Period Ending 3/31/2014
Month YTD 1 Yr 3 Yr 5 Yr Since Inception Inception Date
Diversified Arbitrage Fund -0.18% 1.10% 1.95% 1.84% 3.95% 3.98% 01/15/09
Merrill Lynch 3 Month T-Bill Index 0.00% 0.01% 0.07% 0.08% 0.12% 0.12% 01/15/09

Performance data quoted represent past performance. Past performance does not guarantee future results and current performance may be lower or higher than the data quoted. All returns show are total returns that assume reinvestment of dividends and capital gains. Returns for periods under a year are cumulative, all others are average annual returns. Investment returns and principal will fluctuate with market and economic conditions and you may have a gain or loss when you sell shares. From time to time the Fund’s advisor may waive fees or reimbursed expenses, without which performance would have been lower. Please call 866-290-2688 for most recent month-end performance.

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. For the Diversified Arbitrage Fund and the Multi-Strategy Alternative Fund, the Net Expense Ratio includes expenses related to short sales and interest on any borrowings.

The Adviser has contractually agreed to waive its management fee and/or reimburse expenses to the extent necessary to maintain the total annual Fund operating expenses at the stated levels. These expense caps are exclusive of expenses that may apply to some of the Funds, such as acquired fund fees, expenses related to short sales and borrowing costs, and extraordinary expenses. See the Prospectus for additional details. The expense caps are guaranteed until the following dates:
Diversified Arbitrage Fund, Managed Futures Strategy Fund, Risk-Balanced Commodities Strategy Fund, Risk Parity Fund and Multi-Strategy Alternative Fund,: April 30, 2014
Momentum Funds, Defensive Equity Funds, International Equity Fund and Global Equity Fund: January 28, 2015
Core Equity Fund, Long-Short Equity Fund, Managed Futures Strategy HV Fund and Style Premia Fund: April 30, 2015
Global Macro Fund: April 30, 2016

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

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

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.