Data as of 6/30/2010

Strategy Exposures†
  Long Positions
As % of Net Assets		 Short Positions
As % of Net Assets
Merger Arbitrage 37.1% -9.7%
Convertible Arbitrage 32.8% -28.2%
Credit 13.0% -2.3%
Dual Class Arbitrage 8.0% -9.0%
Mischellaneous 5.7% -7.0%
Price Pressure 5.6% -5.6%
Total 102.3% -61.8%
Top 5 Long Holdings†
  % of Net Assets
Discovery Communication 1.5%
Comcast 1.2%
Bowne & Company 1.1%
Allegheny Energy 1.1%
Phase Forward 1.1%
Top 5 Short Holdings†
  % of Net Assets
U.S. 5 Yr Treasury Note Future -9.7%
E-Mini S&P 500 Index Future -7.3%
U.S. 2 Yr Treasury Note Future -2.4%
Comerica -1.8%
Discovery Communications -1.7%

Additional Fund Information
  Class N Shares Class I Shares
Ticker ADANX ADAIX
CUSIP 00203H107 00203H602
Minimum Investment $5,000 $1 Million
12b-1 Fee 0.25% None
Gross Expense Ratio* 2.32% 1.93%
Net Expense Ratio** 1.75% 1.45%
Expense Cap*** 1.50% 1.20%
 
Security Types†
  % of Long Exposure
Individual Stocks 47.8%
Convertible Bonds 40.1%
Debt 11.5%
Closed End Funds 0.6%
Total 99.9%
Sector Exposure†
  % of Long Exposure
Consumer Discretionary 16.1%
Consumer Staples 2.8%
Energy 8.9%
Financials 15.2%
Health Care 12.5%
Industrials 8.7%
Information Technology 14.6%
Materials 4.7%
Miscellaneous 11.4%
SPACs 0.5%
Telecom Services  1.4%
Utilities 3.1%
Total 100%
Portfolio Statistics
Total Net Assets ($ Million) $670
Number of Long Holdings 416
Number of Short Holdings 206
Annualized Turnover Rate N/A


† All Fund Statistics are subject to change.  Portfolio holdings are subject to change and should not be considered a recommendation to buy or sell securities.

* The Gross Expense Ratio includes all categories of expenses before any expense reductions or fee waivers.

** The Net Expense Ratio per the Fund’s latest Prospectus after expense reductions or fee waivers. The Net Expense Ratio includes expenses related to short sales and interest on any borrowings.

*** The Adviser has contractually agreed until at least April 30, 2011 to waive its management fee and/or reimburse expenses of the Fund to the extent necessary to maintain the total annual fund operating expenses at the stated levels, exclusive of certain expenses such as expenses related to short sales and borrowing costs. See the Prospectus for additional details.

 

Diversified Arbitrage Fund

This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs.

 


All AQR Funds. An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.

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