SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	66,908,396		$	—	$	—		$	66,908,396
Securities Lending Collateral		8,721,842			—		—			8,721,842
Short-Term Investments		1,834,124			—		—			1,834,124
Total Assets	$	77,464,362		$	—	$	—		$	77,464,362
LIABILITIES
Futures Contracts*	$	(12,493	)	$	—	$	—		$	(12,493	)
Total Liabilities	$	(12,493	)	$	—	$	—		$	(12,493	)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	12,972,790		$	111,779,318	$	—		$	124,752,108
Securities Lending Collateral		1,478,496			—		—			1,478,496
Short-Term Investments		3,657,418			—		—			3,657,418
Futures Contracts*		20,679			—		—			20,679
Total Assets	$	18,129,383		$	111,779,318	$	—		$	129,908,701
AQR LARGE CAP DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	2,039,998,037		$	—	$	—		$	2,039,998,037
Securities Lending Collateral		6,537,627			—		—			6,537,627
Short-Term Investments		75,586,336			—		—			75,586,336
Futures Contracts*		45,563			—		—			45,563
Total Assets	$	2,122,167,563		$	—	$	—		$	2,122,167,563
AQR INTERNATIONAL DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	23,769,907		$	173,198,797	$	—		$	196,968,704
Securities Lending Collateral		3,863,336			—		—			3,863,336
Short-Term Investments		7,933,286			—		—			7,933,286
Futures Contracts*		63,217			—		—			63,217
Total Assets	$	35,629,746		$	173,198,797	$	—		$	208,828,543

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Notes to Financial Statements September 30, 2018

AQR EMERGING DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	13,111,286		$	68,653,105		$	1		$	81,764,392
Securities Lending Collateral		1,225,254			—			—			1,225,254
Short-Term Investments		4,054,121			—			—			4,054,121
Warrants†		—			—			—	(a)		—	(a)
Futures Contracts*		52,103			—			—			52,103
Total Assets	$	18,442,764		$	68,653,105		$	1		$	87,095,870
AQR GLOBAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	212,086,353		$	118,219,539		$	140		$	330,306,032
Short-Term Investments		36,630,939			—			—			36,630,939
Futures Contracts*		2,148,400			—			—			2,148,400
Forward Foreign Currency Exchange Contracts*		—			1,967,768			—			1,967,768
Total Return Swaps Contracts*		—			1,294,075			—			1,294,075
Total Assets	$	250,865,692		$	121,481,382		$	140		$	372,347,214
LIABILITIES
Futures Contracts*	$	(291,917	)	$	—		$	—		$	(291,917	)
Forward Foreign Currency Exchange Contracts*		—			(2,413,125	)		—			(2,413,125	)
Total Return Swaps Contracts*		—			(196,937	)		—			(196,937	)
Total Liabilities	$	(291,917	)	$	(2,610,062	)	$	—		$	(2,901,979	)
AQR INTERNATIONAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	392,592,721		$	208		$	392,592,929
Securities Lending Collateral		261,851			—			—			261,851
Short-Term Investments		44,579,126			—			—			44,579,126
Futures Contracts*		6,302,983			—			—			6,302,983
Forward Foreign Currency Exchange Contracts*		—			1,758,065			—			1,758,065
Total Return Swaps Contracts*		—			861,853			—			861,853
Total Assets	$	51,143,960		$	395,212,639		$	208		$	446,356,807
LIABILITIES
Futures Contracts*	$	(1,099,416	)	$	—		$	—		$	(1,099,416	)
Forward Foreign Currency Exchange Contracts*		—			(2,039,425	)		—			(2,039,425	)
Total Return Swaps Contracts*		—			(696,937	)		—			(696,937	)
Total Liabilities	$	(1,099,416	)	$	(2,736,362	)	$	—		$	(3,835,778	)
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	24,172,647		$	—		$	—		$	24,172,647
Exchange-Traded Funds		445,092			—			—			445,092
Short-Term Investments		276,955			—			—			276,955
Total Assets	$	24,894,694		$	—		$	—		$	24,894,694
LIABILITIES
Common Stocks (Sold Short)	$	(5,654,211	)	$	—		$	—		$	(5,654,211	)
Total Liabilities	$	(5,654,211	)	$	—		$	—		$	(5,654,211	)

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Notes to Financial Statements September 30, 2018

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	4,239,223		$	—		$	—		$	4,239,223
Exchange-Traded Funds		28,654			—			—			28,654
Rights		—			—			89			89
Short-Term Investments		76,892			—			—			76,892
Total Assets	$	4,344,769		$	—		$	89		$	4,344,858
LIABILITIES
Common Stocks (Sold Short)	$	(1,007,032	)	$	—		$	—		$	(1,007,032	)
Total Liabilities	$	(1,007,032	)	$	—		$	—		$	(1,007,032	)
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	88,468,539		$	—		$	88,468,539
Short-Term Investments		1,767,202			—			—			1,767,202
Futures Contracts*		15,643			—			—			15,643
Total Assets	$	1,782,845		$	88,468,539		$	—		$	90,251,384
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(20,640,421	)	$	—		$	(20,640,421	)
Total Liabilities	$	—		$	(20,640,421	)	$	—		$	(20,640,421	)
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	10,249,501		$	16,369,358		$	—	(a)	$	26,618,859
Short-Term Investments		9,965,274			—			—			9,965,274
Futures Contracts*		14,479			—			—			14,479
Total Return Basket Swaps Contracts*		—			950,905			—			950,905
Total Assets	$	20,229,254		$	17,320,263		$	—	(a)	$	37,549,517
LIABILITIES
Total Return Basket Swaps Contracts*	$	—		$	(952,230	)	$	—		$	(952,230	)
Total Liabilities	$	—		$	(952,230	)	$	—		$	(952,230	)

* Derivative instruments, including futures, forward foreign currency exchange, total return swap and total return basket 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.

Transfers to Level 3 or from Level 3 are generally due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of, or increase in, available market inputs to determine price.

During the period ended September 30, 2018, there were no transfers to or from level 3 for any of the Funds. There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for the AQR Small Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund.

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

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value

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Notes to Financial Statements September 30, 2018

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.

5. Federal Income Tax Matters

At September 30, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Large Cap Multi-Style Fund	$	1,463,455,390	$	456,155,695	$	(17,034,910	)	$	439,120,785
AQR Small Cap Multi-Style Fund		655,682,804		160,449,803		(22,794,796	)		137,655,007
AQR International Multi-Style Fund		370,961,679		51,907,361		(11,795,940	)		40,111,421
AQR Emerging Multi-Style Fund		266,048,944		57,339,682		(13,688,467	)		43,651,215
AQR TM Large Cap Multi-Style Fund		233,178,630		71,982,720		(1,452,614	)		70,530,106
AQR TM Small Cap Multi-Style Fund		29,941,952		7,721,474		(733,927	)		6,987,547
AQR TM International Multi-Style Fund		162,044,253		31,234,592		(3,635,665	)		27,598,927
AQR TM Emerging Multi-Style Fund		260,619,545		79,360,758		(7,092,853	)		72,267,905
AQR Large Cap Momentum Style Fund		849,181,732		343,741,475		(8,381,930	)		335,359,545
AQR Small Cap Momentum Style Fund		301,190,791		104,212,296		(11,473,827	)		92,738,469
AQR International Momentum Style Fund		392,388,118		68,615,419		(9,718,443	)		58,896,976
AQR Emerging Momentum Style Fund		10,551,227		2,301,064		(383,276	)		1,917,788
AQR TM Large Cap Momentum Style Fund		145,889,804		85,417,323		(384,968	)		85,032,355
AQR TM Small Cap Momentum Style Fund		60,386,383		18,658,401		(1,592,915	)		17,065,486
AQR TM International Momentum Style Fund		113,060,264		20,641,550		(3,793,113	)		16,848,437
AQR Large Cap Defensive Style Fund		1,678,352,325		452,452,454		(8,637,216	)		443,815,238
AQR International Defensive Style Fund		187,748,435		28,816,683		(7,736,575	)		21,080,108
AQR Emerging Defensive Style Fund		79,279,056		12,782,876		(4,966,062	)		7,816,814
AQR Global Equity Fund		326,078,892		54,883,955		(11,517,612	)		43,366,343
AQR International Equity Fund		410,785,882		48,944,561		(17,209,414	)		31,735,147
AQR Large Cap Relaxed Constraint Equity Fund		15,743,204		4,295,276		(797,997	)		3,497,279
AQR Small Cap Relaxed Constraint Equity Fund		2,739,245		893,747		(295,166	)		598,581
AQR International Relaxed Constraint Equity Fund		70,896,682		6,556,211		(7,841,930	)		(1,285,719	)
AQR Emerging Relaxed Constraint Equity Fund		37,482,984		2,123,960		(3,009,657	)		(885,697	)

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 fund investments including Real Estate Investment Trusts (“REITs”).

As of September 30, 2018, the components of distributable earnings on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITALGAIN 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	$	20,171,137	$	76,078,305		$	439,120,785	$	—		$	—	$	535,370,227
AQR Small Cap Multi-Style Fund		10,050,029		54,992,179			137,655,007		—			—		202,697,215
AQR International Multi-Style Fund		10,554,570		(8,146,841	)		40,153,210		(9,414,416	)		—		33,146,523
AQR Emerging Multi-Style Fund		5,945,685		(22,624,168	)		43,363,213		(5,326,336	)		—		21,358,394
AQR TM Large Cap Multi-Style Fund		2,685,102		(70,709	)		70,530,106		—			—		73,144,499
AQR TM Small Cap Multi-Style Fund		104,156		980,370			6,987,547		—			—		8,072,073

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283

Notes to Financial Statements September 30, 2018

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITALGAIN 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 TM International Multi-StyleFund	$	4,007,131	$	(3,352,343	)	$	27,597,514		$	(2,889,529	)	$	—		$	25,362,773
AQR TM Emerging Multi-Style Fund		7,059,380		(5,179,137	)		71,914,217			(7,408,518	)		—			66,385,942
AQR Large Cap Momentum Style Fund		20,582,919		62,812,281			335,359,526			—			—			418,754,726
AQR Small Cap Momentum Style Fund		1,267,778		53,037,330			92,738,469			(20,207	)		—			147,023,370
AQR International Momentum Style Fund		7,486,219		(7,011,474	)		58,884,567			(3,777,442	)		—			55,581,870
AQR Emerging Momentum Style Fund		228,602		(918,111	)		1,915,632			(230,108	)		—			996,015
AQR TM Large Cap Momentum Style Fund		1,296,767		(1,276,023	)		85,032,355			—			—			85,053,099
AQR TM Small Cap Momentum Style Fund		63,451		4,182,026			17,065,486			(1,314	)		—			21,309,649
AQR TM International Momentum Style Fund		2,151,187		(11,860,336	)		16,848,006			(834,249	)		—			6,304,608
AQR Large Cap Defensive Style Fund		16,976,842		9,709,001			443,815,238			—			—			470,501,081
AQR International Defensive Style Fund		4,067,556		—			21,077,028			(82,321	)		—			25,062,263
AQR Emerging Defensive Style Fund		1,423,301		(11,124,405	)		7,763,543			(500,411	)		—			(2,437,972	)
AQR Global Equity Fund		4,193,164		6,114,849			42,874,977			(6,619,171	)		(4,159	)		46,559,660
AQR International Equity Fund		7,323,584		1,897,898			25,215,957			(1,619,450	)		—			32,817,989
AQR Large Cap Relaxed Constraint Equity Fund		103,032		(21,901	)		3,497,279			(457,253	)		—			3,121,157
AQR Small Cap Relaxed Constraint Equity Fund		—		(135,003	)		598,581			(247,915	)		—			215,663
AQR International Relaxed Constraint Equity Fund		1,291,288		—			(1,296,009	)		(3,259,250	)		—			(3,263,971	)
AQR Emerging Relaxed Constraint Equity Fund		301,441		—			(883,555	)		(3,159,420	)		—			(3,741,534	)

The differences between book basis and tax basis components of distributable earnings are primarily attributable to wash sales loss deferrals, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market on PFIC investments, mark to market on equity swaps, non-taxable dividends from fund investments including REITs, loss deferrals from tax straddles, and capital loss carry forwards.

As of September 30, 2018, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	TOTAL DISTRIBUTABLE EARNINGS (LOSS)			PAID-IN CAPITAL
AQR Large Cap Multi-Style Fund	$	(8,169,414	)	$	8,169,414
AQR Small Cap Multi-Style Fund		(4,245,287	)		4,245,287
AQR Large Cap Momentum Style Fund		(6,332,880	)		6,332,880
AQR Small Cap Momentum Style Fund		(5,271,854	)		5,271,854
AQR Global Equity Fund		2,936			(2,936	)
AQR Large Cap Relaxed Constraint Equity Fund		5,813			(5,813	)
AQR Small Cap Relaxed Constraint Equity Fund		4,359			(4,359	)
AQR International Relaxed Constraint Equity Fund		4,337			(4,337	)
AQR Emerging Relaxed Constraint Equity Fund		4,553			(4,553	)

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284

Notes to Financial Statements September 30, 2018

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of certain non deductible expenses and redemptions utilized as distributions. The result of operations and net assets were not affected by the reclassifications.

The tax character of distributions paid during the fiscal year-ends or periods September 30, 2018 and September 30, 2017 were as follows:

	SEPTEMBER 30, 2018						SEPTEMBER 30, 2017
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS
AQR Large Cap Multi-Style Fund	$	24,214,628	$	18,502,454	$	—	$	20,996,010	$	—
AQR Small Cap Multi-Style Fund		32,228,573		38,349,960		—		18,062,877		2,420,639
AQR International Multi-Style Fund		11,688,075		—		—		9,797,796		—
AQR Emerging Multi-Style Fund		5,511,423		—		—		5,242,559		—
AQR TM Large Cap Multi-Style Fund		2,988,559		—		—		1,955,676		—
AQR TM Small Cap Multi-Style Fund		229,172		575,538		—		202,577		—
AQR TM International Multi-Style Fund		4,462,834		—		—		2,963,342		—
AQR TM Emerging Multi-Style Fund		5,904,163		—		—		6,858,404		—
AQR Large Cap Momentum Style Fund		9,582,619		77,695,110		—		13,921,995		54,817,139
AQR Small Cap Momentum Style Fund		937,060		33,113,161		—		2,646,468		—
AQR International Momentum Style Fund		8,815,825		—		—		7,689,908		—
AQR Emerging Momentum Style Fund		258,398		—		—		151,578		—
AQR TM Large Cap Momentum Style Fund		1,558,715		—		—		2,192,751		—
AQR TM Small Cap Momentum Style Fund		132,400		48,880		—		257,257		—
AQR TM International Momentum Style Fund		1,999,095		—		—		1,904,442		—
AQR Large Cap Defensive Style Fund		22,563,901		7,907,632		—		13,808,066		3,564,795
AQR International Defensive Style Fund		4,369,486		—		—		1,918,782		—
AQR Emerging Defensive Style Fund		1,140,163		—		—		780,424		—
AQR Global Equity Fund		9,041,338		5,464,443		—		3,231,984		10,063,105
AQR International Equity Fund		26,222,287		11,174,436		—		12,304,977		5,622,942
AQR Large Cap Relaxed Constraint Equity Fund		155,955		—		—		—		—
AQR Small Cap Relaxed Constraint Equity Fund		30,280		—		2,926		—		—
AQR International Relaxed Constraint Equity Fund		264,489		—		—		—		—
AQR Emerging Relaxed Constraint Equity Fund		345,042		—		—		—		—

During the year ended September 30, 2018, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR Large Cap Multi-Style Fund	$	12,015,570	$	—
AQR International Multi-Style Fund		26,410,701		—
AQR Emerging Multi-Style Fund		12,922,849		1,082,589
AQR TM Large Cap Multi-Style Fund		2,408,822		—
AQR TM International Multi-Style Fund		2,876,241		1,301,700
AQR TM Emerging Multi-Style Fund		6,222,847		—
AQR International Momentum Style Fund		16,345,936		—
AQR Emerging Momentum Style Fund		1,251,262		170,413
AQR TM International Momentum Style Fund		—		1,226,647
AQR Emerging Defensive Style Fund		348,005		—
AQR Large Cap Relaxed Constraint Equity Fund		16,710		3

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285

Notes to Financial Statements September 30, 2018

As of September 30, 2018, for federal income tax purposes, the following Funds have capital loss carryforwards, with no expiration, available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG-TERM
AQR International Multi-Style Fund	$	8,146,841	$	—
AQR Emerging Multi-Style Fund		22,624,168		—
AQR TM Large Cap Multi-Style Fund		70,709		—
AQR TM International Multi-Style Fund		3,352,343		—
AQR TM Emerging Multi-Style Fund		5,179,137		—
AQR International Momentum Style Fund		7,011,474		—
AQR Emerging Momentum Style Fund		918,111		—
AQR TM Large Cap Momentum Style Fund		1,276,023		—
AQR TM International Momentum Style Fund		11,860,336		—
AQR Emerging Defensive Style Fund		5,074,221		6,050,184
AQR Large Cap Relaxed Constraint Equity Fund		10,773		11,128
AQR Small Cap Relaxed Constraint Equity Fund		135,003		—

6. Investment Transactions

During the year ended September 30, 2018, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Large Cap Multi-Style Fund	$	1,205,898,835	$	1,257,802,813	$	—	$	—
AQR Small Cap Multi-Style Fund		459,720,054		565,450,250		—		—
AQR International Multi-Style Fund		279,929,296		322,344,322		—		—
AQR Emerging Multi-Style Fund		192,166,551		191,268,944		—		—
AQR TM Large Cap Multi-Style Fund		215,358,106		179,983,159		—		—
AQR TM Small Cap Multi-Style Fund		27,813,437		25,423,862		—		—
AQR TM International Multi-Style Fund		112,135,039		98,753,135		—		—
AQR TM Emerging Multi-Style Fund		188,173,222		192,797,368		—		—
AQR Large Cap Momentum Style Fund		689,052,197		734,704,389		—		—
AQR Small Cap Momentum Style Fund		271,426,982		338,743,276		—		—
AQR International Momentum Style Fund		303,631,741		270,194,524		—		—
AQR Emerging Momentum Style Fund		14,507,927		15,618,599		—		—
AQR TM Large Cap Momentum Style Fund		103,656,653		99,910,663		—		—
AQR TM Small Cap Momentum Style Fund		45,186,092		39,234,521		—		—
AQR TM International Momentum Style Fund		61,334,542		38,987,434		—		—
AQR Large Cap Defensive Style Fund		903,034,211		257,747,759		—		—
AQR International Defensive Style Fund		48,038,951		40,189,015		—		—
AQR Emerging Defensive Style Fund		28,833,888		12,084,420		—		—
AQR Global Equity Fund		395,844,173		248,264,246		—		—
AQR International Equity Fund		390,737,572		334,558,400		—		—
AQR Large Cap Relaxed Constraint Equity Fund		20,187,878		19,538,872		7,160,131		7,247,513
AQR Small Cap Relaxed Constraint Equity Fund		4,310,697		4,568,109		1,374,128		1,541,688
AQR International Relaxed Constraint Equity Fund		118,842,627		39,237,249		33,246,197		15,675,225
AQR Emerging Relaxed Constraint Equity Fund		62,682,228		52,708,908		—		—

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 are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

AQR Funds Annual Report September 2018

286

Notes to Financial Statements September 30, 2018

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at September 30, 2018:

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	—	$	—	$	—	$	124,860	$	—	$	—
AQR Small Cap Multi-Style Fund		—		—		—		154,866		—		—
AQR International Multi-Style Fund		—		—		—		9,809		—		—
AQR Emerging Multi-Style Fund		60,750		—		—		—		—		—
AQR TM Large Cap Multi-Style Fund		24,624		—		—		—		—		—
AQR TM Small Cap Multi-Style Fund		—		—		—		4,102		—		—
AQR TM International Multi-Style Fund		26,906		—		—		—		—		—
AQR TM Emerging Multi-Style Fund		119,288		—		—		—		—		—
AQR Large Cap Momentum Style Fund		99,080		—		—		—		—		—
AQR Small Cap Momentum Style Fund		—		—		—		2,170		—		—
AQR International Momentum Style Fund		86,250		—		—		—		—		—
AQR TM Large Cap Momentum Style Fund		20,957		—		—		—		—		—
AQR TM Small Cap Momentum Style Fund		—		—		—		12,493		—		—
AQR TM International Momentum Style Fund		20,679		—		—		—		—		—
AQR Large Cap Defensive Style Fund		45,563		—		—		—		—		—
AQR International Defensive Style Fund		63,217		—		—		—		—		—
AQR Emerging Defensive Style Fund		52,103		—		—		—		—		—
AQR Global Equity Fund		2,148,400		1,294,075		—		291,917		196,937		—
AQR International Equity Fund		6,302,983		861,853		—		1,099,416		696,937		—
AQR International Relaxed Constraint Equity Fund		15,643		—		—		—		—		—
AQR Emerging Relaxed Constraint Equity Fund		14,479		950,905		—		—		952,230		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—		—		1,967,768		—		—		2,413,125
AQR International Equity Fund		—		—		1,758,065		—		—		2,039,425
Net Value of Derivative Contracts:
AQR Large Cap Multi-Style Fund		—		—		—		124,860		—		—
AQR Small Cap Multi-Style Fund		—		—		—		154,866		—		—
AQR International Multi-Style Fund		—		—		—		9,809		—		—
AQR Emerging Multi-Style Fund		60,750		—		—		—		—		—
AQR TM Large Cap Multi-Style Fund		24,624		—		—		—		—		—
AQR TM Small Cap Multi-Style Fund		—		—		—		4,102		—		—
AQR TM International Multi-Style Fund		26,906		—		—		—		—		—
AQR TM Emerging Multi-Style Fund		119,288		—		—		—		—		—
AQR Large Cap Momentum Style Fund		99,080		—		—		—		—		—
AQR Small Cap Momentum Style Fund		—		—		—		2,170		—		—
AQR International Momentum Style Fund		86,250		—		—		—		—		—
AQR TM Large Cap Momentum Style Fund		20,957		—		—		—		—		—
AQR TM Small Cap Momentum Style Fund		—		—		—		12,493		—		—
AQR TM International Momentum Style Fund		20,679		—		—		—		—		—
AQR Large Cap Defensive Style Fund		45,563		—		—		—		—		—
AQR International Defensive Style Fund		63,217		—		—		—		—		—
AQR Emerging Defensive Style Fund		52,103		—		—		—		—		—
AQR Global Equity Fund		1,856,483		1,097,138		—		—		—		445,357
AQR International Equity Fund		5,203,567		164,916		—		—		—		281,360
AQR International Relaxed Constraint Equity Fund		15,643		—		—		—		—		—
AQR Emerging Relaxed Constraint Equity Fund		14,479		—		—		—		1,325		—

AQR Funds Annual Report September 2018

287

Notes to Financial Statements September 30, 2018

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended September 30, 2018:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS									NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	4,218,931		$	—		$	—		$	(589,811	)	$	—		$	—
AQR Small Cap Multi-Style Fund		2,608,205			—			—			(870,445	)		—			—
AQR International Multi-Style Fund		471,709			—			—			(52,195	)		—			—
AQR Emerging Multi-Style Fund		(23,963	)		—			—			83,728			—			—
AQR TM Large Cap Multi-Style Fund		680,338			—			—			24,624			—			—
AQR TM Small Cap Multi-Style Fund		29,734			—			—			(4,102	)		—			—
AQR TM International Multi-Style Fund		(461	)		—			—			4,940			—			—
AQR TM Emerging Multi-Style Fund		(186,085	)		—			—			178,928			—			—
AQR Large Cap Momentum Style Fund		3,319,796			—			—			(127,311	)		—			—
AQR Small Cap Momentum Style Fund		1,023,109			—			—			(190,261	)		—			—
AQR International Momentum Style Fund		69,260			—			—			32,617			—			—
AQR TM Large Cap Momentum Style Fund		764,572			—			—			(9,928	)		—			—
AQR TM Small Cap Momentum Style Fund		141,208			—			—			(12,493	)		—			—
AQR TM International Momentum Style Fund		205,715			—			—			7,236			—			—
AQR Large Cap Defensive Style Fund		10,201,063			—			—			(698,856	)		—			—
AQR International Defensive Style Fund		(390,308	)		—			—			28,383			—			—
AQR Emerging Defensive Style Fund		(179,149	)		—			—			70,850			—			—
AQR Global Equity Fund		(1,438,750	)		(1,810,064	)		—			509,864			1,246,089			—
AQR International Equity Fund		2,375,390			(2,342,017	)		—			2,006,546			540,913			—
AQR International Relaxed Constraint Equity Fund		42,551			—			—			15,643			—			—
AQR Emerging Relaxed Constraint Equity Fund		(425,140	)		(333,737	)		—			14,479			(176,033	)		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—			1,198,349			—			—			886,830
AQR International Equity Fund		—			—			(2,684,483	)		—			—			3,513,165

AQR Funds Annual Report September 2018

288

Notes to Financial Statements September 30, 2018

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of September 30, 2018:

AQR GLOBAL EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	787,169	$	(787,169	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swaps Contracts		48,960		(48,960	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		1,180,599		(1,180,599	)		—
	Total Return Swaps Contracts		1,245,115		(78,259	)		1,166,856
	Total JPMC		2,425,714		(1,258,858	)		1,166,856		—		—		1,166,856
Total financial instruments subject to a master netting arrangement or similar arrangement			3,261,843		(2,094,987	)		1,166,856		—		—		1,166,856

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	966,352	$	(787,169	)	$	179,183	$	—	$	(179,183	)	$	—
GSIN	Total Return Swaps Contracts		118,678		(48,960	)		69,718		—		(69,718	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,446,773		(1,180,599	)		266,174
	Total Return Swaps Contracts		78,259		(78,259	)		—
	Total JPMC		1,525,032		(1,258,858	)		266,174		—		(266,174	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,610,062		(2,094,987	)		515,075		—		(515,075	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $10,037,413.

AQR Funds Annual Report September 2018

289

Notes to Financial Statements September 30, 2018

AQR INTERNATIONAL EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	703,285	$	(703,285	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swaps Contracts		13,353		(13,353	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		1,054,780		(1,054,780	)		—
	Total Return Swaps Contracts		848,500		(583,419	)		265,081
	Total JPMC		1,903,280		(1,638,199	)		265,081		—		—		265,081
Total financial instruments subject to a master netting arrangement or similar arrangement			2,619,918		(2,354,837	)		265,081		—		—		265,081

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	815,719	$	(703,285	)		$112,434	$	—	$	(112,434	)	$	—
GSIN	Total Return Swaps Contracts		113,518		(13,353	)		100,165		—		(100,165	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,223,706		(1,054,780	)		168,926
	Total Return Swaps Contracts		583,419		(583,419	)		—
	Total JPMC		1,807,125		(1,638,199	)		168,926		—		(168,926	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,736,362		(2,354,837	)		381,525		—		(381,525	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $15,054,948.

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
JPMC	Total Return Basket Swaps Contracts	$	950,905	$	(950,905	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			950,905		(950,905	)		—		—		—		—

AQR Funds Annual Report September 2018

290

Notes to Financial Statements September 30, 2018

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
JPMC	Total Return Basket Swaps Contracts	$	952,230	$	(950,905	)	$	1,325	$	—	$	(1,325	)	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			952,230		(950,905	)		1,325		—		(1,325	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,593,972.

For the year September 30, 2018, 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 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
Futures Contracts:
Average Notional Balance—Long		32,740,137		15,088,959		9,146,449		5,057,107		5,494,650		542,100		4,232,549
Average Notional Balance—Short		—		—		—		—		—		—		—
Ending Notional Balance—Long		38,822,700		14,201,680		7,902,000		3,568,980		5,546,100		425,200		4,741,200
Ending Notional Balance—Short		—		—		—		—		—		—		—

	AQR TM EMERGING 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		AQR TM SMALL CAP MOMENTUM STYLE FUND
Futures Contracts:
Average Notional Balance—Long		5,758,809		16,732,557		4,909,396		8,413,716		4,747,860		1,295,468
Average Notional Balance—Short		—		—		—		—		—		—
Ending Notional Balance—Long		5,563,410		21,162,750		425,200		12,050,550		4,378,500		1,190,560
Ending Notional Balance—Short		—		—		—		—		—		—

AQR Funds Annual Report September 2018

291

Notes to Financial Statements September 30, 2018

	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
Futures Contracts:
Average Notional Balance—Long		3,348,589		44,441,940		5,569,343		3,149,631		50,507,344		114,392,920
Average Notional Balance—Short		—		—		—		—		44,908,330		67,896,436
Ending Notional Balance—Long		3,457,125		57,066,450		7,902,000		3,568,980		44,491,168		98,554,415
Ending Notional Balance—Short		—		—		—		—		41,138,795		49,300,406
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		—		—		—		—		152,592,121		192,649,559
Average Settlement Value—Sold		—		—		—		—		154,532,335		172,170,918
Ending Value—Purchased		—		—		—		—		153,940,285		158,012,332
Ending Value—Sold		—		—		—		—		201,975,202		210,589,015
Total Return Swaps:
Average Notional Balance—Long		—		—		—		—		33,581,527		28,914,609
Average Notional Balance—Short		—		—		—		—		5,158,451		21,613,448
Ending Notional Balance—Long		—		—		—		—		38,624,825		34,949,369
Ending Notional Balance—Short		—		—		—		—		3,597,592		22,636,788

	AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND		AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Futures Contracts:
Average Notional Balance—Long		1,446,810		880,655
Average Notional Balance—Short		—		—
Ending Notional Balance—Long		1,481,625		997,215
Ending Notional Balance—Short		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		20,854,331
Average Notional of Underlying Positions—Short		—		11,699,028
Ending Notional Balance—Long		—		20,593,286
Ending Notional Balance—Short		—		10,834,093

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

8. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds, pursuant to the Third Amended and Restated Investment Management Agreement dated January 29, 2017, as amended (the “Investment Management Agreement”), or the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”), each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for each Fund, and manages each Fund’s investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

AQR Funds Annual Report September 2018

292

Notes to Financial Statements September 30, 2018

Pursuant to the Advisory Agreement, each Fund currently pays the Adviser a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	Ratio
AQR Large Cap Multi-Style Fund		0.30	%
AQR Small Cap Multi-Style Fund		0.50
AQR International Multi-Style Fund		0.45
AQR Emerging Multi-Style Fund		0.60
AQR TM Large Cap Multi-Style Fund		0.30
AQR TM Small Cap Multi-Style Fund		0.50
AQR TM International Multi-Style Fund		0.45
AQR TM Emerging Multi-Style Fund		0.60
AQR Large Cap Momentum Style Fund		0.25
AQR Small Cap Momentum Style Fund		0.45
AQR International Momentum Style Fund		0.40
AQR Emerging Momentum Style Fund		0.55
AQR TM Large Cap Momentum Style Fund		0.25
AQR TM Small Cap Momentum Style Fund		0.45
AQR TM International Momentum Style Fund		0.40
AQR Large Cap Defensive Style Fund		0.25
AQR International Defensive Style Fund		0.40
AQR Emerging Defensive Style Fund		0.55
AQR Global Equity Fund		0.60
AQR International Equity Fund1		0.65
AQR Large Cap Relaxed Constraint Equity Fund		0.60
AQR Small Cap Relaxed Constraint Equity Fund		0.80
AQR International Relaxed Constraint Equity Fund		0.75
AQR Emerging Relaxed Constraint Equity Fund		0.95

¹   Effective January 29, 2018, the AQR International Equity Fund’s management fee was reduced by 0.05% to 0.65%.

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse expenses of each Fund at least through January 28, 2019 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive fees and/or reimburse expenses of 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, expenses related to class action claims 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		0.80			1.05			0.70
AQR International Equity Fund		0.85			1.10			0.75
AQR Large Cap Relaxed Constraint Equity Fund		0.80			1.05			0.70
AQR Small Cap Relaxed Constraint Equity Fund		1.00			1.25			0.90
AQR International Relaxed Constraint Equity Fund		0.95			1.20			0.85
AQR Emerging Relaxed Constraint Equity Fund		1.15			1.40			1.05

AQR Funds Annual Report September 2018

293

Notes to Financial Statements September 30, 2018

Prior to January 29, 2018, the Fee Waiver and Expense Reimbursement Agreement for the AQR International Equity 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, expenses related to class action claims and extraordinary expenses, exceeded the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR International Equity Fund		0.90	%		1.15	%		0.80	%

For the year ended September 30, 2018, the Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Small Cap Multi-Style Fund	$	114,621	$	—	$	114,621
AQR International Multi-Style Fund		187,593		—		187,593
AQR Emerging Multi-Style Fund		386,444		14,919		401,363
AQR TM Large Cap Multi-Style Fund		89,070		—		89,070
AQR TM Small Cap Multi-Style Fund		133,622		321		133,943
AQR TM International Multi-Style Fund		163,415		—		163,415
AQR TM Emerging Multi-Style Fund		380,180		5,516		385,696
AQR Large Cap Momentum Style Fund		7,872		—		7,872
AQR Small Cap Momentum Style Fund		85,490		9,966		95,456
AQR International Momentum Style Fund		198,531		—		198,531
AQR Emerging Momentum Style Fund		73,371		127,480		200,851
AQR TM Large Cap Momentum Style Fund		101,166		1,135		102,301
AQR TM Small Cap Momentum Style Fund		126,899		1,727		128,626
AQR TM International Momentum Style Fund		179,101		917		180,018
AQR Large Cap Defensive Style Fund		29,563		—		29,563
AQR International Defensive Style Fund		154,024		335		154,359
AQR Emerging Defensive Style Fund		207,124		—		207,124
AQR Global Equity Fund		55,726		6,192		61,918
AQR International Equity Fund		69,762		16,821		86,583
AQR Large Cap Relaxed Constraint Equity Fund		104,816		22,396		127,212
AQR Small Cap Relaxed Constraint Equity Fund		27,263		96,325		123,588
AQR International Relaxed Constraint Equity Fund		100,098		4,785		104,883
AQR Emerging Relaxed Constraint Equity Fund		170,315		6,480		176,795

The Trust, in turn, agreed that the Funds may be required to repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Fee Waiver Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.

For the year ended September 30, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at September 30, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30
FUND					2019		2020		2021
AQR LARGE CAP MULTI-STYLE FUND
Class I	$	—	$	114,404	$	76,856	$	37,548	$	—
Class N		—		14,827		9,139		5,688		—
Class R6		—		201,723		98,770		102,953		—
Totals	$	—	$	330,954	$	184,765	$	146,189	$	—

AQR Funds Annual Report September 2018

294

Notes to Financial Statements September 30, 2018

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30
FUND					2019		2020		2021
AQR SMALL CAP MULTI-STYLE FUND
Class I	$	9,186	$	58,340	$	30,910	$	18,244	$	9,186
Class N		1,176		12,506		7,778		3,552		1,176
Class R6		104,259		647,995		291,127		252,609		104,259
Totals	$	114,621	$	718,841	$	329,815	$	274,405	$	114,621
AQR INTERNATIONAL MULTI-STYLE FUND
Class I	$	31,932	$	115,520	$	47,320	$	36,268	$	31,932
Class N		3,032		13,207		5,748		4,427		3,032
Class R6		152,629		554,586		223,200		178,757		152,629
Totals	$	187,593	$	683,313	$	276,268	$	219,452	$	187,593
AQR EMERGING MULTI-STYLE FUND
Class I	$	69,909	$	298,025	$	117,893	$	110,223	$	69,909
Class N		7,960		29,821		12,126		9,735		7,960
Class R6		323,494		901,644		308,433		269,717		323,494
Totals	$	401,363	$	1,229,490	$	438,452	$	389,675	$	401,363
AQR TM LARGE CAP MULTI-STYLE FUND
Class I	$	25,615	$	98,383	$	33,748	$	39,020	$	25,615
Class N		798		4,422		2,001		1,623		798
Class R6		62,657		282,314		123,264		96,393		62,657
Totals	$	89,070	$	385,119	$	159,013	$	137,036	$	89,070
AQR TM SMALL CAP MULTI-STYLE FUND
Class I	$	98,415	$	301,110	$	101,381	$	101,314	$	98,415
Class N		25,482		71,646		18,924		27,240		25,482
Class R6		10,046		52,811		30,345		12,420		10,046
Totals	$	133,943	$	425,567	$	150,650	$	140,974	$	133,943
AQR TM INTERNATIONAL MULTI-STYLE FUND
Class I	$	23,942	$	82,598	$	32,691	$	25,965	$	23,942
Class N		1,830		5,523		1,603		2,090		1,830
Class R6		137,643		464,185		174,115		152,427		137,643
Totals	$	163,415	$	552,306	$	208,409	$	180,482	$	163,415
AQR TM EMERGING MULTI-STYLE FUND
Class I	$	20,043	$	58,186	$	20,907	$	17,236	$	20,043
Class N		2,392		8,319		3,045		2,882		2,392
Class R6		363,261		1,171,377		451,370		356,746		363,261
Totals	$	385,696	$	1,237,882	$	475,322	$	376,864	$	385,696
AQR LARGE CAP MOMENTUM STYLE FUND
Class I	$	6,875	$	186,354	$	128,280	$	51,199	$	6,875
Class N		472		13,635		9,604		3,559		472
Class R6		525		14,138		9,755		3,858		525
Totals	$	7,872	$	214,127	$	147,639	$	58,616	$	7,872
AQR SMALL CAP MOMENTUM STYLE FUND
Class I	$	91,579	$	387,104	$	171,192	$	124,333	$	91,579
Class N		392		4,977		4,003		582		392
Class R6		3,485		16,723		9,541		3,697		3,485
Totals	$	95,456	$	408,804	$	184,736	$	128,612	$	95,456

AQR Funds Annual Report September 2018

295

Notes to Financial Statements September 30, 2018

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30
FUND					2019		2020		2021
AQR INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	157,165	$	534,613	$	205,356	$	172,092	$	157,165
Class N		17,204		60,395		25,144		18,047		17,204
Class R6		24,162		72,310		25,321		22,827		24,162
Totals	$	198,531	$	667,318	$	255,821	$	212,966	$	198,531
AQR EMERGING MOMENTUM STYLE FUND
Class I	$	149,321	$	477,179	$	158,250	$	169,608	$	149,321
Class N		19,016		67,282		27,182		21,084		19,016
Class R6		32,514		66,593		10,914		23,165		32,514
Totals	$	200,851	$	611,054	$	196,346	$	213,857	$	200,851
AQR TM LARGE CAP MOMENTUM STYLE FUND
Class I	$	50,023	$	162,649	$	55,980	$	56,646	$	50,023
Class N		5,496		6,464		143		825		5,496
Class R6		46,782		177,393		69,392		61,219		46,782
Totals	$	102,301	$	346,506	$	125,515	$	118,690	$	102,301
AQR TM SMALL CAP MOMENTUM STYLE FUND
Class I	$	118,457	$	380,407	$	134,918	$	127,032	$	118,457
Class N		9,721		11,721		710		1,290		9,721
Class R6		448		1,763		730		585		448
Totals	$	128,626	$	393,891	$	136,358	$	128,907	$	128,626
AQR TM INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	77,493	$	206,636	$	60,845	$	68,298	$	77,493
Class N		9,544		11,081		286		1,251		9,544
Class R6		92,981		306,814		117,481		96,352		92,981
Totals	$	180,018	$	524,531	$	178,612	$	165,901	$	180,018
AQR LARGE CAP DEFENSIVE STYLE FUND
Class I	$	19,257	$	217,670	$	93,642	$	104,771	$	19,257
Class N		5,241		78,754		35,909		37,604		5,241
Class R6		5,065		52,186		20,864		26,257		5,065
Totals	$	29,563	$	348,610	$	150,415	$	168,632	$	29,563
AQR INTERNATIONAL DEFENSIVE STYLE FUND
Class I	$	121,661	$	414,167	$	161,919	$	130,587	$	121,661
Class N		14,206		61,318		14,520		32,592		14,206
Class R6		18,492		55,894		17,532		19,870		18,492
Totals	$	154,359	$	531,379	$	193,971	$	183,049	$	154,359
AQR EMERGING DEFENSIVE STYLE FUND
Class I	$	188,174	$	578,034	$	192,290	$	197,570	$	188,174
Class N		18,391		28,907		607		9,909		18,391
Class R6		559		1,940		678		703		559
Totals	$	207,124	$	608,881	$	193,575	$	208,182	$	207,124
AQR GLOBAL EQUITY FUND
Class I	$	26,377	$	67,815	$	17,776	$	23,662	$	26,377
Class N		435		2,572		962		1,175		435
Class R6		35,106		178,046		61,896		81,044		35,106
Totals	$	61,918	$	248,433	$	80,634	$	105,881	$	61,918

AQR Funds Annual Report September 2018

296

Notes to Financial Statements September 30, 2018

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30
FUND					2019		2020		2021
AQR INTERNATIONAL EQUITY FUND
Class I	$	74,800	$	167,453	$	54,822	$	37,831	$	74,800
Class N		2,747		12,740		6,563		3,430		2,747
Class R6		9,036		10,238		—		1,202		9,036
Totals	$	86,583	$	190,431	$	61,385	$	42,463	$	86,583
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	107,519	$	175,164	$	—	$	67,645	$	107,519
Class N		5,053		28,675		—		23,622		5,053
Class R6		14,640		54,630		—		39,990		14,640
Totals	$	127,212	$	258,469	$	—	$	131,257	$	127,212
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	53,013	$	102,405	$	—	$	49,392	$	53,013
Class N		21,214		48,555		—		27,341		21,214
Class R6		49,361		102,967		—		53,606		49,361
Totals	$	123,588	$	253,927	$	—	$	130,339	$	123,588
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
Class I	$	75,274	$	133,081	$	—	$	57,807	$	75,274
Class N		20,896		43,915		—		23,019		20,896
Class R6		8,713		57,025		—		48,312		8,713
Totals	$	104,883	$	234,021	$	—	$	129,138	$	104,883
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Class I	$	70,921	$	123,988	$	—	$	53,067	$	70,921
Class N		30,449		61,649		—		31,200		30,449
Class R6		75,425		153,926		—		78,501		75,425
Totals	$	176,795	$	339,563	$	—	$	162,768	$	176,795

During the period ended September 30, 2018, the Fund recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Large Cap Multi-Style Fund	$	42,682	$	6,299	$	127,106
AQR Small Cap Multi-Style Fund		220		28		2,431
AQR Large Cap Momentum Style Fund		25,311		1,819		2,025
AQR Small Cap Momentum Style Fund		1,439		12		89
AQR Large Cap Defensive Style Fund		8,058		2,622		2,672
AQR Global Equity Fund		4,420		50		4,340
AQR International Equity Fund		10,529		545		1,335

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. Principal Risks and Concentrations

The Funds are non-diversified. Because the Funds may invest in securities of a smaller number of issuers, the Funds may be more exposed to the risks associated with and developments affecting an individual issuer than a funds that invests more widely, which may, therefore, have a greater impact on the Funds’ performance.

The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover.

AQR Funds Annual Report September 2018

297

Notes to Financial Statements September 30, 2018

High portfolio turnover rates will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

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).

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent the funds’ investments in a single country or a limited number of countries represent a higher percentage of the funds’ assets, the funds assume the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause 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.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for 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

AQR Funds Annual Report September 2018

298

Notes to Financial Statements September 30, 2018

regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the 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.

Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the funds.

11. Interfund Lending

Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Funds may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with each Fund’s investment objective and investment policies. This program allows the Funds to borrow and lend to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.

A lending Fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must secure each of its outstanding borrowings through the Interfund Lending Program with collateral equal to 102% of the outstanding principal value of the loan.

The Funds are not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in a Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.

During the reporting period, the Funds did not utilize the Interfund Lending Program.

12. Line of Credit

Effective February 23, 2018 and terminating on February 23, 2019, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Prior to February 23, 2018 the line of credit commitment amount was $300,000,000 at substantially similar terms. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full.

The unused amount available on the line of credit as of September 30, 2018 is $279,000,000.

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Notes to Financial Statements September 30, 2018

The Funds had the following borrowings during the period.

FUND	AVERAGE BORROWINGS		AVERAGE INTEREST RATE%			NUMBER OF DAYS OUTSTANDING		OUTSTANDING BALANCE		INTEREST PAID
AQR Large Cap Multi-Style Fund	$	19,500,000		3.50	%		6	$	24,000,000	$	11,234
AQR Small Cap Multi-Style Fund		12,300,000		2.41			8		—		6,501
AQR International Multi-Style Fund		47,000,000		3.28			4		47,000,000		16,916
AQR TM Small Cap Multi-Style Fund		300,000		2.56			5		—		105
AQR Emerging Momentum Style Fund		325,000		2.54			16		—		361
AQR Large Cap Relaxed Constraint Equity Fund		1,200,000		2.59			5		—		427
AQR International Relaxed Constraint Equity Fund		300,000		1.25			2		—		21

Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations. The outstanding balance on the line of credit facility for the AQR Large Cap Multi-Style Fund and the AQR International Multi-Style Fund was repaid on or before October 3, 2018.

13. Principal Ownership

As of September 30, 2018, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Large Cap Multi-Style Fund . . . . . . . . . .		4		93.26	%
AQR Small Cap Multi-Style Fund . . . . . . . . . . .		3		92.64	%
AQR International Multi-Style Fund . . . . . . . .		4		93.41	%
AQR Emerging Multi-Style Fund . . . . . . . . . . .		4		93.64	%
AQR TM Large Cap Multi-Style Fund . . . . . . .		4		93.82	%
AQR TM Small Cap Multi-Style Fund* . . . . . . .		4		96.59	%
AQR TM International Multi-Style Fund . . . . .		4		95.13	%
AQR TM Emerging Multi-Style Fund . . . . . . . .		3		93.98	%
AQR Large Cap Momentum Style Fund . . . . .		4		92.65	%
AQR Small Cap Momentum Style Fund . . . . .		3		88.15	%
AQR International Momentum Style Fund . . .		3		92.94	%
AQR Emerging Momentum Style Fund* . . . . .		4		87.56	%
AQR TM Large Cap Momentum Style Fund		4		99.23	%
AQR TM Small Cap Momentum Style Fund		3		97.27	%
AQR TM International Momentum Style Fund		4		99.48	%
AQR Large Cap Defensive Style Fund . . . . . .		6		89.21	%
AQR International Defensive Style Fund . . . .		3		96.81	%
AQR Emerging Defensive Style Fund . . . . . . .		3		94.29	%
AQR Global Equity Fund . . . . . . . . . . . . . . . . . .		4		94.09	%
AQR International Equity Fund . . . . . . . . . . . .		5		77.10	%
AQR Large Cap Relaxed Constraint Equity Fund*		3		87.72	%
AQR Small Cap Relaxed Constraint Equity Fund*		5		90.98	%
AQR International Relaxed Constraint Equity Fund		1		81.53	%
AQR Emerging Relaxed Constraint Equity Fund*		6		95.59	%

* The percentage held by the Adviser and/or affiliates is 7.74%, 45.73%, 7.94%, 64.60% and 11.01% respectively.

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

14. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules modernize and enhance the reporting and disclosure of information by registered investment companies. The new rules will allow the SEC to more effectively collect and use data

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300

Notes to Financial Statements September 30, 2018

reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review. The amendments to Regulation S-X were applied to the Funds’ financial statements with a reporting period date after August 1, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

In August 2018, the SEC adopted Final Rule Release No. 33-10532, Disclosure Update and Simplification. The new rule amends certain disclosure requirements that the SEC determined to be redundant, duplicative, overlapping, outdated, or superseded, in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Regulation S-X were applied to the Funds’ financial statements in the current period. The adoption had no effect on the Funds’ net assets or results of operations.

In August 2018, the Financial Accounting Standards Board issued ASU No. 2018-13, Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The amendments generally modified the disclosure requirements for fair value measurements such that it removes the following requirements: 1) the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; 2) the requirement to disclose the Fund’s policy for timing of transfers between levels; and, 3) the requirement to disclose the valuation processes for Level 3 fair value measurements. ASU 2018-13 also added the requirement to disclose how weighted average is calculated when the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements is required to be disclosed, in addition to making various other clarifying amendments to the disclosure guidance. The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The amendments related to the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements should be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments should be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. The Funds have elected to early adopt ASU 2018-13 and the amendments are reflected in the current year financial statements.

15. Subsequent Events

At a meeting held on November 15-16, 2018, the Board of Trustees of the AQR Funds approved a proposal to liquidate the AQR Emerging Momentum Style Fund. The Fund will declare a dividend to all holders of record on December 18, 2018 consisting of any undistributed income and capital gains (net of available capital loss carryovers). On or about December 21, 2018 (the “Liquidation Date”), the Fund will make a liquidating distribution of its remaining assets proportionately to any shareholders holding shares on the Liquidation Date.

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than those noted above.

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301

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the AQR Funds and Shareholders of 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, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund, and AQR Emerging Relaxed Constraint Equity Fund:

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the twenty-four funds listed in the table below (twenty-four of the funds constituting the AQR Funds, hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations, statements of changes in net assets, and for the three funds designated in the table below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations, the changes in each of their net assets, and for the three funds designated in the table below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

AQR Large Cap Multi-Style Fund (1)	AQR TM Large Cap Momentum Style Fund (1)
AQR Small Cap Multi-Style Fund (1)	AQR TM Small Cap Momentum Style Fund (1)
AQR International Multi-Style Fund (1)	AQR TM International Momentum Style Fund (1)
AQR Emerging Multi-Style Fund (1)	AQR Large Cap Defensive Style Fund (1)
AQR TM Large Cap Multi-Style Fund (1)	AQR International Defensive Style Fund (1)
AQR TM Small Cap Multi-Style Fund (1)	AQR Emerging Defensive Style Fund (1)
AQR TM International Multi-Style Fund (1)	AQR Global Equity Fund (1)
AQR TM Emerging Multi-Style Fund (1)	AQR International Equity Fund (1)
AQR Large Cap Momentum Style Fund (1)	AQR Large Cap Relaxed Constraint Equity Fund (2)
AQR Small Cap Momentum Style Fund (1)	AQR Small Cap Relaxed Constraint Equity Fund (2)
AQR International Momentum Style Fund (1)	AQR International Relaxed Constraint Equity Fund (2)
AQR Emerging Momentum Style Fund (1)	AQR Emerging Relaxed Constraint Equity Fund (3)

(1) Statements of operations for the year ended September 30, 2018 and statements of changes in net assets for each of the two years ended September 30, 2018.

(2) Statements of operations and cash flows for the year ended September 30, 2018 and statements of changes in net assets for the year ended September 30, 2018 and for the period December 14, 2016 (commencement of operations) through September 30, 2017.

(3) Statement of operations for the year ended September 30, 2018 and statement of changes in net assets for the year ended September 30, 2018 and for the period December 14, 2016 (commencement of operations) through September 30, 2017.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodians, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

New York, New York

November 20, 2018

We have served as the auditor of one or more investment companies in AQR Funds since 2008.

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302

Other Federal Tax Information (Unaudited)

For the fiscal year ended September 30, 2018, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:

FUND	PERCENTAGE
AQR Large Cap Multi-Style Fund		100.00	%
AQR Small Cap Multi-Style Fund		21.05	%
AQR International Multi-Style Fund		96.33	%
AQR Emerging Multi-Style Fund		84.14	%
AQR TM Large Cap Multi-Style Fund		100.00	%
AQR TM Small Cap Multi-Style Fund		100.00	%
AQR TM International Multi-Style Fund		94.31	%
AQR TM Emerging Multi-Style Fund		81.71	%
AQR Large Cap Momentum Style Fund		100.00	%
AQR Small Cap Momentum Style Fund		100.00	%
AQR International Momentum Style Fund		94.57	%
AQR Emerging Momentum Style Fund		85.93	%
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		97.44	%
AQR International Defensive Style Fund		95.82	%
AQR Emerging Defensive Style Fund		64.27	%
AQR Global Equity Fund		35.60	%
AQR International Equity Fund		34.91	%
AQR Large Cap Relaxed Constraint Equity Fund		100.00	%
AQR Small Cap Relaxed Constraint Equity Fund		98.41	%
AQR International Relaxed Constraint Equity Fund		89.56	%
AQR Emerging Relaxed Constraint Equity Fund		28.14	%

For the fiscal year ended September 30, 2018, 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		100.00	%
AQR Small Cap Multi-Style Fund		20.39	%
AQR TM Large Cap Multi-Style Fund		100.00	%
AQR TM Small Cap Multi-Style Fund		97.13	%
AQR Large Cap Momentum Style Fund		100.00	%
AQR Small Cap Momentum Style Fund		100.00	%
AQR TM Large Cap Momentum Style Fund		100.00	%
AQR TM Small Cap Momentum Style Fund		100.00	%
AQR Large Cap Defensive Style Fund		93.76	%
AQR Global Equity Fund		17.88	%
AQR Large Cap Relaxed Constraint Equity Fund		100.00	%
AQR Small Cap Relaxed Constraint Equity Fund		92.26	%

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, 2018:

FUND	TOTAL
AQR Large Cap Multi-Style Fund	$	24,959,792
AQR Small Cap Multi-Style Fund		41,939,283
AQR TM Small Cap Multi-Style Fund		575,538
AQR Large Cap Momentum Style Fund		82,464,961
AQR Small Cap Momentum Style Fund		38,261,938
AQR TM Small Cap Momentum Style Fund		48,880
AQR Large Cap Defensive Style Fund		7,907,632
AQR Global Equity Fund		5,464,443
AQR International Equity Fund		11,174,436

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303

Other Federal Tax Information (Unaudited)

Certain Funds have derived net income from sources within foreign countries. For the year ended September 30, 2018, the foreign source income for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Multi-Style Fund	$	15,339,096	$	0.4297
AQR Emerging Multi-Style Fund		9,096,303		0.3003
AQR TM International Multi-Style Fund		5,809,038		0.3356
AQR TM Emerging Multi-Style Fund		10,492,517		0.3346
AQR International Momentum Style Fund		11,290,722		0.3940
AQR Emerging Momentum Style Fund		345,688		0.2889
AQR TM International Momentum Style Fund		3,150,991		0.3378
AQR International Defensive Style Fund		6,285,454		0.4067
AQR Emerging Defensive Style Fund		2,276,010		0.2537
AQR International Equity Fund		13,045,476		0.3068
AQR International Relaxed Constraint Equity Fund		2,626,468		0.4544
AQR Emerging Relaxed Constraint Equity Fund		1,552,712		0.5135

Certain Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries. For the year ended September 30, 2018, the foreign taxes paid for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Multi-Style Fund	$	1,393,118	$	0.0390
AQR Emerging Multi-Style Fund		793,834		0.0262
AQR TM International Multi-Style Fund		505,305		0.0292
AQR TM Emerging Multi-Style Fund		931,153		0.0297
AQR International Momentum Style Fund		1,089,534		0.0380
AQR Emerging Momentum Style Fund		30,115		0.0252
AQR TM International Momentum Style Fund		290,301		0.0311
AQR International Defensive Style Fund		560,017		0.0362
AQR Emerging Defensive Style Fund		243,015		0.0271
AQR International Equity Fund		1,164,931		0.0274
AQR International Relaxed Constraint Equity Fund		245,742		0.0425
AQR Emerging Relaxed Constraint Equity Fund		94,922		0.0314

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304

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 09/30/18” 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 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,069.30		0.43	%		$2.23
Hypothetical Return		$1,000.00		$1,022.91		0.43	%		$2.18
Class N
Actual Return		$1,000.00		$1,068.40		0.70	%		$3.63
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class R6
Actual Return		$1,000.00		$1,069.90		0.35	%		$1.82
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		$1,076.60		0.65	%		$3.38
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class N
Actual Return		$1,000.00		$1,075.50		0.90	%		$4.68
Hypothetical Return		$1,000.00		$1,020.56		0.90	%		$4.56
Class R6
Actual Return		$1,000.00		$1,077.20		0.55	%		$2.86
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR International Multi-Style Fund
Class I
Actual Return		$1,000.00		$990.70		0.60	%		$2.99
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$989.90		0.85	%		$4.24
Hypothetical Return		$1,000.00		$1,020.81		0.85	%		$4.31
Class R6
Actual Return		$1,000.00		$991.60		0.50	%		$2.50
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54
AQR Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$882.80		0.75	%		$3.54
Hypothetical Return		$1,000.00		$1,021.31		0.75	%		$3.80
Class N
Actual Return		$1,000.00		$881.90		1.00	%		$4.72
Hypothetical Return		$1,000.00		$1,020.05		1.00	%		$5.06
Class R6
Actual Return		$1,000.00		$883.00		0.65	%		$3.07
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		$1,078.60		0.45	%		$2.34
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
Class N
Actual Return		$1,000.00		$1,076.30		0.70	%		$3.64
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class R6
Actual Return		$1,000.00		$1,078.40		0.35	%		$1.82
Hypothetical Return		$1,000.00		$1,023.31		0.35	%		$1.78
AQR TM Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,085.80		0.65	%		$3.40
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class N
Actual Return		$1,000.00		$1,084.30		0.90	%		$4.70
Hypothetical Return		$1,000.00		$1,020.56		0.90	%		$4.56
Class R6
Actual Return		$1,000.00		$1,085.60		0.55	%		$2.88
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		$992.80		0.60	%		$3.00
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$991.90		0.85	%		$4.24
Hypothetical Return		$1,000.00		$1,020.81		0.85	%		$4.31
Class R6
Actual Return		$1,000.00		$993.70		0.50	%		$2.50
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR TM Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$891.30		0.75	%		$3.56
Hypothetical Return		$1,000.00		$1,021.31		0.75	%		$3.80
Class N
Actual Return		$1,000.00		$889.70		1.00	%		$4.74
Hypothetical Return		$1,000.00		$1,020.05		1.00	%		$5.06
Class R6
Actual Return		$1,000.00		$891.40		0.65	%		$3.08
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
AQR Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,132.30		0.39	%		$2.08
Hypothetical Return		$1,000.00		$1,023.11		0.39	%		$1.98
Class N
Actual Return		$1,000.00		$1,130.90		0.65	%		$3.47
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class R6
Actual Return		$1,000.00		$1,132.60		0.30	%		$1.60
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		$1,139.90		0.60	%		$3.22
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$1,138.40		0.82	%		$4.40
Hypothetical Return		$1,000.00		$1,020.96		0.82	%		$4.15
Class R6
Actual Return		$1,000.00		$1,140.60		0.50	%		$2.68
Hypothetical Return		$1,000.00		$1,022.56		0.50	%		$2.54
AQR International Momentum Style Fund
Class I
Actual Return		$1,000.00		$996.20		0.55	%		$2.75
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$994.30		0.80	%		$4.00
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$996.20		0.45	%		$2.25
Hypothetical Return		$1,000.00		$1,022.81		0.45	%		$2.28
AQR Emerging Momentum Style Fund
Class I
Actual Return		$1,000.00		$882.50		0.66	%		$3.11
Hypothetical Return		$1,000.00		$1,021.76		0.66	%		$3.35
Class N
Actual Return		$1,000.00		$880.90		0.92	%		$4.34
Hypothetical Return		$1,000.00		$1,020.46		0.92	%		$4.66
Class R6
Actual Return		$1,000.00		$882.60		0.60	%		$2.83
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR TM Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,128.40		0.40	%		$2.13
Hypothetical Return		$1,000.00		$1,023.06		0.40	%		$2.03
Class N
Actual Return		$1,000.00		$1,127.10		0.65	%		$3.47
Hypothetical Return		$1,000.00		$1,021.81		0.65	%		$3.29
Class R6
Actual Return		$1,000.00		$1,129.00		0.30	%		$1.60
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		$1,133.70		0.60	%		$3.21
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
Class N
Actual Return		$1,000.00		$1,132.00		0.85	%		$4.54
Hypothetical Return		$1,000.00		$1,020.81		0.85	%		$4.31
Class R6
Actual Return		$1,000.00		$1,134.20		0.50	%		$2.68
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		$989.30		0.55	%		$2.74
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$988.50		0.80	%		$3.99
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$990.00		0.45	%		$2.24
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		$1,106.00		0.39	%		$2.06
Hypothetical Return		$1,000.00		$1,023.11		0.39	%		$1.98
Class N
Actual Return		$1,000.00		$1,104.70		0.64	%		$3.38
Hypothetical Return		$1,000.00		$1,021.86		0.64	%		$3.24
Class R6
Actual Return		$1,000.00		$1,106.20		0.30	%		$1.58
Hypothetical Return		$1,000.00		$1,023.56		0.30	%		$1.52
AQR International Defensive Style Fund
Class I
Actual Return		$1,000.00		$997.00		0.55	%		$2.75
Hypothetical Return		$1,000.00		$1,022.31		0.55	%		$2.79
Class N
Actual Return		$1,000.00		$995.60		0.80	%		$4.00
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class R6
Actual Return		$1,000.00		$997.80		0.45	%		$2.25
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 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR Emerging Defensive Style Fund
Class I
Actual Return		$1,000.00		$946.00		0.70	%		$3.41
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
Class N
Actual Return		$1,000.00		$944.40		0.95	%		$4.63
Hypothetical Return		$1,000.00		$1,020.31		0.95	%		$4.81
Class R6
Actual Return		$1,000.00		$945.90		0.60	%		$2.93
Hypothetical Return		$1,000.00		$1,022.06		0.60	%		$3.04
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$1,027.10		0.80	%		$4.07
Hypothetical Return		$1,000.00		$1,021.06		0.80	%		$4.05
Class N
Actual Return		$1,000.00		$1,026.00		1.05	%		$5.33
Hypothetical Return		$1,000.00		$1,019.80		1.05	%		$5.32
Class R6
Actual Return		$1,000.00		$1,026.80		0.70	%		$3.56
Hypothetical Return		$1,000.00		$1,021.56		0.70	%		$3.55
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$957.10		0.84	%		$4.12
Hypothetical Return		$1,000.00		$1,020.86		0.84	%		$4.26
Class N
Actual Return		$1,000.00		$957.20		1.06	%		$5.20
Hypothetical Return		$1,000.00		$1,019.75		1.06	%		$5.37
Class R6
Actual Return		$1,000.00		$957.30		0.75	%		$3.68
Hypothetical Return		$1,000.00		$1,021.31		0.75	%		$3.80
AQR Large Cap Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$1,063.60		1.38	%		$7.14
Hypothetical Return		$1,000.00		$1,018.15		1.38	%		$6.98
Class N
Actual Return		$1,000.00		$1,061.80		1.61	%		$8.32
Hypothetical Return		$1,000.00		$1,017.00		1.61	%		$8.14
Class R6
Actual Return		$1,000.00		$1,063.60		1.28	%		$6.62
Hypothetical Return		$1,000.00		$1,018.65		1.28	%		$6.48
AQR Small Cap Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$1,063.60		1.79	%		$9.26
Hypothetical Return		$1,000.00		$1,016.09		1.79	%		$9.05
Class N
Actual Return		$1,000.00		$1,062.60		2.04	%		$10.55
Hypothetical Return		$1,000.00		$1,014.84		2.04	%		$10.30
Class R6
Actual Return		$1,000.00		$1,064.60		1.73	%		$8.95
Hypothetical Return		$1,000.00		$1,016.39		1.73	%		$8.74

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR International Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$945.80		2.09	%		$10.19
Hypothetical Return		$1,000.00		$1,014.59		2.09	%		$10.56
Class N
Actual Return		$1,000.00		$944.90		2.37	%		$11.56
Hypothetical Return		$1,000.00		$1,013.19		2.37	%		$11.96
Class R6
Actual Return		$1,000.00		$945.90		2.10	%		$10.24
Hypothetical Return		$1,000.00		$1,014.54		2.10	%		$10.61
AQR Emerging Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$871.70		1.15	%		$5.40
Hypothetical Return		$1,000.00		$1,019.30		1.15	%		$5.82
Class N
Actual Return		$1,000.00		$870.10		1.40	%		$6.56
Hypothetical Return		$1,000.00		$1,018.05		1.40	%		$7.08
Class R6
Actual Return		$1,000.00		$871.80		1.05	%		$4.93
Hypothetical Return		$1,000.00		$1,019.80		1.05	%		$5.32

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 2018

310

Trustees and Officers (Unaudited) September 30, 2018

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 4^th 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 (retired) (2009-2010) (financial services)		50		Janus Capital Group (2008- 2016); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950		Trustee, since 2008		Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting)		50		Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950		Trustee, since 2011		Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008- 2012) (insurance)		50		Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017)
Gregg D. Behrens, M.M., 1952		Trustee, since 2011		Retired from Northern Trust Company (since 2009) (banking)		50		None
Brian Posner, M.B.A., 1961		Trustee, since 2011		President, Point Rider Group LLC (since 2008) (consulting)		50		Biogen Inc. (since 2008); Bioverativ Inc. (2017-2018); Arch Capital Group (since 2010); BG Medicine (2012- 2015)
Mark A. Zurack, M.B.A., CFA 1957		Trustee, since 2014		Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		50		Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963		Trustee, since 2010		Founding Principal, AQR Capital Management, LLC (since 1998)		50		None
Marco Hanig, Ph.D., 1958		Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008		Principal, AQR Capital Management, LLC (since 2008)		50		None
Officers
H.J. Willcox, J.D., 1966		Chief Compliance Officer, since 2013		Principal 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; Treasurer, since 2018		Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)		N/A		N/A

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311

Trustees and Officers (Unaudited) September 30, 2018

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Co-Chief Operating Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
William J. Fenrich, J.D., 1969	Vice President, since 2018	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A
Tara Bongiorni, CPA 1977	Assistant Treasurer, since 2017	Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015)	N/A	N/A
John Hadermayer, J.D., 1977	Secretary, since 2018	Vice President, AQR Capital Management, LLC (since 2013)	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 72.

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

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report September 2018

312

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website 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

Annual Report

September 30, 2018

AQR Core Plus Bond Fund

Table of Contents

Shareholder Letter (Unaudited)
AQR Core Plus Bond Fund	2
Schedule of Investments
AQR Core Plus Bond Fund	4
Financial Statements and Notes	13
Report of Independent Registered Public Accounting Firm	34
Fund Expense Examples (Unaudited)	35
Board Approval of Investment Advisory Agreements	36
Trustees and Officers (Unaudited)	38

Shareholder Letter (Unaudited)

AQR CORE PLUS BOND FUND

Ronen Israel

Principal

Scott Richardson

Principal

Jordan Brooks

Managing Director

Dear Shareholder:

The AQR Core Plus Bond Fund (the “Fund”) is a U.S. Aggregate Bond-benchmarked fixed income offering that seeks total return, consisting of capital appreciation and income. Excess returns are pursued through a rules-based, systematic application of fundamental investment themes such as Value, Momentum, Carry Defensive, and other proprietary signals. By combining these investment themes, we aim to build a portfolio weighted to securities that are cheap, with improving price and fundamental trends, with attractive yields, and which have more defensive characteristics. Notably, out of benchmark sectors are strictly used to increase security selection breadth, while still targeting the credit and duration profile of the benchmark. Because of its systematic approach, the strategy targets excess returns that are both attractive, as well as uncorrelated to traditional market risk premiums (e.g. equities, interest-rates, etc.), and to traditional fixed income managers.

For the fiscal year ended September 30, 2018, the Fund’s Class I returned -0.02% while its benchmark, the Bloomberg Barclays US Aggregate Total Return Index, returned 0.20% over the period. The fund’s slight underperformance was driven primarily by the country selection strategy sleeve, while the maturity selection, corporate bond selection, and currency selection sleeves all had positive contributions to performance. The underperformance in the Country Selection sleeve was driven by our exposure to peripheral Europe, driven by high carry and improving fundamentals, but where spreads had widened earlier in the year over political concerns.

AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2018 AQR CORE PLUS BOND FUND
	Since Inception		Date of Inception
Fund - Class I: QCPIX		-0.02%		4/5/2018
Fund - Class N: QCPNX		-0.12%		4/5/2018
Fund - Class R6: QCPRX		0.00%		4/5/2018
Bloomberg Barclays U.S. Aggregate Bond Index		0.20%

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%, 0.83% and 0.48%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report September 2018

2

Shareholder Letter (Unaudited)

AQR CORE PLUS BOND FUND

AQR CORE PLUS BOND FUND VS. BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX

VALUE OF $10,000 INVESTED ON 4/5/2018

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

AQR Funds Annual Report September 2018

3

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
LONG POSITIONS - 126.0%
CORPORATE BONDS - 25.2%
Aerospace & Defense - 0.7%
Hexcel Corp.
3.95%, 2/15/2027	$	730,000	$	709,112
Air Freight & Logistics - 0.1%
CH Robinson Worldwide, Inc.
4.20%, 4/15/2028		140,000		137,867
Banks - 2.5%
Huntington Bancshares, Inc.
2.30%, 1/14/2022		810,000		775,755
Regions Financial Corp.
2.75%, 8/14/2022		890,000		858,245
SunTrust Banks, Inc.
2.70%, 1/27/2022		880,000		856,307
				2,490,307
Beverages - 0.1%
Constellation Brands, Inc.
4.25%, 5/1/2023		150,000		152,000
Capital Markets - 1.7%
Ares Capital Corp.
3.50%, 2/10/2023		700,000		668,899
Jefferies Group LLC
4.15%, 1/23/2030		330,000		296,475
Nasdaq, Inc.
4.25%, 6/1/2024		710,000		716,227
				1,681,601
Chemicals - 0.7%
Methanex Corp. (Canada)
4.25%, 12/1/2024		730,000		713,662
Communications Equipment - 0.7%
Motorola Solutions, Inc.
3.75%, 5/15/2022		720,000		713,886
Consumer Finance - 0.8%
American Express Co.
2.50%, 8/1/2022		810,000		776,478
Diversified Financial Services - 0.9%
Petronas Capital Ltd. (Malaysia)
7.88%, 5/22/2022 (a)		240,000		272,614
Voya Financial, Inc.
4.80%, 6/15/2046		700,000		690,419
				963,033
Electric Utilities - 2.4%
Exelon Corp.
3.50%, 6/1/2022 (b)		860,000		844,991
FirstEnergy Corp.
Series B, 3.90%, 7/15/2027		810,000		787,935
NextEra Energy Capital Holdings, Inc.
3.55%, 5/1/2027		830,000		798,558
				2,431,484

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Equity Real Estate Investment Trusts (REITs) - 0.3%
Crown Castle International Corp.
3.65%, 9/1/2027	$	320,000	$	300,653
Food & Staples Retailing - 0.6%
Sysco Corp.
3.30%, 7/15/2026		650,000		621,222
Health Care Providers & Services - 2.1%
Aetna, Inc.
2.80%, 6/15/2023		770,000		737,781
Anthem, Inc.
4.63%, 5/15/2042		660,000		644,937
Humana, Inc.
4.95%, 10/1/2044		680,000		706,138
				2,088,856
Hotels, Restaurants & Leisure - 0.1%
Darden Restaurants, Inc.
4.55%, 2/15/2048		140,000		131,164
Insurance - 0.6%
Marsh & McLennan Cos., Inc.
4.20%, 3/1/2048		100,000		94,339
Progressive Corp. (The)
4.13%, 4/15/2047		490,000		477,120
				571,459
IT Services - 0.6%
Total System Services, Inc.
4.80%, 4/1/2026		590,000		607,101
Multiline Retail - 2.4%
Dollar General Corp.
3.25%, 4/15/2023		690,000		673,660
Kohl’s Corp.
4.25%, 7/17/2025		720,000		719,216
Macy’s Retail Holdings, Inc.
2.88%, 2/15/2023		770,000		729,209
Nordstrom, Inc.
5.00%, 1/15/2044		336,000		309,855
				2,431,940
Multi-Utilities - 0.1%
DTE Energy Co.
2.85%, 10/1/2026		100,000		91,681
Oil, Gas & Consumable Fuels - 3.4%
Continental Resources, Inc.
5.00%, 9/15/2022		656,000		665,512
Hess Corp.
4.30%, 4/1/2027		790,000		766,047
HollyFrontier Corp.
5.88%, 4/1/2026		740,000		788,799
KazTransGas JSC (Kazakhstan)
4.38%, 9/26/2027 (a)		200,000		190,310
ONEOK, Inc.
4.95%, 7/13/2047		470,000		467,001

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

AQR Funds Annual Report September 2018

4

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Oil, Gas & Consumable Fuels - 3.4% (continued)
Petroleos Mexicanos (Mexico)
4.50%, 1/23/2026	$	20,000	$	18,700
6.50%, 3/13/2027		30,000		30,645
6.63%, 6/15/2035		20,000		19,870
6.75%, 9/21/2047		160,000		152,670
6.35%, 2/12/2048 (a)		10,000		9,160
Western Gas Partners LP
5.30%, 3/1/2048		370,000		339,133
				3,447,847
Professional Services - 1.4%
IHS Markit Ltd.
4.75%, 2/15/2025 (a)		670,000		679,735
Verisk Analytics, Inc.
4.00%, 6/15/2025		730,000		721,058
				1,400,793
Road & Rail - 0.2%
CSX Corp.
4.30%, 3/1/2048		190,000		185,998
Software - 1.4%
Citrix Systems, Inc.
4.50%, 12/1/2027		720,000		693,831
VMware, Inc.
3.90%, 8/21/2027		770,000		728,483
				1,422,314
Specialty Retail - 0.1%
TJX Cos., Inc. (The)
2.25%, 9/15/2026		150,000		135,839
Technology Hardware, Storage & Peripherals - 0.6%
NetApp, Inc.
3.30%, 9/29/2024		660,000		630,248
Textiles, Apparel & Luxury Goods - 0.7%
Tapestry, Inc.
4.13%, 7/15/2027		740,000		701,795
TOTAL CORPORATE BONDS (Cost $25,871,790)				25,538,340
MORTGAGE-BACKED SECURITIES - 31.5%
FNMA
TBA, 2.50%, 10/25/2033		1,550,000		1,495,408
TBA, 3.00%, 10/25/2033 - 10/25/2048		8,650,000		8,316,174
TBA, 3.50%, 10/25/2033 - 10/25/2048		10,450,000		10,295,708
TBA, 4.00%, 10/25/2048		6,450,000		6,512,988
TBA, 4.50%, 10/25/2048		3,700,000		3,816,659
TBA, 5.00%, 10/25/2048		1,400,000		1,469,571
TOTAL MORTGAGE-BACKED SECURITIES (Cost $32,122,406)				31,906,508
FOREIGN GOVERNMENT SECURITIES - 24.1%
Arab Republic of Egypt
8.50%, 1/31/2047 (c)		200,000		200,432

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 24.1% (continued)
Australia Government Bond
2.75%, 11/21/2027 (c)	AUD	1,280,000	$	931,856
2.50%, 5/21/2030 (c)	AUD	1,200,000		847,445
Canada Government Bond
1.50%, 6/1/2026	CAD	210,000		152,282
Deutsche Bundesrepublik Inflation Linked Bond
0.50%, 2/15/2028 (c)	EUR	1,270,000		1,485,578
Dominican Republic Government Bond
7.45%, 4/30/2044 (a)		100,000		106,500
Export-Import Bank of India
4.00%, 1/14/2023 (c)		200,000		197,926
Federal Republic of Nigeria
7.88%, 2/16/2032 (a)		200,000		204,300
Federative Republic of Brazil
8.25%, 1/20/2034		20,000		23,450
France Government Bond OAT
1.00%, 5/25/2027 (c)	EUR	3,710,000		4,447,920
Hungary Government Bond
6.38%, 3/29/2021		180,000		192,060
5.75%, 11/22/2023		90,000		97,470
Instituto Costarricense de Electricidad
6.95%, 11/10/2021 (a)		200,000		201,500
Kingdom of Belgium
1.00%, 6/22/2026 (c)	EUR	430,000		515,862
0.80%, 6/22/2027 (c)	EUR	850,000		994,689
Kingdom of Spain
2.15%, 10/31/2025 (c)	EUR	10,000		12,494
5.90%, 7/30/2026 (c)	EUR	1,720,000		2,701,949
5.15%, 10/31/2028 (c)	EUR	1,900,000		2,954,533
Kingdom of Sweden
1.00%, 11/12/2026	SEK	20,660,000		2,424,831
Mexico Government Bond
6.05%, 1/11/2040		250,000		277,627
Oman Government International Bond
6.75%, 1/17/2048 (c)		200,000		194,524
People’s Republic of China
2.13%, 11/2/2022 (c)		310,000		297,160
Republic of Chile
3.25%, 9/14/2021		100,000		100,072
3.13%, 3/27/2025		200,000		193,996
Republic of Colombia
8.13%, 5/21/2024		100,000		120,000
7.38%, 9/18/2037		150,000		189,000
Republic of Ecuador
10.75%, 3/28/2022 (a)		200,000		212,500
Republic of El Salvador
7.65%, 6/15/2035 (a)		70,000		67,926
Republic of Indonesia
2.95%, 1/11/2023		200,000		191,030
4.13%, 1/15/2025 (c)		200,000		196,714
Republic of Italy
7.25%, 11/1/2026	EUR	180,000		274,271
6.50%, 11/1/2027	EUR	1,160,000		1,713,341
6.00%, 5/1/2031	EUR	200,000		296,182
5.75%, 2/1/2033	EUR	20,000		29,509
Republic of Kenya
7.25%, 2/28/2028 (c)		200,000		194,500

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

AQR Funds Annual Report September 2018

5

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
FOREIGN GOVERNMENT SECURITIES - 24.1% (continued)
Republic of Panama
6.70%, 1/26/2036	$	50,000		$	62,450
Republic of Peru
8.75%, 11/21/2033		190,000			280,725
Republic of South Africa
4.67%, 1/17/2024		270,000			263,598
Republic of Ukraine
7.75%, 9/1/2025 (a)		190,000			180,688
7.75%, 9/1/2025 (c)		110,000			104,609
Republic of Romania
6.75%, 2/7/2022 (a)		200,000			218,320
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $24,867,889)					24,351,819
U.S. TREASURY OBLIGATIONS - 34.8%
U.S. Treasury Bonds
2.88%, 5/15/2043		10,130,000			9,576,807
U.S. Treasury Notes
2.00%, 1/31/2020		20,630,000			20,433,370
2.13%, 9/30/2021		5,320,000			5,203,625
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,462,597)					35,213,802
	SHARES
SHORT-TERM INVESTMENTS - 10.4%
INVESTMENT COMPANIES - 10.4%
Limited Purpose Cash Investment Fund, 2.06% (1)(d)
(Cost $10,548,029)		10,549,696			10,548,642
TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS (Cost $128,872,711)					127,559,111
	PRINCIPAL AMOUNT
TBA SALE COMMITMENTS - (1.8)%
MORTGAGE-BACKED SECURITIES - (1.8)%
FNMA
TBA, 2.50%, 10/25/2033	$	(50,000	)		(48,239	)
TBA, 3.00%, 10/25/2033 - 10/25/2048		(650,000	)		(623,445	)
TBA, 4.50%, 10/25/2048		(1,150,000	)		(1,186,259	)
TOTAL TBA SALE COMMITMENTS (Proceeds $(1,858,430))					(1,857,943	)
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS - 124.2% (Cost $127,014,281)					125,701,168
LIABILITIES IN EXCESS OF OTHER ASSETS - (24.2)% (e)				(24,473,081)
NET ASSETS - 100.0%				$	101,228,087

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	3,400,738			3.3	%
Consumer Staples		773,222			0.7
Energy		3,447,847			3.4
Financials		6,482,878			6.5
Foreign Government Securities		24,351,819			24.1
Health Care		2,088,856			2.1
Industrials		2,433,770			2.4
Information Technology		3,373,549			3.3
Materials		713,662			0.7
Mortgage-Backed Securities		30,048,565			29.7
Real Estate		300,653			0.3
U.S. Treasury Obligations		35,213,802			34.8
Utilities		2,523,165			2.5
Short-Term Investments		10,548,642			10.4
Total Investments In Securities At Value		125,701,168			124.2
Liabilities in Excess of Other Assets (e)		(24,473,081	)		(24.2	)
Net Assets	$	101,228,087			100.0	%

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2018 amounted to $2,343,553, which represents approximately 2.32% of net assets of the fund.

(b) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of September 30, 2018.

(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2018, the value of these securities amounted to $16,278,191 or 16.08% of net assets.

(d) Represents 7-day effective yield as of September 30, 2018.

(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).

Abbreviations

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

FNMA - Federal National Mortgage Association

SEK - Swedish Krona

TBA - To Be Announced; Security is subject to delayed delivery.

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

AQR Funds Annual Report September 2018

6

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

Credit default swap contracts outstanding - buy protection as of September 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE PAID			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD				NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Markit CDX Emerging Market Index Series 30.V1		1.00	%	Quarterly	12/20/2023		1.92	%	USD		6,440,000		$279,785			$(10,760	)		$269,025
Republic of South Africa, 5.50%, 3/9/2020		1.00		Quarterly	12/20/2023		2.02		USD		600,000		28,959			(628	)		28,331
Republic of Turkey, 11.88%, 1/15/2030		1.00		Quarterly	12/20/2023		3.72		USD		800,000		98,468			(3,859	)		94,609
													407,212			(15,247	)		391,965
Republic of Korea, 7.13%, 4/16/2019		1.00		Quarterly	12/20/2023		0.38		USD		2,900,000		$(83,648	)		$(4,671	)		$(88,319	)
													(83,648	)		(4,671	)		(88,319	)
													$323,564			$(19,918	)		$303,646

Credit default swap contracts outstanding - sell protection as of September 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE RECEIVED			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD				NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)		VALUE
Markit CDX North America Investment Grade Index Series 31.V1		1.00	%	Quarterly	12/20/2023		0.60	%	USD		6,160,000		$115,077			$4,694		$119,771
Penerbangan Malaysia Bhd., 1.00%, 6/20/2021		1.00		Quarterly	12/20/2023		0.93		USD		3,400,000		9,585			1,987		11,572
													124,662			6,681		131,343
Federative Republic of Brazil, 4.25%, 1/7/2025		1.00		Quarterly	12/20/2023		2.60		USD		1,000,000		$(79,962	)		$7,187		$(72,775	)
													(79,962	)		7,187		(72,775	)
													$44,700			$13,868		$58,568

Forward effective interest rate swap contracts outstanding as of September 30, 2018:

Exchange Cleared

PAY/RECEIVE FLOATING RATE

FLOATING RATE INDEX (a)

FIXED RATE

MATURITY DATE

NOTIONAL AMOUNT

UPFRONT PREMIUM PAID (RECEIVED)

UNREALIZED APPRECIATION (DEPRECIATION)

VALUE

Pay

3 Month Australian Bank-Bill Reference Rate Quarterly

2.50% Semi-Annually

3/10/2021

NZD

9,500,000

$54,512

$(7,724

)

$46,788

Pay

3 Month Stockholm Interbank Offered Rate Quarterly

1.50% Annually

3/21/2029

SEK

50,800,000

118,607

(55,701

)

62,906

Pay

6 Month Australian Bank-Bill Reference Rate Semi-Annually

3.00% Semi-Annually

3/08/2029

AUD

2,200,000

16,776

(1,816

)

14,960

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

AQR Funds Annual Report September 2018

7

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	0.00% Annually		12/21/2020	EUR		4,300,000		$ 1,550			$ 3,245			$ 4,795
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.25% Annually		3/17/2021	CHF		6,300,000		20,509			(5,603	)		14,906
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.50% Semi-Annually		3/21/2029	JPY		37,800,000		3,961			(235	)		3,726
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.00% Annually		3/17/2021	NOK		284,400,000		232,097			(30,815	)		201,282
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	2.00% Quarterly		3/11/2021	AUD		9,700,000		13,684			(1,563	)		12,121
Receive	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		12/19/2028	USD		200,000		—			2,275			2,275
Receive	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		3/20/2029	USD		1,800,000		25,851			(3,266	)		22,585
Receive	6 Month Euro Interbank Offered Rate Semi-Annually	0.00% Annually		3/22/2021	EUR		40,500,000		(16,973	)		46,330			29,357
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		3/20/2029	GBP		8,200,000		95,670			110,206			205,876
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.50% Annually		3/21/2029	CHF		1,300,000		1,600			15,582			17,182
									567,844			70,915			638,759
Pay	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		3/15/2021	CAD		15,000,000		(4,208	)		(36,502	)		(40,710	)
Pay	3 Month London Interbank Offered Rate Quarterly	2.75% Semi-Annually		12/21/2020	USD		1,100,000		—			(6,814	)		(6,814	)
Pay	3 Month London Interbank Offered Rate Quarterly	2.75% Semi-Annually		3/22/2021	USD		7,800,000		(56,430	)		289			(56,141	)
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	1.00% Annually		3/20/2029	EUR		8,400,000		(12,851	)		(74,627	)		(87,478	)
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		3/17/2021	JPY		134,300,000		(1,335	)		(542	)		(1,877	)
Pay	6 Month London Interbank Offered Rate Semi-Annually	1.25% Semi-Annually		3/22/2021	GBP		38,300,000		50,894			(90,701	)		(39,807	)
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	3.00% Semi-Annually		3/14/2029	NZD		2,000,000		(11,479	)		8,475			(3,004	)
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	3.00% Semi-Annually		3/19/2029	CAD		3,300,000		(68,223	)		34,950			(33,273	)
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.50% Annually		3/17/2021	SEK		243,600,000		(201,830	)		40,578			(161,252	)
Receive	6 Month Euro Interbank Offered Rate Semi-Annually	1.25% Annually		12/19/2028	EUR		900,000		(7,120	)		(14,593	)		(21,713	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.25% Semi-Annually		3/17/2021	JPY		321,800,000		(9,590	)		(20	)		(9,610	)
Receive	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.50% Annually		3/21/2029	NOK		61,800,000		(159,882	)		71,627			(88,255	)
									(482,054	)		(67,880	)		(549,934	)
									$85,790			$3,035			$88,825

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

AQR Funds Annual Report September 2018

8

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

(a) Floating rate indices at September 30, 2018 were as follows:

3 Month Australian Bank-Bill Reference Rate: 1.94%

3 Month Canadian Bankers’ Acceptance Rate: 2.02%

3 Month London Interbank Offered Rate: 2.40%

3 Month Stockholm Interbank Offered Rate: (0.46)%

6 Month Australian Bank-Bill Reference Rate: 2.14%

6 Month Euro Interbank Offered Rate: (0.27)%

6 Month London Interbank Offered Rate: 2.60%

6 Month Norwegian Interbank Offered Rate: 1.22%

Futures contracts outstanding as of September 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Euro-BTP		20		12/2018	EUR		$2,875,689			$58,723
Euro-Bund		2		12/2018	EUR		368,726			(4,233	)
U.S. Treasury 2 Year Note		20		12/2018	USD		4,214,687			(9,128	)
										45,362
Short Contracts
Japan 10 Year Bond		(11	)	12/2018	JPY		(14,530,804	)		19,993
Long Gilt		(19	)	12/2018	GBP		(2,995,031	)		28,349
U.S. Treasury 10 Year Note		(42	)	12/2018	USD		(4,988,812	)		39,785
										88,127
										$133,489

Forward foreign currency contracts outstanding as of September 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	424,431	USD	304,371	CITI		12/19/2018		$2,618
AUD	636,645	USD	456,556	JPMC		12/19/2018		3,926
BRL	523,200	USD	127,120	CITI**		12/19/2018		1,600
BRL	784,800	USD	190,680	JPMC**		12/19/2018		2,399
CAD	1,903,481	USD	1,456,781	CITI		12/19/2018		19,460
CAD	2,855,220	USD	2,185,174	JPMC		12/19/2018		29,186
CLP	12,000,000	USD	18,034	CITI**		12/19/2018		224
CLP	18,000,000	USD	27,051	JPMC**		12/19/2018		337
COP	100,000,000	USD	33,178	CITI**		12/19/2018		519
COP	150,000,000	USD	49,767	JPMC**		12/19/2018		778
CZK	680,000	USD	30,662	CITI		12/19/2018		128
CZK	1,020,000	USD	45,993	JPMC		12/19/2018		192
EUR	332,538	USD	387,405	CITI		12/19/2018		1,301
EUR	498,802	USD	581,103	JPMC		12/19/2018		1,950
GBP	104,866	USD	136,036	CITI		12/19/2018		1,178
GBP	157,301	USD	204,056	JPMC		12/19/2018		1,765
HUF	31,735,600	USD	114,154	CITI		12/19/2018		556
HUF	47,603,400	USD	171,231	JPMC		12/19/2018		834
KRW	93,453,200	USD	83,958	CITI**		12/19/2018		418

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

AQR Funds Annual Report September 2018

9

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
KRW	140,179,800	USD	125,937	JPMC**		12/19/2018		$ 627
MXN	9,283,592	USD	478,963	CITI		12/19/2018		11,022
MXN	13,925,408	USD	718,446	JPMC		12/19/2018		16,532
NZD	90,650	USD	59,533	CITI		12/19/2018		581
NZD	135,975	USD	89,300	JPMC		12/19/2018		873
PLN	304,000	USD	82,230	CITI		12/19/2018		394
PLN	456,000	USD	123,345	JPMC		12/19/2018		591
RUB	9,600,000	USD	141,945	CITI**		12/19/2018		3,365
RUB	14,400,000	USD	212,918	JPMC**		12/19/2018		5,047
SEK	1,106,337	USD	122,405	CITI		12/19/2018		2,960
SEK	1,659,505	USD	183,607	JPMC		12/19/2018		4,439
USD	287,787	AUD	394,353	CITI		12/19/2018		2,554
USD	431,679	AUD	591,528	JPMC		12/19/2018		3,830
USD	40,615	CAD	52,270	CITI		12/19/2018		78
USD	60,924	CAD	78,406	JPMC		12/19/2018		116
USD	1,454,643	CHF	1,402,182	CITI		12/19/2018		14,820
USD	2,181,967	CHF	2,103,278	JPMC		12/19/2018		22,227
USD	14,493	CZK	320,000	CITI		12/19/2018		4
USD	21,740	CZK	480,000	JPMC		12/19/2018		6
USD	6,361,556	EUR	5,414,075	CITI		12/19/2018		33,012
USD	9,542,315	EUR	8,121,106	JPMC		12/19/2018		49,507
USD	360,746	GBP	274,400	CITI		12/19/2018		1,705
USD	541,118	GBP	411,600	JPMC		12/19/2018		2,557
USD	146,984	IDR	2,190,000,000	CITI**		12/19/2018		1,936
USD	220,475	IDR	3,285,000,000	JPMC**		12/19/2018		2,903
USD	225,657	ILS	812,000	CITI		12/19/2018		1,026
USD	338,485	ILS	1,218,000	JPMC		12/19/2018		1,538
USD	179,906	JPY	19,920,000	CITI		12/19/2018		3,438
USD	269,858	JPY	29,880,000	JPMC		12/19/2018		5,156
USD	142,239	KRW	157,241,550	CITI**		12/19/2018		270
USD	213,358	KRW	235,862,325	JPMC**		12/19/2018		405
USD	96,771	PHP	5,200,000	CITI**		12/19/2018		1,198
USD	145,156	PHP	7,800,000	JPMC**		12/19/2018		1,797
USD	6,001	PLN	22,000	CITI		12/19/2018		22
USD	9,002	PLN	33,000	JPMC		12/19/2018		33
ZAR	265,200	USD	18,242	CITI		12/19/2018		314
ZAR	397,800	USD	27,364	JPMC		12/19/2018		471
Total unrealized appreciation								266,723
AUD	433,569	USD	316,925	CITI		12/19/2018		(3,327	)
AUD	650,355	USD	475,389	JPMC		12/19/2018		(4,991	)
BRL	135,200	USD	33,474	CITI**		12/19/2018		(212	)
BRL	202,800	USD	50,212	JPMC**		12/19/2018		(318	)
CAD	130,652	USD	101,534	CITI		12/19/2018		(207	)
CAD	195,979	USD	152,301	JPMC		12/19/2018		(310	)
CHF	507,200	USD	527,725	CITI		12/19/2018		(6,909	)
CHF	760,800	USD	791,588	JPMC		12/19/2018		(10,365	)
CLP	4,000,000	USD	6,103	CITI**		12/19/2018		(17	)
CLP	6,000,000	USD	9,155	JPMC**		12/19/2018		(26	)
COP	8,000,000	USD	2,712	CITI**		12/19/2018		(16	)
COP	12,000,000	USD	4,067	JPMC**		12/19/2018		(23	)
EUR	566,550	USD	665,749	CITI		12/19/2018		(3,506	)
EUR	849,823	USD	998,623	JPMC		12/19/2018		(5,260	)
GBP	9,534	USD	12,504	CITI		12/19/2018		(30	)
GBP	14,301	USD	18,757	JPMC		12/19/2018		(44	)
ILS	380,000	USD	106,435	CITI		12/19/2018		(1,312	)
ILS	570,000	USD	159,652	JPMC		12/19/2018		(1,968	)

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

AQR Funds Annual Report September 2018

10

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
INR	4,194,800	USD	58,017	CITI**		12/19/2018		$ (904	)
INR	6,292,200	USD	87,026	JPMC**		12/19/2018		(1,356	)
JPY	63,759,200	USD	577,265	CITI		12/19/2018		(12,432	)
JPY	95,638,800	USD	865,898	JPMC		12/19/2018		(18,649	)
KRW	23,309,600	USD	21,088	CITI**		12/19/2018		(42	)
KRW	34,964,400	USD	31,631	JPMC**		12/19/2018		(63	)
NZD	212,550	USD	142,121	CITI		12/19/2018		(1,166	)
NZD	318,825	USD	213,182	JPMC		12/19/2018		(1,752	)
PLN	332,800	USD	90,948	CITI		12/19/2018		(497	)
PLN	499,200	USD	136,423	JPMC		12/19/2018		(745	)
SGD	456,000	USD	335,075	CITI		12/19/2018		(931	)
SGD	684,000	USD	502,613	JPMC		12/19/2018		(1,397	)
USD	513,108	AUD	711,960	CITI		12/19/2018		(1,850	)
USD	769,661	AUD	1,067,940	JPMC		12/19/2018		(2,775	)
USD	367,224	BRL	1,531,200	CITI**		12/19/2018		(9,488	)
USD	550,835	BRL	2,296,800	JPMC**		12/19/2018		(14,233	)
USD	325,917	CAD	425,779	CITI		12/19/2018		(4,295	)
USD	488,884	CAD	638,681	JPMC		12/19/2018		(6,443	)
USD	130,719	CHF	127,416	CITI		12/19/2018		(118	)
USD	196,078	CHF	191,124	JPMC		12/19/2018		(177	)
USD	83,811	CLP	56,000,000	CITI**		12/19/2018		(1,397	)
USD	125,716	CLP	84,000,000	JPMC**		12/19/2018		(2,096	)
USD	14,422	CZK	320,000	CITI		12/19/2018		(67	)
USD	21,633	CZK	480,000	JPMC		12/19/2018		(101	)
USD	2,414,084	EUR	2,070,160	CITI		12/19/2018		(5,739	)
USD	3,621,120	EUR	3,105,238	JPMC		12/19/2018		(8,612	)
USD	250,936	GBP	193,600	CITI		12/19/2018		(2,381	)
USD	376,406	GBP	290,402	JPMC		12/19/2018		(3,573	)
USD	1,446	HUF	400,000	CITI		12/19/2018		—
USD	2,168	HUF	600,000	JPMC		12/19/2018		—
USD	47,469	IDR	730,000,000	CITI**		12/19/2018		(881	)
USD	71,203	IDR	1,095,000,000	JPMC**		12/19/2018		(1,321	)
USD	300,398	KRW	334,555,250	CITI**		12/19/2018		(1,661	)
USD	450,597	KRW	501,832,875	JPMC**		12/19/2018		(2,492	)
USD	16,270	MXN	313,198	CITI		12/19/2018		(260	)
USD	24,405	MXN	469,802	JPMC		12/19/2018		(391	)
USD	445,783	NOK	3,708,000	CITI		12/19/2018		(11,393	)
USD	668,674	NOK	5,562,000	JPMC		12/19/2018		(17,091	)
USD	35,692	PLN	132,000	CITI		12/19/2018		(184	)
USD	53,539	PLN	198,000	JPMC		12/19/2018		(276	)
USD	69,993	RUB	4,800,000	CITI**		12/19/2018		(2,662	)
USD	104,989	RUB	7,200,000	JPMC**		12/19/2018		(3,994	)
USD	1,875,726	SEK	16,932,613	CITI		12/19/2018		(42,988	)
USD	2,813,586	SEK	25,398,925	JPMC		12/19/2018		(64,486	)
USD	110,081	ZAR	1,594,400	CITI		12/19/2018		(1,482	)
USD	165,121	ZAR	2,391,600	JPMC		12/19/2018		(2,223	)
Total unrealized depreciation								(295,905	)
Net unrealized depreciation								$(29,182	)

** Non-deliverable forward.

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

AQR Funds Annual Report September 2018

11

Schedule of Investments September 30, 2018

AQR CORE PLUS BOND FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at September 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
CITG
Cash		$—		$(171,278	)		$(171,278	)
CITI
Cash		390,000		—			390,000
CRSU
Cash		—		214,970			214,970
JPMC
Cash		1,252,682		—			1,252,682
JPMS
Cash		—		4,034,692			4,034,692

The following abbreviations are used for counterparty descriptions:

CITG - Citigroup Global Markets, Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

JPMC - J.P. Morgan Chase Bank NA

JPMS - J.P. Morgan Securities LLC

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

AQR Funds Annual Report September 2018

12

Statement of Assets and Liabilities September 30, 2018

	AQR CORE PLUS BOND FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	128,872,711
Investments in securities of unaffiliated issuers, at value	$	127,559,111
Cash		133,502
Cash denominated in foreign currencies‡		88,725
Unrealized appreciation on forward foreign currency exchange contracts		266,723
Due from broker		1,642,682
Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $454,054)		4,458,969
Deposits with brokers for futures contracts		240,595
Variation margin on centrally cleared swaps		11,539
Receivables:
Securities sold		1,674,692
Securities sold—delayed delivery securities		1,858,430
Foreign tax reclaims		35,911
Dividends and interest		765,549
Due from Investment Adviser		1,396
Prepaid expenses		57,629
Total Assets		138,795,453
LIABILITIES:
TBA sale commitments, at value (proceeds $1,858,430)		1,857,943
Unrealized depreciation on forward foreign currency exchange contracts		295,905
Variation margin on futures contracts		48,191
Payables:
Securities purchased		3,157,547
Securities purchased—delayed delivery securities		32,122,406
Accrued distribution fees—Class N		115
Other accrued expenses and liabilities		85,259
Total Liabilities		37,567,366
Net Assets	$	101,228,087
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	102,377,653
Total distributable earnings (loss)		(1,149,566	)
Net Assets	$	101,228,087
NET ASSETS:
Class I	$	3,707,037
Class N		559,830
Class R6		96,961,220
SHARES OUTSTANDING:
Class I		375,031
Class N		56,638
Class R6		9,809,080
NET ASSET VALUE:
Class I	$	9.88
Class N	$	9.88
Class R6	$	9.88
‡  Cash denominated in foreign currencies at cost	$	88,240

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

AQR Funds Annual Report September 2018

13

Statement of Operations September 30, 2018

	AQR CORE PLUS BOND FUND
	FOR THE PERIOD 04/05/18*-09/30/18
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers		$101,656
Interest income†		1,210,387
Total Income		1,312,043
EXPENSES:
Investment advisory fees		157,780
Custody fees		12,093
Administration & accounting fees		8,501
Legal fees		4,813
Audit & tax fees		47,155
Shareholder reporting fees		11,014
Transfer agent fees		9,827
Trustee fees		2,136
Offering costs		3,382
Distribution fees—Class N		637
Registration fees		39,887
Pricing fee		1,544
Other expenses		1,317
Total Expenses		300,086
Less fee waivers and/or reimbursements		(115,612	)
Net Expenses		184,474
Net Investment Income (Loss)		1,127,569
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(1,513,323	)
Settlement of foreign currency and foreign currency transactions		(95,863	)
Settlement of forward foreign currency contracts		1,465,896
Expiration or closing of futures contracts		(285,946	)
TBA sale commitments		9,545
Expiration or closing of swap contracts		557,690
Net realized gain (loss)		137,999
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(1,313,600	)
Foreign currency and foreign currency transactions		93
Forward foreign currency exchange contracts		(29,182	)
Futures contracts		133,489
TBA sale commitments		487
Swap contracts		(3,015	)
Net change in unrealized appreciation (depreciation)		(1,211,728	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(1,073,729	)
Net increase (decrease) in net assets resulting from operations		$53,840
†  Net of foreign taxes withheld of		$1,169

* Commencement of operations.

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

AQR Funds Annual Report September 2018

14

Statement of Changes in Net Assets September 30, 2018

	AQR CORE PLUS BOND FUND
	FOR THE PERIOD 04/05/18*-09/30/18
OPERATIONS:
Net investment income (loss)	$	1,127,569
Net realized gain (loss)		137,999
Net change in unrealized appreciation (depreciation)		(1,211,728	)
Net increase (decrease) in net assets resulting from operations		53,840
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(38,811	)
Class N		(5,803	)
Class R6		(1,176,077	)
Total distributions		(1,220,691	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,858,053
Reinvestment of distributions		21,167
Cost of shares redeemed		(141,059	)
Net increase (decrease) from capital transactions		3,738,161
CLASS N
Proceeds from shares sold		565,506
Reinvestment of distributions		411
Net increase (decrease) from capital transactions		565,917
CLASS R6
Proceeds from shares sold		98,089,999
Reinvestment of distributions		861
Net increase (decrease) from capital transactions		98,090,860
Net increase (decrease) in net assets resulting from capital transactions		102,394,938
Total increase (decrease) in net assets		101,228,087
NET ASSETS:
Beginning of period		—
End of period	$	101,228,087

The accompanying notes are an integral part of these financial statements. (continued on p. 14)

AQR Funds Annual Report September 2018

15

Statement of Changes in Net Assets September 30, 2018

	AQR CORE PLUS BOND FUND
	FOR THE PERIOD 04/05/18*-09/30/18
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—
Shares sold		387,044
Shares issued on reinvestment of distributions		2,134
Shares redeemed		(14,147	)
Shares outstanding, end of period		375,031
CLASS N
Shares outstanding, beginning of period		—
Shares sold		56,597
Shares issued on reinvestment of distributions		41
Shares outstanding, end of period		56,638
CLASS R6
Shares outstanding, beginning of period		—
Shares sold		9,808,993
Shares issued on reinvestment of distributions		87
Shares outstanding, end of period		9,809,080

* Commencement of operations.

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

AQR Funds Annual Report September 2018

16

[Intentionally Left Blank]

Financial Highlights September 30, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains		Total Distributions
AQR CORE PLUS BOND FUND CLASS I
FOR THE PERIOD 4/05/186-9/30/18	$	10.00		0.11		(0.11	)		—			(0.12	)		—		(0.12	)
AQR CORE PLUS BOND FUND CLASS N
FOR THE PERIOD 4/05/186-9/30/18	$	10.00		0.10		(0.11	)		(0.01	)		(0.11	)		—		(0.11	)
AQR CORE PLUS BOND FUND CLASS R6
FOR THE PERIOD 4/05/186-9/30/18	$	10.00		0.11		(0.11	)		—			(0.12	)		—		(0.12	)

* Annualized for periods less than one year.

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

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

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

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

⁵  Portfolio turnover is not annualized.

⁶  Commencement of operations.

⁷  Certain expenses incurred by the Fund were not annualized for the period.

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

AQR Funds Annual Report September 2018

18

Financial Highlights September 30, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
$	9.88		(0.02	)%		$3,707		0.60	%7		0.42	%		2.26	%		439	%
$	9.88		(0.12	)%		$560		0.79	%7		0.62	%		2.04	%		439	%
$	9.88		0.00	%	$	96,961		0.54	%7		0.37	%		2.29	%		439	%

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

AQR Funds Annual Report September 2018

19

Notes to Financial Statements September 30, 2018

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of September 30, 2018, the Trust consists of thirty-nine active series, AQR Core Plus Bond Fund (the “Fund”) is presented in this book. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The Fund commenced operations on April 5, 2018.

The investment objective of the Fund is to seek total return. The Fund offers Class I, N and R6 shares.

2. Significant Accounting Policies

The Fund is an investment company and applies specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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

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

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s) which may exceed insured limits. The Fund is subject to risk to the extent that the institutions may be unable to fulfill their obligations.

Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Fund’s prime brokers and counterparties. The Fund is subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Fund.

Foreign Currency Translation: The books and records of the Fund are maintained in U.S. Dollars. The Fund’s 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 Fund’s 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 Fund does not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statement of Operations.

Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statement 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 Fund’s books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statement of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

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

AQR Funds Annual Report September 2018

20

Notes to Financial Statements September 30, 2018

The Fund records 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 Fund adjusts 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 Fund may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Fund 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 Fund commenced operations.

Federal Income Taxes: The Fund is treated as a separate taxable entity for federal income tax purposes. The 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, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its taxable net investment income and capital gains, if applicable, to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Fund 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 Fund is 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 Fund has concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Fund is 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. As of September 30, 2018, the Fund had no examinations in progress.

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

Distributions classified as a tax basis return of capital, if any, are reflected on the Statement of Changes in Net Assets and has been recorded to paid in capital.

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

3. Securities and Other Investments

Limited Purpose Cash Investment Fund: The Fund may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of the Fund in the Trust. However, the Fund does not invest in the LPCI Fund for the purpose of exercising significant influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedule of Investments, if applicable.

Futures Contracts: The Fund invests 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 Fund, the Fund may not receive the return of the entire margin owed to the Fund, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statement of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statement of Operations. The use of long futures contracts subjects the Fund to risk of loss in excess of the variation margin on the Statement of Assets and Liabilities. The use of short futures

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contracts subjects the Fund to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after Schedule of Investments.

Forward Foreign Currency Exchange Contracts: The Fund buys and sells forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Fund records 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 Fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. 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 Schedule of Investments.

Swap Contracts: The Fund engages in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedule of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statement of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. If there is no up-front payment or receipt, market value will equal unrealized appreciation (depreciation). Periodic payments received (paid) by a Fund are recorded as realized gain (loss) from the expiration or closing of swap contracts in the Statement of Operations. The Fund uses of swap contracts create additional risks beyond those that would exist if the Fund invested in the underlying positions directly.

Credit Default Swap Contracts: The Fund enters into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statement of Operations.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statement of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after Schedule of Investments.

Interest Rate Swaps: The Fund enters into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Fund are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statement of Operations. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statement of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap

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Notes to Financial Statements September 30, 2018

contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after Schedule of Investments.

Delayed Delivery Securities: During the period, the Fund transacted in securities on a delayed delivery basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery basis are identified as such in the Fund’s Schedule of Investments. The Funds may receive compensation for interest forgone in the purchase of a delayed delivery security. With respect to purchase commitments, the Fund identified securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract terms.

To-Be-Announced Commitments: The Fund may invest in To-Be-Announced (“TBA”) commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The term TBA is derived from the fact that the actual mortgage-backed securities that will be delivered to fulfill a TBA commitment are not designated at the time the trade is made, however delivered securities must meet specified terms, including issuer, rate and mortgage terms. The actual pool of mortgage-backed securities to be delivered is announced 48 hours prior to the established trade settlement date. Settlement of TBA commitments can occur in two ways: i) taking or making delivery of mortgage pools/securities; or ii) pairing-off with an offsetting trade for cash settlement.

Investing in TBA commitments, which are accounted for as purchases and sales transactions, involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. The Fund is subject to this risk whether or not the Fund takes delivery of the positions on the settlement date for a transaction. TBA commitments outstanding at period end, if any, are disclosed in the Fund’s Schedule of Investments.

Master Agreements: The Fund is party 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 Fund to i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Fund counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between the Fund 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 Fund is required to deposit with the relevant clearing organization cash or securities, which are referred to as the initial margin. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statement of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between the Fund 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.

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Notes to Financial Statements September 30, 2018

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

Master Securities Forward Transaction Agreements (each, an “MSFTA”) are entered into in order to govern TBA commitments. A MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event.

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

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

The collateral requirements for TBA commitments are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Fund and the counterparty. Typically, the Fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting agreements on the Statement of Assets and Liabilities.

4. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Fund’s 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 the Fund is computed by dividing the total current value of the assets of the Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Fund’s Board of Trustees (the “Board”).

The Adviser has established a Valuation Committee (the “VC”) to assist the Board with oversight and monitoring of the valuation of the Fund’s investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

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

Fair Value Hierarchy: Various inputs are utilized in determining the value of Fund investments. These inputs are summarized in the three broad levels as follows:

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

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

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Notes to Financial Statements September 30, 2018

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 Fund 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 Fund to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.

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

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

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

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market 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 fair valued by the Fund on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

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

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of

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Notes to Financial Statements September 30, 2018

observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

Quantitative Information

The following table represents the Fund’s valuations inputs as presented on the Schedule of Investments:

AQR CORE PLUS BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Corporate Bonds	$	—		$	25,538,340		$	—	$	25,538,340
Foreign Government Securities		—			24,351,819			—		24,351,819
Mortgage-Backed Securities		—			31,906,508			—		31,906,508
U.S. Treasury Obligations		—			35,213,802			—		35,213,802
Short-Term Investments		10,548,642			—			—		10,548,642
Futures Contracts*		146,850			—			—		146,850
Forward Foreign Currency Exchange Contracts*		—			266,723			—		266,723
Interest Rate Swap Contracts*		—			638,759			—		638,759
Credit Default Swap Contracts*		—			523,308			—		523,308
Total Assets	$	10,695,492		$	118,439,259		$	—	$	129,134,751
LIABILITIES
TBA Sale Commitments	$	—		$	(1,857,943	)	$	—	$	(1,857,943	)
Futures Contracts*		(13,361	)		—			—		(13,361	)
Forward Foreign Currency Exchange Contracts*		—			(295,905	)		—		(295,905	)
Interest Rate Swap Contracts*		—			(549,934	)		—		(549,934	)
Credit Default Swap Contracts*		—			(161,094	)		—		(161,094	)
Total Liabilities	$	(13,361	)	$	(2,864,876	)	$	—	$	(2,878,237	)

* Derivative instruments, including futures and forward foreign currency exchange, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Fund’s Schedule of Investments. Credit default swaps and interest rate swaps contracts are reported at market value. Only current day’s variation margin is reported within the Statement of Assets and Liabilities for exchange-traded and cleared derivatives.

During the period ended September 30, 2018, there were no transfers of investments to or from Level 3. There were no other Level 3 securities held at period end.

5. Federal Income Tax Matters

At September 30, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions and derivative instruments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Core Plus Bond Fund	$	127,696,618	$	750,590	$	(2,190,694	)	$	(1,440,104	)

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals and differences in the tax treatment of contingent debt payment instruments (“CPDI”).

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Notes to Financial Statements September 30, 2018

As of September 30, 2018, the components of distributable earnings 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 Core Plus Bond Fund	$	1,014,675	$	(716,587	)	$	(1,457,679	)	$	—	$	10,025	$	(1,149,566	)

The differences between book basis and tax basis components of distributable earnings are primarily attributable to wash sale loss deferrals, and other book and tax differences including, mark to market on forward foreign exchange contracts, mark to market on regulated futures contracts, straddle loss deferrals, CPDI accrued income, income on certain swaps, and capital loss carryforwards.

As of September 30, 2018, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	TOTAL DISTRIBUTABLE EARNINGS (LOSS)		PAID-IN CAPITAL
AQR Core Plus Bond Fund	$	17,285	$	(17,285	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to certain non deductible expenses. The result of operations and net assets were not affected by the reclassifications.

The tax character of distributions paid during the period ended September 30, 2018 were as follows:

	SEPTEMBER 30, 2018
FUND	ORDINARY INCOME		CAPITAL GAINS
AQR Core Plus Bond Fund	$	1,220,691	$	—

As of September 30, 2018, for federal income tax purposes, the Fund has capital loss carryforwards, with no expiration, available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG-TERM
AQR Core Plus Bond Fund	$	593,438	$	123,149

6. Investment Transactions

During the period ended September 30, 2018, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Core Plus Bond Fund	$	393,097,828	$	273,249,511	$	179,737,822	$	177,869,760

During the period ended September 30, 2018, the Fund had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES
AQR Core Plus Bond Fund	$	93,460,359	$	57,891,489

7. Derivative Instruments and Activities

The Fund uses derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Fund’s derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities. All derivative instruments held by the Fund were subject to a master netting agreement or similar arrangement.

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Notes to Financial Statements September 30, 2018

The following table lists the fair value of derivative instruments held by the Fund, by primary underlying risk and contract type, as included in the Statement of Assets and Liabilities at September 30, 2018:

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Foreign Exchange Rate Risk Exposure:
AQR Core Plus Bond Fund	$	—	$	—	$	266,723	$	—	$	—	$	295,905
Interest Rate Risk Exposure:
AQR Core Plus Bond Fund		146,850		638,759		—		13,361		549,934		—
Credit Risk Exposure:
AQR Core Plus Bond Fund		—		523,308		—		—		161,094		—
Net Value of Derivative Contracts:
AQR Core Plus Bond Fund		133,489		451,039		—		—		—		29,182

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statement of Operations for the period ended September 30, 2018:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS							NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS		FORWARD CURRENCY EXCHANGE CONTRACTS		FUTURES CONTRACTS		SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS
Foreign Exchange Rate Risk Exposure:
AQR Core Plus Bond Fund	$	—		$	—	$	1,465,896	$	—	$	—		$	(29,182	)
Interest Rate Risk Exposure:
AQR Core Plus Bond Fund		(285,946	)		165,509		—		133,489		3,035			—
Credit Risk Exposure:
AQR Core Plus Bond Fund		—			392,181		—		—		(6,050	)		—

The following table presents the Fund’s 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 Fund as of September 30, 2018:

AQR CORE PLUS BOND FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	106,701	$	(106,701	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		160,022		(160,022	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			266,723		(266,723	)		—		—		—		—

AQR Funds Annual Report September 2018

28

Notes to Financial Statements September 30, 2018

AQR CORE PLUS BOND FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	118,354	$	(106,701	)	$	11,653	$	—	$	(11,653	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		177,551		(160,022	)		17,529		—		(17,529	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			295,905		(266,723	)		29,182		—		(29,182	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,363,500.

For the period ended September 30, 2018, the quarterly average notional values of the derivatives held by the Fund were as follows:

Derivatives Volume Disclosure*

	AQR CORE PLUS BOND FUND
Futures Contracts:
Average Notional Balance—Long		7,044,622
Average Notional Balance—Short		23,578,476
Ending Notional Balance—Long		7,459,102
Ending Notional Balance—Short		22,514,648
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		22,095,041
Average Settlement Value—Sold		42,594,249
Ending Value— Purchased		16,481,737
Ending Value—Sold		40,801,169
Credit Default Swaps:
Average Notional Balance—Buy Protection		14,500,000
Average Notional Balance—Sell Protection		8,480,000
Ending Notional Balance—Buy Protection		10,740,000
Ending Notional Balance—Sell Protection		10,560,000
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		94,955,479
Average Notional Balance—Receives Fixed rate		171,301,284
Ending Notional Balance—Pays Fixed Rate		69,286,230
Ending Notional Balance—Receives Fixed Rate		183,181,064

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

8. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to the Fund, pursuant to the Investment Management Agreement II, dated November 13, 2015, as amended, entered into by the Trust, on behalf of the Fund (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for the Fund’s portfolio, makes day-to-day investment decisions for the Fund, and manages the Fund’s investments in accordance with the Fund’s stated policies. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions, subject to its obligation to seek best execution, and also provides certain other administrative services to the Fund. The Adviser provides persons satisfactory to the Fund’s Board to serve as officers of the Fund.

Pursuant to the Advisory Agreements, the Fund currently pays the Advisor a management fee at an annual rate of 0.32% calculated on the average daily net assets.

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29

Notes to Financial Statements September 30, 2018

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse expenses of the Fund at least through January 28, 2019 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive fees and/or reimburse expenses for the 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, expenses related to class action claims and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Core Plus Bond Fund		0.47	%		0.72	%		0.37	%

For the period ended September 30, 2018, the Fund’s Adviser waived fees and/or reimbursed expenses for the Fund as follows:

FUND	FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Core Plus Bond Fund	$	114,402	$	1,210	$	115,612

The Trust, in turn, agreed that the Fund may be required to repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the Fund for its operating expenses under the Fee Waiver Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to the Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.

For the period ended September 30, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at September 30, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30
FUND					2019		2020		2021
AQR CORE PLUS BOND FUND
Class I	$	3,626	$	3,626	$	—	$	—	$	3,626
Class N		602		602		—		—		602
Class R6		111,384		111,384		—		—		111,384
Totals	$	115,612	$	115,612	$	—	$	—	$	115,612

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 Fund. 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 Fund.

10. Principal Risks and Concentrations

The Fund is non-diversified. Because the Fund may invest in securities of a smaller number of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Fund’s performance.

The investment techniques and strategies utilized by the Fund, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover rates will cause the Fund to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Fund.

In the normal course of business the Fund trades 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 and foreign currency risks.

AQR Funds Annual Report September 2018

30

Notes to Financial Statements September 30, 2018

Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Fund 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 Fund 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).

Mortgage-related and other mortgage-backed securities are subject to certain risks, including “extension risk” (i.e., in periods of rising interest rates, issuers may pay principal later than expected) and “prepayment risk” (i.e., in periods of declining interest rates, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). Exposure to mortgage-backed securities offered by non-governmental issuers are subject to other risks as well, including failures of private insurers to meet their obligations and unexpectedly high rates of default on the mortgages backing the securities.

Sovereign debt investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debt that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected.

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the fund’s assets, the fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

In addition, the Fund may be exposed to the risk that one or more securities in the Fund portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. The Fund may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such the Fund has 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 Fund’s net asset value or dividends. The Fund minimizes credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be deposited with or returned to the Fund 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 Fund 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 Fund’s exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statement of Assets and Liabilities. The counterparties to the Fund’s derivative investments may include affiliates of the Fund’s clearing brokers and other major financial institutions. While the Fund uses 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 Fund minimizes counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

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Notes to Financial Statements September 30, 2018

In the normal course of business, the Fund may enter into agreements with the certain counterparties for derivative transactions. A Fund’s Master Agreements contain provisions that require Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Fund, at times, utilizes 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 Fund 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 Fund. 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 Fund. In addition, a decline in market value of the Fund’s 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 Fund to post additional collateral or otherwise sell assets at a time when it may not be in the Fund’s best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for the Fund.

Periodically, the Fund may be a party to legal actions arising in the ordinary course of business. The Fund is currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

Please refer to the Fund’s prospectuses for a more complete description of the principal risks of investing in the Fund.

11. Interfund Lending

Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Fund may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with Fund’s investment objective and investment policies. This program allows the Fund to borrow and lend to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.

A lending Fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must secure each of its outstanding borrowings through the Interfund Lending Program with collateral equal to 102% of the outstanding principal value of the loan.

The Fund is not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in the Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.

During the reporting period, the Fund did not utilize the Interfund Lending Program.

12. Line of Credit

Effective February 23, 2018 and terminating on February 23, 2019, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Prior to February 23, 2018 the line of credit commitment amount was $300,000,000 at substantially similar terms. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of(a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full.

The unused amount available on the line of credit as of September 30, 2018 is $279,000,000. The Fund did not have any borrowings for the period ended September 30, 2018.

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32

Notes to Financial Statements September 30, 2018

13. Principal Ownership

As of September 30, 2018, the Fund 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 Core Plus Bond Fund*		1		97.65	%

* The percentage held by the Adviser and/or affiliates is 97.65%,

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

14. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules modernize and enhance the reporting and disclosure of information by registered investment companies. The new rules will allow the SEC to more effectively collect and use data reported by fund, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review. The amendments to Regulation S-X were applied to the Fund’s financial statements. The adoption had no effect on the Fund’s net assets or results of operations.

In August 2018, the SEC adopted Final Rule Release No. 33-10532, Disclosure Update and Simplification. The new rule amends certain disclosure requirements that the SEC determined to be redundant, duplicative, overlapping, outdated, or superseded, in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Regulation S-X were applied to the Fund’s financial statements in the current period. The adoption had no effect on the Fund’s net assets or results of operations.

In August 2018, the Financial Accounting Standards Board issued ASU No. 2018-13, Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The amendments generally modified the disclosure requirements for fair value measurements such that it removes the following requirements: 1) the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; 2) the requirement to disclose the Fund’s policy for timing of transfers between levels; and, 3) the requirement to disclose the valuation processes for Level 3 fair value measurements. ASU 2018-13 also added the requirement to disclose how weighted average is calculated when the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements is required to be disclosed, in addition to making various other clarifying amendments to the disclosure guidance. The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The amendments related to the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements should be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments should be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. The Fund has elected to early adopt ASU 2018-13 and the amendments are reflected in the current year financial statements.

15. Subsequent Events

The Fund has evaluated subsequent events through the date of issuance of this report and has determined that there is no material events other than those noted above.

AQR Funds Annual Report September 2018

33

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of AQR Funds and Shareholders of AQR Core Plus Bond Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of AQR Core Plus Bond Fund (the “Fund”) as of September 30, 2018, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period April 5, 2018 (commencement of operations) through September 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2018, and the results of its operations, changes in its net assets, and the financial highlights for the period April 5, 2018 (commencement of operations) through September 30, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

New York, New York

November 20, 2018

We have served as the auditor of one or more investment companies in AQR Funds since 2008.

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34

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 09/30/18” to estimate the expenses you paid on your account during this period. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

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

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

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 9/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 9/30/18
AQR Core Plus Bond Fund (1)
Class I
Actual Return		$1,000.00		$999.80		0.42	%		$2.05	(a)
Hypothetical Return		$1,000.00		$1,022.96		0.42	%		$2.13
Class N
Actual Return		$1,000.00		$998.80		0.62	%		$3.02	(a)
Hypothetical Return		$1,000.00		$1,021.96		0.62	%		$3.14
Class R6
Actual Return		$1,000.00		$1,000.00		0.37	%		$1.80	(a)
Hypothetical Return		$1,000.00		$1,023.21		0.37	%		$1.88

(1) Commencement of operations was April 05, 2018

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).

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 178/365 (to reflect the one-half year period unless stated otherwise).

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35

Board Approval of Investment Advisory Agreements

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 16-17, 2017 to consider the approval of the Investment Management Agreement II between the Trust, on behalf of the AQR Core Plus Bond Fund (the “New Fund”), and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Management Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 11, 2017 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 16-17, 2017, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR describing the personnel and services to be provided to the New Fund; (2) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the New Fund’s proposed fees and expenses; (3) a discussion of the financial information of AQR; and (4) a discussion of the compliance program and the regulatory exam history of AQR.

At the in-person meeting held on November 16-17, 2017, the Board, including the Independent Board Members, unanimously approved the Investment Management Agreement for an initial two-year period for the New Fund. The Board considered all factors it believed to be relevant with respect to the New Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the New Fund; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the New Fund’s portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the New Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the approval of the Investment Management Agreement for the New Fund, the Board did not view the Investment Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Investment Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Management Agreement:

The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the New Fund under the Investment Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the New Fund’s stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the New Fund, the Board Members took into account discussions they had with representatives of the Adviser regarding the management of the New Fund’s investments in accordance with the New Fund’s stated investment objectives and policies and the types of transactions that would be entered into on behalf of the New Fund. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and proposed implementation of the New Fund’s investment strategies, their efficacy and potential risks.

In addition to the investment advisory services to be provided to the New Fund, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, risk management, compliance oversight, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the New Fund. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the New Fund by AQR under the Investment Management Agreement. The Board Members recognized the entrepreneurial risk that AQR would assume in connection with launching the New Fund and the enterprise risk involved in providing services to the New Fund over time.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the New Fund by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the New Fund.

Investment Performance and the Adviser’s Portfolio Management. Because the New Fund is newly formed, the Board did not consider the investment performance of the New Fund. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the New Fund. The Board also considered the resources and strengths of the Adviser and the experience of the portfolio management team with respect to the investment strategies proposed for the New Fund. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the New Fund.

The Management Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the New Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the New Fund to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the New Fund.

AQR Funds Annual Report September 2018

36

Board Approval of Investment Advisory Agreements

To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the New Fund’s prospective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses.

The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to New Fund-related activities. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the New Fund and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the proposed management fees under the Investment Management Agreement are reasonable.

Economies of Scale. Because the New Fund is newly formed and had not commenced operations as of November 16-17, 2017, and the eventual aggregate amount of the New Fund’s assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the New Fund grows. The Adviser presented information to show that economies are being shared due to the management fees being set at a level that is competitive relative to comparable funds of an anticipated size and at higher asset levels. The Board recognized that economies would also be shared through the adoption of expense limitation agreements for the New Fund. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit the New Fund to incur lower expenses than they would otherwise as stand-alone entities. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the New Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the New Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of an investment management agreement. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed management fee rates under the Investment Management Agreement are reasonable in relation to the services to be provided by the Adviser to the New Fund, as well as the costs expected to be incurred and benefits expected to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the Investment Management Agreement with respect to the Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report September 2018

37

Trustees and Officers (Unaudited) September 30, 2018

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 4^th 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 (retired) (2009-2010) (financial services)		50		Janus Capital Group (2008- 2016); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950		Trustee, since 2008		Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting)		50		Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950		Trustee, since 2011		Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008- 2012) (insurance)		50		Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017)
Gregg D. Behrens, M.M., 1952		Trustee, since 2011		Retired from Northern Trust Company (since 2009) (banking)		50		None
Brian Posner, M.B.A., 1961		Trustee, since 2011		President, Point Rider Group LLC (since 2008) (consulting)		50		Biogen Inc. (since 2008); Bioverativ Inc. (2017-2018); Arch Capital Group (since 2010); BG Medicine (2012- 2015)
Mark A. Zurack, M.B.A., CFA 1957		Trustee, since 2014		Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		50		Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963		Trustee, since 2010		Founding Principal, AQR Capital Management, LLC (since 1998)		50		None
Marco Hanig, Ph.D., 1958		Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008		Principal, AQR Capital Management, LLC (since 2008)		50		None
Officers
H.J. Willcox, J.D., 1966		Chief Compliance Officer, since 2013		Principal 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; Treasurer, since 2018		Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)		N/A		N/A

AQR Funds Annual Report September 2018

38

Trustees and Officers (Unaudited) September 30, 2018

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Co-Chief Operating Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
William J. Fenrich, J.D., 1969	Vice President, since 2018	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A
Tara Bongiorni, CPA 1977	Assistant Treasurer, since 2017	Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015)	N/A	N/A
John Hadermayer, J.D., 1977	Secretary, since 2018	Vice President, AQR Capital Management, LLC (since 2013)	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 72.

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

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report September 2018

39

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by 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, 2018, 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 13 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2018 (“Reporting Period”).

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

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended September 30, 2017 and September 30, 2018 were:

	2017	2018
Audit Fees (a)	$858,575	$900,111
Audit Related Fees (b)	$8,000	$8,000
Tax Fees (c)	$470,788	$452,479
All Other Fees (d)	$450	$450
Total:	$1,337,813	$1,361,040

(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, 2017 and September 30, 2018 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, 2017 and September 30, 2018 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, 2017 and September 30, 2018: $900 and $4,700, 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to 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 30, 2018

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 30, 2018

By: /s/ Heather Bonner

------------------------------------

Heather Bonner,

Principal Financial Officer

November 30, 2018