1

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

163.5%

COMMON

STOCKS

-

88.6%

Australia

-

2.2%

AGL

Energy

Ltd.

(2)(a)

31,378

230,668

Ansell

Ltd.

(2)(a)

5,794

173,211

Aurizon

Holdings

Ltd.

(2)(a)

33,546

99,689

BlueScope

Steel

Ltd.

(2)(a)

24,357

359,432

carsales.com

Ltd.

(2)(a)

883

12,008

Crown

Resorts

Ltd.

(2)*(a)

7,329

65,697

Evolution

Mining

Ltd.

(2)(a)

4,094

12,755

Fortescue

Metals

Group

Ltd.

(2)(a)

15,871

241,884

Harvey

Norman

Holdings

Ltd.

(2)(a)

45,137

197,273

JB

Hi-Fi

Ltd.

(2)(a)

7,458

294,349

Newcrest

Mining

Ltd.

(2)(a)

2,071

39,125

Northern

Star

Resources

Ltd.

(2)(a)

14,572

105,556

Qube

Holdings

Ltd.

(2)(a)

18,910

43,169

Sonic

Healthcare

Ltd.

(2)(a)

1,696

45,353

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

104,261

Treasury

Wine

Estates

Ltd.

(2)(a)

6,956

54,827

Wesfarmers

Ltd.

(2)(a)

1,375

55,218

Worley

Ltd.

(2)(a)

22,266

178,355

2,312,830

—

Belgium

-

0.9%

Ageas

SA/NV

(2)(a)

5,729

345,952

Etablissements

Franz

Colruyt

NV

(2)(a)

1,793

106,895

Proximus

SADP

(2)(a)

11,777

256,243

Solvay

SA

(2)(a)

2,455

305,539

1,014,629

—

Brazil

-

0.4%

Yara

International

ASA

(2)

8,678

452,076

Canada

-

4.9%

Alamos

Gold,

Inc.,

Class

A

7,077

55,301

Atco

Ltd.,

Class

I

(a)

2,069

68,687

Bank

of

Montreal

(a)

569

50,720

Barrick

Gold

Corp.

(a)

440

8,729

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

3,106

440,751

CGI,

Inc.

*(a)

1,526

127,112

CI

Financial

Corp.

(a)

9,884

142,751

Cogeco

Communications,

Inc.

(a)

1,460

137,089

Empire

Co.

Ltd.,

Class

A

(a)

8,102

252,595

Equinox

Gold

Corp.

*

5,249

41,852

Finning

International,

Inc.

469

11,927

Gibson

Energy,

Inc.

(a)

4,506

79,851

Hydro

One

Ltd.

(a)(b)

4,360

101,549

iA

Financial

Corp.,

Inc.

3,591

195,252

IGM

Financial,

Inc.

(a)

1,918

58,454

Imperial

Oil

Ltd.

(a)

5,930

143,637

Intact

Financial

Corp.

(a)

291

35,660

Keyera

Corp.

(a)

2,465

51,234

Kinross

Gold

Corp.

(a)

47,059

313,427

Loblaw

Cos.

Ltd.

(a)

352

19,663

Magna

International,

Inc.

(a)

4,423

389,542

Manulife

Financial

Corp.

(a)

21,828

469,491

Metro,

Inc.

(a)

788

35,948

National

Bank

of

Canada

(a)

1,788

121,462

Northland

Power,

Inc.

(a)

3,511

127,259

INVESTMENTS

SHARES

VALUE

($)

Canada

-

4.9%

(continued)

Pan

American

Silver

Corp.

1,249

37,469

Parkland

Corp.

(a)

1,828

54,926

Quebecor,

Inc.,

Class

B

(a)

8,435

226,464

Ritchie

Bros

Auctioneers,

Inc.

(a)

897

52,520

Shaw

Communications,

Inc.,

Class

B

(a)

570

14,823

SSR

Mining,

Inc.

1,605

22,950

Stantec

,

Inc.

(a)

2,902

124,236

Teck

Resources

Ltd.,

Class

B

(a)

12,480

239,034

TFI

International,

Inc.

(a)

3,445

258,231

Thomson

Reuters

Corp.

(a)

1,651

144,632

TMX

Group

Ltd.

(a)

1,637

170,109

Toromont

Industries

Ltd.

(a)

476

36,434

Tourmaline

Oil

Corp.

(a)

18,557

353,214

Yamana

Gold,

Inc.

14,643

63,620

5,278,605

—

Chile

-

0.0%

(c)

Lundin

Mining

Corp.

4,933

50,755

China

-

0.4%

Wilmar

International

Ltd.

(2)

37,000

149,430

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

309,000

294,820

444,250

—

Denmark

-

0.6%

Carlsberg

A/S,

Class

B

(2)(a)

288

44,168

Genmab

A/S

(2)*(a)

88

28,943

GN

Store

Nord

A/S

(2)(a)

146

11,491

Pandora

A/S

(2)(a)

4,981

532,715

ROCKWOOL

International

A/S,

Class

B

(2)(a)

102

42,931

660,248

—

Finland

-

0.7%

Kesko

OYJ,

Class

B

(2)(a)

13,414

410,232

Orion

OYJ,

Class

B

(2)

1,494

59,860

UPM-

Kymmene

OYJ

(2)(a)

1,718

61,741

Valmet

OYJ

(2)

6,636

241,621

773,454

—

France

-

2.4%

Arkema

SA

(2)(a)

713

86,348

BNP

Paribas

SA

(2)*(a)

1,820

110,891

Carrefour

SA

(2)(a)

14,317

259,218

Casino

Guichard

Perrachon

SA

(2)*(a)

319

10,627

Cie

de

Saint-Gobain

(2)(a)

8,901

525,618

Cie

Generale

des

Etablissements

Michelin

SCA

(2)(a)

262

39,240

CNP

Assurances

(2)(a)

7,855

148,985

Credit

Agricole

SA

(2)(a)

7,874

114,033

Electricite

de

France

SA

(2)*(a)

24,457

328,072

Eutelsat

Communications

SA

(2)(a)

10,341

125,800

Faurecia

SE

(2)(a)

434

23,094

Orange

SA

(2)(a)

21,255

261,563

Publicis

Groupe

SA

(2)(a)

974

59,397

Rexel

SA

(2)(a)

9,730

192,597

Rubis

SCA

(2)(a)

4,402

208,325

Sanofi

(2)(a)

186

18,392

2

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

2.4%

(continued)

Societe

BIC

SA

(2)(a)

904

52,916

Sodexo

SA

(2)*(a)

203

19,449

2,584,565

—

Germany

-

2.2%

Aurubis

AG

(2)

1,873

155,228

Bayerische

Motoren

Werke

AG

(2)

(a)

2,338

242,630

Brenntag

SE

(2)(a)

2,086

178,205

Deutsche

Post

AG

(Registered)

(2)

(a)

10,092

553,655

Freenet

AG

(2)(a)

846

20,266

Hannover

Rueck

SE

(2)(a)

203

37,069

HeidelbergCement

AG

(2)(a)

2,734

248,406

HelloFresh

SE

(2)*(a)

2,453

182,768

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

3,179

357,427

METRO

AG

(2)(a)

2,278

24,057

ProSiebenSat.1

Media

SE

(2)*(a)

13,661

278,986

Software

AG

(2)(a)

818

34,460

TUI

AG

(2)*(a)

5,711

28,854

Uniper

SE

(2)(a)

335

12,135

2,354,146

—

Italy

-

1.9%

A2A

SpA

(2)(a)

111,527

202,991

Assicurazioni

Generali

SpA

(2)(a)

7,067

141,192

Banco

BPM

SpA

(2)*(a)

51,405

146,632

Buzzi

Unicem

SpA

(2)(a)

9,863

256,191

DiaSorin

SpA

(2)(a)

579

92,898

Hera

SpA

(2)(a)

49,646

190,367

Italgas

SpA

(2)(a)

15,213

98,795

Leonardo

SpA

(2)

23,289

188,400

Poste

Italiane

SpA

(2)(a)(b)

19,741

250,702

Telecom

Italia

SpA

(2)(a)

371,631

201,046

Terna

Rete

Elettrica

Nazionale

SpA

(2)(a)

5,587

42,194

Unipol

Gruppo

SpA

(2)

40,783

227,166

2,038,574

—

Ivory

Coast

-

0.1%

Endeavour

Mining

Corp.

2,976

59,984

Japan

-

16.3%

AEON

Financial

Service

Co.

Ltd.

(2)(a)

11,000

147,943

AGC,

Inc.

(2)(a)

13,900

583,453

Aisin

Corp.

(2)(a)

3,800

144,728

Alfresa

Holdings

Corp.

(2)(a)

3,500

67,572

Amada

Co.

Ltd.

(2)(a)

2,500

27,919

Asahi

Kasei

Corp.

(2)(a)

1,900

21,933

Astellas

Pharma,

Inc.

(2)(a)

2,000

30,809

Bandai

Namco

Holdings,

Inc.

(2)(a)

1,400

100,082

Bridgestone

Corp.

(2)(a)

3,200

130,096

Brother

Industries

Ltd.

(2)(a)

13,100

290,957

Canon

Marketing

Japan,

Inc.

(2)

1,200

26,709

Chiba

Bank

Ltd.

(The)

(2)(a)

19,800

129,619

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

20,300

261,575

Concordia

Financial

Group

Ltd.

(2)

(a)

7,000

28,392

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.3%

(continued)

Daiwa

Securities

Group,

Inc.

(2)(a)

27,900

144,521

DeNA

Co.

Ltd.

(2)(a)

4,800

93,891

Electric

Power

Development

Co.

Ltd.

(2)(a)

17,800

311,499

ENEOS

Holdings,

Inc.

(2)(a)

53,300

241,815

Fujitsu

Ltd.

(2)(a)

1,300

189,168

Fukuoka

Financial

Group,

Inc.

(2)

(a)

4,700

89,178

GungHo

Online

Entertainment,

Inc.

(2)(a)

2,590

51,312

Haseko

Corp.

(2)(a)

19,000

265,755

Hitachi

Ltd.

(2)(a)

4,800

217,576

Honda

Motor

Co.

Ltd.

(2)(a)

8,300

250,208

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

8,200

198,692

Isuzu

Motors

Ltd.

(2)(a)

9,100

97,732

ITOCHU

Corp.

(2)(a)

16,600

538,936

Japan

Post

Holdings

Co.

Ltd.

(2)*(a)

48,300

430,461

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

18,100

371,822

Kajima

Corp.

(2)(a)

26,400

375,496

Kamigumi

Co.

Ltd.

(2)(a)

9,100

172,635

Kaneka

Corp.

(2)

2,900

119,345

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)(a)

13,700

148,533

KDDI

Corp.

(2)(a)

14,100

434,431

Kinden

Corp.

(2)

5,700

97,194

Komatsu

Ltd.

(2)(a)

1,300

40,286

Konami

Holdings

Corp.

(2)(a)

800

47,760

K's

Holdings

Corp.

(2)(a)

3,600

49,557

Kyocera

Corp.

(2)(a)

600

38,178

Kyushu

Electric

Power

Co.,

Inc.

(2)

(a)

1,900

18,762

Mabuchi

Motor

Co.

Ltd.

(2)

4,000

176,349

Marubeni

Corp.

(2)(a)

26,400

220,495

Mebuki

Financial

Group,

Inc.

(2)(a)

5,600

13,214

Medipal

Holdings

Corp.

(2)(a)

8,200

157,616

Mitsubishi

Corp.

(2)(a)

1,300

36,854

Mitsubishi

Electric

Corp.

(2)(a)

12,900

197,151

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

8,200

201,701

Mitsubishi

HC

Capital,

Inc.

(2)(a)

44,300

267,791

Mitsubishi

Logistics

Corp.

(2)(a)

1,600

49,022

Mitsui

&

Co.

Ltd.

(2)(a)

9,900

206,616

Mitsui

Chemicals,

Inc.

(2)(a)

10,800

341,796

Mizuho

Financial

Group,

Inc.

(2)(a)

15,280

220,955

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

11,800

347,109

NGK

Insulators

Ltd.

(2)(a)

1,100

20,188

NGK

Spark

Plug

Co.

Ltd.

(2)(a)

1,600

27,720

Nippo

Corp.

(2)(a)

2,100

57,372

Nippon

Express

Co.

Ltd.

(2)(a)

3,000

223,776

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

23,400

603,764

Nippon

Yusen

KK

(2)(a)

2,400

82,081

Nomura

Holdings,

Inc.

(2)(a)

87,300

462,555

NS

Solutions

Corp.

(2)(a)

2,100

66,755

Obayashi

Corp.

(2)(a)

33,900

311,168

Oji

Holdings

Corp.

(2)(a)

41,100

266,492

ORIX

Corp.

(2)(a)

3,800

64,269

3

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.3%

(continued)

Osaka

Gas

Co.

Ltd.

(2)(a)

19,600

382,489

Otsuka

Holdings

Co.

Ltd.

(2)(a)

700

29,686

Panasonic

Corp.

(2)(a)

9,400

121,725

Resona

Holdings,

Inc.

(2)(a)

89,200

374,685

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

600

16,044

Sankyo

Co.

Ltd.

(2)(a)

3,000

79,560

Sankyu,

Inc.

(2)(a)

2,500

109,998

Sega

Sammy

Holdings,

Inc.

(2)(a)

3,200

50,017

Seino

Holdings

Co.

Ltd.

(2)(a)

5,200

72,559

Sekisui

Chemical

Co.

Ltd.

(2)(a)

4,400

84,724

Seven

Bank

Ltd.

(2)(a)

5,300

12,115

Shimizu

Corp.

(2)(a)

5,200

42,105

Shinsei

Bank

Ltd.

(2)(a)

9,700

156,762

Shizuoka

Bank

Ltd.

(The)

(2)(a)

11,700

91,977

Sojitz

Corp.

(2)(a)

61,700

174,333

Sompo

Holdings,

Inc.

(2)(a)

10,700

409,983

Subaru

Corp.

(2)(a)

24,800

495,667

Sumitomo

Dainippon

Pharma

Co.

Ltd.

(2)(a)

500

8,722

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

4,300

119,562

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

3,400

118,624

Sumitomo

Rubber

Industries

Ltd.

(2)(a)

7,200

85,237

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

1,400

52,207

Suzuken

Co.

Ltd.

(2)(a)

2,300

89,986

T&D

Holdings,

Inc.

(2)(a)

19,100

245,772

Taiheiyo

Cement

Corp.

(2)(a)

8,500

223,970

Taisei

Corp.

(2)(a)

3,400

131,176

TBS

Holdings,

Inc.

(2)(a)

3,100

60,974

Teijin

Ltd.

(2)(a)

12,400

213,943

Tohoku

Electric

Power

Co.,

Inc.

(2)

(a)

14,200

134,271

Tokio

Marine

Holdings,

Inc.

(2)(a)

1,600

76,146

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

22,800

76,216

Tokyo

Gas

Co.

Ltd.

(2)(a)

14,700

327,498

Toppan

Printing

Co.

Ltd.

(2)(a)

5,800

98,329

Tosoh

Corp.

(2)(a)

16,000

306,439

Toyoda

Gosei

Co.

Ltd.

(2)(a)

3,600

94,906

Toyota

Boshoku

Corp.

(2)(a)

8,000

132,665

Toyota

Tsusho

Corp.

(2)(a)

7,900

332,673

Yamada

Holdings

Co.

Ltd.

(2)(a)

1,800

9,728

Yokohama

Rubber

Co.

Ltd.

(The)

(2)(a)

11,900

213,773

17,506,585

—

Kyrgyzstan

-

0.1%

Centerra

Gold,

Inc.

13,553

119,925

Luxembourg

-

0.4%

APERAM

SA

(2)

3,591

161,446

Eurofins

Scientific

SE

(2)

2,440

233,216

394,662

—

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

1.6%

ASR

Nederland

NV

(2)

6,546

292,574

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

22,229

620,029

NN

Group

NV

(2)(a)

4,257

207,663

Randstad

NV

(2)(a)

4,158

291,871

Signify

NV

(2)*(b)

6,829

351,237

1,763,374

—

Norway

-

0.3%

Leroy

Seafood

Group

ASA

(2)(a)

9,389

80,247

Norsk

Hydro

ASA

(2)(a)

5,370

34,491

Orkla

ASA

(2)(a)

3,419

33,530

Salmar

ASA

(2)(a)

2,321

160,096

308,364

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

*

1,984

160,287

Singapore

-

0.3%

Genting

Singapore

Ltd.

(2)

62,000

42,479

SATS

Ltd.

(2)*

10,200

33,037

Venture

Corp.

Ltd.

(2)

13,400

200,095

275,611

—

South

Africa

-

0.1%

Investec

plc

(2)

21,116

63,831

Spain

-

1.9%

Acciona

SA

(2)(a)

809

135,939

CaixaBank

SA

(2)(a)

30,528

94,783

Enagas

SA

(2)(a)

17,651

384,278

Endesa

SA

(2)(a)

16,733

443,464

Iberdrola

SA

(2)(a)

13,023

168,087

Mapfre

SA

(2)

106,092

221,046

Red

Electrica

Corp.

SA

(2)(a)

9,008

159,783

Repsol

SA

(2)(a)

35,771

443,989

2,051,369

—

Sweden

-

1.6%

Axfood

AB

(2)(a)

6,614

158,105

Boliden

AB

(2)(a)

1,895

70,311

Electrolux

AB,

Series

B

(2)(a)

6,497

180,624

Essity

AB,

Class

B

(2)(a)

2,949

93,204

Getinge

AB,

Class

B

(2)(a)

10,830

300,779

Holmen

AB,

Class

B

(2)(a)

560

24,583

Husqvarna

AB,

Class

B

(2)(a)

1,720

24,797

ICA

Gruppen

AB

(2)(a)

5,633

275,462

Securitas

AB,

Class

B

(2)(a)

1,304

22,178

Skanska

AB,

Class

B

(2)(a)

1,175

29,469

SKF

AB,

Class

B

(2)(a)

5,455

155,219

SSAB

AB,

Class

A

(2)*

8,454

44,703

Trelleborg

AB,

Class

B

(2)*(a)

2,490

63,329

Volvo

AB,

Class

B

(2)(a)

8,773

222,176

1,664,939

—

Switzerland

-

1.5%

Adecco

Group

AG

(Registered)

(2)

(a)

2,947

198,781

BKW

AG

(2)(a)

157

17,092

Bucher

Industries

AG

(Registered)

(2)(a)

138

70,320

4

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

1.5%

(continued)

Credit

Suisse

Group

AG

(Registered)

(2)(a)

2,835

29,993

DKSH

Holding

AG

(2)(a)

1,566

120,243

Geberit

AG

(Registered)

(2)(a)

57

36,277

Roche

Holding

AG

(2)(a)

597

193,394

Sonova

Holding

AG

(Registered)

(2)*(a)

105

27,833

Sulzer

AG

(Registered)

(2)

1,047

117,934

Swatch

Group

AG

(The)

(2)(a)

284

81,775

Swiss

Life

Holding

AG

(Registered)

(2)(a)

433

212,792

Swisscom

AG

(Registered)

(2)(a)

745

399,705

Tecan

Group

AG

(Registered)

(2)

89

39,484

UBS

Group

AG

(Registered)

(2)(a)

5,465

84,552

1,630,175

—

United

Kingdom

-

3.7%

ASOS

plc

(2)*(a)

4,033

307,636

Aviva

plc

(2)(a)

103,352

582,564

boohoo

Group

plc

(2)*(a)

84,881

397,448

Britvic

plc

(2)(a)

5,019

57,785

BT

Group

plc

(2)*(a)

162,438

346,531

Centrica

plc

(2)*

55,320

41,299

DCC

plc

(2)(a)

284

24,634

Direct

Line

Insurance

Group

plc

(2)

6,368

27,489

DS

Smith

plc

(2)*(a)

31,521

177,125

Entain

plc

(2)*(a)

5,193

108,600

Hays

plc

(2)*(a)

32,673

67,319

Howden

Joinery

Group

plc

(2)*(a)

13,817

139,616

Inchcape

plc

(2)*(a)

6,503

67,469

John

Wood

Group

plc

(2)*(a)

23,847

88,908

Kingfisher

plc

(2)*(a)

24,750

108,480

M&G

plc

(2)(a)

108,146

309,045

Man

Group

plc

(2)(a)

16,121

35,774

Marks

&

Spencer

Group

plc

(2)*(a)

133,873

278,266

Mondi

plc

(2)(a)

1,052

26,819

Moneysupermarket.com

Group

plc

(2)(a)

18,109

66,578

National

Grid

plc

(2)(a)

12,232

145,201

Royal

Mail

plc

(2)*(a)

47,938

333,637

Spectris

plc

(2)(a)

1,066

48,898

Tate

&

Lyle

plc

(2)(a)

7,656

80,769

Vodafone

Group

plc

(2)

53,398

97,375

3,965,265

—

United

States

-

44.0%

A

O

Smith

Corp.

(a)(d)

162

10,953

AbbVie,

Inc.

(d)

2,516

272,282

ABIOMED,

Inc.

*(d)

50

15,937

Accenture

plc,

Class

A

(a)

74

20,443

Activision

Blizzard,

Inc.

(a)

1,534

142,662

Acuity

Brands,

Inc.

1,094

180,510

Adtalem

Global

Education,

Inc.

*(a)

2,685

106,165

AGCO

Corp.

(a)

589

84,610

Agilent

Technologies,

Inc.

(d)

775

98,534

Air

Lease

Corp.

(d)

1,110

54,390

Akamai

Technologies,

Inc.

*(d)

1,368

139,399

Alaska

Air

Group,

Inc.

*(d)

1,806

124,993

Alkermes

plc

*

4,528

84,583

Alliance

Data

Systems

Corp.

(a)

2,304

258,255

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

Allstate

Corp.

(The)

(a)

2,295

263,696

AMC

Networks,

Inc.,

Class

A

*(d)

3,428

182,232

Amdocs

Ltd.

(a)

1,539

107,961

AMERCO

(a)

40

24,504

Ameriprise

Financial,

Inc.

(a)(d)

664

154,347

Amgen,

Inc.

(d)

1,137

282,897

ANSYS,

Inc.

*(a)(d)

553

187,777

Anthem,

Inc.

(a)

694

249,111

Applied

Materials,

Inc.

(a)

1,028

137,341

Aramark

(d)

2,191

82,776

Archer-Daniels-Midland

Co.

(d)

835

47,595

Arrow

Electronics,

Inc.

*(d)

4,530

502,014

Aspen

Technology,

Inc.

*(d)

1,000

144,330

Associated

Banc-Corp.

(d)

7,113

151,791

Assured

Guaranty

Ltd.

722

30,526

AutoNation,

Inc.

*(a)

3,623

337,736

Avient

Corp.

3,212

151,831

Bank

of

New

York

Mellon

Corp.

(The)

(a)

1,432

67,719

Baxter

International,

Inc.

(d)

258

21,760

Berry

Global

Group,

Inc.

*(a)

3,537

217,172

Best

Buy

Co.,

Inc.

(a)

2,687

308,494

Biogen,

Inc.

*(a)

591

165,332

Bio-Rad

Laboratories,

Inc.,

Class

A

*(d)

509

290,726

Bio-

Techne

Corp.

(d)

442

168,813

BJ's

Wholesale

Club

Holdings,

Inc.

*(a)(d)

3,093

138,752

Booking

Holdings,

Inc.

*(d)

9

20,969

Booz

Allen

Hamilton

Holding

Corp.

(d)

2,614

210,505

BorgWarner,

Inc.

(a)(d)

3,172

147,054

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(d)

183

220,749

Boyd

Gaming

Corp.

*(d)

2,777

163,732

Brighthouse

Financial,

Inc.

*

187

8,275

Bristol-Myers

Squibb

Co.

(a)

3,690

232,950

BRP,

Inc.

(a)

2,970

257,532

Brunswick

Corp.

(a)

4,073

388,442

Cabot

Oil

&

Gas

Corp.

(d)

4,108

77,148

CACI

International,

Inc.,

Class

A

*(a)

1,125

277,493

Cadence

Design

Systems,

Inc.

*(a)

1,605

219,869

Cardinal

Health,

Inc.

(a)(d)

1,152

69,984

Carlisle

Cos.,

Inc.

(d)

467

76,859

Carter's,

Inc.

*(a)

1,622

144,244

Casey's

General

Stores,

Inc.

(a)(d)

802

173,384

Cathay

General

Bancorp

(a)

1,339

54,604

CDW

Corp.

(d)

1,404

232,713

Cerner

Corp.

(d)

3,406

244,823

CH

Robinson

Worldwide,

Inc.

(d)

990

94,476

Charles

River

Laboratories

International,

Inc.

*(a)(d)

1,720

498,507

Chemed

Corp.

(a)

243

111,736

Ciena

Corp.

*(d)

2,162

118,305

Cigna

Corp.

(d)

322

77,840

Cirrus

Logic,

Inc.

*(a)(d)

3,272

277,433

Citizens

Financial

Group,

Inc.

(d)

925

40,839

Citrix

Systems,

Inc.

(a)(d)

532

74,672

Clorox

Co.

(The)

(d)

1,786

344,484

5

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

CNX

Resources

Corp.

*(d)

3,613

53,111

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

627

48,981

Colgate-Palmolive

Co.

(a)

113

8,908

Columbia

Sportswear

Co.

(d)

1,799

190,028

Comerica,

Inc.

(d)

238

17,074

Commercial

Metals

Co.

(d)

11,408

351,823

Concentrix

Corp.

*(a)

234

35,034

Cooper

Cos.,

Inc.

(The)

(d)

236

90,645

Costco

Wholesale

Corp.

(a)

98

34,543

Cracker

Barrel

Old

Country

Store,

Inc.

(d)

1,102

190,514

Cummins,

Inc.

(d)

1,776

460,178

Curtiss-Wright

Corp.

(d)

1,084

128,562

CVS

Health

Corp.

(d)

1,004

75,531

Dana,

Inc.

(a)(d)

5,821

141,625

Danaher

Corp.

(a)

870

195,820

Deckers

Outdoor

Corp.

*(a)(d)

1,861

614,911

Dick's

Sporting

Goods,

Inc.

(d)

4,292

326,836

DISH

Network

Corp.,

Class

A

*(d)

645

23,349

Dollar

General

Corp.

(a)

1,061

214,980

Domtar

Corp.

4,175

154,266

Eagle

Materials,

Inc.

283

38,038

East

West

Bancorp,

Inc.

(a)

555

40,959

Eastman

Chemical

Co.

(a)(d)

1,465

161,326

Eaton

Corp.

plc

(a)

1,489

205,899

eBay,

Inc.

(d)

4,376

267,986

EchoStar

Corp.,

Class

A

*(d)

977

23,448

Electronic

Arts,

Inc.

(a)

2,545

344,517

EMCOR

Group,

Inc.

1,373

153,996

Emergent

BioSolutions

,

Inc.

*(d)

1,074

99,785

Emerson

Electric

Co.

(d)

794

71,635

EnerSys

(d)

413

37,500

EOG

Resources,

Inc.

(d)

1,313

95,232

EPAM

Systems,

Inc.

*(a)(d)

367

145,585

EQT

Corp.

*(d)

1,946

36,157

Equitrans

Midstream

Corp.

(a)(d)

7,501

61,208

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(d)

759

220,755

Everest

Re

Group

Ltd.

(a)

428

106,063

Expeditors

International

of

Washington,

Inc.

(a)

3,076

331,254

Extended

Stay

America,

Inc.

(a)

10,081

199,100

F5

Networks,

Inc.

*(a)

602

125,589

Facebook,

Inc.,

Class

A

*(a)

2,255

664,164

Fair

Isaac

Corp.

*(a)(d)

541

262,953

Federated

Hermes,

Inc.,

Class

B

(a)

5,966

186,736

FedEx

Corp.

(a)

327

92,881

Fifth

Third

Bancorp

(d)

1,980

74,151

First

American

Financial

Corp.

202

11,443

First

Hawaiian,

Inc.

(a)

922

25,235

First

Solar,

Inc.

*(d)

338

29,507

Flowers

Foods,

Inc.

(d)

1,638

38,984

FNB

Corp.

(d)

10,949

139,052

Foot

Locker,

Inc.

(a)

4,653

261,731

Fortinet,

Inc.

*(a)

869

160,261

Fortune

Brands

Home

&

Security,

Inc.

(d)

1,222

117,092

Fulton

Financial

Corp.

(a)

2,749

46,815

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

General

Dynamics

Corp.

(d)

276

50,111

General

Mills,

Inc.

(a)(d)

1,302

79,839

General

Motors

Co.

*(a)

3,302

189,733

Gilead

Sciences,

Inc.

(a)

1,317

85,118

Globus

Medical,

Inc.,

Class

A

*(a)

(d)

2,412

148,748

GrafTech

International

Ltd.

6,778

82,895

Graham

Holdings

Co.,

Class

B

(a)

206

115,863

Greif,

Inc.,

Class

A

(d)

2,363

134,691

H&R

Block,

Inc.

(d)

5,130

111,834

Hanesbrands,

Inc.

(d)

3,708

72,936

Hartford

Financial

Services

Group,

Inc.

(The)

(a)

1,937

129,372

HCA

Healthcare,

Inc.

(a)(d)

532

100,197

Helen

of

Troy

Ltd.

*(d)

438

92,269

Herman

Miller,

Inc.

(a)

5,319

218,877

Hexcel

Corp.

*(d)

2,416

135,296

Hill-Rom

Holdings,

Inc.

(a)

1,554

171,686

HollyFrontier

Corp.

(a)(d)

904

32,345

Hologic

,

Inc.

*(a)

384

28,562

Horizon

Therapeutics

plc

*(a)(d)

1,590

146,344

Howmet

Aerospace,

Inc.

*(a)

7,692

247,144

HP,

Inc.

(d)

14,984

475,741

Hubbell,

Inc.

(d)

576

107,649

Humana,

Inc.

(a)

224

93,912

Huntington

Ingalls

Industries,

Inc.

(a)

909

187,118

Huntsman

Corp.

2,896

83,492

IAC/InterActiveCorp

*(a)(d)

649

140,385

Ingredion,

Inc.

(a)

1,330

119,594

Intel

Corp.

(a)

3,408

218,112

Interpublic

Group

of

Cos.,

Inc.

(The)

(d)

2,347

68,532

Intuit,

Inc.

(a)

63

24,133

IQVIA

Holdings,

Inc.

*(d)

1,121

216,510

ITT,

Inc.

(a)

2,012

182,911

J

M

Smucker

Co.

(The)

(d)

1,367

172,967

J2

Global,

Inc.

*(d)

2,502

299,890

Jabil,

Inc.

(a)

6,559

342,117

Jack

in

the

Box,

Inc.

(d)

1,727

189,590

Jazz

Pharmaceuticals

plc

*(a)

1,788

293,894

JetBlue

Airways

Corp.

*(d)

8,917

181,372

Johnson

Controls

International

plc

(a)

682

40,695

Juniper

Networks,

Inc.

(d)

1,348

34,145

KB

Home

(a)

5,162

240,188

KBR,

Inc.

(a)

1,576

60,503

Keysight

Technologies,

Inc.

*(d)

895

128,343

KLA

Corp.

(a)

481

158,922

Knight-Swift

Transportation

Holdings,

Inc.

(a)

1,529

73,530

Kohl's

Corp.

(d)

5,053

301,209

Kroger

Co.

(The)

(d)

10,796

388,548

L3Harris

Technologies,

Inc.

(d)

100

20,268

Laboratory

Corp.

of

America

Holdings

*(a)

652

166,280

Lear

Corp.

(d)

605

109,656

Lithia

Motors,

Inc.,

Class

A

(a)

208

81,139

LKQ

Corp.

*(a)

4,138

175,162

6

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

LyondellBasell

Industries

NV,

Class

A

(a)

1,259

130,999

M&T

Bank

Corp.

(d)

424

64,283

Macquarie

Infrastructure

Corp.

(a)

1,274

40,526

Manhattan

Associates,

Inc.

*(a)

1,480

173,722

ManpowerGroup

,

Inc.

(a)

2,756

272,568

Marathon

Oil

Corp.

(a)

13,347

142,546

Marriott

Vacations

Worldwide

Corp.

*(a)

1,209

210,584

Masimo

Corp.

*(d)

293

67,290

MasTec

,

Inc.

*(d)

2,157

202,111

Match

Group,

Inc.

*(a)

1,011

138,891

MAXIMUS,

Inc.

(a)

1,980

176,299

MDU

Resources

Group,

Inc.

(a)

8,283

261,826

Medpace

Holdings,

Inc.

*(d)

344

56,433

Medtronic

plc

(d)

882

104,191

Merck

&

Co.,

Inc.

(a)

4,753

366,409

Micron

Technology,

Inc.

*(a)

2,194

193,533

Minerals

Technologies,

Inc.

1,346

101,381

MKS

Instruments,

Inc.

(a)(d)

1,735

321,704

Mohawk

Industries,

Inc.

*(a)

2,006

385,774

Molina

Healthcare,

Inc.

*(d)

761

177,891

Molson

Coors

Beverage

Co.,

Class

B

*(a)

3,671

187,772

MSA

Safety,

Inc.

(d)

202

30,304

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)(d)

588

53,032

Murphy

USA,

Inc.

(a)

2,685

388,144

Navient

Corp.

(d)

4,433

63,436

NCR

Corp.

*(a)

4,339

164,665

NewMarket

Corp.

(a)

29

11,025

Newmont

Corp.

(d)

581

35,017

NortonLifeLock

,

Inc.

(d)

3,279

69,712

Nu

Skin

Enterprises,

Inc.,

Class

A

(d)

5,129

271,273

Nuance

Communications,

Inc.

*(d)

1,367

59,656

Nucor

Corp.

(d)

1,373

110,211

Old

Republic

International

Corp.

(d)

3,133

68,425

Omnicom

Group,

Inc.

(d)

834

61,841

Oracle

Corp.

(d)

1,653

115,991

Oshkosh

Corp.

(a)

1,130

134,086

PACCAR,

Inc.

(d)

534

49,619

Packaging

Corp.

of

America

(d)

1,964

264,119

Papa

John's

International,

Inc.

(a)

1,671

148,117

Penske

Automotive

Group,

Inc.

(a)

3,303

265,033

PerkinElmer,

Inc.

(a)

280

35,921

Perrigo

Co.

plc

437

17,685

Pilgrim's

Pride

Corp.

*(a)

4,621

109,934

Polaris,

Inc.

(a)

181

24,164

Popular,

Inc.

5,592

393,229

PRA

Health

Sciences,

Inc.

*(a)

880

134,930

Procter

&

Gamble

Co.

(The)

(a)

204

27,628

PulteGroup,

Inc.

(a)

2,953

154,855

PVH

Corp.

*(a)

325

34,353

Qorvo

,

Inc.

*(a)

1,125

205,538

QUALCOMM,

Inc.

(d)

292

38,716

Quanta

Services,

Inc.

(a)(d)

3,422

301,068

Quest

Diagnostics,

Inc.

(d)

368

47,229

Qurate

Retail,

Inc.,

Series

A

(a)

31,652

372,228

Ralph

Lauren

Corp.

*(a)(d)

895

110,228

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

Regal

Beloit

Corp.

2,970

423,759

Regeneron

Pharmaceuticals,

Inc.

*(d)

381

180,266

Regions

Financial

Corp.

(d)

604

12,479

Reliance

Steel

&

Aluminum

Co.

(a)

1,225

186,555

Royal

Gold,

Inc.

(d)

701

75,442

Santander

Consumer

USA

Holdings,

Inc.

(a)

4,872

131,836

Schneider

National,

Inc.,

Class

B

(d)

5,913

147,648

Science

Applications

International

Corp.

(d)

1,179

98,553

Seagate

Technology

plc

(d)

1,831

140,529

Silgan

Holdings,

Inc.

(a)

6,049

254,239

Skechers

USA,

Inc.,

Class

A

*(d)

4,402

183,607

Skyworks

Solutions,

Inc.

(d)

1,752

321,457

Snap-on,

Inc.

(d)

1,153

266,043

Sonoco

Products

Co.

(d)

806

51,020

Spectrum

Brands

Holdings,

Inc.

(a)

2,563

217,855

Sprouts

Farmers

Market,

Inc.

*(a)

11,095

295,349

SS&C

Technologies

Holdings,

Inc.

(a)

611

42,691

Steel

Dynamics,

Inc.

(a)

8,016

406,892

Stellantis

NV

(a)

12,589

222,628

STERIS

plc

(d)

1,247

237,529

Stifel

Financial

Corp.

(a)(d)

2,087

133,693

Strategic

Education,

Inc.

(a)

417

38,326

Stryker

Corp.

(d)

159

38,729

Synaptics

,

Inc.

*(a)

1,595

215,995

Syneos

Health,

Inc.

*(a)(d)

974

73,878

SYNNEX

Corp.

(a)

4,439

509,774

Synopsys,

Inc.

*(a)

1,051

260,417

Synovus

Financial

Corp.

(a)(d)

2,718

124,349

Tapestry,

Inc.

*(d)

2,307

95,071

Target

Corp.

(a)(d)

2,491

493,391

TEGNA,

Inc.

(a)(d)

15,476

291,413

Teledyne

Technologies,

Inc.

*(d)

295

122,027

Telephone

and

Data

Systems,

Inc.

(a)

2,863

65,734

Teradyne,

Inc.

(a)

1,698

206,613

Terex

Corp.

272

12,531

Texas

Roadhouse,

Inc.

*(a)(d)

2,299

220,566

Textron,

Inc.

(a)(d)

4,567

256,117

Thermo

Fisher

Scientific,

Inc.

(a)(d)

572

261,049

Thor

Industries,

Inc.

(a)

2,032

273,792

Timken

Co.

(The)

2,191

177,843

Tri

Pointe

Homes,

Inc.

*(a)

12,617

256,882

Tyson

Foods,

Inc.,

Class

A

(d)

2,353

174,828

United

Rentals,

Inc.

*(d)

361

118,881

United

Therapeutics

Corp.

*(a)

3,280

548,645

Universal

Health

Services,

Inc.,

Class

B

(a)(d)

1,160

154,732

Unum

Group

9,575

266,472

Urban

Outfitters,

Inc.

*(d)

4,379

162,855

US

Foods

Holding

Corp.

*(d)

1,219

46,468

Valero

Energy

Corp.

(a)

211

15,108

VeriSign,

Inc.

*(a)

605

120,250

Viatris

,

Inc.

*(a)

6,704

93,655

Virtu

Financial,

Inc.,

Class

A

(a)

713

22,139

Vishay

Intertechnology

,

Inc.

(d)

1,698

40,888

7

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

44.0%

(continued)

VMware,

Inc.,

Class

A

*(d)

253

38,064

Werner

Enterprises,

Inc.

(d)

3,941

185,897

West

Pharmaceutical

Services,

Inc.

(a)

540

152,161

Western

Alliance

Bancorp

(a)(d)

456

43,065

Westrock

Co.

(a)

4,326

225,168

Whirlpool

Corp.

(d)

373

82,191

Williams-Sonoma,

Inc.

(a)(d)

1,943

348,186

Wintrust

Financial

Corp.

(a)

880

66,704

World

Fuel

Services

Corp.

(a)

6,587

231,862

World

Wrestling

Entertainment,

Inc.,

Class

A

(a)

1,038

56,322

Worthington

Industries,

Inc.

1,321

88,626

Xerox

Holdings

Corp.

(a)(d)

10,774

261,485

Yelp,

Inc.

*(d)

8,085

315,315

Zebra

Technologies

Corp.,

Class

A

*(d)

184

89,273

Zimmer

Biomet

Holdings,

Inc.

(a)

125

20,010

Zoetis,

Inc.

(a)

781

122,992

47,119,647

—

Zambia

-

0.0%

(c)

First

Quantum

Minerals

Ltd.

940

17,914

TOTAL

COMMON

STOCKS

(Cost

$62,532,091)

95,066,064

PREFERRED

STOCKS

-

0.2%

United

States

-

0.2%

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$125,034)

1,728

175,651

SHORT-TERM

INVESTMENTS

-

74.7%

INVESTMENT

COMPANIES

-

50.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(e)(f)

1,434,473

1,434,473

Limited

Purpose

Cash

Investment

Fund,

0.01%

(e)

52,469,614

52,453,873

TOTAL

INVESTMENT

COMPANIES

(Cost

$53,886,439)

53,888,346

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

24.5%

U.S.

Treasury

Bills

0.11%,

4/1/2021

(2)(g)

$

3,595,000

3,595,000

0.06%,

8/19/2021

(2)(g)

6,425,000

6,424,400

0.05%,

8/26/2021

(2)(g)(h)

11,370,000

11,368,898

0.04%,

9/23/2021

(2)(g)

1,308,000

1,307,803

0.04%,

9/30/2021

(2)(g)

3,595,000

3,594,273

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$26,288,430)

26,290,374

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$80,174,869)

80,178,720

TOTAL

LONG

POSITIONS

(Cost

$142,831,994)

175,420,435

INVESTMENTS

SHARES

VALUE

($)

SHORT

POSITIONS

-

(75.0)%

COMMON

STOCKS

-

(75.0)%

Argentina

-

(0.1)%

MercadoLibre

,

Inc.

*

(69)

(101,578)

Australia

-

(2.1)%

Afterpay

Ltd.

(2)*

(2,555)

(199,556)

AMP

Ltd.

(2)

(18,460)

(17,798)

APA

Group

(2)

(31,663)

(241,764)

Atlas

Arteria

Ltd.

(2)

(20,949)

(95,062)

Boral

Ltd.

(2)*

(8,523)

(35,687)

Challenger

Ltd.

(2)

(34,602)

(168,597)

Glencore

plc

(2)*

(29,523)

(115,919)

Insurance

Australia

Group

Ltd.

(2)

(78,066)

(278,097)

Medibank

Pvt

Ltd.

(2)

(47,716)

(101,706)

Oil

Search

Ltd.

(2)

(60,312)

(188,571)

Qantas

Airways

Ltd.

(2)*

(6,723)

(26,093)

QBE

Insurance

Group

Ltd.

(2)

(61,979)

(453,905)

Ramsay

Health

Care

Ltd.

(2)

(180)

(9,194)

Seven

Group

Holdings

Ltd.

(2)

(3,300)

(56,680)

Suncorp

Group

Ltd.

(2)

(3,773)

(28,426)

Transurban

Group

(2)

(12,874)

(130,880)

WiseTech

Global

Ltd.

(2)

(3,318)

(73,832)

(2,221,767)

—

Austria

-

0.0%

(c)

ams

AG

(2)*

(2,258)

(44,958)

Belgium

-

(0.6)%

Anheuser-Busch

InBev

SA/NV

(2)

(6,227)

(391,446)

Elia

Group

SA/NV

(2)

(121)

(13,326)

Galapagos

NV

(2)*

(1,757)

(135,578)

Telenet

Group

Holding

NV

(2)

(1,454)

(58,938)

(599,288)

—

Brazil

-

0.0%

(c)

Wheaton

Precious

Metals

Corp.

(1,024)

(39,112)

Canada

-

(4.1)%

Air

Canada

*

(16,278)

(338,719)

Algonquin

Power

&

Utilities

Corp.

(17,936)

(284,162)

AltaGas

Ltd.

(4,369)

(72,799)

Ballard

Power

Systems,

Inc.

*

(2,031)

(49,535)

BlackBerry

Ltd.

*

(5,360)

(44,955)

Boralex

,

Inc.,

Class

A

(1,435)

(45,127)

Brookfield

Asset

Management,

Inc.,

Class

A

(6,983)

(310,614)

CAE,

Inc.

*

(5,186)

(147,776)

Cameco

Corp.

(12,087)

(200,440)

Canada

Goose

Holdings,

Inc.

*

(4,818)

(189,124)

Canadian

Utilities

Ltd.,

Class

A

(1,879)

(50,448)

Canopy

Growth

Corp.

*

(3,714)

(119,278)

CCL

Industries,

Inc.,

Class

B

(1,527)

(84,473)

Cenovus

Energy,

Inc.

(22,890)

(171,944)

Element

Fleet

Management

Corp.

(10,504)

(114,928)

Emera

,

Inc.

(4,358)

(193,955)

Enbridge,

Inc.

(4,932)

(179,667)

Gildan

Activewear

,

Inc.

*

(5,202)

(159,202)

Innergex

Renewable

Energy,

Inc.

(7,347)

(128,442)

Inter

Pipeline

Ltd.

(16,482)

(235,682)

Lightspeed

POS,

Inc.

*

(2,257)

(141,936)

Methanex

Corp.

(3,834)

(141,468)

8

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(4.1)%

(continued)

Onex

Corp.

(571)

(35,513)

PrairieSky

Royalty

Ltd.

(5,430)

(58,547)

Restaurant

Brands

International,

Inc.

(3,132)

(203,691)

Shopify,

Inc.,

Class

A

*

(145)

(160,084)

SNC-Lavalin

Group,

Inc.

(6,990)

(149,623)

Suncor

Energy,

Inc.

(11,707)

(244,723)

TC

Energy

Corp.

(3,196)

(146,512)

(4,403,367)

—

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)*

(2,830)

(108,892)

Denmark

-

(0.6)%

Ambu

A/S,

Class

B

(2)

(2,962)

(139,103)

ISS

A/S

(2)*

(5,490)

(102,318)

Orsted

A/S

(2)(b)

(1,468)

(237,031)

SimCorp

A/S

(2)

(77)

(9,534)

Tryg

A/S

(2)

(1,918)

(45,205)

Vestas

Wind

Systems

A/S

(2)

(659)

(135,943)

(669,134)

—

Faroe

Islands

-

0.0%

(c)

Bakkafrost

P/F

(2)

(387)

(30,743)

Finland

-

0.0%

(c)

Sampo

OYJ,

Class

A

(2)

(451)

(20,336)

France

-

(2.7)%

Accor

SA

(2)*

(5,902)

(222,363)

Adevinta

ASA

(2)*

(7,512)

(110,685)

Aeroports

de

Paris

(2)*

(1,198)

(142,920)

Airbus

SE

(2)*

(4,154)

(471,135)

Cie

Plastic

Omnium

SA

(2)

(2,268)

(83,002)

Edenred

(2)

(4,363)

(227,809)

Getlink

SE

(2)

(9,025)

(138,349)

Iliad

SA

(2)

(548)

(104,094)

Imerys

SA

(2)

(1,144)

(55,638)

Orpea

SA

(2)

(1,925)

(222,912)

Remy

Cointreau

SA

(2)

(839)

(154,964)

Renault

SA

(2)*

(3,589)

(155,195)

Safran

SA

(2)

(2,021)

(274,912)

SEB

SA

(2)

(235)

(41,400)

Ubisoft

Entertainment

SA

(2)*

(638)

(48,492)

Valeo

SA

(2)

(8,142)

(276,236)

Vinci

SA

(2)

(1,383)

(141,649)

(2,871,755)

—

Germany

-

(1.7)%

adidas

AG

(2)*

(317)

(99,028)

Carl

Zeiss

Meditec

AG

(2)

(332)

(50,044)

Commerzbank

AG

(2)*

(21,201)

(130,102)

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(2,300)

(133,567)

Delivery

Hero

SE

(2)*(b)

(193)

(25,016)

Deutsche

Bank

AG

(Registered)

(2)*

(7,317)

(87,519)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)*

(162)

(9,843)

Infineon

Technologies

AG

(2)

(3,566)

(151,725)

Just

Eat

Takeaway.com

NV

(2)*(b)

(1,353)

(124,497)

MorphoSys

AG

(2)*

(159)

(13,850)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

(1.7)%

(continued)

MTU

Aero

Engines

AG

(2)

(949)

(223,553)

Nemetschek

SE

(2)

(146)

(9,320)

SAP

SE

(2)

(1,091)

(133,818)

Sartorius

AG

(Preference)

(2)

(269)

(134,112)

Telefonica

Deutschland

Holding

AG

(2)

(49,225)

(144,400)

thyssenkrupp

AG

(2)*

(17,852)

(238,431)

United

Internet

AG

(Registered)

(2)

(2,780)

(111,606)

Zalando

SE

(2)*(b)

(324)

(31,748)

(1,852,179)

—

Italy

-

(0.7)%

Amplifon

SpA

(2)

(344)

(12,800)

Atlantia

SpA

(2)*

(13,143)

(245,961)

Eni

SpA

(2)

(860)

(10,597)

Freni

Brembo

SpA

(2)*

(6,887)

(85,727)

Nexi

SpA

(2)*(b)

(9,087)

(158,543)

Pirelli

&

C

SpA

(2)*(b)

(33,309)

(195,273)

Salvatore

Ferragamo

SpA

(2)*

(914)

(17,523)

UniCredit

SpA

(2)*

(4,315)

(45,579)

(772,003)

—

Japan

-

(16.1)%

Acom

Co.

Ltd.

(2)

(7,900)

(36,796)

Advantest

Corp.

(2)

(200)

(17,566)

Aeon

Co.

Ltd.

(2)

(3,800)

(113,506)

ANA

Holdings,

Inc.

(2)*

(7,500)

(174,510)

Asahi

Intecc

Co.

Ltd.

(2)

(7,100)

(195,979)

Asics

Corp.

(2)

(8,800)

(140,723)

Azbil

Corp.

(2)

(900)

(38,803)

Benefit

One,

Inc.

(2)

(1,300)

(34,606)

Capcom

Co.

Ltd.

(2)

(2,800)

(91,087)

Casio

Computer

Co.

Ltd.

(2)

(3,200)

(60,472)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(4,200)

(170,662)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(2)

(8,600)

(150,089)

Cosmos

Pharmaceutical

Corp.

(2)

(400)

(62,399)

CyberAgent

,

Inc.

(2)

(15,600)

(281,588)

Daifuku

Co.

Ltd.

(2)

(800)

(78,615)

Daiichi

Sankyo

Co.

Ltd.

(2)

(5,900)

(172,137)

Daikin

Industries

Ltd.

(2)

(1,000)

(202,159)

Denso

Corp.

(2)

(1,300)

(86,663)

Dentsu

Group,

Inc.

(2)

(4,900)

(157,734)

East

Japan

Railway

Co.

(2)

(3,300)

(234,654)

Eisai

Co.

Ltd.

(2)

(2,200)

(147,871)

Fancl

Corp.

(2)

(800)

(27,038)

FANUC

Corp.

(2)

(500)

(120,204)

Fast

Retailing

Co.

Ltd.

(2)

(200)

(159,876)

Food

&

Life

Cos.

Ltd.

(2)

(1,500)

(66,504)

Freee

KK

(2)*

(400)

(34,174)

Fuji

Electric

Co.

Ltd.

(2)

(1,000)

(41,841)

GMO

internet,

Inc.

(2)

(4,700)

(135,179)

GMO

Payment

Gateway,

Inc.

(2)

(800)

(106,302)

Goldwin,

Inc.

(2)

(400)

(25,665)

Hankyu

Hanshin

Holdings,

Inc.

(2)

(300)

(9,626)

Harmonic

Drive

Systems,

Inc.

(2)

(2,800)

(189,836)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(200)

(13,050)

Hitachi

Metals

Ltd.

(2)

(10,100)

(166,720)

Ibiden

Co.

Ltd.

(2)

(1,800)

(83,164)

9

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(16.1)%

(continued)

IHI

Corp.

(2)

(5,600)

(113,937)

Isetan

Mitsukoshi

Holdings

Ltd.

(2)

(41,700)

(294,194)

Izumi

Co.

Ltd.

(2)

(1,500)

(58,902)

Japan

Airlines

Co.

Ltd.

(2)*

(2,900)

(64,948)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(4,700)

(231,804)

JCR

Pharmaceuticals

Co.

Ltd.

(2)

(1,400)

(45,378)

JFE

Holdings,

Inc.

(2)

(12,900)

(159,161)

JGC

Holdings

Corp.

(2)

(4,500)

(55,318)

Justsystems

Corp.

(2)

(600)

(32,950)

Kansai

Paint

Co.

Ltd.

(2)

(900)

(24,074)

Kawasaki

Heavy

Industries

Ltd.

(2)*

(1,300)

(32,224)

Keihan

Holdings

Co.

Ltd.

(2)

(2,600)

(108,238)

Keikyu

Corp.

(2)

(7,700)

(116,424)

Keio

Corp.

(2)

(4,600)

(309,708)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(3,800)

(124,416)

Keyence

Corp.

(2)

(200)

(91,151)

Kikkoman

Corp.

(2)

(1,300)

(77,525)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)*

(4,100)

(156,559)

Kobe

Bussan

Co.

Ltd.

(2)

(12,000)

(321,747)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(1,950)

(87,790)

Koito

Manufacturing

Co.

Ltd.

(2)

(600)

(40,369)

Kose

Corp.

(2)

(2,500)

(354,324)

Kusuri

no

Aoki

Holdings

Co.

Ltd.

(2)

(1,600)

(122,538)

Lasertec

Corp.

(2)

(2,600)

(343,360)

Mani,

Inc.

(2)

(400)

(10,068)

Marui

Group

Co.

Ltd.

(2)

(8,700)

(163,975)

Mazda

Motor

Corp.

(2)

(13,100)

(107,333)

Mercari

,

Inc.

(2)*

(4,500)

(205,444)

MINEBEA

MITSUMI,

Inc.

(2)

(2,700)

(69,299)

MISUMI

Group,

Inc.

(2)

(2,300)

(66,998)

Mitsubishi

Motors

Corp.

(2)*

(119,900)

(342,832)

Miura

Co.

Ltd.

(2)

(400)

(21,643)

MonotaRO

Co.

Ltd.

(2)

(12,800)

(347,243)

NET

One

Systems

Co.

Ltd.

(2)

(2,400)

(76,891)

Nexon

Co.

Ltd.

(2)

(1,500)

(48,672)

Nihon

M&A

Center,

Inc.

(2)

(15,200)

(412,278)

Nikon

Corp.

(2)

(12,100)

(113,684)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(23,000)

(332,205)

Nippon

Sanso

Holdings

Corp.

(2)

(4,400)

(83,892)

Nippon

Steel

Corp.

(2)

(700)

(11,947)

Nissan

Motor

Co.

Ltd.

(2)*

(4,700)

(26,257)

Nisshin

Seifun

Group,

Inc.

(2)

(600)

(10,026)

Nomura

Research

Institute

Ltd.

(2)

(500)

(15,534)

Obic

Co.

Ltd.

(2)

(400)

(73,397)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(10,500)

(287,302)

Olympus

Corp.

(2)

(4,400)

(91,273)

Oracle

Corp.

Japan

(2)

(200)

(19,579)

Oriental

Land

Co.

Ltd.

(2)

(2,600)

(391,251)

Pan

Pacific

International

Holdings

Corp.

(2)

(2,100)

(49,569)

Park24

Co.

Ltd.

(2)

(20,800)

(390,391)

PeptiDream

,

Inc.

(2)*

(6,100)

(279,434)

Persol

Holdings

Co.

Ltd.

(2)

(8,100)

(159,217)

Pigeon

Corp.

(2)

(9,200)

(348,856)

Pola

Orbis

Holdings,

Inc.

(2)

(7,900)

(190,529)

Rakuten

Group,

Inc.

(2)

(25,700)

(307,034)

Recruit

Holdings

Co.

Ltd.

(2)

(1,000)

(49,106)

Renesas

Electronics

Corp.

(2)*

(9,300)

(101,824)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(16.1)%

(continued)

Ryohin

Keikaku

Co.

Ltd.

(2)

(14,200)

(337,055)

SCREEN

Holdings

Co.

Ltd.

(2)

(200)

(17,707)

Seibu

Holdings,

Inc.

(2)

(19,200)

(212,033)

SG

Holdings

Co.

Ltd.

(2)

(5,800)

(133,164)

Sharp

Corp.

(2)

(10,000)

(173,148)

Shin-Etsu

Chemical

Co.

Ltd.

(2)

(200)

(33,880)

Shiseido

Co.

Ltd.

(2)

(6,100)

(410,251)

Showa

Denko

KK

(2)

(12,000)

(342,009)

SUMCO

Corp.

(2)

(4,300)

(98,545)

Sumitomo

Metal

Mining

Co.

Ltd.

(2)

(900)

(39,002)

Sundrug

Co.

Ltd.

(2)

(1,000)

(36,637)

Taiyo

Yuden

Co.

Ltd.

(2)

(3,500)

(165,294)

Takara

Bio,

Inc.

(2)

(5,700)

(153,033)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(2,900)

(105,711)

THK

Co.

Ltd.

(2)

(3,700)

(128,372)

Tobu

Railway

Co.

Ltd.

(2)

(600)

(16,161)

Toho

Co.

Ltd.

(2)

(300)

(12,189)

Toho

Gas

Co.

Ltd.

(2)

(500)

(30,854)

Tokyo

Century

Corp.

(2)

(1,300)

(87,593)

Tokyo

Electron

Ltd.

(2)

(100)

(43,463)

Tokyu

Corp.

(2)

(4,400)

(58,679)

Toshiba

Corp.

(2)

(3,300)

(111,696)

TOTO

Ltd.

(2)

(4,000)

(246,184)

Tsuruha

Holdings,

Inc.

(2)

(200)

(25,808)

USS

Co.

Ltd.

(2)

(2,100)

(41,188)

Welcia

Holdings

Co.

Ltd.

(2)

(3,100)

(106,360)

West

Japan

Railway

Co.

(2)

(10,800)

(599,248)

Yakult

Honsha

Co.

Ltd.

(2)

(7,900)

(399,726)

Yamato

Holdings

Co.

Ltd.

(2)

(3,200)

(87,876)

Yaskawa

Electric

Corp.

(2)

(6,600)

(329,751)

Yokogawa

Electric

Corp.

(2)

(7,100)

(131,157)

Z

Holdings

Corp.

(2)

(22,900)

(114,230)

(17,227,824)

—

Netherlands

-

(1.1)%

ABN

AMRO

Bank

NV,

CVA

(2)(b)

(13,006)

(157,892)

Adyen

NV

(2)*(b)

(192)

(428,430)

Aegon

NV

(2)

(5,394)

(25,628)

Akzo

Nobel

NV

(2)

(184)

(20,543)

Argenx

SE

(2)*

(647)

(177,908)

ASM

International

NV

(2)

(35)

(10,148)

Boskalis

Westminster

(2)*

(2,577)

(82,792)

IMCD

NV

(2)

(664)

(92,051)

Koninklijke

Vopak

NV

(2)

(295)

(14,678)

OCI

NV

(2)*

(4,860)

(104,816)

Royal

Dutch

Shell

plc,

Class

A

(2)

(2,063)

(40,103)

SBM

Offshore

NV

(2)

(2,712)

(49,608)

(1,204,597)

—

New

Zealand

-

0.0%

(c)

Xero

Ltd.

(2)*

(133)

(12,873)

Norway

-

(0.1)%

Mowi

ASA

(2)

(1,800)

(44,706)

Schibsted

ASA,

Class

A

(2)*

(231)

(9,709)

TOMRA

Systems

ASA

(2)

(410)

(17,797)

(72,212)

—

10

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

(0.6)%

City

Developments

Ltd.

(2)

(7,800)

(46,391)

Singapore

Airlines

Ltd.

(2)*

(3,300)

(13,628)

Singapore

Telecommunications

Ltd.

(2)

(345,700)

(628,158)

(688,177)

—

Spain

-

(1.4)%

Aena

SME

SA

(2)*(b)

(1,782)

(289,108)

Amadeus

IT

Group

SA

(2)*

(6,507)

(463,481)

Banco

de

Sabadell

SA

(2)

(24,487)

(13,130)

Cellnex

Telecom

SA

(2)(b)

(3,411)

(196,638)

Ferrovial

SA

(2)

(18,847)

(492,491)

Industria

de

Diseno

Textil

SA

(2)

(2,386)

(78,833)

(1,533,681)

—

Sweden

-

(0.7)%

EQT

AB

(2)

(10,073)

(331,640)

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)*

(3,880)

(87,442)

Nibe

Industrier

AB,

Class

B

(2)

(1,207)

(37,433)

Saab

AB,

Class

B

(2)*

(3,139)

(85,996)

Sinch

AB

(2)*(b)

(713)

(125,328)

Sweco

AB,

Class

B

(2)

(5,218)

(85,159)

(752,998)

—

Switzerland

-

(1.3)%

Chocoladefabriken

Lindt

&

Spruengli

AG

(2)

(2)

(17,422)

Clariant

AG

(Registered)

(2)

(8,646)

(174,450)

Dufry

AG

(Registered)

(2)*

(7,853)

(535,814)

Idorsia

Ltd.

(2)*

(6,228)

(167,071)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(4,611)

(53,366)

Straumann

Holding

AG

(Registered)

(2)

(37)

(46,195)

Temenos

AG

(Registered)

(2)

(2,642)

(381,211)

Vifor

Pharma

AG

(2)

(152)

(20,686)

(1,396,215)

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(

i

)

(31,163)

–

United

Kingdom

-

(3.2)%

Barclays

plc

(2)

(89,787)

(229,937)

Barratt

Developments

plc

(2)*

(13,180)

(135,570)

Beazley

plc

(2)*

(7,203)

(34,913)

Bellway

plc

(2)

(2,529)

(118,617)

BP

plc

(2)

(24,114)

(97,950)

British

American

Tobacco

plc

(2)

(5,627)

(213,885)

Burberry

Group

plc

(2)*

(1,580)

(41,333)

CNH

Industrial

NV

(2)

(16,941)

(262,250)

ConvaTec

Group

plc

(2)(b)

(44,576)

(120,508)

easyJet

plc

(2)*

(12,721)

(171,546)

Hargreaves

Lansdown

plc

(2)

(9,060)

(192,504)

Hiscox

Ltd.

(2)*

(9,572)

(113,354)

Informa

plc

(2)*

(21,136)

(163,195)

Intermediate

Capital

Group

plc

(2)

(4,324)

(109,784)

Legal

&

General

Group

plc

(2)

(12,859)

(49,372)

Pennon

Group

plc

(2)

(794)

(10,670)

Persimmon

plc

(2)

(1,905)

(77,163)

Prudential

plc

(2)

(28,397)

(604,928)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(3.2)%

(continued)

Quilter

plc

(2)(b)

(7,060)

(15,550)

Rolls-Royce

Holdings

plc

(2)*

(101,103)

(146,822)

St

James's

Place

plc

(2)

(935)

(16,415)

Standard

Chartered

plc

(2)

(9,193)

(63,299)

Taylor

Wimpey

plc

(2)*

(64,997)

(161,602)

United

Utilities

Group

plc

(2)

(1,913)

(24,445)

Weir

Group

plc

(The)

(2)*

(2,668)

(65,393)

WH

Smith

plc

(2)*

(3,450)

(85,478)

Whitbread

plc

(2)*

(1,172)

(55,325)

(3,381,808)

—

United

States

-

(37.8)%

10X

Genomics,

Inc.,

Class

A

*

(1,270)

(229,870)

2U,

Inc.

*

(1,912)

(73,096)

Acadia

Healthcare

Co.,

Inc.

*

(959)

(54,797)

Acceleron

Pharma,

Inc.

*

(184)

(24,952)

Adaptive

Biotechnologies

Corp.

*

(6,148)

(247,518)

Adient

plc

*

(4,834)

(213,663)

AECOM

*

(1,476)

(94,626)

Agios

Pharmaceuticals,

Inc.

*

(2,639)

(136,278)

Align

Technology,

Inc.

*

(88)

(47,655)

Alleghany

Corp.

*

(101)

(63,255)

Alliant

Energy

Corp.

(2,208)

(119,585)

Alnylam

Pharmaceuticals,

Inc.

*

(1,043)

(147,261)

Alteryx

,

Inc.,

Class

A

*

(862)

(71,512)

Altice

USA,

Inc.,

Class

A

*

(336)

(10,930)

Altria

Group,

Inc.

(1,373)

(70,243)

Amedisys

,

Inc.

*

(51)

(13,504)

Ameren

Corp.

(2,078)

(169,066)

American

Airlines

Group,

Inc.

*

(1,631)

(38,981)

American

Eagle

Outfitters,

Inc.

(1,387)

(40,556)

American

Express

Co.

(1,883)

(266,332)

American

International

Group,

Inc.

(3,520)

(162,659)

Anaplan,

Inc.

*

(735)

(39,580)

Aon

plc,

Class

A

(194)

(44,641)

APA

Corp.

*

(28,119)

(503,330)

Aptiv

plc

*

(347)

(47,851)

Arch

Capital

Group

Ltd.

*

(1,558)

(59,780)

Arista

Networks,

Inc.

*

(384)

(115,926)

Armstrong

World

Industries,

Inc.

(5,281)

(475,765)

Arrowhead

Pharmaceuticals,

Inc.

*

(2,196)

(145,617)

Atmos

Energy

Corp.

(2,297)

(227,058)

Avalara,

Inc.

*

(101)

(13,476)

Avangrid

,

Inc.

(837)

(41,691)

Avanos

Medical,

Inc.

*

(2,956)

(129,295)

Avantor

,

Inc.

*

(302)

(8,737)

Avis

Budget

Group,

Inc.

*

(5,826)

(422,618)

Axalta

Coating

Systems

Ltd.

*

(976)

(28,870)

Axis

Capital

Holdings

Ltd.

(786)

(38,962)

Axon

Enterprise,

Inc.

*

(543)

(77,334)

Baker

Hughes

Co.

(9,857)

(213,010)

Ball

Corp.

(3,466)

(293,709)

BancorpSouth

Bank

(734)

(23,840)

Bank

of

America

Corp.

(251)

(9,711)

Bank

OZK

(3,473)

(141,872)

Bausch

Health

Cos.,

Inc.

*

(4,629)

(146,859)

Beyond

Meat,

Inc.

*

(646)

(84,058)

Bill.com

Holdings,

Inc.

*

(572)

(83,226)

BioMarin

Pharmaceutical,

Inc.

*

(653)

(49,308)

Black

Hills

Corp.

(1,110)

(74,115)

11

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(37.8)%

(continued)

Bluebird

Bio,

Inc.

*

(9,273)

(279,581)

Boeing

Co.

(The)

*

(2,173)

(553,507)

Bright

Horizons

Family

Solutions,

Inc.

*

(973)

(166,821)

Brink's

Co.

(The)

(1,739)

(137,781)

Brown

&

Brown,

Inc.

(1,411)

(64,497)

Brown-Forman

Corp.,

Class

B

(1,181)

(81,454)

Bruker

Corp.

(138)

(8,871)

Builders

FirstSource

,

Inc.

*

(435)

(20,171)

Burlington

Stores,

Inc.

*

(533)

(159,260)

Caesars

Entertainment,

Inc.

*

(2,146)

(187,668)

Capri

Holdings

Ltd.

*

(1,927)

(98,277)

CarMax,

Inc.

*

(432)

(57,309)

Carnival

Corp.

*

(5,973)

(158,523)

Carvana

Co.

*

(2,133)

(559,699)

CenterPoint

Energy,

Inc.

(27,835)

(630,463)

CF

Industries

Holdings,

Inc.

(474)

(21,510)

Charles

Schwab

Corp.

(The)

(1,767)

(115,173)

Chegg

,

Inc.

*

(683)

(58,506)

Chemours

Co.

(The)

(2,006)

(55,987)

Cheniere

Energy,

Inc.

*

(1,045)

(75,250)

Cincinnati

Financial

Corp.

(2,050)

(211,335)

Cinemark

Holdings,

Inc.

*

(5,338)

(108,949)

Cintas

Corp.

(37)

(12,628)

Cloudflare

,

Inc.,

Class

A

*

(805)

(56,559)

CMS

Energy

Corp.

(6,490)

(397,318)

CommScope

Holding

Co.,

Inc.

*

(9,671)

(148,547)

CommVault

Systems,

Inc.

*

(1,137)

(73,337)

Compass

Minerals

International,

Inc.

(1,066)

(66,860)

ConocoPhillips

(2,768)

(146,621)

CoStar

Group,

Inc.

*

(114)

(93,695)

Coty,

Inc.,

Class

A

*

(40,577)

(365,599)

Coupa

Software,

Inc.

*

(244)

(62,093)

Cree,

Inc.

*

(421)

(45,523)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(242)

(44,167)

Crown

Holdings,

Inc.

(681)

(66,084)

Cullen/Frost

Bankers,

Inc.

(1,625)

(176,735)

Darling

Ingredients,

Inc.

*

(276)

(20,308)

Datadog

,

Inc.,

Class

A

*

(669)

(55,754)

Delta

Air

Lines,

Inc.

*

(5,001)

(241,448)

Dexcom

,

Inc.

*

(456)

(163,882)

Discover

Financial

Services

(1,474)

(140,015)

Dominion

Energy,

Inc.

(6,499)

(493,664)

DraftKings

,

Inc.,

Class

A

*

(2,007)

(123,089)

Dun

&

Bradstreet

Holdings,

Inc.

*

(12,731)

(303,125)

Dycom

Industries,

Inc.

*

(293)

(27,205)

Dynatrace

,

Inc.

*

(164)

(7,911)

Edgewell

Personal

Care

Co.

(947)

(37,501)

Edison

International

(7,920)

(464,112)

Elanco

Animal

Health,

Inc.

*

(3,747)

(110,349)

Elastic

NV

*

(268)

(29,802)

Encompass

Health

Corp.

(518)

(42,424)

Energizer

Holdings,

Inc.

(1,357)

(64,403)

Enphase

Energy,

Inc.

*

(684)

(110,917)

Entergy

Corp.

(1,056)

(105,040)

Equifax,

Inc.

(186)

(33,690)

Erie

Indemnity

Co.,

Class

A

(394)

(87,039)

Essential

Utilities,

Inc.

(4,814)

(215,427)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(37.8)%

(continued)

Etsy,

Inc.

*

(238)

(47,997)

Euronet

Worldwide,

Inc.

*

(174)

(24,064)

Everbridge

,

Inc.

*

(418)

(50,653)

Evergy

,

Inc.

(436)

(25,955)

Eversource

Energy

(2,578)

(223,229)

Exact

Sciences

Corp.

*

(773)

(101,866)

Exelon

Corp.

(646)

(28,256)

Expedia

Group,

Inc.

*

(339)

(58,349)

Exxon

Mobil

Corp.

(708)

(39,528)

FactSet

Research

Systems,

Inc.

(51)

(15,738)

Fastly

,

Inc.,

Class

A

*

(734)

(49,384)

Fidelity

National

Information

Services,

Inc.

(162)

(22,779)

FireEye,

Inc.

*

(1,917)

(37,516)

First

Horizon

Corp.

(7,083)

(119,774)

FirstEnergy

Corp.

(10,105)

(350,542)

Five

Below,

Inc.

*

(45)

(8,586)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(1,014)

(96,817)

Fluor

Corp.

*

(6,439)

(148,677)

Fox

Factory

Holding

Corp.

*

(587)

(74,584)

Freeport-McMoRan,

Inc.

*

(3,813)

(125,562)

Gap,

Inc.

(The)

*

(3,649)

(108,667)

General

Electric

Co.

(30,630)

(402,172)

Glacier

Bancorp,

Inc.

(166)

(9,475)

Global

Blood

Therapeutics,

Inc.

*

(5,846)

(238,225)

Globe

Life,

Inc.

(1,894)

(183,017)

Grocery

Outlet

Holding

Corp.

*

(6,055)

(223,369)

Guardant

Health,

Inc.

*

(545)

(83,194)

Hain

Celestial

Group,

Inc.

(The)

*

(1,781)

(77,652)

Harley-Davidson,

Inc.

(2,119)

(84,972)

Hawaiian

Electric

Industries,

Inc.

(769)

(34,167)

Healthcare

Services

Group,

Inc.

(952)

(26,685)

HealthEquity

,

Inc.

*

(3,712)

(252,416)

HEICO

Corp.

(273)

(34,343)

Hess

Corp.

(5,471)

(387,128)

Hilton

Worldwide

Holdings,

Inc.

*

(498)

(60,218)

Home

BancShares

,

Inc.

(6,484)

(175,392)

Howard

Hughes

Corp.

(The)

*

(2,042)

(194,255)

IAA,

Inc.

*

(2,464)

(135,865)

II-VI,

Inc.

*

(161)

(11,008)

Ingersoll

Rand,

Inc.

*

(1,181)

(58,117)

Insperity

,

Inc.

(1,188)

(99,483)

Insulet

Corp.

*

(704)

(183,688)

InterDigital

,

Inc.

(1,021)

(64,782)

International

Game

Technology

plc

*

(8,094)

(129,909)

Invesco

Ltd.

(2,097)

(52,886)

Ionis

Pharmaceuticals,

Inc.

*

(1,702)

(76,522)

Iovance

Biotherapeutics

,

Inc.

*

(8,637)

(273,447)

James

Hardie

Industries

plc,

CHESS

(2)

(4,372)

(132,138)

Janus

Henderson

Group

plc

(1,518)

(47,286)

Kennametal,

Inc.

(2,349)

(93,890)

Kinder

Morgan,

Inc.

(6,991)

(116,400)

Kirby

Corp.

*

(1,713)

(103,260)

Kraft

Heinz

Co.

(The)

(399)

(15,960)

L

Brands,

Inc.

*

(2,886)

(178,528)

Lamb

Weston

Holdings,

Inc.

(917)

(71,049)

Las

Vegas

Sands

Corp.

*

(1,652)

(100,376)

12

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(37.8)%

(continued)

Leggett

&

Platt,

Inc.

(1,285)

(58,660)

LendingTree

,

Inc.

*

(1,732)

(368,916)

LHC

Group,

Inc.

*

(164)

(31,358)

Liberty

Broadband

Corp.,

Class

C

*

(290)

(43,544)

Ligand

Pharmaceuticals,

Inc.

*

(80)

(12,196)

Lions

Gate

Entertainment

Corp.,

Class

A

*

(10,181)

(152,206)

LivaNova

plc

*

(835)

(61,565)

Live

Nation

Entertainment,

Inc.

*

(2,861)

(242,184)

LiveRamp

Holdings,

Inc.

*

(206)

(10,687)

Loews

Corp.

(239)

(12,256)

Lumen

Technologies,

Inc.

(1,602)

(21,387)

Lyft,

Inc.,

Class

A

*

(6,170)

(389,821)

Madison

Square

Garden

Sports

Corp.

*

(1,255)

(225,222)

Marathon

Petroleum

Corp.

(4,426)

(236,747)

MarketAxess

Holdings,

Inc.

(17)

(8,465)

Marriott

International,

Inc.,

Class

A

*

(312)

(46,210)

Marsh

&

McLennan

Cos.,

Inc.

(448)

(54,566)

Martin

Marietta

Materials,

Inc.

(419)

(140,709)

Mastercard

,

Inc.,

Class

A

(203)

(72,278)

Mattel,

Inc.

*

(6,769)

(134,838)

Medallia

,

Inc.

*

(3,125)

(87,156)

Mercury

Systems,

Inc.

*

(509)

(35,961)

MGM

Resorts

International

(2,009)

(76,322)

MongoDB,

Inc.

*

(241)

(64,451)

Moody's

Corp.

(52)

(15,528)

MSCI,

Inc.

(170)

(71,278)

National

Fuel

Gas

Co.

(6,436)

(321,736)

Nektar

Therapeutics

*

(15,210)

(304,200)

Netflix,

Inc.

*

(205)

(106,940)

New

Jersey

Resources

Corp.

(7,899)

(314,933)

New

Relic,

Inc.

*

(454)

(27,912)

Newell

Brands,

Inc.

(10,911)

(292,197)

NextEra

Energy,

Inc.

(5,460)

(412,831)

Nielsen

Holdings

plc

(12,815)

(322,297)

NiSource,

Inc.

(27,119)

(653,838)

Nordstrom,

Inc.

*

(6,581)

(249,222)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(7,332)

(202,290)

NOV,

Inc.

*

(17,145)

(235,229)

Novocure

Ltd.

*

(593)

(78,383)

Nutanix

,

Inc.,

Class

A

*

(6,755)

(179,413)

OGE

Energy

Corp.

(3,024)

(97,857)

O-I

Glass,

Inc.

*

(8,373)

(123,418)

Okta

,

Inc.

*

(306)

(67,452)

Olin

Corp.

(3,341)

(126,858)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(751)

(65,337)

ONE

Gas,

Inc.

(1,775)

(136,515)

ONEOK,

Inc.

(3,073)

(155,678)

PacWest

Bancorp

(9,941)

(379,249)

PagerDuty

,

Inc.

*

(3,060)

(123,104)

Patterson

Cos.,

Inc.

(366)

(11,694)

Pegasystems

,

Inc.

(122)

(13,949)

Penn

National

Gaming,

Inc.

*

(640)

(67,098)

Penumbra,

Inc.

*

(511)

(138,266)

Phillips

66

(694)

(56,589)

Pinterest,

Inc.,

Class

A

*

(2,104)

(155,759)

Planet

Fitness,

Inc.,

Class

A

*

(1,457)

(112,626)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(37.8)%

(continued)

Pluralsight

,

Inc.,

Class

A

*

(12,739)

(284,589)

Pool

Corp.

(274)

(94,596)

Post

Holdings,

Inc.

*

(356)

(37,636)

PPD,

Inc.

*

(743)

(28,115)

PPL

Corp.

(313)

(9,027)

Primerica,

Inc.

(926)

(136,881)

Principal

Financial

Group,

Inc.

(1,052)

(63,078)

PROG

Holdings,

Inc.

(540)

(23,377)

Prudential

Financial,

Inc.

(862)

(78,528)

Pure

Storage,

Inc.,

Class

A

*

(13,671)

(294,473)

Raytheon

Technologies

Corp.

(169)

(13,059)

Reata

Pharmaceuticals,

Inc.,

Class

A

*

(2,734)

(272,580)

Repligen

Corp.

*

(58)

(11,276)

RH

*

(165)

(98,439)

RingCentral,

Inc.,

Class

A

*

(120)

(35,746)

Roku,

Inc.

*

(400)

(130,308)

Roper

Technologies,

Inc.

(258)

(104,062)

Royal

Caribbean

Cruises

Ltd.

*

(2,632)

(225,326)

Sabre

Corp.

*

(19,461)

(288,217)

Sage

Therapeutics,

Inc.

*

(4,639)

(347,229)

Sailpoint

Technologies

Holdings,

Inc.

*

(1,079)

(54,641)

Schlumberger

NV

(17,535)

(476,777)

Scientific

Games

Corp.

*

(1,784)

(68,720)

Sealed

Air

Corp.

(6,704)

(307,177)

Sempra

Energy

(287)

(38,050)

Sirius

XM

Holdings,

Inc.

(32,709)

(199,198)

Six

Flags

Entertainment

Corp.

*

(5,754)

(267,388)

Snap,

Inc.,

Class

A

*

(645)

(33,727)

SolarEdge

Technologies,

Inc.

*

(400)

(114,976)

Southern

Co.

(The)

(2,375)

(147,630)

Southwest

Airlines

Co.

*

(1,931)

(117,907)

Southwest

Gas

Holdings,

Inc.

(212)

(14,567)

Spire,

Inc.

(2,698)

(199,355)

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(2,990)

(145,464)

Splunk

,

Inc.

*

(645)

(87,385)

Square,

Inc.,

Class

A

*

(715)

(162,341)

STAAR

Surgical

Co.

*

(630)

(66,408)

Stericycle,

Inc.

*

(2,002)

(135,155)

Sunrun

,

Inc.

*

(5,903)

(357,013)

Switch,

Inc.,

Class

A

(7,550)

(122,763)

Synchrony

Financial

(228)

(9,270)

Sysco

Corp.

(1,619)

(127,480)

Tandem

Diabetes

Care,

Inc.

*

(2,249)

(198,474)

Targa

Resources

Corp.

(12,802)

(406,464)

Teladoc

Health,

Inc.

*

(319)

(57,978)

Tenaris

SA

(2)

(25,335)

(286,487)

Tenet

Healthcare

Corp.

*

(978)

(50,856)

Terminix

Global

Holdings,

Inc.

*

(1,925)

(91,765)

Tesla,

Inc.

*

(309)

(206,390)

Texas

Capital

Bancshares,

Inc.

*

(1,258)

(89,217)

Toll

Brothers,

Inc.

(1,469)

(83,336)

TopBuild

Corp.

*

(529)

(110,788)

Trade

Desk,

Inc.

(The),

Class

A

*

(115)

(74,941)

Tradeweb

Markets,

Inc.,

Class

A

(1,072)

(79,328)

TransDigm

Group,

Inc.

*

(41)

(24,105)

TransUnion

(820)

(73,800)

TreeHouse

Foods,

Inc.

*

(948)

(49,524)

13

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(37.8)%

(continued)

Trex

Co.,

Inc.

*

(2,095)

(191,776)

Trinity

Industries,

Inc.

(2,594)

(73,903)

Twilio

,

Inc.,

Class

A

*

(393)

(133,919)

Uber

Technologies,

Inc.

*

(4,834)

(263,501)

Ulta

Beauty,

Inc.

*

(58)

(17,932)

Umpqua

Holdings

Corp.

(18,415)

(323,183)

Under

Armour

,

Inc.,

Class

A

*

(15,075)

(334,062)

United

Airlines

Holdings,

Inc.

*

(1,025)

(58,979)

Univar

Solutions,

Inc.

*

(14,000)

(301,560)

Valley

National

Bancorp

(7,114)

(97,746)

ViacomCBS

,

Inc.

(176)

(7,938)

Viasat

,

Inc.

*

(153)

(7,355)

Visa,

Inc.,

Class

A

(215)

(45,522)

Visteon

Corp.

*

(1,652)

(201,461)

Voya

Financial,

Inc.

(1,001)

(63,704)

Vulcan

Materials

Co.

(836)

(141,075)

W

R

Berkley

Corp.

(157)

(11,830)

Walt

Disney

Co.

(The)

*

(170)

(31,368)

Wayfair,

Inc.,

Class

A

*

(342)

(107,645)

WEC

Energy

Group,

Inc.

(95)

(8,891)

Western

Digital

Corp.

(1,345)

(89,779)

Westinghouse

Air

Brake

Technologies

Corp.

(1,007)

(79,714)

Williams

Cos.,

Inc.

(The)

(8,292)

(196,437)

WW

International,

Inc.

*

(7,351)

(229,939)

Wynn

Resorts

Ltd.

*

(2,272)

(284,841)

Xcel

Energy,

Inc.

(2,510)

(166,940)

XPO

Logistics,

Inc.

*

(3,428)

(422,672)

YETI

Holdings,

Inc.

*

(183)

(13,214)

Zendesk

,

Inc.

*

(88)

(11,671)

Zillow

Group,

Inc.,

Class

C

*

(133)

(17,242)

Zscaler

,

Inc.

*

(640)

(109,869)

(40,416,274)

—

TOTAL

COMMON

STOCKS

(Proceeds

$(87,170,862))

(80,421,771)

NO.

OF

WARRANTS

WARRANTS

-

0.0%

(c)

Canada

-

0.0%

(c)

Cenovus

Energy,

Inc.,

expiring

1/1/2026

*

(Proceeds

$–)

(674)

(2,682)

TOTAL

SHORT

POSITIONS

(Proceeds

$(87,170,862))

(80,424,453)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.5%

(Cost

$55,661,132)

94,995,982

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.5%

(j)

12,272,973

NET

ASSETS

-

100.0%

107,268,955

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,126,227

2.0

%

Consumer

Discretionary

4,462,838

4.1

Consumer

Staples

1,736,011

1.6

Energy

(2,792,732)

(2.6)

Financials

4,054,450

3.8

Health

Care

1,679,186

1.6

Industrials

(452,701)

(0.4)

Information

Technology

1,680,375

1.6

Materials

4,990,283

4.6

Real

Estate

(240,647)

(0.2)

Utilities

(2,426,028)

(2.3)

Short-Term

Investments

80,178,720

74.7

Total

Investments

In

Securities

At

Value

94,995,982

88.5

Other

Assets

in

Excess

of

Liabilities

(j)

12,272,973

11.5

Net

Assets

$

107,268,955

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

$65,785,115.

(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

March

31,

2021

amounted

to

$(1,402,074),

which

represents

approximately

(1.31)%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$21,069,608.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(i)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

14

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2021:

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

3M

BA

Qtrly

0.75%

Semi

6/14/2023

CAD

5,800,000

$

16,916

$

(11,583)

$

5,333

Pay

6M

BBR

Semi

2.00%

Semi

9/11/2031

AUD

700,000

3,485

(2,711)

774

Receive

3M

BA

Qtrly

1.25%

Semi

6/16/2031

CAD

1,300,000

15,673

70,208

85,881

Receive

3M

BA

Qtrly

1.25%

Semi

9/15/2031

CAD

7,100,000

403,437

98,461

501,898

Receive

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

7,700,000

14,362

9,697

24,059

Receive

3M

BBR

Qtrly

0.00%

Qtrly

9/07/2023

AUD

8,800,000

22,902

13,768

36,670

Receive

3M

LIBOR

Qtrly

0.25%

Semi

6/16/2023

USD

39,700,000

(25,147)

85,331

60,184

Receive

3M

LIBOR

Qtrly

1.00%

Semi

9/15/2031

USD

3,500,000

225,116

67,172

292,288

Receive

6M

EURIBOR

Semi

0.75%

Annual

9/15/2023

EUR

17,900,000

112,211

6,107

118,318

Receive

6M

EURIBOR

Semi

0.5%

Annual

9/15/2023

EUR

27,300,000

31,804

(13,268)

18,536

Receive

6M

EURIBOR

Semi

0.25%

Annual

6/16/2031

EUR

3,500,000

26,856

117,857

144,713

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2031

GBP

19,900,000

826,829

1,414,766

2,241,595

Receive

6M

LIBOR

Semi

1.00%

Semi

9/15/2031

GBP

400,000

2,793

4,172

6,965

Receive

6M

LIBOR

Semi

0.25%

Semi

9/15/2031

GBP

3,500,000

374,070

36,466

410,536

2,051,307

1,896,443

3,947,750

Pay

3M

BA

Qtrly

0.75%

Semi

9/13/2023

CAD

30,300,000

(26,385)

(2,622)

(29,007)

Pay

3M

LIBOR

Qtrly

0.25%

Semi

9/15/2023

USD

14,900,000

(25,847)

(21,248)

(47,095)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

9,200,000

(401,238)

(531,616)

(932,854)

Pay

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

1,700,000

(65,228)

(44,149)

(109,377)

Pay

6M

BBR

Semi

1.50%

Semi

9/11/2031

AUD

7,200,000

(148,723)

(97,358)

(246,081)

Pay

6M

EURIBOR

Semi

0.75%

Annual

6/16/2023

EUR

17,400,000

(93,286)

(15,075)

(108,361)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/15/2031

EUR

9,300,000

(353,079)

(67,399)

(420,478)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2023

GBP

92,400,000

(324,984)

(542,864)

(867,848)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/15/2023

GBP

17,000,000

(182,678)

(10,916)

(193,594)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

798,900,000

(71,672)

(37,690)

(109,362)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/17/2031

JPY

824,400,000

(141,392)

19,169

(122,223)

Receive

3M

BBR

Qtrly

0.50%

Qtrly

9/07/2023

AUD

26,100,000

(100,334)

11,654

(88,680)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

3,923,800,000

(48,300)

27,214

(21,086)

Receive

6M

LIBOR

Semi

0.00%

Semi

9/20/2023

JPY

4,043,900,000

(21,606)

2,427

(19,179)

(2,004,752)

(1,310,473)

(3,315,225)

$

46,555

$

585,970

$

632,525

Abbreviations:

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2021

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.04%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.44%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.19%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.09%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.51%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

15

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

4,247,400

$

804

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

04/29/2021

HKD

5,471,500

3,547

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

(5,827,450)

14,193

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

344,120

2,923

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/18/2021

CHF

2,513,440

51,321

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

7,540,320

160,498

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/18/2021

PLN

(77,640)

424

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

HKD

14,282,312

17,409

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

JPY

10,760,420

3,596

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

MXN

4,599,298

358

16

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.19%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

EUR

3,244,908

$

310,475

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-1.39%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

SEK

3,187,517

19,445

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.57%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/18/2021

CHF

2,128,928

69,834

654,827

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2021

TRY

1,499,940

(16,301)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/17/2021

ZAR

(125,260)

(146)

Tel

Aviv

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2021

ILS

(2,086,006)

(6,011)

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.07%)

Monthly

BANA

06/16/2021

AUD

(1,558,013)

(7,053)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(-0.13%)

Monthly

BANA

06/16/2021

SGD

(517,909)

(12,134)

17

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

(-0.33%)

Monthly

BANA

06/16/2021

EUR

(5,814,299)

$

(86,292)

(127,937)

$

526,890

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

2

4/2021

EUR

$

327,953

$

3,329

Brent

Crude

Oil

55

4/2021

USD

3,450,700

(27,589)

CAC

40

10

Euro

Index

85

4/2021

EUR

6,046,559

84,675

FTSE

Bursa

Malaysia

KLCI

Index

15

4/2021

MYR

284,336

(5,214)

Hang

Seng

Index

5

4/2021

HKD

910,588

390

MSCI

Singapore

Index

6

4/2021

SGD

159,657

1,057

NY

Harbor

ULSD

10

4/2021

USD

743,316

(14,908)

OMXS30

Index

134

4/2021

SEK

3,355,965

48,915

RBOB

Gasoline

6

4/2021

USD

493,844

(2,051)

SGX

FTSE

China

A50

Index

31

4/2021

USD

532,642

(244)

SGX

FTSE

Taiwan

Index

72

4/2021

USD

4,171,680

36,824

Sugar

No.

11

25

4/2021

USD

413,560

(12,780)

WTI

Crude

Oil

48

4/2021

USD

2,839,680

(25,110)

Coffee

'C'

2

5/2021

USD

92,625

(3,080)

Copper

2

5/2021

USD

199,775

(1,766)

Corn

98

5/2021

USD

2,764,825

86,902

Cotton

No.

2

9

5/2021

USD

363,960

1,685

KC

HRW

Wheat

3

5/2021

USD

86,363

1,581

Low

Sulphur

Gasoil

10

5/2021

USD

507,500

4,314

Soybean

Meal

4

5/2021

USD

169,280

8,201

Soybean

Oil

1

5/2021

USD

31,752

107

Wheat

5

5/2021

USD

154,500

1,776

3

Month

Canadian

Bankers

Acceptance

2

6/2021

CAD

396,057

108

3

Month

Sterling

65

6/2021

GBP

11,190,484

(2,183)

Australia

10

Year

Bond

114

6/2021

AUD

11,959,143

(56,985)

Canada

10

Year

Bond

225

6/2021

CAD

24,845,429

(668,379)

DAX

Index

2

6/2021

EUR

881,225

26,189

FTSE/MIB

Index

58

6/2021

EUR

8,295,985

128,382

Japan

10

Year

Bond

41

6/2021

JPY

55,972,544

84,298

KOSPI

200

Index

2

6/2021

KRW

183,190

(1,185)

Lean

Hogs

5

6/2021

USD

210,600

(112)

Live

Cattle

5

6/2021

USD

245,800

2,749

LME

Aluminum

Base

Metal

4

6/2021

USD

221,004

(6,545)

LME

Aluminum

Base

Metal

4

6/2021

USD

220,875

(7,585)

LME

Copper

Base

Metal

1

6/2021

USD

219,638

(1,190)

LME

Copper

Base

Metal

1

6/2021

USD

219,694

(3,471)

LME

Copper

Base

Metal

7

6/2021

USD

1,537,331

(38)

18

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

MEX

BOLSA

Index

6

6/2021

MXN

$

137,719

$

(1,035)

MSCI

EAFE

E-Mini

Index

2

6/2021

USD

219,200

(740)

MSCI

Emerging

Markets

E-Mini

Index

6

6/2021

USD

396,750

(2,155)

Palladium

1

6/2021

USD

261,990

(1,162)

Russell

2000

E-Mini

Index

1

6/2021

USD

111,125

(6,667)

S&P

Midcap

400

E-Mini

Index

1

6/2021

USD

260,530

5,949

TOPIX

Index

94

6/2021

JPY

16,588,485

513,743

U.S.

Treasury

10

Year

Note

53

6/2021

USD

6,939,688

(9,656)

Cocoa

3

7/2021

USD

71,550

(2,817)

Cocoa

5

7/2021

GBP

114,768

(2,571)

3

Month

Canadian

Bankers

Acceptance

53

9/2021

CAD

10,493,405

552

3

Month

Sterling

350

9/2021

GBP

60,256,452

(9,947)

3

Month

Canadian

Bankers

Acceptance

38

12/2021

CAD

7,520,550

971

3

Month

Sterling

354

12/2021

GBP

60,923,746

(15,876)

3

Month

Canadian

Bankers

Acceptance

25

3/2022

CAD

4,946,736

3,067

3

Month

Sterling

306

3/2022

GBP

52,623,351

(5,401)

3

Month

Euro

Euribor

22

6/2022

EUR

6,484,034

(1,224)

3

Month

Eurodollar

8

6/2022

USD

1,994,200

(1,793)

3

Month

Sterling

23

6/2022

GBP

3,953,765

(8,644)

3

Month

Euro

Euribor

41

9/2022

EUR

12,083,281

(2,219)

3

Month

Eurodollar

3

9/2022

USD

747,225

(1,135)

3

Month

Sterling

18

9/2022

GBP

3,092,389

(8,085)

3

Month

Euro

Euribor

45

12/2022

EUR

13,259,499

(2,836)

3

Month

Sterling

9

12/2022

GBP

1,545,109

(4,849)

3

Month

Euro

Euribor

13

3/2023

EUR

3,829,379

(378)

116,159

Short

Contracts

HSCEI

(1)

4/2021

HKD

(70,381)

247

IBEX

35

Index

(78)

4/2021

EUR

(7,854,306)

48,012

Natural

Gas

(24)

4/2021

USD

(625,920)

(10,264)

SGX

NIFTY

50

Index

(28)

4/2021

USD

(825,776)

6,845

Silver

(4)

5/2021

USD

(490,640)

9,705

Soybean

(5)

5/2021

USD

(359,188)

(11,679)

100

oz

Gold

(55)

6/2021

USD

(9,435,800)

89,388

3

Month

Euro

Euribor

(36)

6/2021

EUR

(10,611,293)

(21)

3

Month

Eurodollar

(9)

6/2021

USD

(2,246,063)

210

ASX

90

Day

Bank

Accepted

Bill

(8)

6/2021

AUD

(6,075,651)

(123)

Australia

3

Year

Bond

(4)

6/2021

AUD

(355,601)

(236)

EURO

STOXX

50

Index

(39)

6/2021

EUR

(1,768,127)

(35,893)

Euro-

Bobl

(19)

6/2021

EUR

(3,009,758)

(3,821)

Euro-BTP

(1)

6/2021

EUR

(175,096)

(716)

Euro-Bund

(228)

6/2021

EUR

(45,796,093)

136,595

Euro-

Buxl

(11)

6/2021

EUR

(2,657,854)

44,350

Euro-OAT

(12)

6/2021

EUR

(2,279,025)

3,029

Euro-Schatz

(44)

6/2021

EUR

(5,784,226)

(643)

FTSE

100

Index

(91)

6/2021

GBP

(8,379,607)

11,510

FTSE/JSE

Top

40

Index

(15)

6/2021

ZAR

(621,748)

(12,212)

LME

Aluminum

Base

Metal

(4)

6/2021

USD

(221,004)

7,486

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,638)

926

LME

Copper

Base

Metal

(7)

6/2021

USD

(1,537,331)

(451)

LME

Copper

Base

Metal

(7)

6/2021

USD

(1,537,856)

(1,173)

Long

Gilt

(203)

6/2021

GBP

(35,706,802)

326,355

S&P

500

E-Mini

Index

(57)

6/2021

USD

(11,307,090)

(97,061)

S&P/TSX

60

Index

(7)

6/2021

CAD

(1,237,797)

1,904

SET50

Index

(89)

6/2021

THB

(549,721)

(1,794)

SPI

200

Index

(73)

6/2021

AUD

(9,378,885)

52,482

19

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

U.S.

Treasury

2

Year

Note

(7)

6/2021

USD

$

(1,545,086)

$

236

U.S.

Treasury

5

Year

Note

(17)

6/2021

USD

(2,097,773)

13,352

U.S.

Treasury

Long

Bond

(24)

6/2021

USD

(3,710,250)

117,956

U.S.

Treasury

Ultra

Bond

(13)

6/2021

USD

(2,355,844)

94,432

3

Month

Euro

Euribor

(183)

9/2021

EUR

(53,940,741)

(4,047)

3

Month

Eurodollar

(20)

9/2021

USD

(4,990,500)

167

3

Month

Euroswiss

(3)

9/2021

CHF

(799,318)

(241)

ASX

90

Day

Bank

Accepted

Bill

(53)

9/2021

AUD

(40,248,211)

(54)

3

Month

Euro

Euribor

(160)

12/2021

EUR

(47,163,649)

(5,208)

3

Month

Eurodollar

(28)

12/2021

USD

(6,981,450)

1,359

3

Month

Euroswiss

(3)

12/2021

CHF

(799,318)

(151)

ASX

90

Day

Bank

Accepted

Bill

(57)

12/2021

AUD

(43,281,544)

967

3

Month

Euro

Euribor

(133)

3/2022

EUR

(39,200,884)

(4,951)

3

Month

Eurodollar

(20)

3/2022

USD

(4,988,250)

1,128

3

Month

Euroswiss

(3)

3/2022

CHF

(799,159)

(224)

ASX

90

Day

Bank

Accepted

Bill

(54)

3/2022

AUD

(41,000,535)

681

3

Month

Eurodollar

(1)

12/2022

USD

(248,750)

27

3

Month

Eurodollar

(3)

3/2023

USD

(745,463)

312

778,698

$

894,857

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

3,037,000

USD

531,410

CITI

**

6/16/2021

$

5,388

BRL

3,037,000

USD

531,411

JPMC

**

6/16/2021

5,388

CAD

5,025,378

USD

3,975,670

CITI

6/16/2021

23,574

CAD

5,025,372

USD

3,975,670

JPMC

6/16/2021

23,569

CLP

56,419,500

USD

77,822

CITI

**

6/16/2021

527

CLP

56,419,500

USD

77,822

JPMC

**

6/16/2021

527

CNY

2,870,500

USD

434,139

CITI

**

6/16/2021

707

CNY

2,870,500

USD

434,140

JPMC

**

6/16/2021

706

COP

14,647,064

USD

3,968

CITI

**

6/16/2021

24

COP

14,647,062

USD

3,968

JPMC

**

6/16/2021

24

GBP

179,000

USD

245,190

CITI

6/16/2021

1,635

GBP

179,000

USD

245,190

JPMC

6/16/2021

1,635

HUF

106,447,500

USD

343,831

CITI

6/16/2021

486

HUF

106,447,500

USD

343,832

JPMC

6/16/2021

486

INR

62,235,001

USD

836,280

CITI

**

6/16/2021

4,339

INR

62,235,001

USD

836,281

JPMC

**

6/16/2021

4,338

KRW

1,765,634,000

USD

1,555,989

CITI

**

6/16/2021

9,737

KRW

1,765,634,000

USD

1,555,991

JPMC

**

6/16/2021

9,736

MXN

89,747,000

USD

4,294,036

CITI

6/16/2021

61,646

MXN

89,747,000

USD

4,294,041

JPMC

6/16/2021

61,642

NOK

25,022,000

USD

2,904,030

CITI

6/16/2021

21,326

NOK

25,022,000

USD

2,903,532

JPMC

6/16/2021

21,826

NZD

580,500

USD

404,506

CITI

6/16/2021

843

NZD

580,500

USD

404,506

JPMC

6/16/2021

843

PHP

7,291,875

USD

148,658

CITI

**

6/16/2021

557

PHP

7,291,875

USD

148,659

JPMC

**

6/16/2021

557

PLN

34,500

USD

8,683

CITI

6/16/2021

50

20

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

PLN

34,500

USD

8,683

JPMC

6/16/2021

$

50

TWD

455,500

USD

16,068

CITI

**

6/16/2021

56

TWD

455,500

USD

16,068

JPMC

**

6/16/2021

56

USD

3,352,007

AUD

4,304,506

CITI

6/16/2021

81,477

USD

3,351,993

AUD

4,304,494

JPMC

6/16/2021

81,473

USD

2,431,744

BRL

13,415,000

CITI

**

6/16/2021

60,610

USD

2,431,741

BRL

13,415,000

JPMC

**

6/16/2021

60,608

USD

1,160,109

CAD

1,448,877

CITI

6/16/2021

7,078

USD

1,160,105

CAD

1,448,873

JPMC

6/16/2021

7,078

USD

15,340,293

CHF

13,924,006

CITI

6/16/2021

578,619

USD

15,339,583

CHF

13,923,994

JPMC

6/16/2021

577,921

USD

12,815

CLP

9,208,000

CITI

**

6/16/2021

28

USD

12,815

CLP

9,208,000

JPMC

**

6/16/2021

28

USD

2,149,354

CNY

14,025,500

CITI

**

6/16/2021

24,659

USD

2,149,351

CNY

14,025,500

JPMC

**

6/16/2021

24,656

USD

12,908

COP

47,131,000

CITI

**

6/16/2021

63

USD

12,908

COP

47,131,000

JPMC

**

6/16/2021

63

USD

254,414

DKK

1,554,000

CITI

6/16/2021

9,115

USD

254,414

DKK

1,554,000

JPMC

6/16/2021

9,115

USD

10,849,964

EUR

9,034,501

CITI

6/16/2021

238,726

USD

10,849,948

EUR

9,034,499

JPMC

6/16/2021

238,712

USD

8,458,288

GBP

6,047,503

CITI

6/16/2021

119,325

USD

8,458,269

GBP

6,047,497

JPMC

6/16/2021

119,315

USD

1,614,404

HUF

483,404,500

CITI

6/16/2021

50,775

USD

1,614,402

HUF

483,404,500

JPMC

6/16/2021

50,773

USD

231,370

IDR

3,357,226,500

CITI

**

6/16/2021

3,254

USD

231,367

IDR

3,357,226,500

JPMC

**

6/16/2021

3,250

USD

3,050,274

ILS

10,021,501

CITI

6/16/2021

49,591

USD

3,050,270

ILS

10,021,499

JPMC

6/16/2021

49,588

USD

739,708

INR

54,546,500

CITI

**

6/16/2021

2,939

USD

739,707

INR

54,546,500

JPMC

**

6/16/2021

2,937

USD

9,681,690

JPY

1,046,434,004

CITI

6/16/2021

224,447

USD

9,681,678

JPY

1,046,434,004

JPMC

6/16/2021

224,435

USD

2,557,843

KRW

2,851,919,000

CITI

**

6/16/2021

28,824

USD

2,557,839

KRW

2,851,919,000

JPMC

**

6/16/2021

28,820

USD

268,229

MXN

5,500,000

CITI

6/16/2021

1,298

USD

268,228

MXN

5,500,000

JPMC

6/16/2021

1,297

USD

8,685,494

NOK

73,389,536

CITI

6/16/2021

105,425

USD

8,685,482

NOK

73,389,524

JPMC

6/16/2021

105,414

USD

6,757,029

NZD

9,332,500

CITI

6/16/2021

240,370

USD

6,757,021

NZD

9,332,500

JPMC

6/16/2021

240,360

USD

100,647

PHP

4,896,501

CITI

**

6/16/2021

446

USD

100,646

PHP

4,896,499

JPMC

**

6/16/2021

447

USD

2,670,834

PLN

10,135,500

CITI

6/16/2021

105,195

USD

2,670,831

PLN

10,135,500

JPMC

6/16/2021

105,192

USD

5,141,007

SEK

43,407,500

CITI

6/16/2021

167,374

USD

5,141,000

SEK

43,407,500

JPMC

6/16/2021

167,367

USD

2,574,220

SGD

3,435,500

CITI

6/16/2021

21,198

USD

2,574,216

SGD

3,435,500

JPMC

6/16/2021

21,195

USD

523,506

TWD

14,664,000

CITI

**

6/16/2021

4,425

USD

523,505

TWD

14,664,000

JPMC

**

6/16/2021

4,423

USD

86,906

ZAR

1,289,500

CITI

6/17/2021

399

USD

86,906

ZAR

1,289,500

JPMC

6/17/2021

399

ZAR

36,110,752

USD

2,385,656

CITI

6/17/2021

36,846

ZAR

36,110,748

USD

2,385,659

JPMC

6/17/2021

36,843

Total

unrealized

appreciation

4,586,493

AUD

11,196,010

USD

8,779,963

CITI

6/16/2021

(273,323)

AUD

11,195,990

USD

8,779,958

JPMC

6/16/2021

(273,336)

21

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

9,012,000

USD

1,624,188

CITI

**

6/16/2021

$

(31,295)

BRL

9,012,000

USD

1,624,190

JPMC

**

6/16/2021

(31,298)

CAD

863,126

USD

691,371

CITI

6/16/2021

(4,487)

CAD

863,124

USD

691,370

JPMC

6/16/2021

(4,488)

CHF

4,198,502

USD

4,521,199

CITI

6/16/2021

(70,114)

CHF

4,198,498

USD

4,521,200

JPMC

6/16/2021

(70,121)

CLP

178,648,000

USD

253,017

CITI

**

6/16/2021

(4,931)

CLP

178,648,000

USD

253,017

JPMC

**

6/16/2021

(4,932)

CNY

12,965,000

USD

1,981,322

CITI

**

6/16/2021

(17,280)

CNY

12,965,000

USD

1,981,324

JPMC

**

6/16/2021

(17,282)

COP

158,067,439

USD

43,888

CITI

**

6/16/2021

(810)

COP

158,067,435

USD

43,888

JPMC

**

6/16/2021

(810)

DKK

817,000

USD

133,365

CITI

6/16/2021

(4,401)

DKK

817,000

USD

133,365

JPMC

6/16/2021

(4,402)

EUR

15,468,001

USD

18,772,187

CITI

6/16/2021

(604,649)

EUR

15,467,999

USD

18,772,208

JPMC

6/16/2021

(604,673)

GBP

6,293,003

USD

8,803,891

CITI

6/16/2021

(126,402)

GBP

6,292,997

USD

8,803,894

JPMC

6/16/2021

(126,418)

HUF

80,549,500

USD

260,651

CITI

6/16/2021

(104)

HUF

80,549,500

USD

260,652

JPMC

6/16/2021

(104)

IDR

1,916,265,000

USD

132,983

CITI

**

6/16/2021

(2,777)

IDR

1,916,265,000

USD

132,984

JPMC

**

6/16/2021

(2,777)

ILS

4,205,002

USD

1,272,146

CITI

6/16/2021

(13,066)

ILS

4,204,998

USD

1,272,147

JPMC

6/16/2021

(13,067)

INR

141,752,500

USD

1,924,909

CITI

**

6/16/2021

(10,233)

INR

141,752,498

USD

1,924,911

JPMC

**

6/16/2021

(10,235)

JPY

1,928,583,500

USD

18,134,719

CITI

6/16/2021

(704,974)

JPY

1,928,583,500

USD

18,134,742

JPMC

6/16/2021

(704,993)

KRW

1,920,422,501

USD

1,722,895

CITI

**

6/16/2021

(19,906)

KRW

1,920,422,499

USD

1,722,897

JPMC

**

6/16/2021

(19,909)

MXN

511,000

USD

24,884

CITI

6/16/2021

(85)

MXN

511,000

USD

24,884

JPMC

6/16/2021

(85)

NOK

23,109,503

USD

2,725,490

CITI

6/16/2021

(23,727)

NOK

23,109,497

USD

2,725,492

JPMC

6/16/2021

(23,730)

NZD

1,287,500

USD

934,701

CITI

6/16/2021

(35,670)

NZD

1,287,500

USD

934,702

JPMC

6/16/2021

(35,672)

PHP

4,540,126

USD

93,275

CITI

**

6/16/2021

(368)

PHP

4,540,124

USD

93,275

JPMC

**

6/16/2021

(368)

PLN

1,708,000

USD

435,932

CITI

6/16/2021

(3,579)

PLN

1,708,000

USD

435,932

JPMC

6/16/2021

(3,580)

SEK

45,151,500

USD

5,394,262

CITI

6/16/2021

(220,805)

SEK

45,151,500

USD

5,394,269

JPMC

6/16/2021

(220,809)

SGD

5,017,003

USD

3,779,186

CITI

6/16/2021

(50,903)

SGD

5,016,997

USD

3,779,186

JPMC

6/16/2021

(50,907)

TWD

52,699,006

USD

1,916,620

CITI

**

6/16/2021

(51,163)

TWD

52,698,994

USD

1,916,622

JPMC

**

6/16/2021

(51,166)

USD

1,249,997

AUD

1,646,500

CITI

6/16/2021

(1,000)

USD

1,249,995

AUD

1,646,500

JPMC

6/16/2021

(1,002)

USD

484,926

BRL

2,792,500

CITI

**

6/16/2021

(8,655)

USD

484,925

BRL

2,792,500

JPMC

**

6/16/2021

(8,656)

USD

3,547,074

CAD

4,478,129

CITI

6/16/2021

(16,662)

USD

3,547,064

CAD

4,478,121

JPMC

6/16/2021

(16,668)

USD

190,217

CLP

138,679,000

CITI

**

6/16/2021

(2,364)

USD

190,216

CLP

138,679,000

JPMC

**

6/16/2021

(2,364)

USD

33,414

COP

123,038,503

CITI

**

6/16/2021

(120)

USD

33,414

COP

123,038,497

JPMC

**

6/16/2021

(121)

USD

144,459

GBP

105,000

CITI

6/16/2021

(327)

USD

144,458

GBP

105,000

JPMC

6/16/2021

(327)

22

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

135,849

HUF

42,082,500

CITI

6/16/2021

$

(272)

USD

135,849

HUF

42,082,500

JPMC

6/16/2021

(272)

USD

719,075

INR

53,446,500

CITI

**

6/16/2021

(2,837)

USD

719,074

INR

53,446,500

JPMC

**

6/16/2021

(2,837)

USD

1,379,931

KRW

1,563,618,500

CITI

**

6/16/2021

(6,652)

USD

1,379,929

KRW

1,563,618,500

JPMC

**

6/16/2021

(6,653)

USD

1,894,828

MXN

39,758,500

CITI

6/16/2021

(34,767)

USD

1,894,825

MXN

39,758,500

JPMC

6/16/2021

(34,768)

USD

542,875

NOK

4,657,470

CITI

6/16/2021

(1,636)

USD

542,875

NOK

4,657,470

JPMC

6/16/2021

(1,637)

USD

708,013

NZD

1,015,500

CITI

6/16/2021

(1,087)

USD

708,012

NZD

1,015,500

JPMC

6/16/2021

(1,087)

USD

147,275

PHP

7,226,000

CITI

**

6/16/2021

(593)

USD

147,275

PHP

7,226,000

JPMC

**

6/16/2021

(594)

USD

885,356

SGD

1,193,000

CITI

6/16/2021

(1,199)

USD

885,355

SGD

1,193,000

JPMC

6/16/2021

(1,200)

USD

428,299

TWD

12,125,500

CITI

**

6/16/2021

(923)

USD

428,299

TWD

12,125,500

JPMC

**

6/16/2021

(923)

USD

997,123

ZAR

15,089,504

CITI

6/17/2021

(15,161)

USD

997,121

ZAR

15,089,496

JPMC

6/17/2021

(15,162)

ZAR

8,614,252

USD

584,192

CITI

6/17/2021

(6,303)

ZAR

8,614,248

USD

584,193

JPMC

6/17/2021

(6,303)

Total

unrealized

depreciation

(4,751,346)

Net

unrealized

depreciation

$

(164,853)

**

Non-deliverable

forward.

23

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

122.1%

COMMON

STOCKS

-

35.4%

Airlines

-

0.0%

(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)

*(b)

15,190

116,203

Sun

Country

Airlines

Holdings,

Inc.

*

4,146

142,125

258,328

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

*

17,287

172,351

PNBK

Holdings

LLC,

Class

A

(3)*(c)(d)

2,090,900

478,189

PNBK

Holdings

LLC,

Class

B

(3)*(c)(d)

3,218

–

650,540

Beverages

-

0.0%

(a)

Duckhorn

Portfolio,

Inc.

(The)

*

277

4,648

Biotechnology

-

0.0%

(a)

Adagene

,

Inc.,

ADR

(China)

*

488

8,760

Bolt

Biotherapeutics

,

Inc.

*

279

9,182

Cullinan

Oncology,

Inc.

*

235

9,792

Decibel

Therapeutics,

Inc.

*

488

5,544

Edgewise

Therapeutics,

Inc.

*

835

27,138

Finch

Therapeutics

Group,

Inc.

*

1,385

22,035

Gracell

Biotechnologies,

Inc.,

ADR

(China)

*

1,646

25,348

Immunocore

Holdings

plc,

ADR

(United

Kingdom)

*

496

21,115

Instil

Bio,

Inc.

*

1,213

30,422

LAVA

Therapeutics

NV

(Netherlands)

*

1,111

16,876

Olink

Holding

AB,

ADR

(Sweden)

*

278

10,008

Precigen

,

Inc.

*(b)

17,632

121,485

Sana

Biotechnology,

Inc.

*

318

10,643

318,348

Building

Products

-

0.0%

(a)

Hayward

Holdings,

Inc.

*

20,747

350,209

Capital

Markets

-

27.5%

26

Capital

Acquisition

Corp.,

Class

A

*

148,400

1,439,480

890

5th

Avenue

Partners,

Inc.

*

1

10

890

5th

Avenue

Partners,

Inc.,

Class

A

*

82,665

801,024

Accelerate

Acquisition

Corp.

*

470,000

4,667,100

Ackrell

Spac

Partners

I

Co.

*

73,575

746,786

Adit

EdTech

Acquisition

Corp.

*

82,500

794,475

Advanced

Merger

Partners,

Inc.

*

82,400

824,000

Aequi

Acquisition

Corp.,

Class

A

*

150,000

1,447,500

AF

Acquisition

Corp.

*

378,584

3,732,838

Alkuri

Global

Acquisition

Corp.

*

145,981

1,442,292

American

Acquisition

Opportunity,

Inc.

*

117,000

1,170,000

Anzu

Special

Acquisition

Corp.

I

*

206,667

2,062,537

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.5%

(continued)

Archimedes

Tech

SPAC

Partners

Co.

*

132,000

1,305,480

Arrowroot

Acquisition

Corp.

*

83,000

825,020

Astrea

Acquisition

Corp.

*

82,666

819,220

Athena

Technology

Acquisition

Corp.

*

131,733

1,302,839

Athlon

Acquisition

Corp.,

Class

A

*

82,666

796,900

Atlantic

Avenue

Acquisition

Corp.

*

292,000

2,943,360

Atlantic

Coastal

Acquisition

Corp.

*

685,417

6,751,357

Atlas

Crest

Investment

Corp.

II

*

82,467

825,082

Aurora

Acquisition

Corp.

(United

Kingdom)

*

37,500

388,125

Authentic

Equity

Acquisition

Corp.,

Class

A

*

82,532

799,735

B

Riley

Principal

150

Merger

Corp.

*

83,333

833,330

Bite

Acquisition

Corp.

*

83,200

821,184

BOA

Acquisition

Corp.

*

81,964

812,263

Bright

Lights

Acquisition

Corp.,

Class

A

*

64,000

614,400

Broadscale

Acquisition

Corp.

*

82,667

819,230

Build

Acquisition

Corp.

*

405,000

3,997,350

CA

Healthcare

Acquisition

Corp.

*

82,600

817,740

Capstar

Special

Purpose

Acquisition

Corp.,

Class

A

*

100,000

976,000

Carney

Technology

Acquisition

Corp.

II

*

489,429

4,855,136

CC

Neuberger

Principal

Holdings

II,

Class

A

*

58,200

573,852

CF

Acquisition

Corp.

IV,

Class

A

*

235,500

2,300,835

CF

Acquisition

Corp.

V

*

83,100

829,338

CF

Acquisition

Corp.

VI

*

111,000

1,098,900

CF

Acquisition

Corp.

VIII

*

194,000

1,924,480

Churchill

Capital

Corp.

VI

*

83,000

834,980

Churchill

Capital

Corp.

VII

*

83,000

827,510

Clarim

Acquisition

Corp.

*

177,333

1,764,463

Class

Acceleration

Corp.,

Class

Acceleration

*

83,333

824,997

Climate

Real

Impact

Solutions

II

Acquisition

Corp.

*

83,238

832,380

CM

Life

Sciences

II,

Inc.

*

7,400

94,720

Colicity

,

Inc.

*

114,546

1,156,915

Compute

Health

Acquisition

Corp.

*

92,402

932,336

Concord

Acquisition

Corp.,

Class

A

*

287,324

2,810,029

Conx

Corp.,

Class

A

*

50,000

498,500

Corner

Growth

Acquisition

Corp.,

Class

A

*

150,000

1,468,500

Crucible

Acquisition

Corp.

*

2

21

D

&

Z

Media

Acquisition

Corp.

*

82,360

814,540

DD3

Acquisition

Corp.

II

(Mexico)

*

73,575

754,880

Decarbonization

Plus

Acquisition

Corp.

II

*

82,778

832,747

Decarbonization

Plus

Acquisition

Corp.

III

*

488,000

4,860,480

DHB

Capital

Corp.

*

148,000

1,465,200

DiamondHead

Holdings

Corp.

*

82,800

820,548

24

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.5%

(continued)

Digital

Transformation

Opportunities

Corp.

*

82,933

819,378

dMY

Technology

Group,

Inc.

IV

*

83,000

833,337

DPCM

Capital,

Inc.

*

2

21

E.Merge

Technology

Acquisition

Corp.

*

2

20

E.Merge

Technology

Acquisition

Corp.,

Class

A

*

64,998

633,730

ECP

Environmental

Growth

Opportunities

Corp.

*

82,467

827,144

Edify

Acquisition

Corp.,

Class

A

*

83,100

801,915

Empowerment

&

Inclusion

Capital

I

Corp.,

Class

A

*

79,666

770,370

Environmental

Impact

Acquisition

Corp.

*

83,250

840,825

Epiphany

Technology

Acquisition

Corp.

*

2

20

EQ

Health

Acquisition

Corp.

*

87,656

868,671

Equity

Distribution

Acquisition

Corp.

*

1

10

Equity

Distribution

Acquisition

Corp.,

Class

A

*

150,000

1,486,500

Evo

Acquisition

Corp.

*

19,320

191,848

Executive

Network

Partnering

Corp.,

Class

A

*

192,500

1,871,100

FAST

Acquisition

Corp.

II

*

97,000

964,180

Figure

Acquisition

Corp.

I

*

118,800

1,202,256

FinServ

Acquisition

Corp.

II

*

83,167

828,759

Fintech

Acquisition

Corp.

V

*

1

12

First

Reserve

Sustainable

Growth

Corp.

(2)*

82,500

823,350

FirstMark

Horizon

Acquisition

Corp.,

Class

A

*

102,700

1,027,000

Flame

Acquisition

Corp.

*

131,733

1,308,109

Foresight

Acquisition

Corp.

*

135,407

1,345,946

Forest

Road

Acquisition

Corp.

II

*

83,111

827,786

Fortistar

Sustainable

Solutions

Corp.

*

44,567

441,213

Fortress

Value

Acquisition

Corp.

III

*

1

10

Fortress

Value

Acquisition

Corp.

IV

*

289,333

2,864,397

Forum

Merger

IV

Corp.

*

470,000

4,653,000

FoxWayne

Enterprises

Acquisition

Corp.

*

34,500

357,075

FTAC

Parnassus

Acquisition

Corp.

*

176,136

1,749,030

Fusion

Acquisition

Corp.

II

*

83,000

824,190

G&P

Acquisition

Corp.

*

323,333

3,207,463

Gaming

&

Hospitality

Acquisition

Corp.

*

24,622

243,758

GigCapital4,

Inc.

*

99,692

983,960

Glass

Houses

Acquisition

Corp.

*

137,666

1,380,790

Glenfarne

Merger

Corp.

*

164,666

1,633,487

GO

Acquisition

Corp.

*

2

20

GO

Acquisition

Corp.,

Class

A

*

96,000

945,600

Goal

Acquisitions

Corp.

*

84,630

850,531

Golden

Arrow

Merger

Corp.

*

395,200

3,932,240

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.5%

(continued)

Gores

Guggenheim,

Inc.

*

826,667

8,208,803

Gores

Holdings

VII,

Inc.

*

83,333

829,997

Gores

Holdings

VIII,

Inc.

*

83,333

833,330

Gores

Metropoulos

II,

Inc.

*

82,400

833,888

Gores

Technology

Partners

II,

Inc.

*

83,067

828,178

Gores

Technology

Partners,

Inc.

*

82,800

830,484

Group

Nine

Acquisition

Corp.,

Class

A

*

82,812

811,558

Growth

Capital

Acquisition

Corp.

*

96,600

956,340

GS

Acquisition

Holdings

Corp.

II,

Class

A

*

82,000

855,260

GX

Acquisition

Corp.

II

*

413,000

4,101,090

Hamilton

Lane

Alliance

Holdings

I,

Inc.

*

1

10

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

Class

A

*

82,749

806,803

Haymaker

Acquisition

Corp.

III

*

83,147

826,481

Health

Assurance

Acquisition

Corp.

*

2

22

Healthcare

Capital

Corp.

*

101,625

1,003,039

Hennessy

Capital

Investment

Corp.

V

*

82,520

835,102

Hudson

Executive

Investment

Corp.

II

*

83,100

815,211

Hudson

Executive

Investment

Corp.

III

*

206,667

2,050,137

IG

Acquisition

Corp.,

Class

A

*

100,000

988,000

Ignyte

Acquisition

Corp.

*

35,000

350,700

INSU

Acquisition

Corp.

III

(2)*

74,200

739,032

InterPrivate

II

Acquisition

Corp.

*

82,500

815,925

InterPrivate

III

Financial

Partners,

Inc.

*

82,500

813,450

InterPrivate

IV

InfraTech

Partners,

Inc.

*

83,000

820,870

Isleworth

Healthcare

Acquisition

Corp.

*

129,333

1,253,237

JOFF

Fintech

Acquisition

Corp.

*

83,183

827,671

Kadem

Sustainable

Impact

Corp.

*

303,095

3,000,641

Kensington

Capital

Acquisition

Corp.

II

*

82,700

848,502

Khosla

Ventures

Acquisition

Co.

*

82,667

834,937

Khosla

Ventures

Acquisition

Co.

II,

Class

A

*

281,500

2,840,335

Khosla

Ventures

Acquisition

Co.

III,

Class

A

*

370,000

3,696,300

KKR

Acquisition

Holdings

I

Corp.

*

124,000

1,241,240

KL

Acquisition

Corp.

*

2

20

KL

Acquisition

Corp.,

Class

A

*

79,065

770,093

Landcadia

Holdings

IV,

Inc.

*

338,000

3,346,200

Lefteris

Acquisition

Corp.

*

1

10

Lefteris

Acquisition

Corp.,

Class

A

*

76,932

755,472

Liberty

Media

Acquisition

Corp.

*

26,775

286,760

Live

Oak

Mobility

Acquisition

Corp.

*

88,800

886,224

LMF

Acquisition

Opportunities,

Inc.

*

27,333

277,703

Locust

Walk

Acquisition

Corp.

*

79,712

801,106

Longview

Acquisition

Corp.

II

*

185,000

1,857,400

25

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.5%

(continued)

Lux

Health

Tech

Acquisition

Corp.

*

2

21

M3-Brigade

Acquisition

II

Corp.

*

1,240,000

12,300,800

Mason

Industrial

Technology,

Inc.

*

151,556

1,506,467

MCAP

Acquisition

Corp.

*

148,000

1,472,600

MDH

Acquisition

Corp.

*

84,000

834,960

Mission

Advancement

Corp.

*

111,000

1,104,450

Montes

Archimedes

Acquisition

Corp.,

Class

A

*

150,000

1,467,000

Monument

Circle

Acquisition

Corp.

*

82,750

815,915

Motion

Acquisition

Corp.,

Class

A

*

187,836

1,850,185

Mudrick

Capital

Acquisition

Corp.

II,

Class

A

*

200,000

1,970,000

Music

Acquisition

Corp.

(The)

*

46,650

465,567

Newbury

Street

Acquisition

Corp.

*

176,000

1,740,640

NightDragon

Acquisition

Corp.

*

83,333

849,997

Northern

Genesis

Acquisition

Corp.

II

*

82,925

849,152

Northern

Genesis

Acquisition

Corp.

III

*

230,000

2,295,400

Northern

Star

Investment

Corp.

III

*

82,667

822,537

Northern

Star

Investment

Corp.

IV

*

82,667

820,057

Novus

Capital

Corp.

II

*

141,867

1,418,670

OCA

Acquisition

Corp.

*

111,538

1,114,265

Omnichannel

Acquisition

Corp.,

Class

A

*

200,000

1,952,000

One

Equity

Partners

Open

Water

I

Corp.

*

82,325

820,780

Orion

Acquisition

Corp.

*

83,333

832,497

Oyster

Enterprises

Acquisition

Corp.

*

83,000

820,870

Patria

Investments

Ltd.,

Class

A

*

3,709

64,611

Periphas

Capital

Partnering

Corp.

*

76,167

1,869,900

Pine

Island

Acquisition

Corp.

*

1

10

Pine

Island

Acquisition

Corp.,

Class

A

*

97,902

979,999

Pine

Technology

Acquisition

Corp.

*

640,000

6,348,800

Pivotal

Investment

Corp.

III

*

82,833

828,330

Power

&

Digital

Infrastructure

Acquisition

Corp.

*

37,889

383,437

Priveterra

Acquisition

Corp.

*

93,300

927,402

Progress

Acquisition

Corp.

*

83,000

820,870

Property

Solutions

Acquisition

Corp.

II

*

296,400

2,919,540

PropTech

Investment

Corp.

II

*

1

10

PWP

Forward

Acquisition

Corp.

I

*

161,667

1,595,653

Recharge

Acquisition

Corp.,

Class

A

*

150,000

1,467,000

Revolution

Healthcare

Acquisition

Corp.

*

82,533

829,457

Rice

Acquisition

Corp.,

Class

A

*

337,077

3,407,848

Roman

DBDR

Tech

Acquisition

Corp.,

Class

A

*

200,000

1,990,000

Rosecliff

Acquisition

Corp.

I

*

82,667

820,057

Roth

Ch

Acquisition

III

Co.

*

6,267

62,607

Rotor

Acquisition

Corp.

*

1

10

RXR

Acquisition

Corp.

*

92,500

911,125

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.5%

(continued)

Sandbridge

X2

Corp.

*

82,500

824,175

Science

Strategic

Acquisition

Corp.

Alpha

*

82,482

819,871

SCP

&

CO

Healthcare

Acquisition

Co.

*

83,125

828,756

Seven

Oaks

Acquisition

Corp.

*

135,500

1,380,745

Silver

Spike

Acquisition

Corp.

II

*

80,000

795,200

SilverBox

Engaged

Merger

Corp.

I

*

97,917

970,357

Simon

Property

Group

Acquisition

Holdings,

Inc.

*

83,000

834,150

Social

Leverage

Acquisition

Corp.

I

*

82,667

822,537

Spartacus

Acquisition

Corp.,

Class

A

*

150,000

1,483,500

Spartan

Acquisition

Corp.

III

*

82,778

830,263

SportsTek

Acquisition

Corp.

*

137,400

1,365,756

Star

Peak

Corp.

II

*

1

10

Star

Peak

Corp.

II,

Class

A

*

63,756

644,573

Stratim

Cloud

Acquisition

Corp.

*

444,000

4,440,000

Sustainable

Development

Acquisition

I

Corp.

*

83,673

830,873

Tastemaker

Acquisition

Corp.,

Class

A

*

144,166

1,404,177

TCW

Special

Purpose

Acquisition

Corp.

*

413,333

4,112,663

Tech

and

Energy

Transition

Corp.

*

370,000

3,700,000

Thimble

Point

Acquisition

Corp.

*

82,833

828,330

Thunder

Bridge

Capital

Partners

III,

Inc.

*

84,094

831,690

Tishman

Speyer

Innovation

Corp.

II

*

83,167

833,333

TLG

Acquisition

One

Corp.

*

83,183

825,175

Tribe

Capital

Growth

Corp.

I

*

258,067

2,593,573

Tuscan

Holdings

Corp.

II

*

40,000

403,600

TWC

Tech

Holdings

II

Corp.

*

2

20

TWC

Tech

Holdings

II

Corp.,

Class

A

*

100,000

984,000

Twelve

Seas

Investment

Co.

II

*

98,800

973,180

USHG

Acquisition

Corp.

*

82,600

830,130

VectoIQ

Acquisition

Corp.

II,

Class

A

*

157,000

1,557,440

Velocity

Acquisition

Corp.

*

82,625

814,683

Vinci

Partners

Investments

Ltd.,

Class

A

(Brazil)

*

2,482

32,638

Virtuoso

Acquisition

Corp.,

Class

A

*

96,250

924,962

VPC

Impact

Acquisition

Holdings

II

*

106,667

1,051,737

VPC

Impact

Acquisition

Holdings

III,

Inc.

*

106,667

1,052,803

Warburg

Pincus

Capital

Corp.

I-B

*

60,000

598,800

Warrior

Technologies

Acquisition

Co.

*

82,833

820,047

Yellowstone

Acquisition

Co.,

Class

A

*

150,000

1,498,500

Z-Work

Acquisition

Corp.

*

82,667

825,843

283,289,142

26

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Commercial

Services

&

Supplies

-

0.0%

(a)

Driven

Brands

Holdings,

Inc.

*

2,478

62,991

Distributors

-

0.0%

(a)

ThredUp

,

Inc.,

Class

A

*

278

6,486

Diversified

Consumer

Services

-

0.0%

(a)

Coursera,

Inc.

*

2,574

115,830

Electrical

Equipment

-

0.1%

Shoals

Technologies

Group,

Inc.,

Class

A

*

24,729

860,075

Electronic

Equipment,

Instruments

&

Components

-

0.3%

FLIR

Systems,

Inc.

47,235

2,667,360

Entertainment

-

0.2%

Live

Nation

Entertainment,

Inc.

*(b)

26,386

2,233,575

Playtika

Holding

Corp.

*

2,439

66,365

2,299,940

Health

Care

Equipment

&

Supplies

-

0.1%

Bioventus

,

Inc.,

Class

A

*

122

1,864

Lucira

Health,

Inc.

*

3,958

47,892

Ortho

Clinical

Diagnostics

Holdings

plc

*

49,638

957,765

Talis

Biomedical

Corp.

*

974

12,516

1,020,037

Health

Care

Providers

&

Services

-

0.0%

(a)

Apria,

Inc.

*

2,436

68,037

Innovage

Holding

Corp.

*

3,972

102,438

Signify

Health,

Inc.,

Class

A

*

6,091

178,223

348,698

Hotels,

Restaurants

&

Leisure

-

0.6%

Great

Canadian

Gaming

Corp.

(Canada)

*

183,064

6,303,158

Household

Durables

-

0.1%

Dream

Finders

Homes,

Inc.,

Class

A

*

2,473

59,525

Vizio

Holding

Corp.,

Class

A

*

20,826

505,031

564,556

Insurance

-

0.0%

(a)

Oscar

Health,

Inc.,

Class

A

*

5,296

142,356

Interactive

Media

&

Services

-

0.0%

(a)

Bumble,

Inc.,

Class

A

*

6,091

379,957

Internet

&

Direct

Marketing

Retail

-

1.4%

Alibaba

Group

Holding

Ltd.,

ADR

(China)

*(b)

3,910

886,514

Booking

Holdings,

Inc.

*(b)

2,432

5,666,171

Etsy,

Inc.

*(b)

12,470

2,514,825

Grubhub

,

Inc.

*

92,529

5,551,740

Poshmark

,

Inc.,

Class

A

*

1,470

59,682

14,678,932

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

0.1%

Affirm

Holdings,

Inc.

*

4,902

346,669

DigitalOcean

Holdings,

Inc.

*

2,081

87,673

TELUS

International

CDA,

Inc.

(Philippines)

*

3,743

104,729

539,071

Life

Sciences

Tools

&

Services

-

0.1%

Illumina,

Inc.

*(b)

2,310

887,179

Machinery

-

0.2%

Desktop

Metal,

Inc.,

Class

A

*

163,698

2,439,100

Media

-

2.0%

Discovery,

Inc.,

Class

A

*

122,944

5,343,146

Shaw

Communications,

Inc.,

Class

B

(Canada)

401,924

10,451,879

ViacomCBS

,

Inc.

107,063

4,828,541

Zhihu

,

Inc.,

ADR

(China)

*

5,568

45,157

20,668,723

Oil,

Gas

&

Consumable

Fuels

-

0.3%

Seven

Generations

Energy

Ltd.,

Class

A

(Canada)

*

410,926

2,779,399

Pharmaceuticals

-

0.3%

4d

pharma

plc,

ADR

(United

Kingdom)

*

11,767

139,204

Achilles

Therapeutics

plc,

ADR

(United

Kingdom)

*

1,287

21,300

Aphria

,

Inc.

(Canada)

*

11,242

206,515

GW

Pharmaceuticals

plc,

ADR

(United

Kingdom)

*

13,044

2,829,244

Pharvaris

NV

(Netherlands)

*

620

17,397

Prometheus

Biosciences,

Inc.

*

277

5,058

Terns

Pharmaceuticals,

Inc.

*

620

13,640

3,232,358

Real

Estate

Management

&

Development

-

0.1%

CA

Immobilien

Anlagen

AG

(Austria)

(2)

32,107

1,359,616

Semiconductors

&

Semiconductor

Equipment

-

1.1%

Dialog

Semiconductor

plc

(United

Kingdom)

(2)*

142,090

10,712,879

Software

-

0.1%

ACV

Auctions,

Inc.,

Class

A

*

1,388

48,039

Alignment

Healthcare,

Inc.

*

2,784

61,053

Cloopen

Group

Holding

Ltd.,

ADR

(China)

*

1,464

20,101

Olo

,

Inc.,

Class

A

*

2,764

72,942

ON24,

Inc.

*

4,990

242,065

Qualtrics

International,

Inc.,

Class

A

*

3,783

124,498

SEMrush

Holdings,

Inc.,

Class

A

*

1,388

16,531

Tuya

,

Inc.,

ADR

(China)

*

138

2,917

Viant

Technology,

Inc.,

Class

A

*

2,654

140,370

728,516

27

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

0.1%

Cricut

,

Inc.,

Class

A

*

6,942

137,382

JOANN,

Inc.

*

20,747

210,582

MYT

Netherlands

Parent

BV,

ADR

(Germany)

*

7,896

223,141

Petco

Health

&

Wellness

Co.,

Inc.

*

24,499

542,898

1,114,003

Thrifts

&

Mortgage

Finance

-

0.5%

Sagen

MI

Canada,

Inc.

(Canada)

136,766

4,728,641

Tobacco

-

0.0%

(a)

RLX

Technology,

Inc.,

ADR

(China)

*

6,182

64,045

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited

(3)*(c)(d)

1

1,243,246

TOTAL

COMMON

STOCKS

(Cost

$365,948,178)

364,818,367

CONVERTIBLE

PREFERRED

STOCKS

-

0.6%

Electric

Utilities

-

0.3%

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022

(2)

(b)

50,000

2,870,000

Gas

Utilities

-

0.1%

South

Jersey

Industries,

Inc.

$50

par,

8.75%,

4/1/2024

(2)

(b)

21,525

1,069,577

Media

-

0.1%

ViacomCBS

,

Inc.

Series

A,

$100

par,

5.75%,

4/1/2024

(2)(b)

16,950

1,138,193

Multi-Utilities

-

0.1%

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021

(2)(b)

39,775

1,661,004

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$7,210,715)

6,738,774

CLOSED

END

FUNDS

-

2.0%

Advent

Convertible

and

Income

Fund

59,566

1,052,531

Apollo

Tactical

Income

Fund,

Inc.

12,110

180,197

Barings

Global

Short

Duration

High

Yield

Fund

21,408

344,241

BlackRock

California

Municipal

Income

Trust

2,946

42,305

BlackRock

Energy

and

Resources

Trust

19,432

172,556

BlackRock

Enhanced

Capital

and

Income

Fund,

Inc.

18,116

349,820

BlackRock

Enhanced

Equity

Dividend

Trust

19,605

185,463

BlackRock

MuniHoldings

Fund,

Inc.

6,670

106,720

BlackRock

MuniVest

Fund,

Inc.

27,616

256,829

BlackRock

MuniYield

Fund,

Inc.

28,416

407,770

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

2.0%

(continued)

BlackRock

MuniYield

Investment

Fund

1,792

24,980

BlackRock

MuniYield

New

Jersey

Fund,

Inc.

5,408

78,470

BlackRock

MuniYield

Pennsylvania

Quality

Fund

3,696

54,479

Blackstone

Long-Short

Credit

Income

Fund

22,235

314,403

Blackstone

Senior

Floating

Rate

Term

Fund

22,314

347,206

Blackstone

Strategic

Credit

Fund

26,202

349,273

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

9,938

77,815

Boulder

Growth

&

Income

Fund,

Inc.

64,164

807,183

Calamos

Convertible

and

High

Income

Fund

45,497

678,360

Calamos

Convertible

Opportunities

and

Income

Fund

42,261

600,951

Central

Securities

Corp.

5,069

192,166

Clough

Global

Equity

Fund

17,911

272,068

Clough

Global

Opportunities

Fund

18,406

225,474

Delaware

Investments

Minnesota

Municipal

Income

Fund

II,

Inc.

5,333

70,342

DoubleLine

Income

Solutions

Fund

9,556

173,537

DTF

Tax-Free

Income,

Inc.

4,626

66,383

DWS

Municipal

Income

Trust

3,952

46,041

DWS

Strategic

Municipal

Income

Trust

3,826

45,262

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

12,415

237,002

Eaton

Vance

Tax-Advantaged

Global

Dividend

Opportunities

Fund

5,622

147,690

Federated

Hermes

Premier

Municipal

Income

Fund

6,250

90,813

First

Trust

Dynamic

Europe

Equity

Income

Fund

45,161

573,545

First

Trust

Energy

Income

and

Growth

Fund

31,642

423,686

Gabelli

Dividend

&

Income

Trust

(The)

38,842

930,654

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

1,851

23,063

GAMCO

Natural

Resources

Gold

&

Income

Trust

15,220

76,404

GDL

Fund

(The)

7,091

63,323

Guggenheim

Enhanced

Equity

Income

Fund

107,622

775,955

Invesco

Pennsylvania

Value

Municipal

Income

Trust

7,579

98,906

Invesco

Trust

for

Investment

Grade

New

York

Municipals

11,477

150,463

John

Hancock

Tax-Advantaged

Dividend

Income

Fund

430

10,101

KKR

Income

Opportunities

Fund

32,793

518,785

LMP

Capital

and

Income

Fund,

Inc.

43,420

551,434

Macquarie

Global

Infrastructure

Total

Return

Fund,

Inc.

22,421

490,123

28

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

2.0%

(continued)

MFS

Municipal

Income

Trust

37,782

257,673

Miller/Howard

High

Dividend

Fund

25,084

240,806

New

Germany

Fund,

Inc.

(The)

913

18,050

Nuveen

AMT-Free

Municipal

Value

Fund

2,460

40,541

Nuveen

California

Municipal

Value

Fund

558

5,703

Nuveen

Core

Equity

Alpha

Fund

1,990

30,268

Nuveen

Diversified

Dividend

and

Income

Fund

26,878

254,803

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

44,593

724,636

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

12,846

186,010

Nuveen

Real

Asset

Income

and

Growth

Fund

1,758

25,878

Nuveen

Real

Estate

Income

Fund

39,219

376,110

Nuveen

S&P

500

Buy-Write

Income

Fund

48,768

657,393

Nuveen

S&P

500

Dynamic

Overwrite

Fund

9,857

162,936

Nuveen

Short

Duration

Credit

Opportunities

Fund

13,402

189,236

Nuveen

Tax-Advantaged

Dividend

Growth

Fund

29,681

448,480

Nuveen

Tax-Advantaged

Total

Return

Strategy

Fund

26,020

279,455

Nuveen

Virginia

Quality

Municipal

Income

Fund

6,632

108,102

PIMCO

New

York

Municipal

Income

Fund

II

1,105

12,453

Principal

Real

Estate

Income

Fund

987

13,329

RiverNorth

Opportunistic

Municipal

Income

Fund,

Inc.

4,832

106,159

Royce

Micro-Cap

Trust,

Inc.

54,973

621,195

Royce

Value

Trust,

Inc.

28,719

520,101

Sprott

Focus

Trust,

Inc.

9,913

77,619

Swiss

Helvetia

Fund,

Inc.

(The)

4,062

35,705

Tri-Continental

Corp.

11,831

383,679

Virtus

AllianzGI

Convertible

&

Income

Fund

65,953

373,294

Virtus

AllianzGI

Convertible

&

Income

Fund

II

152,062

757,269

Virtus

AllianzGI

Diversified

Income

&

Convertible

Fund

6,104

191,849

Virtus

AllianzGI

Equity

&

Convertible

Income

Fund

17,901

501,407

Voya

Global

Advantage

and

Premium

Opportunity

Fund

18,754

179,476

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

7,981

45,492

Western

Asset

Intermediate

Muni

Fund,

Inc.

15,288

142,026

Western

Asset

Managed

Municipals

Fund,

Inc.

29,671

385,426

Western

Asset

Municipal

Partners

Fund,

Inc.

2,742

42,007

TOTAL

CLOSED

END

FUNDS

(Cost

$16,583,500)

21,079,338

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

CORPORATE

BONDS

-

0.7%

Auto

Components

-

0.1%

Goodyear

Tire

&

Rubber

Co.

(The)

5.25%,

4/30/2031

(2)

$

1,500,000

1,500,000

Diversified

Financial

Services

-

0.1%

Element

Fleet

Management

Corp.

(Canada)

1.60%,

4/6/2024

(2)(e)

750,000

749,123

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2021

(3)(c)(f)

2,375,000

344,375

Insurance

-

0.1%

GA

Global

Funding

Trust

1.00%,

4/8/2024

(2)(e)

750,000

749,160

Met

Tower

Global

Funding

0.70%,

4/5/2024

(2)(e)

228,000

227,906

977,066

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(c)(d)(f)

2,833,436

158,788

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2021

(3)(c)(g)

3,958,260

257,829

Vine

Energy

Holdings

LLC

6.75%,

4/15/2029

(2)(e)

757,000

757,000

1,173,617

Real

Estate

Management

&

Development

-

0.2%

Hunt

Cos.,

Inc.

5.25%,

4/15/2029

(2)(e)

2,270,000

2,270,000

TOTAL

CORPORATE

BONDS

(Cost

$10,162,068)

7,014,181

CONVERTIBLE

BONDS

-

43.8%

Airlines

-

5.1%

American

Airlines

Group,

Inc.

6.50%,

7/1/2025

(2)(b)

12,225,000

20,996,437

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024

(2)(b)(e)

1,025,000

843,939

Southwest

Airlines

Co.

1.25%,

5/1/2025

(2)(b)

17,875,000

30,689,141

52,529,517

Automobiles

-

0.0%

(a)

Winnebago

Industries,

Inc.

1.50%,

4/1/2025

(2)(b)

150,000

207,750

Biotechnology

-

2.2%

Avid

SPV

LLC

1.25%,

3/15/2026

(2)(b)(e)

2,300,000

2,441,013

BioMarin

Pharmaceutical,

Inc.

1.25%,

5/15/2027

(2)(b)(e)

825,000

808,995

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

2,075,000

3,613,197

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024

(2)(b)

1,400,000

1,537,315

1.50%,

6/15/2026

(2)(b)

5,400,000

6,095,164

MannKind

Corp.

2.50%,

3/1/2026

(2)(b)(e)

3,125,000

3,152,344

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(b)

2,550,000

2,175,805

29

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Biotechnology

-

2.2%

(continued)

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026

(2)(b)(e)

$

2,050,000

2,387,225

22,211,058

Communications

Equipment

-

0.7%

Harmonic,

Inc.

2.00%,

9/1/2024

(2)(b)

2,225,000

2,500,455

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)

2,925,000

4,223,193

6,723,648

Consumer

Finance

-

0.8%

EZCORP,

Inc.

2.88%,

7/1/2024

(2)(b)

475,000

435,243

2.38%,

5/1/2025

(2)(b)

1,025,000

829,609

LendingTree

,

Inc.

0.50%,

7/15/2025

(2)(b)(e)

7,500,000

6,801,562

8,066,414

Diversified

Financial

Services

-

0.1%

Element

Fleet

Management

Corp.

(Canada)

4.25%,

6/30/2024

(2)(b)

CAD

1,100,000

1,120,395

Diversified

Telecommunication

Services

-

0.3%

Bandwidth,

Inc.

0.50%,

4/1/2028

(2)(b)(e)

$

2,625,000

2,546,250

Electrical

Equipment

-

1.3%

Plug

Power,

Inc.

3.75%,

6/1/2025

(2)(b)(e)

1,825,000

12,991,311

Electronic

Equipment,

Instruments

&

Components

-

0.5%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025

(2)(b)

1,375,000

2,020,185

OSI

Systems,

Inc.

1.25%,

9/1/2022

(2)(b)

2,900,000

3,126,562

5,146,747

Energy

Equipment

&

Services

-

0.1%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023

(2)(b)

1,125,000

1,076,166

Entertainment

-

0.1%

IMAX

Corp.

0.50%,

4/1/2026

(2)(b)(e)

1,175,000

1,161,840

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.5%

CorEnergy

Infrastructure

Trust,

Inc.

5.88%,

8/15/2025

(2)(b)

2,300,000

2,099,101

GEO

Corrections

Holdings,

Inc.

6.50%,

2/23/2026

(2)(b)(e)

3,300,000

3,445,959

5,545,060

Food

&

Staples

Retailing

-

0.1%

Chefs'

Warehouse,

Inc.

(The)

1.88%,

12/1/2024

(2)(b)(e)

1,025,000

1,035,014

Food

Products

-

0.5%

Beyond

Meat,

Inc.

0.00%,

3/15/2027

(2)(b)(e)

5,175,000

4,945,359

Health

Care

Equipment

&

Supplies

-

1.2%

Cutera

,

Inc.

2.25%,

3/15/2026

(2)(b)(e)

2,650,000

2,976,215

Envista

Holdings

Corp.

2.38%,

6/1/2025

(2)(b)(e)

1,325,000

2,711,347

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Health

Care

Equipment

&

Supplies

-

1.2%

(continued)

Haemonetics

Corp.

0.00%,

3/1/2026

(2)(b)(e)

$

2,575,000

2,439,812

NuVasive

,

Inc.

1.00%,

6/1/2023

(2)(b)(e)

50,000

52,969

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)(e)

3,100,000

3,811,063

11,991,406

Health

Care

Providers

&

Services

-

1.7%

Accolade,

Inc.

0.50%,

4/1/2026

(2)(b)(e)

1,800,000

1,969,875

Anthem,

Inc.

2.75%,

10/15/2042

(2)(b)

1,279,000

6,409,453

Oak

Street

Health,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

9,575,000

9,572,542

17,951,870

Health

Care

Technology

-

0.5%

Evolent

Health,

Inc.

3.50%,

12/1/2024

(2)(b)(e)

3,300,000

4,389,000

Vocera

Communications,

Inc.

0.50%,

9/15/2026

(2)(b)(e)

1,300,000

1,190,313

5,579,313

Hotels,

Restaurants

&

Leisure

-

5.1%

Airbnb,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

10,500,000

10,962,000

Bloomin

'

Brands,

Inc.

5.00%,

5/1/2025

(2)(b)(e)

975,000

2,353,406

Carnival

Corp.

5.75%,

4/1/2023

(2)(b)(e)

8,850,000

24,833,100

DraftKings

,

Inc.

0.00%,

3/15/2028

(2)(b)(e)

4,100,000

4,056,950

Royal

Caribbean

Cruises

Ltd.

2.88%,

11/15/2023

(2)(b)(e)

8,100,000

10,521,900

52,727,356

Household

Durables

-

0.2%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(b)(e)

1,225,000

1,768,655

Insurance

-

0.1%

HCI

Group,

Inc.

4.25%,

3/1/2037

(2)(b)

1,175,000

1,508,348

Interactive

Media

&

Services

-

1.6%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(b)(e)

2,600,000

2,684,500

JOYY,

Inc.

(China)

1.38%,

6/15/2026

(2)(b)

250,000

294,844

Liberty

TripAdvisor

Holdings,

Inc.

0.50%,

6/30/2051

(2)(b)(e)

2,550,000

2,540,802

TripAdvisor,

Inc.

0.25%,

4/1/2026

(2)(b)(e)

2,375,000

2,487,812

Twitter,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

9,475,000

8,953,875

16,961,833

Internet

&

Direct

Marketing

Retail

-

1.9%

Groupon,

Inc.

1.13%,

3/15/2026

(2)(b)(e)

4,250,000

4,252,656

Magnite

,

Inc.

0.25%,

3/15/2026

(2)(b)(e)

7,450,000

7,152,123

30

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

1.9%

(continued)

Match

Group

Financeco

3,

Inc.

2.00%,

1/15/2030

(2)(b)(e)

$

4,675,000

8,344,875

19,749,654

IT

Services

-

1.7%

Fastly

,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

2,975,000

2,973,141

Limelight

Networks,

Inc.

3.50%,

8/1/2025

(2)(b)(e)

725,000

664,825

Okta

,

Inc.

0.38%,

6/15/2026

(2)(b)(e)

2,850,000

3,323,812

Spotify

USA,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

9,000,000

8,536,500

Square,

Inc.

0.00%,

5/1/2026

(2)(b)(e)

1,450,000

1,615,880

17,114,158

Media

-

1.8%

Cable

One,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

7,050,000

6,972,450

1.13%,

3/15/2028

(2)(b)(e)

3,100,000

3,123,250

DISH

Network

Corp.

0.00%,

12/15/2025

(2)(b)(e)

8,075,000

8,543,350

18,639,050

Oil,

Gas

&

Consumable

Fuels

-

1.3%

CNX

Resources

Corp.

2.25%,

5/1/2026

(2)(b)(e)

2,180,000

2,945,834

EQT

Corp.

1.75%,

5/1/2026

(2)(b)(e)

4,175,000

6,132,240

Scorpio

Tankers,

Inc.

(Monaco)

3.00%,

5/15/2025

(2)(b)(e)

2,100,000

2,058,000

SFL

Corp.

Ltd.

(Norway)

5.75%,

10/15/2021

(2)(b)

2,600,000

2,600,000

13,736,074

Pharmaceuticals

-

0.6%

Omeros

Corp.

5.25%,

2/15/2026

(2)(b)

4,725,000

5,853,330

Tilray

,

Inc.

(Canada)

5.00%,

10/1/2023

(2)(b)

400,000

367,250

6,220,580

Real

Estate

Management

&

Development

-

0.5%

Colliers

International

Group,

Inc.

(Canada)

4.00%,

6/1/2025

(2)(b)(e)

750,000

1,377,187

Redfin

Corp.

0.00%,

10/15/2025

(2)(b)(e)

850,000

993,969

0.50%,

4/1/2027

(2)(b)(e)

3,100,000

3,158,125

5,529,281

Semiconductors

&

Semiconductor

Equipment

-

5.7%

Canadian

Solar,

Inc.

(Canada)

2.50%,

10/1/2025

(2)(b)(e)

3,450,000

5,205,360

Enphase

Energy,

Inc.

0.00%,

3/1/2026

(2)(b)(e)

3,575,000

3,335,475

0.00%,

3/1/2028

(2)(b)(e)

2,400,000

2,213,942

MACOM

Technology

Solutions

Holdings,

Inc.

0.25%,

3/15/2026

(2)(b)(e)

2,550,000

2,578,023

Novellus

Systems,

Inc.

2.63%,

5/15/2041

(2)(b)

2,400,000

45,430,002

58,762,802

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Software

-

7.6%

Blackline,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

$

9,550,000

9,269,469

Ceridian

HCM

Holding,

Inc.

0.25%,

3/15/2026

(2)(b)(e)

11,175,000

10,755,937

Datadog

,

Inc.

0.13%,

6/15/2025

(2)(b)(e)

12,300,000

14,521,687

Dropbox,

Inc.

0.00%,

3/1/2026

(2)(b)(e)

5,450,000

5,603,281

0.00%,

3/1/2028

(2)(b)(e)

5,500,000

5,675,313

Five9,

Inc.

0.50%,

6/1/2025

(2)(b)(e)

1,425,000

1,902,375

i3

Verticals

LLC

1.00%,

2/15/2025

(2)(b)(e)

1,775,000

1,821,594

PROS

Holdings,

Inc.

2.25%,

9/15/2027

(2)(b)(e)

5,425,000

6,811,766

Rapid7,

Inc.

2.25%,

5/1/2025

(2)(b)(e)

800,000

1,133,520

0.25%,

3/15/2027

(2)(b)(e)

1,550,000

1,508,344

RingCentral,

Inc.

0.00%,

3/1/2025

(2)(b)

6,525,000

7,148,953

0.00%,

3/15/2026

(2)(b)(e)

4,475,000

4,525,344

Tyler

Technologies,

Inc.

0.25%,

3/15/2026

(2)(b)(e)

6,775,000

7,177,265

77,854,848

TOTAL

CONVERTIBLE

BONDS

(Cost

$365,102,505)

451,401,757

NO.

OF

RIGHTS

RIGHTS

-

0.1%

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(c)(d)

146,272

94,351

Tobira

Therapeutics,

Inc.,

CVR

(3)*(c)(d)

11,880

138,381

232,732

—

Capital

Markets

-

0.1%

Benessere

Capital

Acquisition

Corp.,

expiring

12/23/2025

*

55,000

17,985

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

200,000

420,000

Breeze

Holdings

Acquisition

Corp.,

expiring

5/23/2022

*

55,000

14,300

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

21,472

GigCapital2,

Inc.,

expiring

2/28/2026

*

153,000

50,490

Greenvision

Acquisition

Corp.,

expiring

10/28/2024

*

170,000

98,600

622,847

—

TOTAL

RIGHTS

(Cost

$–)

855,579

31

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

WARRANTS

-

4.3%

Aerospace

&

Defense

-

0.1%

AerSale

Corp.,

expiring

12/22/2025

*

336,119

736,101

PAE,

Inc.,

expiring

2/10/2025

*

66,666

146,665

882,766

Auto

Components

-

0.0%

(a)

Aeva

Technologies,

Inc.,

expiring

10/29/2024

*

68,750

228,250

Biotechnology

-

0.4%

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

500,000

449,950

DermTech

,

Inc.,

expiring

8/29/2024

*

446,823

3,574,629

Xynomic

Pharmaceuticals

Holdings,

Inc.,

expiring

5/15/2024

(2)*

75,000

5,287

4,029,866

Building

Products

-

0.0%

(a)

View,

Inc.,

expiring

8/1/2027

*

81,546

141,890

Capital

Markets

-

2.4%

10X

Capital

Venture

Acquisition

Corp.,

expiring

10/29/2027

*

84,000

150,360

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

74,200

58,618

7GC

&

Co.

Holdings,

Inc.,

expiring

12/31/2026

*

67,750

51,558

890

5th

Avenue

Partners,

Inc.,

expiring

12/31/2027

*

27,555

22,044

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

*

41,250

20,625

Aequi

Acquisition

Corp.,

expiring

11/30/2027

*

107,000

101,650

Alpha

Healthcare

Acquisition

Corp.,

expiring

2/17/2026

*

70,000

209,300

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*

96,300

162,747

Amplitude

Healthcare

Acquisition

Corp.,

expiring

12/1/2026

*

46,875

38,437

Apex

Technology

Acquisition

Corp.,

expiring

9/30/2026

*

40,000

104,800

Athlon

Acquisition

Corp.,

expiring

3/5/2026

*

41,333

22,237

Atlas

Crest

Investment

Corp.,

expiring

1/31/2026

*

160,000

288,000

Authentic

Equity

Acquisition

Corp.,

expiring

12/31/2027

*

41,266

26,410

Benessere

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

41,250

19,387

Better

World

Acquisition

Corp.,

expiring

11/15/2027

*

49,500

50,985

Big

Cypress

Acquisition

Corp.,

expiring

12/7/2025

*

27,500

16,500

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

100,000

971,000

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

BowX

Acquisition

Corp.,

expiring

12/31/2025

*

94,933

206,954

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*

55,000

35,200

Bright

Lights

Acquisition

Corp.,

expiring

12/31/2027

*

32,000

19,200

Capitol

Investment

Corp.

V,

expiring

12/31/2027

*

116,944

157,874

Capstar

Special

Purpose

Acquisition

Corp.,

expiring

7/9/2027

*

146,000

103,660

Cascade

Acquisition

Corp.,

expiring

11/30/2027

*

103,250

92,925

CBRE

Acquisition

Holdings,

Inc.,

expiring

12/31/2027

*

40,785

37,522

CC

Neuberger

Principal

Holdings

II,

expiring

7/29/2025

*

127,050

139,831

CF

Acquisition

Corp.

IV,

expiring

12/14/2025

*

78,500

70,650

CF

Finance

Acquisition

Corp.

III,

expiring

9/30/2027

*

85,600

119,840

CHP

Merger

Corp.,

expiring

11/22/2024

*

125,000

93,887

Churchill

Capital

Corp.

II,

expiring

7/24/2024

*

23,333

34,300

Churchill

Capital

Corp.

V,

expiring

10/29/2027

*

10,350

13,351

CM

Life

Sciences,

Inc.,

expiring

9/24/2027

*

11,142

56,379

Collective

Growth

Corp.,

expiring

12/31/2024

*

155,150

341,330

Concord

Acquisition

Corp.,

expiring

11/28/2025

*

190,333

171,300

Conx

Corp.,

expiring

10/30/2027

*

92,500

109,150

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*

110,400

109,296

Crescent

Acquisition

Corp.,

expiring

3/7/2024

*

200,000

228,000

Crucible

Acquisition

Corp.,

expiring

12/26/2025

*

26,565

36,925

Decarbonization

Plus

Acquisition

Corp.,

expiring

10/2/2025

*

250,000

467,500

Deerfield

Healthcare

Technology

Acquisitions

Corp.,

expiring

7/16/2025

*

333

966

Delwinds

Insurance

Acquisition

Corp.,

expiring

8/1/2027

*

47,500

25,175

DFP

Healthcare

Acquisitions

Corp.,

expiring

4/1/2025

*

1,875

2,250

dMY

Technology

Group,

Inc.

II,

expiring

7/29/2027

*

37,973

159,714

dMY

Technology

Group,

Inc.

III,

expiring

1/31/2026

*

35,680

82,064

DPCM

Capital,

Inc.,

expiring

10/14/2027

*

127,866

159,832

32

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Dune

Acquisition

Corp.,

expiring

10/29/2027

*

22,884

14,197

E.Merge

Technology

Acquisition

Corp.,

expiring

7/30/2025

*

121,666

115,583

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*

219,000

177,412

Edify

Acquisition

Corp.,

expiring

12/31/2027

*

41,550

20,775

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

19,267

EdtechX

Holdings

Acquisition

Corp.

II,

expiring

6/15/2027

*

40,875

18,398

Empowerment

&

Inclusion

Capital

I

Corp.,

expiring

12/31/2027

*

39,833

19,916

Epiphany

Technology

Acquisition

Corp.,

expiring

12/31/2027

*

65,416

54,295

Equity

Distribution

Acquisition

Corp.,

expiring

9/9/2025

*

94,933

102,528

Executive

Network

Partnering

Corp.,

expiring

9/25/2028

*

95,000

80,037

Experience

Investment

Corp.,

expiring

9/1/2026

*

66,666

166,665

Falcon

Capital

Acquisition

Corp.,

expiring

8/20/2027

*

18,986

29,238

Fast

Acquisition

Corp.,

expiring

8/25/2027

*

193,421

560,921

FinServ

Acquisition

Corp.,

expiring

12/31/2026

*

100,000

345,000

Fintech

Acquisition

Corp.

IV,

expiring

12/31/2025

*

67,730

98,209

Fintech

Acquisition

Corp.

V,

expiring

10/31/2025

*

33,727

80,945

FirstMark

Horizon

Acquisition

Corp.,

expiring

9/26/2025

*

100,900

156,395

Foley

Trasimene

Acquisition

Corp.,

expiring

7/17/2025

*

133,333

213,333

Forest

Road

Acquisition

Corp.,

expiring

12/31/2027

*

38,066

102,398

Fortress

Value

Acquisition

Corp.

II,

expiring

8/10/2027

*

39,872

62,998

Fortress

Value

Acquisition

Corp.

III,

expiring

12/31/2027

*

15,939

16,577

Forum

Merger

III

Corp.,

expiring

8/24/2027

*

151,893

288,597

Fusion

Acquisition

Corp.,

expiring

6/1/2027

*

205,000

237,800

GCM

Grosvenor,

Inc.,

expiring

11/17/2025

*

300,000

351,000

GigCapital2,

Inc.,

expiring

7/1/2024

*

153,000

114,750

GigCapital3,

Inc.,

expiring

7/2/2025

*

270,000

575,100

GO

Acquisition

Corp.,

expiring

8/31/2027

*

189,866

170,879

Golden

Falcon

Acquisition

Corp.,

expiring

11/4/2026

*

64,925

46,097

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Good

Works

Acquisition

Corp.,

expiring

10/22/2025

*

89,133

170,244

Gores

Holdings

V,

Inc.,

expiring

8/10/2027

*

56,960

88,288

Gores

Holdings

VI,

Inc.,

expiring

8/24/2027

*

1,570

6,201

Greenrose

Acquisition

Corp.,

expiring

5/11/2024

*

90,000

74,745

Greenvision

Acquisition

Corp.,

expiring

10/28/2024

*

170,000

168,300

Group

Nine

Acquisition

Corp.,

expiring

1/14/2026

*

27,604

18,495

GS

Acquisition

Holdings

Corp.

II,

expiring

8/20/2025

*

20,500

45,100

GX

Acquisition

Corp.,

expiring

5/24/2026

*

200,000

220,000

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

expiring

1/8/2026

*

27,583

19,046

Health

Assurance

Acquisition

Corp.,

expiring

11/12/2025

*

95,166

246,480

Healthcare

Services

Acquisition

Corp.,

expiring

12/31/2027

*

55,650

34,503

Holicity

,

Inc.,

expiring

8/4/2027

*

113,920

340,621

Hudson

Executive

Investment

Corp.,

expiring

6/21/2025

*

225,500

326,975

HumanCo

Acquisition

Corp.,

expiring

12/31/2027

*

15,277

20,166

Hunter

Maritime

Acquisition

Corp.,

expiring

3/21/2024

*

470,000

1,551

IG

Acquisition

Corp.,

expiring

10/5/2027

*

182,500

175,200

Industrial

Tech

Acquisitions,

Inc.,

expiring

6/8/2027

*

140,000

161,000

Isleworth

Healthcare

Acquisition

Corp.,

expiring

8/2/2027

*

64,666

30,393

Juniper

Industrial

Holdings,

Inc.,

expiring

11/13/2026

*

150,000

412,500

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

*

112,062

59,404

KINS

Technology

Group,

Inc.,

expiring

12/31/2025

*

78,500

51,025

KL

Acquisition

Corp.,

expiring

1/12/2028

*

26,355

17,133

KludeIn

I

Acquisition

Corp.,

expiring

7/8/2027

*

28,833

16,146

Landcadia

Holdings

III,

Inc.,

expiring

10/1/2027

*

320,666

480,999

Lefteris

Acquisition

Corp.,

expiring

10/23/2025

*

185,333

216,840

Legato

Merger

Corp.,

expiring

12/31/2025

*

82,714

39,703

Leisure

Acquisition

Corp.,

expiring

12/28/2022

*

125,000

103,750

LGL

Systems

Acquisition

Corp.,

expiring

11/12/2026

*

14,375

18,112

33

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

LightJump

Acquisition

Corp.,

expiring

12/31/2027

*

27,000

13,500

Lion

Group

Holding

Ltd.,

expiring

4/30/2026

(Hong

Kong)

*

80,000

43,600

Lionheart

Acquisition

Corp.

II,

expiring

2/14/2026

*

299,040

215,309

Live

Oak

Acquisition

Corp.

II,

expiring

12/7/2025

*

59,000

84,370

Lux

Health

Tech

Acquisition

Corp.,

expiring

11/30/2027

*

154,666

230,452

MedTech

Acquisition

Corp.,

expiring

12/18/2025

*

45,166

49,683

Merida

Merger

Corp.

I,

expiring

11/7/2026

*

75,000

87,000

Montes

Archimedes

Acquisition

Corp.,

expiring

12/31/2025

*

253,600

215,560

Motion

Acquisition

Corp.,

expiring

10/2/2027

*

138,461

145,384

Mudrick

Capital

Acquisition

Corp.

II,

expiring

9/10/2027

*

285,500

179,894

NavSight

Holdings,

Inc.,

expiring

1/1/2030

*

284,800

449,984

Nebula

Caravel

Acquisition

Corp.,

expiring

10/1/2025

*

4,494

6,831

New

Beginnings

Acquisition

Corp.,

expiring

11/1/2026

*

54,400

35,686

New

Providence

Acquisition

Corp.,

expiring

9/1/2024

*

100,000

357,000

NewHold

Investment

Corp.,

expiring

3/10/2025

*

166,680

276,689

North

Mountain

Merger

Corp.,

expiring

9/16/2025

*

77,010

84,711

Northern

Genesis

Acquisition

Corp.,

expiring

7/31/2027

*

90,687

539,588

Northern

Star

Acquisition

Corp.,

expiring

8/29/2025

*

273,666

823,735

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

*

16,500

22,605

Omnichannel

Acquisition

Corp.,

expiring

12/30/2027

*

285,500

228,486

Osprey

Technology

Acquisition

Corp.,

expiring

12/30/2024

*

75,000

126,750

OTR

Acquisition

Corp.,

expiring

12/31/2025

*

54,347

33,152

Pershing

Square

Tontine

Holdings

Ltd.,

expiring

7/24/2025

*

22,500

183,375

Pine

Island

Acquisition

Corp.,

expiring

10/29/2027

*

190,333

275,983

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

*

146,000

112,420

Population

Health

Investment

Co.,

Inc.,

expiring

10/1/2025

*

38,400

40,704

PROMECAP

Acquisition

Co.

SAB

de

CV,

expiring

3/23/2023

(Mexico)

(3)*(c)

400,000

17,613

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Property

Solutions

Acquisition

Corp.,

expiring

8/28/2027

*

250,830

649,650

PropTech

Investment

Corp.

II,

expiring

12/31/2027

*

57,659

58,236

Recharge

Acquisition

Corp.,

expiring

10/5/2027

*

139,000

107,336

Replay

Acquisition

Corp.,

expiring

4/8/2024

*

115,000

143,750

Revolution

Acceleration

Acquisition

Corp.,

expiring

12/10/2026

*

42,800

85,600

Rice

Acquisition

Corp.,

expiring

10/26/2027

*

290,942

430,594

Rodgers

Silicon

Valley

Acquisition

Corp.,

expiring

11/30/2025

*

48,150

193,563

Roman

DBDR

Tech

Acquisition

Corp.,

expiring

10/31/2025

*

185,500

140,553

Roth

Ch

Acquisition

II

Co.,

expiring

9/16/2025

*

27,250

34,607

Rotor

Acquisition

Corp.,

expiring

6/15/2027

*

41,416

26,920

Sandbridge

Acquisition

Corp.,

expiring

9/14/2027

*

174,850

177,473

Seaport

Global

Acquisition

Corp.,

expiring

12/31/2025

*

86,250

47,437

Senior

Connect

Acquisition

Corp.

I,

expiring

12/31/2027

*

78,500

55,774

Software

Acquisition

Group,

Inc.

II,

expiring

3/17/2027

*

269,000

454,610

Spartacus

Acquisition

Corp.,

expiring

10/31/2027

*

275,000

176,000

Spartan

Acquisition

Corp.

II,

expiring

11/28/2025

*

114,200

208,986

Sports

Entertainment

Acquisition

Corp.,

expiring

10/30/2025

*

106,800

117,480

Stable

Road

Acquisition

Corp.,

expiring

5/15/2026

*

62,500

272,500

Star

Peak

Corp.

II,

expiring

12/24/2025

*

15,939

23,749

Star

Peak

Energy

Transition

Corp.,

expiring

8/11/2025

*

40,829

577,730

Starboard

Value

Acquisition

Corp.,

expiring

9/10/2027

*

42,720

64,080

Supernova

Partners

Acquisition

Co.,

Inc.,

expiring

10/13/2025

*

140,800

260,480

Tailwind

Acquisition

Corp.,

expiring

9/7/2027

*

313,280

319,546

Tastemaker

Acquisition

Corp.,

expiring

12/31/2025

*

72,083

41,952

Thayer

Ventures

Acquisition

Corp.,

expiring

1/1/2030

*

57,400

34,440

TS

Innovation

Acquisitions

Corp.,

expiring

12/31/2026

*

190,333

384,473

Tuscan

Holdings

Corp.,

expiring

4/1/2026

*

148,458

478,035

34

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025

*

95,000

76,000

TWC

Tech

Holdings

II

Corp.,

expiring

9/15/2027

*

132,906

139,551

VectoIQ

Acquisition

Corp.

II,

expiring

12/31/2027

*

31,400

39,564

Virtuoso

Acquisition

Corp.,

expiring

12/31/2027

*

48,125

28,875

Vistas

Media

Acquisition

Co.,

Inc.,

expiring

8/1/2026

*

130,690

81,028

Yellowstone

Acquisition

Co.,

expiring

10/21/2025

*

153,000

122,400

Zanite

Acquisition

Corp.,

expiring

10/8/2025

*

128,400

161,784

24,286,783

Commercial

Services

&

Supplies

-

0.1%

Estre

Ambiental

,

Inc.,

expiring

12/22/2022

(Brazil)

*

661,870

3,376

PureCycle

Technologies,

Inc.,

expiring

3/17/2026

*

63,000

875,070

878,446

Construction

&

Engineering

-

0.0%

(a)

iSun

,

Inc.,

expiring

6/20/2024

*

122,916

129,062

Limbach

Holdings,

Inc.,

expiring

7/20/2021

(2)*

168,252

20,190

149,252

Consumer

Finance

-

0.0%

(a)

Roan

Holdings

Group

Co.

Ltd.,

expiring

7/6/2021

(China)

*

142,386

1,039

Diversified

Consumer

Services

-

0.0%

(a)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)

*

99,990

371,963

Diversified

Financial

Services

-

0.1%

Paysafe

Ltd.,

expiring

12/31/2028

*

111,942

484,709

Electrical

Equipment

-

0.2%

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

187,198

1,666,062

Fusion

Fuel

Green

plc,

expiring

12/10/2025

(Ireland)

*

54,000

253,800

1,919,862

Energy

Equipment

&

Services

-

0.1%

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

*

259,500

552,735

Entertainment

-

0.0%

(a)

CuriosityStream

,

Inc.,

expiring

10/14/2025

*

54,560

272,800

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Food

Products

-

0.1%

AppHarvest

,

Inc.,

expiring

1/30/2026

*

165,908

1,111,584

Whole

Earth

Brands,

Inc.,

expiring

6/25/2025

*

78,327

169,186

1,280,770

Health

Care

Providers

&

Services

-

0.0%

(a)

New

Frontier

Health

Corp.,

expiring

7/25/2023

(Hong

Kong)

(3)*(c)

32,837

96,212

SOC

Telemed

,

Inc.,

expiring

10/30/2025

*

87,500

79,625

175,837

Health

Care

Technology

-

0.0%

(a)

Multiplan

Corp.,

expiring

10/8/2025

*

22,500

21,647

Hotels,

Restaurants

&

Leisure

-

0.1%

Allied

Esports

Entertainment,

Inc.,

expiring

8/9/2024

*

141,800

45,376

BurgerFi

International,

Inc.,

expiring

1/15/2023

*

250,000

987,500

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

122,980

202,917

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

*

175,587

94,817

Simplicity

Esports

and

Gaming

Co.,

expiring

11/20/2023

*

101,605

34,038

Target

Hospitality

Corp.,

expiring

3/15/2024

*

53,333

9,066

1,373,714

Household

Durables

-

0.0%

(a)

Landsea

Homes

Corp.,

expiring

1/7/2026

*

240,000

60,528

Insurance

-

0.1%

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

(2)*

117,500

91,885

MetroMile

,

Inc.,

expiring

2/9/2026

*

75,946

234,673

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

(3)*(c)

154,500

19,671

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

(3)*(c)

276,625

109,267

455,496

Interactive

Media

&

Services

-

0.0%

(a)

Glory

Star

New

Media

Group

Holdings

Ltd.,

expiring

2/20/2025

(Hong

Kong)

*

370,000

53,650

35

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

0.1%

Porch

Group,

Inc.,

expiring

12/23/2025

*

81,250

499,688

Reebonz

Holding

Ltd.,

expiring

12/19/2023

(Singapore)

(3)*(c)

75,000

442

500,130

IT

Services

-

0.1%

American

Virtual

Cloud

Technologies,

Inc.,

expiring

4/7/2025

*

250,000

195,000

BM

Technologies,

Inc.,

expiring

9/21/2023

*

128,200

256,400

Exela

Technologies,

Inc.,

expiring

7/12/2022

*

880,354

87,947

Global

Blue

Group

Holding

AG,

expiring

8/28/2025

(Switzerland)

*

33,333

40,333

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

*

90,000

547,200

Verra

Mobility

Corp.,

expiring

10/17/2023

(2)*

66,666

317,997

1,444,877

Media

-

0.0%

(a)

Advantage

Solutions,

Inc.,

expiring

10/28/2025

*

3,750

12,037

Digital

Media

Solutions,

Inc.,

expiring

7/15/2025

*

125,000

205,000

217,037

Metals

&

Mining

-

0.0%

(a)

Hycroft

Mining

Holding

Corp.,

expiring

2/12/2025

*

158,844

82,615

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

131,393

29,958

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Altus

Midstream

Co.,

expiring

11/12/2023

(2)*

125,000

8,562

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

(2)*

191,000

152,800

Falcon

Minerals

Corp.,

expiring

8/23/2023

*

222,879

54,160

NextDecade

Corp.,

expiring

7/24/2022

(2)*

547,770

15,338

230,860

Personal

Products

-

0.0%

(a)

Apollo

Healthcare

Corp.,

expiring

1/3/2022

(Canada)

(2)*

569,631

99,721

Pharmaceuticals

-

0.1%

4d

pharma

plc,

expiring

3/9/2026

(United

Kingdom)

*

125,000

136,250

Ayr

Wellness,

Inc.,

expiring

5/24/2024

(Canada)

*

30,000

617,809

Nuvation

Bio,

Inc.,

expiring

7/7/2027

*

12,666

33,818

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Pharmaceuticals

-

0.1%

(continued)

Reviva

Pharmaceuticals

Holdings,

Inc.,

expiring

12/25/2025

*

250,000

115,000

902,877

Professional

Services

-

0.0%

(a)

Akerna

Corp.,

expiring

8/1/2024

*

7,500

10,125

Road

&

Rail

-

0.0%

(a)

Daseke

,

Inc.,

expiring

2/27/2022

*

378,003

128,445

Software

-

0.2%

BTRS

Holdings,

Inc.,

expiring

1/12/2026

*

150,000

712,500

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024

*

314,900

251,920

Kaleyra

,

Inc.,

expiring

3/6/2025

*

281,250

1,237,500

Phunware

,

Inc.,

expiring

12/26/2023

*

58,632

23,635

2,225,555

Specialty

Retail

-

0.0%

(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

*

125,000

18,438

LXRandCo

,

Inc.,

expiring

6/9/2022

(Canada)

(3)*(c)

1,274,000

15,206

33,644

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(a)

Borqs

Technologies,

Inc.,

expiring

8/18/2022

(China)

*

373,500

41,085

Thrifts

&

Mortgage

Finance

-

0.0%

(a)

UWM

Holdings

Corp.,

expiring

1/21/2026

*

12,500

22,250

Trading

Companies

&

Distributors

-

0.1%

Alta

Equipment

Group,

Inc.,

expiring

4/8/2024

*

85,000

297,500

Nesco

Holdings,

Inc.,

expiring

1/1/2025

*

83,328

167,489

464,989

TOTAL

WARRANTS

(Cost

$509,016)

44,056,171

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%

(a)

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

DEMC

Ltd.,

Class

A

(3)*(c)(d)

12,969

–

DEMC

Ltd.,

Class

A-2

(3)*(c)(d)

368,190,309

73,281

DEMC

Ltd.,

Class

A-3

(3)*(c)(d)

276,484,781,980

262,660

DEMC

Ltd.,

Class

B

(3)*(c)(d)

10,488

–

DEMC

Ltd.,

Class

B-2

(3)*(c)(d)

513,897,326

514

DEMC

Ltd.,

Class

B-3

(3)*(c)(d)

489,352,292,604

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$777,825)

336,455

36

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

35.2%

INVESTMENT

COMPANIES

-

17.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(h)(

i

)

1,357,085

1,357,085

Limited

Purpose

Cash

Investment

Fund,

0.01%

(h)(j)

179,812,516

179,758,572

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(h)

1,680

1,680

TOTAL

INVESTMENT

COMPANIES

(Cost

$181,104,956)

181,117,337

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

17.6%

U.S.

Treasury

Bills

0.09%,

6/24/2021

(2)(k)

$

11,088,000

11,087,677

0.09%,

7/8/2021

(2)(k)

8,357,000

8,356,625

0.07%,

7/15/2021

(2)(k)

22,650,000

22,649,092

0.08%,

7/22/2021

(2)(b)(k)

19,148,000

19,147,106

0.08%,

7/29/2021

(2)(b)(

i

)(k)

23,789,000

23,787,525

0.07%,

8/5/2021

(2)(b)(

i

)(k)

12,500,000

12,499,125

0.05%,

8/12/2021

(2)(

i

)(k)

6,387,000

6,386,434

0.06%,

8/19/2021

(2)(

i

)(k)

22,703,000

22,700,881

0.05%,

8/26/2021

(2)(

i

)(k)

20,528,000

20,526,009

0.06%,

9/2/2021

(2)(

i

)(k)

34,757,000

34,753,469

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$181,865,160)

181,893,943

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$362,970,116)

363,011,280

TOTAL

LONG

POSITIONS

(Cost

$1,129,263,923)

1,259,311,902

SHARES

SHORT

POSITIONS

-

(30.4)%

COMMON

STOCKS

-

(28.1)%

Aerospace

&

Defense

-

(0.2)%

PAE,

Inc.

*

(37,332)

(336,735)

Teledyne

Technologies,

Inc.

*

(3,391)

(1,402,687)

(1,739,422)

Airlines

-

(3.7)%

American

Airlines

Group,

Inc.

*

(641,435)

(15,330,296)

Southwest

Airlines

Co.

*

(380,962)

(23,261,540)

(38,591,836)

Automobiles

-

0.0%

(a)

Winnebago

Industries,

Inc.

(1,765)

(135,393)

Biotechnology

-

(1.5)%

Avid

Bioservices

,

Inc.

*

(78,064)

(1,423,107)

BioMarin

Pharmaceutical,

Inc.

*

(2,641)

(199,422)

DermTech

,

Inc.

*

(87,130)

(4,425,333)

Inovio

Pharmaceuticals,

Inc.

*

(320,867)

(2,977,646)

Ironwood

Pharmaceuticals,

Inc.

*

(321,673)

(3,596,304)

MannKind

Corp.

*

(401,640)

(1,574,429)

PTC

Therapeutics,

Inc.

*

(26,933)

(1,275,277)

(15,471,518)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

0.0%

Penson

Worldwide,

Inc.

(3)*(c)

(212,307)

–

Communications

Equipment

-

(0.4)%

Harmonic,

Inc.

*

(167,042)

(1,309,609)

Infinera

Corp.

*

(312,969)

(3,013,892)

(4,323,501)

Construction

&

Engineering

-

0.0%

(a)

Limbach

Holdings,

Inc.

*

(10,000)

(105,600)

Consumer

Finance

-

(0.1)%

EZCORP,

Inc.,

Class

A

*

(21,850)

(108,594)

LendingTree

,

Inc.

*

(5,367)

(1,143,171)

(1,251,765)

Diversified

Consumer

Services

-

0.0%

(a)

OneSpaWorld

Holdings

Ltd.

(Bahamas)

*

(29,997)

(319,468)

Diversified

Financial

Services

-

(0.1)%

Element

Fleet

Management

Corp.

(Canada)

(61,162)

(669,195)

Diversified

Telecommunication

Services

-

(0.1)%

Bandwidth,

Inc.,

Class

A

*

(9,957)

(1,261,950)

Electric

Utilities

-

(0.2)%

NextEra

Energy,

Inc.

(28,557)

(2,159,195)

Electrical

Equipment

-

(1.2)%

Plug

Power,

Inc.

*

(358,856)

(12,861,399)

Electronic

Equipment,

Instruments

&

Components

-

(0.3)%

Insight

Enterprises,

Inc.

*

(16,705)

(1,593,991)

OSI

Systems,

Inc.

*

(13,147)

(1,263,427)

(2,857,418)

Energy

Equipment

&

Services

-

(0.2)%

Helix

Energy

Solutions

Group,

Inc.

*

(41,585)

(210,004)

National

Energy

Services

Reunited

Corp.

*

(110,323)

(1,364,696)

(1,574,700)

Entertainment

-

(0.2)%

Spotify

Technology

SA

*

(7,381)

(1,977,739)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

(0.2)%

GEO

Group,

Inc.

(The)

(247,107)

(1,917,550)

Food

&

Staples

Retailing

-

0.0%

(a)

Chefs'

Warehouse,

Inc.

(The)

*

(11,725)

(357,143)

Food

Products

-

(0.2)%

Beyond

Meat,

Inc.

*

(15,827)

(2,059,409)

Health

Care

Equipment

&

Supplies

-

(0.6)%

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(c)

(35,303)

–

Cutera

,

Inc.

*

(57,512)

(1,728,236)

Envista

Holdings

Corp.

*

(56,747)

(2,315,278)

NuVasive

,

Inc.

*

(267)

(17,504)

37

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

(0.6)%

(continued)

Varex

Imaging

Corp.

*

(108,733)

(2,227,939)

(6,288,957)

Health

Care

Providers

&

Services

-

(1.0)%

Anthem,

Inc.

(18,054)

(6,480,483)

New

Frontier

Health

Corp.,

Class

A

(Hong

Kong)

*

(25,146)

(284,150)

Oak

Street

Health,

Inc.

*

(71,366)

(3,873,033)

(10,637,666)

Health

Care

Technology

-

(0.3)%

Evolent

Health,

Inc.,

Class

A

*

(130,363)

(2,633,333)

Hotels,

Restaurants

&

Leisure

-

(3.3)%

Airbnb,

Inc.,

Class

A

*

(19,644)

(3,691,893)

Bloomin

'

Brands,

Inc.

*

(76,278)

(2,063,320)

Carnival

Corp.

*

(840,750)

(22,313,505)

Royal

Caribbean

Cruises

Ltd.

*

(68,727)

(5,883,719)

Target

Hospitality

Corp.

*

(10,667)

(26,774)

(33,979,211)

Household

Durables

-

(0.3)%

GoPro,

Inc.,

Class

A

*

(103,741)

(1,207,545)

Purple

Innovation,

Inc.

*

(62,270)

(1,970,846)

(3,178,391)

Insurance

-

(0.1)%

HCI

Group,

Inc.

(15,062)

(1,157,063)

Interactive

Media

&

Services

-

(1.0)%

Eventbrite,

Inc.,

Class

A

*

(62,471)

(1,384,357)

JOYY,

Inc.,

ADR

(China)

(1,790)

(167,777)

Match

Group,

Inc.

*

(48,294)

(6,634,630)

Twitter,

Inc.

*

(31,333)

(1,993,719)

(10,180,483)

Internet

&

Direct

Marketing

Retail

-

(0.7)%

Just

Eat

Takeaway.com

NV

(Germany)

(2)*(e)

(62,087)

(5,712,989)

Magnite

,

Inc.

*

(44,785)

(1,863,504)

(7,576,493)

IT

Services

-

(0.5)%

Fastly

,

Inc.,

Class

A

*

(16,495)

(1,109,784)

I3

Verticals,

Inc.,

Class

A

*

(26,057)

(811,024)

Limelight

Networks,

Inc.

*

(30,309)

(108,203)

Okta

,

Inc.

*

(8,189)

(1,805,101)

Square,

Inc.,

Class

A

*

(2,777)

(630,518)

Verra

Mobility

Corp.

*

(64,494)

(872,926)

(5,337,556)

Media

-

(1.9)%

Cable

One,

Inc.

(2,477)

(4,528,848)

Discovery,

Inc.,

Class

C

*

(143,594)

(5,297,183)

DISH

Network

Corp.,

Class

A

*

(134,048)

(4,852,537)

INVESTMENTS

SHARES

VALUE

($)

Media

-

(1.9)%

(continued)

ViacomCBS

,

Inc.,

Class

A

(104,295)

(4,919,595)

(19,598,163)

Multi-Utilities

-

(0.1)%

CenterPoint

Energy,

Inc.

(63,495)

(1,438,162)

Oil,

Gas

&

Consumable

Fuels

-

(0.9)%

ARC

Resources

Ltd.

(Canada)

(455,452)

(2,797,875)

CNX

Resources

Corp.

*

(130,732)

(1,921,760)

EQT

Corp.

*

(211,533)

(3,930,283)

Falcon

Minerals

Corp.

(75,000)

(336,750)

(8,986,668)

Pharmaceuticals

-

(0.4)%

Jazz

Pharmaceuticals

plc

*

(138)

(22,683)

Omeros

Corp.

*

(197,609)

(3,517,440)

Tilray

,

Inc.,

Class

2

(Canada)

*

(9,422)

(214,162)

(3,754,285)

Real

Estate

Management

&

Development

-

(0.2)%

Colliers

International

Group,

Inc.

(Canada)

(11,256)

(1,105,789)

Redfin

Corp.

*

(8,206)

(546,438)

(1,652,227)

Semiconductors

&

Semiconductor

Equipment

-

(5.0)%

Canadian

Solar,

Inc.

(Canada)

*

(76,208)

(3,782,203)

Enphase

Energy,

Inc.

*

(11,354)

(1,841,165)

Lam

Research

Corp.

(76,322)

(45,429,907)

(51,053,275)

Software

-

(3.2)%

Blackline,

Inc.

*

(17,770)

(1,926,268)

Ceridian

HCM

Holding,

Inc.

*

(44,800)

(3,775,296)

Datadog

,

Inc.,

Class

A

*

(87,949)

(7,329,670)

Dropbox,

Inc.,

Class

A

*

(179,066)

(4,773,900)

Five9,

Inc.

*

(7,955)

(1,243,605)

Kaleyra

,

Inc.

(Italy)

*

(12,500)

(176,250)

PROS

Holdings,

Inc.

*

(101,191)

(4,300,617)

Rapid7,

Inc.

*

(9,964)

(743,414)

Rimini

Street,

Inc.

*

(25,156)

(225,649)

RingCentral,

Inc.,

Class

A

*

(16,515)

(4,919,488)

Tyler

Technologies,

Inc.

*

(7,964)

(3,380,957)

(32,795,114)

Trading

Companies

&

Distributors

-

0.0%

(a)

Alta

Equipment

Group,

Inc.

*

(9,640)

(125,320)

TOTAL

COMMON

STOCKS

(Proceeds

$(217,434,398))

(290,006,568)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(2.1)%

Diversified

Financial

Services

-

(0.2)%

JPMorgan

Chase

Bank

NA

0.13%,

1/1/2023

(2)(e)

$

(2,325,000)

(2,590,980)

38

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$487,133,865.

In

addition,

$38,319,878

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Entertainment

-

(0.3)%

Live

Nation

Entertainment,

Inc.

2.50%,

3/15/2023

(2)

$

(2,350,000)

(3,282,715)

Internet

&

Direct

Marketing

Retail

-

(1.3)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)(e)

(6,200,000)

(9,114,000)

Etsy,

Inc.

0.13%,

9/1/2027

(2)(e)

(3,325,000)

(4,349,516)

(13,463,516)

Life

Sciences

Tools

&

Services

-

(0.3)%

Illumina,

Inc.

0.00%,

8/15/2023

(2)

(2,350,000)

(2,787,687)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(18,694,068))

(22,124,898)

U.S.

TREASURY

OBLIGATIONS

-

(0.2)%

U.S.

Treasury

Bonds

1.63%,

11/15/2050

(2)

(30,300)

(25,149)

U.S.

Treasury

Notes

0.25%,

3/15/2024

(2)

(1,729,600)

(1,724,871)

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Proceeds

$(1,751,774))

(1,750,020)

TOTAL

SHORT

POSITIONS

(Proceeds

$(237,880,240))

(313,881,486)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.7%

(Cost

$891,383,683)

945,430,416

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.3%

(l)

85,678,489

NET

ASSETS

-

100.0%

1,031,108,905

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

29,281,468

2.9

%

Consumer

Discretionary

42,652,138

4.2

Consumer

Staples

5,013,005

0.5

Energy

8,987,482

0.9

Financials

342,545,440

33.3

Health

Care

33,886,816

3.3

Industrials

20,643,729

2.0

Information

Technology

87,594,683

8.5

Materials

82,615

0.0

(a)

Real

Estate

11,134,180

0.9

U.S.

Treasury

Obligations

(1,750,020)

(0.2)

Utilities

2,347,600

0.2

Short-Term

Investments

363,011,280

35.2

Total

Investments

In

Securities

At

Value

945,430,416

91.7

Other

Assets

in

Excess

of

Liabilities

(l)

85,678,489

8.3

Net

Assets

$

1,031,108,905

100.0%

39

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

March

31,

2021

amounted

to

$3,310,025,

which

represents

approximately

0.32%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

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

March

31,

2021

amounted

to

$282,029,563,

which

represents

approximately

27.35%

of

net

assets

of

the

fund.

(f)

Defaulted

security.

(g)

Payment

in-kind

security.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

For

the

period

ended

March

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(k)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2021

Shares

Held

At

3/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

17.4%

INVESTMENT

COMPANIES

-

17.4%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(a)

(Cost

$179,746,191)

$267,534,637

$403,216,664

$(491,018,426)

$(21,241)

$46,938

$179,758,572

179,812,516

$11,156

$–

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

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.

(2)

Level

2

security.

(3)

Level

3

security.

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2021:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

36.V1

5.00

%

Quarterly

6/20/2026

3.08

%

USD

21,000,000

$

(1,784,758)

$

(118,494)

$

(1,903,252)

$

(1,784,758)

$

(118,494)

$

(1,903,252)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(320)

6/2021

USD

$

(63,478,400)

$

(545,133)

U.S.

Treasury

10

Year

Note

(32)

6/2021

USD

(4,190,000)

105,221

U.S.

Treasury

5

Year

Note

(514)

6/2021

USD

(63,426,797)

450,225

$

10,313

40

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

8,505

USD

6,731

CITI

6/16/2021

$

37

CAD

8,504

USD

6,730

JPMC

6/16/2021

37

USD

12,702,309

CAD

15,837,294

CITI

6/16/2021

98,840

USD

1,601,670

CAD

2,000,340

JPMC

6/16/2021

9,780

USD

7,999,340

EUR

6,570,174

CITI

6/16/2021

282,513

USD

6,643,050

EUR

5,454,934

JPMC

6/16/2021

236,099

USD

2,055,658

JPY

217,405,546

CITI

6/16/2021

90,836

USD

2,055,656

JPY

217,405,542

JPMC

6/16/2021

90,833

Total

unrealized

appreciation

808,975

CAD

1,611,148

USD

1,285,713

CITI

6/16/2021

(3,546)

CAD

2,835

USD

2,272

JPMC

6/16/2021

(16)

EUR

1,278,181

USD

1,549,174

CITI

6/16/2021

(47,920)

JPY

217,405,546

USD

2,055,711

CITI

6/16/2021

(90,889)

JPY

217,405,542

USD

2,055,714

JPMC

6/16/2021

(90,891)

USD

7,031,167

CAD

8,869,311

CITI

6/16/2021

(27,117)

USD

4,725,729

CAD

5,968,308

JPMC

6/16/2021

(23,908)

Total

unrealized

depreciation

(284,287)

Net

unrealized

appreciation

$

524,688

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-65

months

maturity

07/11/2024

$286,829

$(8,624)

$27,414

$18,790

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-59

months

maturity

ranging

from

10/03/2025

-

01/14/2026

$3,031,087

$16,406

$(344)

$16,062

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47

months

maturity

01/13/2025

$675,756

$4,071

$(88)

$3,983

41

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-58

months

maturity

ranging

from

01/13/2025

-

12/02/2025

$9,668,877

$(192,981)

$(6,871)

$(199,852)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

07/03/2023

-

01/22/2025

$920,500

$214,854

$(348)

$214,506

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

and

LIBOR

plus

or

minus

a

specified

spread

(-0.19%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/25/2025

$423,571,171

$8,367,434

$523,777

$8,891,211

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Israel

Wix.com

Ltd.,

0.00%,

8/15/2025

7,525,000

7,924,766

(309,842)

(3.5)

Panama

Copa

Holdings

SA,

4.50%,

4/15/2025

5,500,000

9,618,781

3,584,731

40.3

United

States

1Life

Healthcare,

Inc.,

3.00%,

6/15/2025

6,325,000

7,602,205

674,410

7.6

Allegheny

Technologies,

Inc.,

3.50%,

6/15/2025

4,650,000

7,351,131

2,850,433

32.1

Box,

Inc.,

0.00%,

1/15/2026

8,700,000

9,847,312

576,593

6.5

Chegg

,

Inc.,

0.00%,

9/1/2026

9,620,000

10,341,500

(810,622)

(9.1)

CNX

Resources

Corp.,

2.25%,

5/1/2026

11,900,000

16,191,729

1,156,186

13.0

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

8,098,068

(725,782)

(8.2)

Coupa

Software,

Inc.,

0.38%,

6/15/2026

5,375,000

6,079,629

(1,761,464)

(19.8)

42

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

CryoLife

,

Inc.,

4.25%,

7/1/2025

2,950,000

3,563,796

483,901

5.4

CyberArk

Software

Ltd.,

0.00%,

11/15/2024

5,750,000

6,199,075

487,985

5.5

Dexcom

,

Inc.,

0.25%,

11/15/2025

4,775,000

4,692,971

(172,850)

(1.9)

Exact

Sciences

Corp.,

0.38%,

3/1/2028

6,700,000

8,645,117

2,314,092

26.0

FireEye,

Inc.,

0.88%,

6/1/2024

5,175,000

5,843,396

977,576

11.0

GEO

Corrections

Holdings,

Inc.,

6.50%,

2/23/2026

5,200,000

5,465,041

33,480

0.4

Glaukos

Corp.,

2.75%,

6/15/2027

6,025,000

10,193,600

2,576,149

29.0

Innoviva

,

Inc.,

2.50%,

8/15/2025

9,300,000

9,799,525

254,651

2.9

J2

Global,

Inc.,

1.75%,

11/1/2026

4,175,000

4,923,054

1,521,994

17.1

Liberty

Media

Corp.,

0.50%,

12/1/2050

6,950,000

8,044,077

735,840

8.3

LivaNova

USA,

Inc.,

3.00%,

12/15/2025

2,925,000

4,106,170

739,495

8.3

Luminex

Corp.,

3.00%,

5/15/2025

9,800,000

10,303,183

(378,161)

(4.3)

Match

Group

Financeco

2,

Inc.,

0.88%,

6/15/2026

5,150,000

8,639,496

1,083,483

12.2

Palo

Alto

Networks,

Inc.,

0.38%,

6/1/2025

11,475,000

14,185,963

1,531,973

17.2

Palo

Alto

Networks,

Inc.,

0.75%,

7/1/2023

4,125,000

5,460,964

780,631

8.8

Parsons

Corp.,

0.25%,

8/15/2025

9,900,000

10,868,327

(63,392)

(0.7)

PetIQ

,

Inc.,

4.00%,

6/1/2026

2,975,000

4,254,761

(9,967)

(0.1)

Pluralsight

,

Inc.,

0.38%,

3/1/2024

4,050,000

3,970,279

269,584

3.0

Splunk

,

Inc.,

1.13%,

6/15/2027

5,725,000

5,447,159

(854,203)

(9.6)

Stride,

Inc.,

1.13%,

9/1/2027

7,425,000

6,829,127

(2,660)

(0.0)

Under

Armour

,

Inc.,

1.50%,

6/1/2024

2,175,000

4,272,463

672,372

7.6

Veeco

Instruments,

Inc.,

3.75%,

6/1/2027

3,675,000

6,180,764

1,895,744

21.3

Wayfair,

Inc.,

0.63%,

10/1/2025

13,000,000

13,928,733

112,563

1.3

WisdomTree

Investments,

Inc.,

4.25%,

6/15/2023

4,400,000

5,486,330

1,139,755

12.8

Zynga,

Inc.,

0.00%,

12/15/2026

4,896,000

5,192,820

(722,038)

(8.1)

SHARES

Short

Positions

Common

Stocks

Panama

Copa

Holdings

SA

(92,620)

(7,482,770)

(2,309,349)

(26.0)

United

States

Allegheny

Technologies,

Inc.

(243,220)

(5,122,213)

(2,220,365)

(25.0)

Box,

Inc.

(229,343)

(5,265,715)

(745,400)

(8.4)

Chegg

,

Inc.

(59,034)

(5,056,852)

704,168

7.9

CNX

Resources

Corp.

(713,629)

(10,490,346)

(1,179,896)

(13.3)

Coherus

Biosciences,

Inc.

(248,505)

(3,630,658)

541,602

6.1

Exact

Sciences

Corp.

(42,343)

(5,579,961)

(1,301,530)

(14.6)

Glaukos

Corp.

(91,296)

(7,662,473)

(2,216,065)

(24.9)

Live

Nation

Entertainment,

Inc.

(48,594)

(4,113,482)

(473,798)

(5.3)

Luminex

Corp.

(113,714)

(3,627,477)

(137,738)

(1.5)

Match

Group,

Inc.

(50,017)

(6,871,335)

(749,172)

(8.4)

Palo

Alto

Networks,

Inc.

(37,140)

(11,961,308)

(371,560)

(4.2)

Parsons

Corp.

(139,074)

(5,624,153)

(158,160)

(1.8)

Under

Armour

,

Inc.

(194,958)

(3,598,925)

(607,139)

(6.8)

Veeco

Instruments,

Inc.

(220,835)

(4,580,118)

(1,390,779)

(15.6)

Wayfair,

Inc.

(18,387)

(5,787,308)

(191,434)

(2.2)

43

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

11/06/2025

-

03/11/2026

$15,121,083

$52,127

$(2,978)

$49,149

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Australia

Coca-Cola

Amatil

Ltd.

1,050,930

10,746,984

18,455

37.5

Vocus

Group

Ltd.

1,052,568

4,374,099

33,672

68.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.41%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

09/10/2024

-

04/01/2026

$514,639,190

$184,080

$1,359,500

$1,543,580

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

China

China

Biologic

Products

Holdings,

Inc.

38,577

4,567,903

(752)

(0.0)

United

Kingdom

GW

Pharmaceuticals

plc,

ADR

25,775

5,590,598

88,452

5.7

United

States

Aerojet

Rocketdyne

Holdings,

Inc.

229,157

10,761,213

(1,316,562)

(85.3)

Alexion

Pharmaceuticals,

Inc.

71,860

10,988,113

(363,044)

(23.5)

Athene

Holding

Ltd.

168,912

8,513,165

(118,655)

(7.7)

Cantel

Medical

Corp.

226,415

18,076,974

589,019

38.2

Change

Healthcare,

Inc.

364,055

8,045,616

(670,507)

(43.4)

44

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Coherent,

Inc.

63,349

16,020,329

3,226,696

209.0

Cooper

Tire

&

Rubber

Co.

112,381

6,291,088

(12,831)

(0.8)

CoreLogic

,

Inc.

100,866

7,993,630

31,486

2.0

Extended

Stay

America,

Inc.

341,690

6,748,378

161,220

10.4

Five

Prime

Therapeutics,

Inc.

299,391

11,278,059

(29,184)

(1.9)

FLIR

Systems,

Inc.

188,944

10,669,668

721,028

46.7

Forterra

,

Inc.

358,963

8,345,890

(33,890)

(2.2)

GenMark

Diagnostics,

Inc.

383,527

9,166,295

(113)

(0.0)

HMS

Holdings

Corp.

173,416

6,412,057

74,559

4.8

IHS

Markit

Ltd.

119,494

11,564,629

961,777

62.3

Inphi

Corp.

57,940

10,337,075

2,183,167

141.4

Kansas

City

Southern

34,294

9,050,872

445,889

28.9

Magellan

Health,

Inc.

81,095

7,561,298

6,371

0.4

Maxim

Integrated

Products,

Inc.

100,497

9,182,411

2,215,978

143.6

Michaels

Cos.,

Inc.

(The)

370,085

8,119,665

28,150

1.8

NIC,

Inc.

197,041

6,685,601

(25,904)

(1.7)

People's

United

Financial,

Inc.

252,146

4,513,413

(2,645)

(0.2)

Perspecta

,

Inc.

259,377

7,534,902

27,855

1.8

PNM

Resources,

Inc.

173,580

8,514,099

(131,865)

(8.5)

PRA

Health

Sciences,

Inc.

101,998

15,639,353

479,455

31.1

RealPage

,

Inc.

72,094

6,286,597

(24,110)

(1.6)

Slack

Technologies,

Inc.

263,842

10,719,900

(606,933)

(39.3)

Sportsman's

Warehouse

Holdings,

Inc.

727,440

12,541,066

(189,291)

(12.3)

Talend

SA,

ADR

138,949

8,842,714

(134,635)

(8.7)

TCF

Financial

Corp.

316,659

14,711,977

2,876,165

186.3

Varian

Medical

Systems,

Inc.

37,232

6,572,565

116,895

7.6

Waddell

&

Reed

Financial,

Inc.

269,411

6,748,746

(34,684)

(2.2)

Willis

Towers

Watson

plc

28,800

6,591,744

1,219,186

79.0

Xilinx,

Inc.

63,497

7,867,278

192,774

12.5

Short

Positions

Common

Stocks

Canada

Canadian

Pacific

Railway

Ltd.

(16,770)

(6,360,693)

(391,443)

(25.4)

Ireland

ICON

plc

(42,074)

(8,262,071)

(543,392)

(35.2)

United

Kingdom

AstraZeneca

plc,

ADR

(152,652)

(7,589,857)

156,101

10.1

United

States

Advanced

Micro

Devices,

Inc.

(109,431)

(8,590,334)

(210,396)

(13.6)

Analog

Devices,

Inc.

(63,314)

(9,818,735)

(2,433,467)

(157.7)

Aon

plc

(31,104)

(7,157,341)

(1,474,071)

(95.5)

Apollo

Global

Management,

Inc.

(194,080)

(9,123,701)

202,486

13.1

Huntington

Bancshares,

Inc.

(950,863)

(14,947,566)

(2,881,596)

(186.7)

M&T

Bank

Corp.

(29,788)

(4,516,159)

68,049

4.4

Marvell

Technology

Group

Ltd.

(134,595)

(6,592,463)

(1,445,819)

(93.7)

S&P

Global,

Inc.

(33,912)

(11,966,527)

(1,008,118)

(65.3)

salesforce.com,

Inc.

(20,474)

(4,337,826)

263,665

17.1

STERIS

plc

(76,498)

(14,571,339)

(713,191)

(46.2)

Teledyne

Technologies,

Inc.

(13,567)

(5,611,990)

(626,804)

(40.6)

45

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.10%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

09/06/2024

-

04/30/2025

$300,609,246

$21,317,653

$(1,145,275)

$20,172,378

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

France

AXA

SA,

7.25%,

5/15/2021

8,400,000

12,016,728

5,117,575

25.4

United

States

Akamai

Technologies,

Inc.,

0.38%,

9/1/2027

14,525,000

15,755,135

(201,441)

(1.0)

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

11,975,000

14,317,882

2,361,312

11.7

Benefitfocus

,

Inc.,

1.25%,

12/15/2023

2,625,000

2,410,207

455,677

2.3

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,525,000

11,799,612

6,736,997

33.4

DISH

Network

Corp.,

3.38%,

8/15/2026

3,975,000

3,837,844

121,719

0.6

Granite

Construction,

Inc.,

2.75%,

11/1/2024

3,800,000

5,320,486

2,354,346

11.7

Guess?,

Inc.,

2.00%,

4/15/2024

6,740,000

7,737,170

895,364

4.4

Infinera

Corp.,

2.13%,

9/1/2024

3,325,000

3,954,975

1,018,998

5.1

KBR,

Inc.,

2.50%,

11/1/2023

1,200,000

1,904,764

592,757

2.9

Lannett

Co.,

Inc.,

4.50%,

10/1/2026

4,400,000

2,755,695

(424,405)

(2.1)

Liberty

Media

Corp.,

2.75%,

12/1/2049

2,775,000

2,884,104

433,701

2.1

Lumentum

Holdings,

Inc.,

0.50%,

12/15/2026

10,050,000

11,703,916

421,433

2.1

Lumentum

Holdings,

Inc.,

0.25%,

3/15/2024

6,900,000

11,054,277

2,130,237

10.6

NuVasive

,

Inc.,

0.38%,

3/15/2025

5,000,000

5,094,616

637,145

3.2

Omeros

Corp.,

6.25%,

11/15/2023

1,550,000

1,889,106

310,742

1.5

OPKO

Health,

Inc.,

4.50%,

2/15/2025

5,075,000

6,803,514

2,903,377

14.4

Sarepta

Therapeutics,

Inc.,

1.50%,

11/15/2024

1,375,000

1,803,899

(233,830)

(1.2)

SMART

Global

Holdings,

Inc.,

2.25%,

2/15/2026

2,275,000

2,990,936

527,680

2.6

Splunk

,

Inc.,

1.13%,

9/15/2025

4,675,000

5,510,164

(563,016)

(2.8)

Square,

Inc.,

0.13%,

3/1/2025

8,300,000

16,170,311

7,937,808

39.3

Tabula

Rasa

HealthCare,

Inc.,

1.75%,

2/15/2026

5,625,000

5,693,487

(501,963)

(2.5)

Wayfair,

Inc.,

1.00%,

8/15/2026

4,975,000

11,032,028

6,657,207

33.0

SHARES

Convertible

Preferred

Stock

United

States

Colfax

Corp.,

5.75%,

1/15/2022

40,000

7,196,366

2,692,366

13.3

NextEra

Energy,

Inc.,

5.28%,

3/1/2023

146,500

7,281,050

922,950

4.6

NextEra

Energy,

Inc.,

4.87%,

9/1/2022

56,425

3,238,795

407,953

2.0

46

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Akamai

Technologies,

Inc.

(72,512)

(7,388,973)

321,956

1.6

Atlas

Air

Worldwide

Holdings,

Inc.

(133,123)

(8,045,954)

(552,836)

(2.7)

Benefitfocus

,

Inc.

(4,443)

(61,358)

4,216

0.0

Cleveland-Cliffs,

Inc.

(561,673)

(11,295,244)

(6,162,606)

(30.5)

Colfax

Corp.

(155,695)

(6,820,998)

(2,534,305)

(12.6)

DISH

Network

Corp.

(31,104)

(1,125,965)

(121,057)

(0.6)

Equitable

Holdings,

Inc.

(359,827)

(11,737,557)

(4,258,728)

(21.1)

Granite

Construction,

Inc.

(94,189)

(3,791,107)

(1,329,086)

(6.6)

Guess?,

Inc.

(156,858)

(3,686,163)

(96,453)

(0.5)

Infinera

Corp.

(215,526)

(2,075,515)

(185,804)

(0.9)

KBR,

Inc.

(39,650)

(1,522,164)

(434,446)

(2.2)

Lannett

Co.,

Inc.

(175,496)

(926,619)

404,974

2.0

Lumentum

Holdings,

Inc.

(166,337)

(15,194,885)

(1,506,461)

(7.5)

NextEra

Energy,

Inc.

(98,721)

(7,464,295)

(1,241,397)

(6.2)

NuVasive

,

Inc.

(26,799)

(1,756,942)

(248,855)

(1.2)

Omeros

Corp.

(44,346)

(789,359)

(79,209)

(0.4)

OPKO

Health,

Inc.

(768,939)

(3,298,748)

195,606

1.0

Sarepta

Therapeutics,

Inc.

(13,298)

(991,100)

591,511

2.9

Sirius

XM

Holdings,

Inc.

(141,664)

(862,734)

16,942

0.1

SMART

Global

Holdings,

Inc.

(41,457)

(1,907,851)

(302,857)

(1.5)

Splunk

,

Inc.

(18,600)

(2,519,928)

672,021

3.3

Square,

Inc.

(59,675)

(13,549,209)

(3,073,894)

(15.2)

Tabula

Rasa

HealthCare,

Inc.

(46,643)

(2,147,910)

374,430

1.9

Wayfair,

Inc.

(30,156)

(9,491,601)

(2,848,698)

(14.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.02%

to

0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/24/2025

-

03/26/2026

$116,839,387

$(910,513)

$81,570

$(828,943)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

7GC

&

Co.

Holdings,

Inc.

135,500

1,341,450

4,065

(0.5)

Aequi

Acquisition

Corp.

171,000

1,650,150

(39,330)

4.7

Altitude

Acquisition

Corp.

192,600

1,931,778

(55,854)

6.7

47

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Capstar

Special

Purpose

Acquisition

Corp.

192,000

1,873,920

(1,920)

0.2

Cascade

Acquisition

Corp.

206,500

2,027,830

(20,650)

2.5

CBRE

Acquisition

Holdings,

Inc.

163,143

1,590,644

(26,103)

3.1

CC

Neuberger

Principal

Holdings

II

150,000

1,479,000

(6,000)

0.7

CHP

Merger

Corp.

148,700

1,473,617

75,837

(9.1)

Concord

Acquisition

Corp.

230,666

2,255,913

(16,147)

1.9

Conx

Corp.

220,000

2,193,400

(28,600)

3.5

Corner

Growth

Acquisition

Corp.

181,200

1,773,948

(28,992)

3.5

DPCM

Capital,

Inc.

233,598

2,303,276

(77,087)

9.3

E.Merge

Technology

Acquisition

Corp.

200,000

1,950,000

14,000

(1.7)

East

Resources

Acquisition

Co.

338,000

3,305,640

13,520

(1.6)

Epiphany

Technology

Acquisition

Corp.

196,248

1,913,418

9,812

(1.2)

Equity

Distribution

Acquisition

Corp.

134,799

1,335,858

2,696

(0.3)

Executive

Network

Partnering

Corp.

187,500

1,822,500

(30,000)

3.6

GO

Acquisition

Corp.

219,598

2,163,040

(76,859)

9.3

Golden

Falcon

Acquisition

Corp.

129,850

1,255,650

(11,894)

1.4

Health

Assurance

Acquisition

Corp.

128,489

1,313,158

(62,960)

7.6

IG

Acquisition

Corp.

165,000

1,630,200

6,600

(0.8)

Industrial

Tech

Acquisitions,

Inc.

128,024

1,282,800

–

0.0

Kingswood

Acquisition

Corp.

149,416

1,484,896

(4,781)

0.6

KINS

Technology

Group,

Inc.

157,000

1,540,170

(7,850)

0.9

Lefteris

Acquisition

Corp.

355,999

3,495,910

(135,280)

16.3

Lionheart

Acquisition

Corp.

II

398,080

3,909,146

43,789

(5.3)

Live

Oak

Acquisition

Corp.

II

177,000

1,768,230

(35,400)

4.3

Lux

Health

Tech

Acquisition

Corp.

243,998

2,505,859

(70,759)

8.5

MedTech

Acquisition

Corp.

135,500

1,307,575

(28,455)

3.4

Montes

Archimedes

Acquisition

Corp.

157,200

1,537,416

(24,366)

2.9

Mudrick

Capital

Acquisition

Corp.

II

371,000

3,654,350

(33,390)

4.0

North

Mountain

Merger

Corp.

154,020

1,515,557

(30,804)

3.7

Omnichannel

Acquisition

Corp.

371,000

3,620,960

(63,070)

7.6

OTR

Acquisition

Corp.

108,695

1,081,515

(6,522)

0.8

Pine

Island

Acquisition

Corp.

370,999

3,713,700

(137,270)

16.6

PMV

Consumer

Acquisition

Corp.

200,000

1,940,000

(44,000)

5.3

Population

Health

Investment

Co.,

Inc.

115,200

1,135,872

(5,760)

0.7

PropTech

Investment

Corp.

II

172,977

1,693,445

(24,217)

2.9

Recharge

Acquisition

Corp.

128,000

1,251,840

(24,320)

2.9

Roman

DBDR

Tech

Acquisition

Corp.

171,000

1,701,450

(25,650)

3.1

Seaport

Global

Acquisition

Corp.

115,000

1,128,150

(6,900)

0.8

Senior

Connect

Acquisition

Corp.

I

157,000

1,526,040

(34,540)

4.2

Spartacus

Acquisition

Corp.

400,000

3,956,000

–

0.0

Sports

Entertainment

Acquisition

Corp.

213,600

2,086,872

(55,536)

6.7

Thayer

Ventures

Acquisition

Corp.

114,800

1,136,520

(4,018)

0.5

Tuscan

Holdings

Corp.

II

150,000

1,513,500

73,500

(8.9)

TWC

Tech

Holdings

II

Corp.

198,718

1,955,385

5,962

(0.7)

Vistas

Media

Acquisition

Co.,

Inc.

130,690

1,295,138

(7,841)

0.9

Yellowstone

Acquisition

Co.

156,000

1,558,440

(17,160)

2.1

Zanite

Acquisition

Corp.

227,113

2,259,774

(40,880)

4.9

48

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

(a)

For

the

period

ended

March

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

March

31,

2021.

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

the

annual/semi-annual

reports

for

the

AQR

Funds

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

is

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

97.8%

ALTERNATIVE

FUNDS

-

65.4%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

295,292

3,567,132

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

492,698

3,567,132

AQR

Global

Macro

Fund,

Class

R6

(a)

263,273

2,622,196

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

361,682

2,622,196

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

405,061

3,094,664

TOTAL

ALTERNATIVE

FUNDS

(Cost

$14,460,779)

15,473,320

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$7,072,500)

770,070

7,677,602

TOTAL

INVESTMENT

COMPANIES

(Cost

$21,533,279)

23,150,922

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.9%

INVESTMENT

COMPANIES

-

1.9%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(b)

(Cost

$442,501)

442,542

442,410

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.7%

(Cost

$21,975,780)

23,593,332

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.3%

70,238

NET

ASSETS

-

100.0%

23,663,570

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

3,567,132

15.1

%

Event

Driven

3,567,132

15.1

Global

Flex

Allocation

7,677,602

32.4

Global

Macro

2,622,196

11.1

Managed

Futures

2,622,196

11.1

Multialternative

3,094,664

13.0

Short-Term

Investments

442,410

1.9

Total

Investments

In

Securities

At

Value

23,593,332

99.7

Other

Assets

in

Excess

of

Liabilities

70,238

0.3

Net

Assets

$

23,663,570

100.0%

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2021

Shares

Held

At

3/31/2021

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

97.8%

ALTERNATIVE

FUNDS

-

65.4%

AQR

Diversified

Arbitrage

Fund

$

3,107,603

$

308,423

$

(21,352)

$

42

$

172,416

$

3,567,132

295,292

$

–

$

–

AQR

Equity

Market

Neutral

Fund

3,107,603

256,598

(257,213)

(37,765)

497,909

3,567,132

492,698

–

–

AQR

Global

Macro

Fund

2,286,738

265,952

(15,696)

(180)

85,382

2,622,196

263,273

–

–

AQR

Managed

Futures

Strategy

HV

Fund

2,284,396

243,480

(15,696)

(1,109)

111,125

2,622,196

361,682

–

–

AQR

Style

Premia

Alternative

Fund

2,696,000

222,611

(363,402)

18,942

520,513

3,094,664

405,061

–

–

(20,070)

1,387,345

15,473,320

–

–

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund

6,688,549

918,922

(45,957)

100

115,988

7,677,602

770,070

–

–

TOTAL

$(19,970)

$1,503,333

$23,150,922

$–

$–

All

securities

are

Level

1

with

respect

to

ASC

820.

49

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

99.3%

COMMON

STOCKS

-

8.6%

Belgium

-

0.2%

Ageas

SA/NV

(a)

317

19,142

Proximus

SADP

(a)

3,401

73,998

Solvay

SA

(a)

30

3,734

UCB

SA

(a)

180

17,112

113,986

—

France

-

0.0%

(b)

Faurecia

SE

(a)

290

15,480

Italy

-

5.7%

A2A

SpA

36,553

66,530

Assicurazioni

Generali

SpA

(a)

9,097

181,750

Atlantia

SpA

*(a)

6,830

127,818

Azimut

Holding

SpA

(a)

5,763

131,282

Banca

Generali

SpA

4,236

149,061

Banco

BPM

SpA

*

109,622

312,695

Buzzi

Unicem

SpA

20,369

529,085

DiaSorin

SpA

288

46,208

Eni

SpA

(a)

1,000

12,322

Hera

SpA

54,552

209,179

Italgas

SpA

28,418

184,549

Pirelli

&

C

SpA

*(c)

8,292

48,612

Poste

Italiane

SpA

(c)

9,543

121,192

Prysmian

SpA

(a)

8,457

274,600

Telecom

Italia

SpA

(a)

639,365

345,886

UniCredit

SpA

*

33,996

359,095

Unipol

Gruppo

SpA

64,717

360,481

3,460,345

—

Spain

-

1.1%

Acerinox

SA

(a)

1,665

21,810

Enagas

SA

(a)

9,453

205,800

Endesa

SA

(a)

12,986

344,159

Red

Electrica

Corp.

SA

(a)

3,846

68,220

639,989

—

United

Kingdom

-

0.6%

CNH

Industrial

NV

24,077

372,717

United

States

-

1.0%

Stellantis

NV

(1)

32,783

579,899

TOTAL

COMMON

STOCKS

(Cost

$4,316,460)

5,182,416

SHORT-TERM

INVESTMENTS

-

90.7%

INVESTMENT

COMPANIES

-

49.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

2,571,770

2,571,770

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(d)

27,118,527

27,110,391

TOTAL

INVESTMENT

COMPANIES

(Cost

$29,679,715)

29,682,161

—

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

41.7%

U.S.

Treasury

Bills

0.12%,

4/15/2021

(f)(g)

$

10,097,000

10,096,941

0.12%,

4/22/2021

(f)(g)

10,579,000

10,578,924

0.11%,

4/29/2021

(f)(g)

2,801,000

2,800,975

0.09%,

7/15/2021

(f)(g)

462,000

461,981

0.09%,

7/29/2021

(f)(g)

522,000

521,968

0.06%,

9/16/2021

(f)(g)

256,000

255,968

0.04%,

9/23/2021

(f)(g)

491,000

490,926

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$25,206,170)

25,207,683

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$54,885,885)

54,889,844

TOTAL

LONG

POSITIONS

(Cost

$59,202,345)

60,072,260

SHARES

SHORT

POSITIONS

-

(8.4)%

COMMON

STOCKS

-

(8.4)%

Belgium

-

(0.1)%

Umicore

SA

(1,452)

(77,035)

Italy

-

(7.5)%

Amplifon

SpA

(4,078)

(151,745)

Davide

Campari-Milano

NV

(20,868)

(233,567)

Enel

SpA

(52,919)

(526,404)

Ferrari

NV

(2,896)

(605,795)

FinecoBank

Banca

Fineco

SpA

*

(23,824)

(389,756)

Freni

Brembo

SpA

*

(4,394)

(54,695)

Infrastrutture

Wireless

Italiane

SpA

(c)

(25,412)

(283,022)

Intesa

Sanpaolo

SpA

*

(82,847)

(224,480)

Leonardo

SpA

(34,957)

(282,791)

Mediobanca

Banca

di

Credito

Finanziario

SpA

*

(29,930)

(331,662)

Moncler

SpA

*

(5,459)

(312,630)

Nexi

SpA

*(c)

(39,963)

(697,244)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(2,177)

(117,078)

Saipem

SpA

(901)

(2,455)

Salvatore

Ferragamo

SpA

*

(3,435)

(65,855)

Snam

SpA

(20,425)

(113,235)

Terna

Rete

Elettrica

Nazionale

SpA

(17,257)

(130,326)

(4,522,740)

—

Spain

-

(0.5)%

Cellnex

Telecom

SA

(c)

(3,196)

(184,244)

Ferrovial

SA

(4,089)

(106,849)

(291,093)

—

United

States

-

(0.3)%

Tenaris

SA

(15,026)

(169,914)

TOTAL

COMMON

STOCKS

(Proceeds

$(4,821,180))

(5,060,782)

50

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

RIGHTS

-

0.0%

(b)

Italy

-

0.0%

(b)

Snam

SpA

,

expiring

4/7/2021

(3)*(h)

(Proceeds

$–)

(7,017)

(7)

TOTAL

SHORT

POSITIONS

(Proceeds

$(4,821,180))

(5,060,789)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.9%

(Cost

$54,381,165)

55,011,471

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.1%

(

i

)

5,488,789

NET

ASSETS

-

100.0%

60,500,260

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(47,382)

(0.1)

%

Consumer

Discretionary

(394,985)

(0.6)

Consumer

Staples

(233,567)

(0.4)

Energy

(160,046)

(0.3)

Financials

688,801

1.1

Health

Care

(205,503)

(0.3)

Industrials

385,495

0.6

Information

Technology

(697,244)

(1.1)

Materials

477,593

0.8

Utilities

308,465

0.5

Short-Term

Investments

54,889,844

90.7

Total

Investments

In

Securities

At

Value

55,011,471

90.9

Other

Assets

in

Excess

of

Liabilities

(

i

)

5,488,789

9.1

Net

Assets

$

60,500,260

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

$1,840,400.

In

addition,

$5,232,344

of

cash

collateral

was

pledged.

(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

March

31,

2021

amounted

to

$(994,706),

which

represents

approximately

(1.64)%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$(7),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(i)

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.

(3)

Level

3

security.

Futures

contracts

outstanding

as

of

March

31,

2021:

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

19

6/2021

USD

$

3,769,030

$

31,136

$

31,136

51

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

30

CAD

37

CITI

6/16/2021

$

–

USD

30

CAD

37

JPMC

6/16/2021

–

USD

327

DKK

2,000

CITI

6/16/2021

12

USD

327

DKK

2,000

JPMC

6/16/2021

12

USD

546,444

EUR

452,002

CITI

6/16/2021

15,556

USD

546,438

EUR

451,998

JPMC

6/16/2021

15,555

USD

25,797

HKD

200,000

CITI

6/16/2021

66

USD

25,797

HKD

200,000

JPMC

6/16/2021

66

USD

171

NOK

1,445

CITI

6/16/2021

2

USD

170

NOK

1,439

JPMC

6/16/2021

2

Total

unrealized

appreciation

31,271

CHF

502

USD

554

CITI

6/16/2021

(22)

CHF

498

USD

550

JPMC

6/16/2021

(22)

EUR

437,502

USD

524,176

CITI

6/16/2021

(10,321)

EUR

437,498

USD

524,172

JPMC

6/16/2021

(10,322)

SEK

500

USD

60

CITI

6/16/2021

(1)

SEK

500

USD

60

JPMC

6/16/2021

(1)

USD

88

CAD

111

CITI

6/16/2021

–

USD

86

CAD

109

JPMC

6/16/2021

–

USD

7

NOK

58

CITI

6/16/2021

–

USD

7

NOK

58

JPMC

6/16/2021

–

Total

unrealized

depreciation

(20,689)

Net

unrealized

appreciation

$

10,582

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/28/2026

$66,632

$5,319

$2,925

$8,244

52

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.85%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/23/2025

-

04/01/2026

$11,067,920

$(132,129)

$(470)

$(132,599)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Austria

ams

AG

1,839

36,616

(139)

0.1

Switzerland

Adecco

Group

AG

(Registered)

5,982

403,497

4,060

(3.1)

Baloise

Holding

AG

(Registered)

252

42,853

(282)

0.2

Belimo

Holding

AG

(Registered)

3

24,255

1,666

(1.3)

BKW

AG

1,501

163,411

(5,989)

4.5

Bucher

Industries

AG

(Registered)

310

157,966

1,407

(1.1)

Cie

Financiere

Richemont

SA

(Registered)

1,356

130,208

645

(0.5)

Credit

Suisse

Group

AG

(Registered)

40,054

423,746

(85,255)

64.3

DKSH

Holding

AG

2,700

207,316

(223)

0.2

dormakaba

Holding

AG

275

187,845

2,336

(1.8)

Emmi

AG

(Registered)

39

39,406

202

(0.2)

Galenica

AG

4,639

289,244

(1,331)

1.0

Georg

Fischer

AG

(Registered)

26

34,747

292

(0.2)

Kuehne

+

Nagel

International

AG

(Registered)

243

69,407

2,484

(1.9)

LafargeHolcim

Ltd.

(Registered)

9,543

561,176

27,244

(20.5)

Logitech

International

SA

(Registered)

2,768

290,292

14,599

(11.0)

Novartis

AG

(Registered)

1,913

163,525

2,548

(1.9)

OC

Oerlikon

Corp.

AG

(Registered)

17,738

205,292

1,764

(1.3)

Sonova

Holding

AG

(Registered)

892

236,447

5,208

(3.9)

Sulzer

AG

(Registered)

617

69,499

(229)

0.2

Swatch

Group

AG

(The)

1,337

384,974

(2,957)

2.2

Swiss

Life

Holding

AG

(Registered)

622

305,674

8,252

(6.2)

Tecan

Group

AG

(Registered)

213

94,495

8,829

(6.7)

UBS

Group

AG

(Registered)

28,887

446,925

(992)

0.7

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(2,824)

(85,910)

(16)

0.0

Alcon,

Inc.

(3,289)

(230,807)

(8,590)

6.5

Bachem

Holding

AG

(Registered)

(154)

(65,940)

(5,306)

4.0

Barry

Callebaut

AG

(Registered)

(110)

(249,049)

(10,847)

8.2

Chocoladefabriken

Lindt

&

Spruengli

AG

(35)

(304,892)

(1,225)

0.9

Clariant

AG

(Registered)

(2,724)

(54,962)

898

(0.7)

Dufry

AG

(Registered)

(10,608)

(723,787)

10,070

(7.6)

53

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

EMS-

Chemie

Holding

AG

(Registered)

(269)

(240,302)

(4,531)

3.4

Flughafen

Zurich

AG

(Registered)

(1,441)

(237,086)

4,737

(3.6)

Geberit

AG

(Registered)

(139)

(88,466)

(2,004)

1.5

Givaudan

SA

(Registered)

(54)

(208,291)

(4,886)

3.7

Idorsia

Ltd.

(12,024)

(322,554)

12,649

(9.5)

Julius

Baer

Group

Ltd.

(1,413)

(90,296)

(1,344)

1.0

Lonza

Group

AG

(Registered)

(84)

(46,981)

1,745

(1.3)

Nestle

SA

(Registered)

(3,358)

(374,338)

(5,698)

4.3

Partners

Group

Holding

AG

(291)

(371,876)

(23,258)

17.5

Schindler

Holding

AG

(489)

(143,673)

(5,119)

3.9

SIG

Combibloc

Group

AG

(2,839)

(65,595)

(1,781)

1.3

Sika

AG

(Registered)

(2,138)

(611,371)

(16,271)

12.3

Straumann

Holding

AG

(Registered)

(192)

(239,716)

(15,127)

11.4

Swiss

Re

AG

(1,847)

(181,640)

(3,972)

3.0

Swisscom

AG

(Registered)

(298)

(159,882)

(6,867)

5.2

Temenos

AG

(Registered)

(2,162)

(311,952)

(11,687)

8.8

VAT

Group

AG

(189)

(52,905)

(2,582)

1.9

Vifor

Pharma

AG

(1,052)

(143,169)

(5,096)

3.8

Zurich

Insurance

Group

AG

(1,131)

(481,412)

(9,997)

7.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.15%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/24/2025

-

04/01/2026

$4,418,627

$(87,425)

$6,067

$(81,358)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Denmark

AP

Moller

-

Maersk

A/S

260

603,595

10,846

(13.3)

Carlsberg

A/S

1,857

284,789

(2,674)

3.3

Coloplast

A/S

773

116,218

2,278

(2.8)

Genmab

A/S

729

239,763

2,971

(3.7)

GN

Store

Nord

A/S

617

48,563

1,856

(2.3)

H

Lundbeck

A/S

3,371

115,108

(5,960)

7.3

Novo

Nordisk

A/S

389

26,212

(122)

0.2

Pandora

A/S

5,146

550,362

14,503

(17.8)

Royal

Unibrew

A/S

556

58,121

296

(0.4)

54

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(9,137)

(429,097)

(39,478)

48.5

Chr

Hansen

Holding

A/S

(3,910)

(355,163)

(10,741)

13.2

Demant

A/S

(74)

(3,132)

(123)

0.2

DSV

Panalpina

A/S

(311)

(61,001)

(4,123)

5.1

ISS

A/S

(5,219)

(97,267)

2,683

(3.3)

Novozymes

A/S

(4,971)

(318,078)

(7,181)

8.8

Orsted

A/S

(1,236)

(199,571)

(12,979)

16.0

ROCKWOOL

International

A/S

(415)

(174,672)

(11,726)

14.4

SimCorp

A/S

(1,249)

(154,647)

(1,611)

2.0

Tryg

A/S

(20,870)

(491,883)

(12,234)

15.0

Vestas

Wind

Systems

A/S

(443)

(91,385)

(13,906)

17.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/23/2025

-

03/25/2026

$15,282,851

$173,898

$14,644

$188,542

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Belgium

Ageas

SA/NV

2,315

139,794

4,431

2.3

Proximus

SADP

10,249

222,997

4,640

2.5

Solvay

SA

1,296

161,294

(172)

(0.1)

Telenet

Group

Holding

NV

4,383

177,665

(3,370)

(1.8)

Finland

Huhtamaki

OYJ

5,138

232,497

1,464

0.8

Kone

OYJ

1,246

101,843

3,340

1.8

Nokian

Renkaat

OYJ

6,508

235,734

823

0.4

Stora

Enso

OYJ

6,130

114,355

(942)

(0.5)

Valmet

OYJ

5,535

201,533

5,708

3.0

Wartsila

OYJ

Abp

16,304

170,912

(2,453)

(1.3)

Netherlands

ASM

International

NV

900

260,949

33,717

17.9

ASML

Holding

NV

283

173,640

12,627

6.7

ASR

Nederland

NV

7,246

323,860

10,793

5.7

Koninklijke

Ahold

Delhaize

NV

33,695

939,850

27,861

14.8

Koninklijke

Philips

NV

2,982

170,050

4,605

2.4

Randstad

NV

6,154

431,980

(7,907)

(4.2)

55

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

(continued)

Signify

NV

11,420

587,367

59,645

31.6

Spain

Acerinox

SA

15,557

203,778

14,538

7.7

Banco

Bilbao

Vizcaya

Argentaria

SA

103,759

540,705

(20,880)

(11.1)

Enagas

SA

6,080

132,367

5,155

2.7

Endesa

SA

10,896

288,770

4,639

2.5

Mapfre

SA

116,634

243,011

4,546

2.4

Red

Electrica

Corp.

SA

12,004

212,926

9,152

4.9

Repsol

SA

30,112

373,749

(3,724)

(2.0)

Short

Positions

Common

Stocks

Belgium

Elia

Group

SA/NV

(2,322)

(255,717)

(12,417)

(6.6)

China

Prosus

NV

(1,192)

(132,644)

(2,534)

(1.3)

Finland

Elisa

OYJ

(2,709)

(162,496)

(234)

(0.1)

Kesko

OYJ

(3,359)

(102,726)

(8,915)

(4.7)

Neste

OYJ

(6,129)

(325,485)

41,550

22.0

Nokia

OYJ

(38,091)

(152,122)

635

0.3

Sampo

OYJ

(10,683)

(481,699)

(21,052)

(11.2)

Germany

Just

Eat

Takeaway.com

NV

(2,648)

(243,658)

7,797

4.1

Luxembourg

ArcelorMittal

SA

(3,768)

(108,448)

(5,583)

(3.0)

Netherlands

Aegon

NV

(66,893)

(317,827)

(595)

(0.3)

Argenx

SE

(1,686)

(463,606)

38,359

20.3

Heineken

NV

(6,603)

(677,850)

20,650

11.0

IMCD

NV

(999)

(138,492)

(3,330)

(1.8)

Koninklijke

DSM

NV

(2,748)

(464,572)

(8,865)

(4.7)

Koninklijke

KPN

NV

(135,788)

(460,600)

2,304

1.2

Koninklijke

Vopak

NV

(2,302)

(114,542)

(2,913)

(1.5)

Wolters

Kluwer

NV

(2,391)

(207,670)

(9,159)

(4.9)

Spain

Acciona

SA

(627)

(105,357)

(5,794)

(3.1)

Aena

SME

SA

(1,205)

(195,497)

7,465

4.0

Amadeus

IT

Group

SA

(9,942)

(708,150)

(3,006)

(1.6)

Banco

Santander

SA

(46,317)

(157,978)

1,066

0.6

Bankinter

SA

(42,985)

(299,134)

(6,731)

(3.6)

Cellnex

Telecom

SA

(10,313)

(594,526)

(39,117)

(20.7)

Ferrovial

SA

(9,360)

(244,586)

(3,681)

(2.0)

Naturgy

Energy

Group

SA

(7,386)

(181,347)

784

0.4

Telefonica

SA

(49,632)

(223,140)

15,194

8.1

56

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/24/2025

-

03/09/2026

$2,762,727

$24,159

$(3,643)

$20,516

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Brazil

Yara

International

ASA

11,208

583,876

15,237

74.3

Norway

Leroy

Seafood

Group

ASA

16,093

137,546

1,688

8.2

Norsk

Hydro

ASA

49,931

320,705

17,651

86.0

Orkla

ASA

31,135

305,342

(2,836)

(13.8)

Telenor

ASA

4,922

86,715

70

0.3

United

Kingdom

Subsea

7

SA

4,205

42,245

(2,113)

(10.3)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(1,919)

(152,445)

(3,714)

(18.1)

France

Adevinta

ASA

(3,352)

(49,390)

1,735

8.5

Norway

Equinor

ASA

(2,055)

(40,113)

1,201

5.9

Gjensidige

Forsikring

ASA

(9,318)

(218,528)

(404)

(2.0)

Mowi

ASA

(18,298)

(454,462)

(1,362)

(6.6)

Salmar

ASA

(622)

(42,904)

(1,038)

(5.1)

Schibsted

ASA

(2,971)

(124,874)

2,490

12.1

TOMRA

Systems

ASA

(4,690)

(203,582)

(4,446)

(21.7)

57

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/24/2025

-

04/01/2026

$8,563,139

$(49,327)

$13,778

$(35,549)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Finland

Nordea

Bank

Abp

30,223

298,006

7,324

(20.6)

Sweden

Alfa

Laval

AB

1,841

55,641

(1,771)

5.0

Axfood

AB

831

19,865

310

(0.9)

Boliden

AB

5,506

204,291

(3,310)

9.3

Electrolux

AB

14,659

407,537

8,352

(23.5)

Embracer

Group

AB

4,814

132,254

9,008

(25.3)

Epiroc

AB

1,370

31,036

1,893

(5.3)

Evolution

Gaming

Group

AB

372

54,783

5,687

(16.0)

Getinge

AB

16,136

448,143

16,861

(47.4)

Hexpol

AB

10,248

115,725

5,287

(14.9)

Husqvarna

AB

17,760

256,039

19,924

(56.0)

ICA

Gruppen

AB

758

37,067

150

(0.4)

Lifco

AB

46

4,274

(2)

0.0

Saab

AB

5,585

153,006

1,714

(4.8)

Sandvik

AB

3,066

83,892

1,067

(3.0)

Securitas

AB

14,888

253,211

3,660

(10.3)

Skanska

AB

10,049

252,025

(2,645)

7.4

SKF

AB

5,166

146,996

(1,696)

4.8

SSAB

AB

21,964

116,141

10,774

(30.3)

Svenska

Handelsbanken

AB

21,001

228,306

(10,707)

30.1

Swedish

Orphan

Biovitrum

AB

11,603

185,554

(6,356)

17.9

Telefonaktiebolaget

LM

Ericsson

23,984

317,914

1,791

(5.0)

Trelleborg

AB

10,675

271,501

3,639

(10.2)

Volvo

AB

4,327

109,581

(6,097)

17.2

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(2,424)

(93,270)

1,375

(3.9)

Sweden

AAK

AB

(748)

(16,936)

(494)

1.4

Assa

Abloy

AB

(4,355)

(125,339)

(7,202)

20.3

Atlas

Copco

AB

(9,978)

(608,331)

(34,374)

96.7

BillerudKorsnas

AB

(8,258)

(153,600)

(6,532)

18.4

Elekta

AB

(7,897)

(102,443)

1,759

(4.9)

58

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

EQT

AB

(17,613)

(579,886)

(61,357)

172.6

Essity

AB

(103)

(3,255)

(94)

0.3

H

&

M

Hennes

&

Mauritz

AB

(5,188)

(116,919)

11,331

(31.9)

Hexagon

AB

(2,632)

(242,956)

(13,008)

36.6

Holmen

AB

(2,134)

(93,678)

(992)

2.8

Indutrade

AB

(2,935)

(67,770)

1,283

(3.6)

Nibe

Industrier

AB

(8,933)

(277,043)

2,433

(6.8)

Sinch

AB

(824)

(144,839)

(6,435)

18.1

Skandinaviska

Enskilda

Banken

AB

(46,198)

(563,546)

(176)

0.5

Svenska

Cellulosa

AB

SCA

(21,013)

(371,932)

1,071

(3.0)

Sweco

AB

(4,406)

(71,907)

(1,844)

5.2

Swedbank

AB

(21,775)

(383,934)

4,571

(12.9)

Swedish

Match

AB

(257)

(20,049)

(127)

0.4

Tele2

AB

(1,377)

(18,576)

(298)

0.8

Telia

Co.

AB

(74,760)

(324,142)

(5,074)

14.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.25%

to

0.30%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

05/25/2021

-

05/25/2022

$11,158,446

$41,571

$(41,087)

$484

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Canada

Alamos

Gold,

Inc.

14,465

113,031

675

139.4

Alimentation

Couche-Tard,

Inc.

4,901

158,024

1,904

393.3

Atco

Ltd.

4,793

159,118

1,372

283.4

Barrick

Gold

Corp.

12,733

252,593

428

88.4

Canadian

Tire

Corp.

Ltd.

1,266

179,650

1,348

278.5

CI

Financial

Corp.

15,559

224,712

(4,914)

(1015.4)

Empire

Co.

Ltd.

3,381

105,409

348

71.9

Finning

International,

Inc.

10,713

272,450

1,504

310.8

Hydro

One

Ltd.

6,518

151,812

(1,707)

(352.7)

iA

Financial

Corp.,

Inc.

2,507

136,312

(2,594)

(536.0)

Kinross

Gold

Corp.

37,575

250,261

2,219

458.5

Loblaw

Cos.

Ltd.

1,764

98,538

2,380

491.6

Magna

International,

Inc.

1,404

123,653

1,595

329.5

Manulife

Financial

Corp.

10,291

221,346

519

107.2

Onex

Corp.

1,460

90,804

(875)

(180.8)

59

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Stantec

,

Inc.

3,970

169,958

759

156.8

TFI

International,

Inc.

1,492

111,838

5,515

1139.5

Tourmaline

Oil

Corp.

10,942

208,270

7,205

1488.6

West

Fraser

Timber

Co.

Ltd.

3,655

262,949

27,955

5775.9

Yamana

Gold,

Inc.

36,164

157,122

(3,542)

(731.8)

Kyrgyzstan

Centerra

Gold,

Inc.

26,828

237,389

5,456

1127.2

United

States

BRP,

Inc.

1,595

138,304

8,085

1670.6

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(4,138)

(158,052)

(1,871)

(386.5)

Canada

Air

Canada

(9,346)

(194,476)

3,530

729.3

Algonquin

Power

&

Utilities

Corp.

(14,754)

(233,749)

856

176.9

AltaGas

Ltd.

(7,777)

(129,586)

(2,378)

(491.3)

Ballard

Power

Systems,

Inc.

(8,163)

(199,090)

(15,118)

(3123.6)

BCE,

Inc.

(8,222)

(371,158)

5,233

1081.1

Brookfield

Asset

Management,

Inc.

(7,558)

(336,192)

8,204

1695.0

CAE,

Inc.

(6,092)

(173,593)

(4,794)

(990.5)

Cameco

Corp.

(10,305)

(170,889)

1,807

373.3

Canada

Goose

Holdings,

Inc.

(2,951)

(115,837)

5,047

1042.7

Canadian

Pacific

Railway

Ltd.

(317)

(121,079)

(8,605)

(1777.8)

Canopy

Growth

Corp.

(4,476)

(143,751)

2,115

436.9

Element

Fleet

Management

Corp.

(17,564)

(192,174)

(135)

(27.8)

Emera

,

Inc.

(5,214)

(232,051)

(2,823)

(583.3)

Enbridge,

Inc.

(2,652)

(96,609)

1,192

246.3

Franco-Nevada

Corp.

(1,292)

(161,914)

(4,227)

(873.4)

Gildan

Activewear

,

Inc.

(3,183)

(97,412)

(1,593)

(329.2)

Innergex

Renewable

Energy,

Inc.

(13,478)

(235,626)

(3,173)

(655.6)

Intact

Financial

Corp.

(1,718)

(210,529)

(248)

(51.2)

Inter

Pipeline

Ltd.

(7,175)

(102,598)

373

77.0

Lightspeed

POS,

Inc.

(1,806)

(113,574)

(4,454)

(920.1)

National

Bank

of

Canada

(1,417)

(96,259)

2,038

421.1

Premium

Brands

Holdings

Corp.

(1,526)

(145,399)

(1,068)

(220.6)

Restaurant

Brands

International,

Inc.

(6,425)

(417,853)

12,187

2517.9

Rogers

Communications,

Inc.

(2,655)

(122,430)

6,647

1373.3

Royal

Bank

of

Canada

(1,830)

(168,729)

838

173.2

Saputo,

Inc.

(6,588)

(198,107)

(2,351)

(485.8)

TMX

Group

Ltd.

(1,566)

(162,731)

(2,216)

(457.9)

60

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-5.30%

to

0.35%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

04/18/2022

-

03/29/2023

$1,628,769

$7,626

$10,152

$17,778

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

Wilmar

International

Ltd.

9,860

39,821

534

3.0

Yangzijiang

Shipbuilding

Holdings

Ltd.

434,416

414,482

7,031

39.6

Singapore

ComfortDelGro

Corp.

Ltd.

210,726

268,569

3,304

18.6

Genting

Singapore

Ltd.

41,519

28,447

(104)

(0.6)

Jardine

Cycle

&

Carriage

Ltd.

1,246

20,903

99

0.6

Oversea-Chinese

Banking

Corp.

Ltd.

1,800

15,748

(81)

(0.5)

SATS

Ltd.

6,200

20,081

(209)

(1.2)

United

Overseas

Bank

Ltd.

1,000

19,282

26

0.1

Venture

Corp.

Ltd.

1,300

19,412

55

0.3

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(35,449)

(99,325)

806

4.5

City

Developments

Ltd.

(8,538)

(50,781)

(894)

(5.0)

DBS

Group

Holdings

Ltd.

(3,226)

(69,170)

(822)

(4.6)

Keppel

Corp.

Ltd.

(50,700)

(200,867)

(3,565)

(20.1)

Singapore

Airlines

Ltd.

(72,307)

(298,600)

1,875

10.5

Singapore

Technologies

Engineering

Ltd.

(21,847)

(63,281)

(429)

(2.4)

61

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-0.88%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-97

months

maturity

10/14/2022

$8,134,381

$21,919

$(12,851)

$9,068

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

AGL

Energy

Ltd.

19,305

141,916

(1,359)

(15.0)

AMP

Ltd.

48,170

46,443

(4,443)

(49.0)

Ansell

Ltd.

1,952

58,355

2,878

31.7

Aurizon

Holdings

Ltd.

92,219

274,049

906

10.0

Australia

&

New

Zealand

Banking

Group

Ltd.

3,765

80,836

(304)

(3.4)

BlueScope

Steel

Ltd.

18,563

273,930

9,103

100.4

Brambles

Ltd.

14,107

113,796

5,827

64.3

carsales.com

Ltd.

7,468

101,558

(3,863)

(42.6)

Coles

Group

Ltd.

9,359

114,129

3,556

39.2

Evolution

Mining

Ltd.

16,968

52,862

870

9.6

Fortescue

Metals

Group

Ltd.

24,506

373,486

(2,849)

(31.4)

Harvey

Norman

Holdings

Ltd.

55,058

240,634

3,298

36.4

JB

Hi-Fi

Ltd.

9,953

392,820

15,615

172.2

Mineral

Resources

Ltd.

4,298

124,765

577

6.4

Newcrest

Mining

Ltd.

8,625

162,943

4,650

51.3

Origin

Energy

Ltd.

32,378

116,001

1,143

12.6

Sonic

Healthcare

Ltd.

2,920

78,085

4,801

52.9

South32

Ltd.

52,752

113,214

3,304

36.4

Suncorp

Group

Ltd.

23,890

179,990

(3,307)

(36.5)

Tabcorp

Holdings

Ltd.

22,288

79,630

(449)

(5.0)

Telstra

Corp.

Ltd.

27,998

72,497

4,695

51.8

Woolworths

Group

Ltd.

3,367

104,863

4,239

46.7

Worley

Ltd.

29,575

236,902

(7,803)

(86.1)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(2,021)

(157,848)

7,774

85.7

Alumina

Ltd.

(143,469)

(190,630)

(7,645)

(84.3)

APA

Group

(18,336)

(140,005)

(1,230)

(13.6)

AusNet

Services

(135,572)

(189,495)

(4,573)

(50.4)

CIMIC

Group

Ltd.

(4,580)

(61,334)

1,363

15.0

Cochlear

Ltd.

(1,444)

(232,275)

(2,446)

(27.0)

Commonwealth

Bank

of

Australia

(2,016)

(132,279)

580

6.4

CSL

Ltd.

(840)

(169,767)

(2,543)

(28.0)

Domino's

Pizza

Enterprises

Ltd.

(1,309)

(96,076)

(1,755)

(19.4)

62

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Insurance

Australia

Group

Ltd.

(41,033)

(146,173)

1,681

18.5

Lendlease

Corp.

Ltd.

(15,707)

(154,862)

1,968

21.7

Macquarie

Group

Ltd.

(2,712)

(316,162)

(4,242)

(46.8)

Magellan

Financial

Group

Ltd.

(3,172)

(109,484)

(767)

(8.5)

Medibank

Pvt

Ltd.

(40,536)

(86,402)

2,898

32.0

National

Australia

Bank

Ltd.

(5,552)

(109,999)

680

7.5

Northern

Star

Resources

Ltd.

(24,650)

(178,558)

(5,695)

(62.8)

Oil

Search

Ltd.

(58,271)

(182,189)

9,888

109.0

Orica

Ltd.

(15,701)

(166,912)

(6,130)

(67.6)

OZ

Minerals

Ltd.

(8,494)

(148,156)

763

8.4

Qantas

Airways

Ltd.

(34,166)

(132,603)

5,926

65.4

REA

Group

Ltd.

(752)

(81,377)

(3,928)

(43.3)

SEEK

Ltd.

(4,986)

(108,679)

(3,810)

(42.0)

Seven

Group

Holdings

Ltd.

(6,413)

(110,148)

48

0.5

Sydney

Airport

(47,731)

(225,540)

(226)

(2.5)

Transurban

Group

(27,557)

(280,150)

(5,873)

(64.8)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(3,462)

(83,343)

(3,132)

(34.5)

United

States

James

Hardie

Industries

plc

(5,552)

(167,802)

(5,629)

(62.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-85

months

maturity

10/13/2021

$28,997,154

$350,386

$(24,626)

$325,760

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

France

Atos

SE

8,780

684,531

23,973

7.4

Carrefour

SA

33,477

606,121

30,756

9.4

Cie

de

Saint-Gobain

9,157

540,735

21,328

6.5

Cie

Generale

des

Etablissements

Michelin

SCA

2,728

408,573

2,046

0.6

Eutelsat

Communications

SA

22,470

273,352

(1,071)

(0.3)

Ipsen

SA

3,823

327,725

25,090

7.7

Orange

SA

29,164

358,891

1,270

0.4

Publicis

Groupe

SA

8,347

509,019

424

0.1

Rexel

SA

21,836

432,225

9,023

2.8

Rubis

SCA

6,848

324,083

29

0.0

Sodexo

SA

3,088

295,856

(3,295)

(1.0)

63

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Aurubis

AG

4,063

336,728

9,365

2.9

Bayerische

Motoren

Werke

AG

3,958

410,748

14,453

4.4

Brenntag

SE

5,268

450,040

11,541

3.5

Covestro

AG

4,172

280,696

4

0.0

Deutsche

Post

AG

(Registered)

9,513

521,891

15,255

4.7

Fresenius

Medical

Care

AG

&

Co.

KGaA

6,349

467,677

12,303

3.8

HOCHTIEF

AG

2,947

263,838

4,227

1.3

LANXESS

AG

3,568

263,336

392

0.1

Uniper

SE

6,473

234,473

1,699

0.5

Volkswagen

AG

(Preference)

1,984

555,363

27,314

8.4

Wacker

Chemie

AG

1,847

262,773

17,401

5.3

Switzerland

STMicroelectronics

NV

6,137

234,466

12,691

3.9

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(2,457)

(293,117)

15,868

4.9

Airbus

SE

(3,785)

(429,285)

17,464

5.4

Alstom

SA

(5,187)

(258,453)

(4,040)

(1.2)

AXA

SA

(11,531)

(309,541)

(5,382)

(1.7)

Dassault

Systemes

SE

(2,838)

(606,591)

(15,295)

(4.7)

L'Oreal

SA

(2,682)

(1,027,424)

(6,114)

(1.9)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(742)

(495,620)

(2,517)

(0.8)

Pernod

Ricard

SA

(2,138)

(400,189)

6,441

2.0

Safran

SA

(2,752)

(374,348)

18,255

5.6

Schneider

Electric

SE

(1,984)

(302,233)

(8,534)

(2.6)

Suez

SA

(12,099)

(256,245)

(246)

(0.1)

TOTAL

SE

(12,064)

(562,421)

10,953

3.4

Worldline

SA

(2,797)

(234,156)

997

0.3

Germany

adidas

AG

(1,145)

(357,688)

25,197

7.7

Beiersdorf

AG

(2,840)

(300,077)

(6,163)

(1.9)

Carl

Zeiss

Meditec

AG

(2,330)

(351,211)

(2,316)

(0.7)

Delivery

Hero

SE

(2,108)

(273,233)

(12,563)

(3.9)

Deutsche

Lufthansa

AG

(Registered)

(30,904)

(409,889)

26,914

8.3

Deutsche

Telekom

AG

(Registered)

(17,875)

(360,243)

(9,469)

(2.9)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(4,147)

(251,957)

(374)

(0.1)

Infineon

Technologies

AG

(7,945)

(338,041)

(15,462)

(4.7)

Merck

KGaA

(1,795)

(307,042)

(14,438)

(4.4)

MTU

Aero

Engines

AG

(1,433)

(337,567)

10,774

3.3

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

(941)

(289,799)

(3,865)

(1.2)

Rational

AG

(549)

(426,465)

7,347

2.3

Sartorius

AG

(Preference)

(559)

(278,694)

(6,122)

(1.9)

Siemens

AG

(Registered)

(2,203)

(361,978)

(9,246)

(2.8)

64

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-3.25%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-85

months

maturity

10/13/2021

$25,067,288

$160,646

$182,401

$343,047

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

Rio

Tinto

plc

9,192

701,241

9,354

2.7

Russia

Evraz

plc

47,291

376,616

23,700

6.9

United

Kingdom

ASOS

plc

2,973

226,779

(2,590)

(0.8)

Associated

British

Foods

plc

8,581

285,091

(6,116)

(1.8)

Aviva

plc

108,515

611,666

25,958

7.6

BAE

Systems

plc

35,612

248,005

1,959

0.6

British

American

Tobacco

plc

8,962

340,650

(2,330)

(0.7)

BT

Group

plc

157,161

335,274

7,683

2.2

DCC

plc

4,016

348,347

12,227

3.6

Entain

plc

14,880

311,181

(1,594)

(0.5)

GlaxoSmithKline

plc

18,957

335,592

(1,041)

(0.3)

IMI

plc

11,057

203,260

2,551

0.7

Imperial

Brands

plc

17,078

350,115

5,766

1.7

Inchcape

plc

19,509

202,406

(1,633)

(0.5)

Indivior

plc

178,131

311,876

8,382

2.4

JD

Sports

Fashion

plc

24,197

275,066

(11,308)

(3.3)

Kingfisher

plc

121,583

532,903

9,488

2.8

M&G

plc

169,354

483,958

(12,014)

(3.5)

Marks

&

Spencer

Group

plc

232,242

482,733

(23,215)

(6.8)

Royal

Mail

plc

88,702

617,344

(14,812)

(4.3)

Sage

Group

plc

(The)

52,902

446,927

18,359

5.4

Tate

&

Lyle

plc

36,100

380,847

1,270

0.4

Vodafone

Group

plc

185,581

338,421

(11,663)

(3.4)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(10,899)

(253,872)

2,312

0.7

United

Kingdom

Admiral

Group

plc

(8,231)

(351,800)

(13,622)

(4.0)

Burberry

Group

plc

(16,020)

(419,081)

43,637

12.7

Compass

Group

plc

(9,944)

(200,906)

9,035

2.6

Croda

International

plc

(5,889)

(515,266)

(4,623)

(1.3)

Diageo

plc

(13,424)

(551,478)

8,692

2.5

65

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Experian

plc

(6,267)

(215,904)

(2,907)

(0.8)

Halma

plc

(10,416)

(340,777)

(7,654)

(2.2)

Hargreaves

Lansdown

plc

(10,500)

(223,100)

3,804

1.1

HSBC

Holdings

plc

(40,204)

(234,336)

4,340

1.3

Informa

plc

(42,007)

(324,343)

8,166

2.4

InterContinental

Hotels

Group

plc

(8,524)

(586,190)

8,674

2.5

Intermediate

Capital

Group

plc

(8,146)

(206,822)

5,976

1.7

J

Sainsbury

plc

(76,246)

(254,966)

(698)

(0.2)

National

Grid

plc

(26,144)

(310,344)

(6,673)

(1.9)

Natwest

Group

plc

(133,859)

(362,200)

(15,785)

(4.6)

Ocado

Group

plc

(24,824)

(695,995)

15,267

4.5

Prudential

plc

(28,537)

(607,911)

(2,935)

(0.9)

RELX

plc

(15,600)

(391,260)

(7,365)

(2.1)

Rolls-Royce

Holdings

plc

(340,220)

(494,069)

82,189

24.0

Severn

Trent

plc

(9,845)

(313,144)

(10,329)

(3.0)

Spirax-Sarco

Engineering

plc

(2,055)

(322,878)

3,020

0.9

St

James's

Place

plc

(12,701)

(222,983)

(4,024)

(1.2)

Tesco

plc

(110,866)

(350,029)

(4,074)

(1.2)

United

Utilities

Group

plc

(26,389)

(337,209)

(10,581)

(3.1)

Whitbread

plc

(5,703)

(269,213)

1,229

0.4

Wm

Morrison

Supermarkets

plc

(107,250)

(269,741)

(5,216)

(1.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-1.50%

to

0.45%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-98

months

maturity

10/17/2022

$4,504,173

$16,008

$97,911

$113,919

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

30,500

106,701

(5,065)

(4.4)

Hong

Kong

ASM

Pacific

Technology

Ltd.

8,300

106,221

226

0.2

CK

Asset

Holdings

Ltd.

29,500

179,584

5,421

4.8

CLP

Holdings

Ltd.

19,000

184,997

2,254

2.0

Henderson

Land

Development

Co.

Ltd.

23,050

104,027

3,474

3.0

HKT

Trust

&

HKT

Ltd.

50,000

71,368

(2,341)

(2.1)

Kerry

Properties

Ltd.

72,000

232,851

13,543

11.9

Man

Wah

Holdings

Ltd.

49,600

103,162

(71)

(0.1)

Melco

International

Development

Ltd.

14,000

28,578

(1,680)

(1.5)

New

World

Development

Co.

Ltd.

17,250

89,608

2,118

1.9

66

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

NWS

Holdings

Ltd.

22,000

23,323

(1,440)

(1.3)

Sino

Land

Co.

Ltd.

12,000

16,747

(384)

(0.3)

Sun

Hung

Kai

Properties

Ltd.

4,000

60,567

365

0.3

Swire

Pacific

Ltd.

11,000

82,863

5,136

4.5

Techtronic

Industries

Co.

Ltd.

500

8,572

(79)

(0.1)

WH

Group

Ltd.

334,000

271,352

(37,079)

(32.5)

Macau

SJM

Holdings

Ltd.

40,000

52,491

(923)

(0.8)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

52,500

419,439

551

0.5

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(122,300)

(366,089)

8,536

7.5

ESR

Cayman

Ltd.

(39,200)

(128,926)

(2,334)

(2.0)

SITC

International

Holdings

Co.

Ltd.

(11,000)

(37,436)

(1,931)

(1.7)

Hong

Kong

AIA

Group

Ltd.

(16,600)

(203,130)

5,122

4.5

Hang

Lung

Properties

Ltd.

(41,000)

(107,020)

(3,968)

(3.5)

Hang

Seng

Bank

Ltd.

(8,300)

(161,171)

(291)

(0.3)

Hong

Kong

&

China

Gas

Co.

Ltd.

(178,400)

(282,869)

(11,173)

(9.8)

MTR

Corp.

Ltd.

(53,449)

(303,990)

8,672

7.6

Swire

Properties

Ltd.

(38,800)

(120,435)

2,847

2.5

Vitasoy

International

Holdings

Ltd.

(26,000)

(100,078)

6,322

5.5

Wharf

Real

Estate

Investment

Co.

Ltd.

(37,000)

(208,065)

4,926

4.3

Xinyi

Glass

Holdings

Ltd.

(2,000)

(6,570)

(172)

(0.2)

Macau

Galaxy

Entertainment

Group

Ltd.

(7,000)

(63,282)

4,274

3.8

MGM

China

Holdings

Ltd.

(21,200)

(37,696)

167

0.1

Sands

China

Ltd.

(18,000)

(90,218)

110

0.1

Wynn

Macau

Ltd.

(74,400)

(144,747)

10,875

9.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

plus

or

minus

a

specified

spread

(-1.88%

to

0.45%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-98

months

maturity

10/17/2022

$58,771,557

$807,768

$6,783

$814,551

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

67

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Corp.

8,500

323,733

16,059

2.0

Brother

Industries

Ltd.

16,700

370,914

4,199

0.5

Fujitsu

Ltd.

2,200

320,130

(2,814)

(0.3)

Honda

Motor

Co.

Ltd.

12,700

382,848

5,256

0.6

Iida

Group

Holdings

Co.

Ltd.

15,000

363,460

(10,726)

(1.3)

Kajima

Corp.

27,800

395,409

2,405

0.3

K's

Holdings

Corp.

25,900

356,536

243

0.0

Mebuki

Financial

Group,

Inc.

200,300

472,637

(9,712)

(1.2)

Medipal

Holdings

Corp.

16,700

320,998

(17,969)

(2.2)

Nintendo

Co.

Ltd.

1,100

619,999

(11,813)

(1.5)

Obayashi

Corp.

49,600

455,278

2,745

0.3

SCREEN

Holdings

Co.

Ltd.

5,400

478,086

53,947

6.6

Shimamura

Co.

Ltd.

3,300

381,333

43,784

5.4

Sojitz

Corp.

106,600

301,197

(4,393)

(0.5)

Sony

Group

Corp.

4,100

433,917

5,072

0.6

Subaru

Corp.

23,600

471,684

11,173

1.4

Sumitomo

Rubber

Industries

Ltd.

27,400

324,375

19,632

2.4

Taiheiyo

Cement

Corp.

16,500

434,766

20,868

2.6

Taisei

Corp.

8,575

330,835

3,946

0.5

Teijin

Ltd.

17,800

307,111

(11,285)

(1.4)

Toyo

Suisan

Kaisha

Ltd.

8,000

335,753

(1,171)

(0.1)

Yamato

Holdings

Co.

Ltd.

12,700

348,758

1,499

0.2

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(22,500)

(672,077)

(3,699)

(0.5)

ANA

Holdings,

Inc.

(15,900)

(369,962)

21,106

2.6

Asahi

Intecc

Co.

Ltd.

(13,300)

(367,115)

(6,386)

(0.8)

Chiba

Bank

Ltd.

(The)

(57,300)

(375,109)

12,961

1.6

Chugai

Pharmaceutical

Co.

Ltd.

(8,600)

(349,451)

2,564

0.3

Daiichi

Sankyo

Co.

Ltd.

(11,900)

(347,192)

8,454

1.0

Denso

Corp.

(7,700)

(513,314)

5,669

0.7

East

Japan

Railway

Co.

(6,500)

(462,198)

35,635

4.4

Fast

Retailing

Co.

Ltd.

(400)

(319,751)

20,340

2.5

Japan

Airport

Terminal

Co.

Ltd.

(7,900)

(389,628)

(3,351)

(0.4)

Keio

Corp.

(6,000)

(403,966)

33,827

4.2

Kikkoman

Corp.

(8,400)

(500,931)

33,982

4.2

Kintetsu

Group

Holdings

Co.

Ltd.

(8,100)

(309,298)

29,589

3.6

Kobe

Bussan

Co.

Ltd.

(16,100)

(431,677)

6,741

0.8

Mitsubishi

Motors

Corp.

(120,700)

(345,120)

3,955

0.5

Nippon

Paint

Holdings

Co.

Ltd.

(24,000)

(346,648)

52,230

6.4

Odakyu

Electric

Railway

Co.

Ltd.

(20,400)

(558,186)

46,762

5.7

Oriental

Land

Co.

Ltd.

(3,100)

(466,492)

15,179

1.9

Pan

Pacific

International

Holdings

Corp.

(13,700)

(323,380)

(778)

(0.1)

Rakuten

Group,

Inc.

(26,100)

(311,813)

23,082

2.8

Seven

Bank

Ltd.

(164,500)

(376,025)

19,270

2.4

Shiseido

Co.

Ltd.

(7,400)

(497,681)

35,339

4.3

Showa

Denko

KK

(12,500)

(356,259)

922

0.1

SoftBank

Group

Corp.

(4,700)

(400,147)

21,444

2.6

Tokio

Marine

Holdings,

Inc.

(15,300)

(728,144)

37,822

4.6

Toyota

Motor

Corp.

(13,500)

(1,050,570)

(32,674)

(4.0)

West

Japan

Railway

Co.

(6,500)

(360,658)

34,837

4.3

68

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(7,200)

(359,728)

(5,263)

(0.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-2.42%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-73

months

maturity

10/15/2021

$146,886,170

$1,181,020

$40,350

$1,221,370

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

AGCO

Corp.

3,368

483,813

(1,482)

(0.1)

Allstate

Corp.

(The)

4,473

513,948

(1,462)

(0.1)

Arrow

Electronics,

Inc.

4,061

450,040

5,917

0.5

Associated

Banc-Corp.

20,214

431,367

(31,084)

(2.5)

Bank

of

New

York

Mellon

Corp.

(The)

10,058

475,643

8,825

0.7

Becton

Dickinson

and

Co.

1,664

404,602

6,264

0.5

Best

Buy

Co.,

Inc.

4,121

473,132

6,003

0.5

Cisco

Systems,

Inc.

7,898

408,406

18,086

1.5

Citigroup,

Inc.

5,393

392,341

(2,115)

(0.2)

Darden

Restaurants,

Inc.

2,677

380,134

1,331

0.1

Deckers

Outdoor

Corp.

1,687

557,419

(20,606)

(1.7)

Dick's

Sporting

Goods,

Inc.

5,980

455,377

(12,216)

(1.0)

Facebook,

Inc.

2,907

856,199

28,720

2.4

Ford

Motor

Co.

38,795

475,239

(16,475)

(1.3)

Intel

Corp.

14,957

957,248

(24,295)

(2.0)

Kohl's

Corp.

7,552

450,175

(5,034)

(0.4)

L

Brands,

Inc.

7,307

452,011

8,101

0.7

Lockheed

Martin

Corp.

1,413

522,104

23,105

1.9

Microsoft

Corp.

2,942

693,635

725

0.1

Popular,

Inc.

5,420

381,134

(8,884)

(0.7)

SYNNEX

Corp.

3,295

378,398

34,894

2.9

Target

Corp.

3,247

643,133

58,825

4.8

Thermo

Fisher

Scientific,

Inc.

944

430,823

8,418

0.7

Tyson

Foods,

Inc.

9,097

675,907

(16,540)

(1.4)

Walmart,

Inc.

5,476

743,805

17,182

1.4

69

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Ameren

Corp.

(5,273)

(429,011)

(15,928)

(1.3)

Aon

plc

(2,739)

(630,271)

(11,256)

(0.9)

Ball

Corp.

(4,759)

(403,278)

(5,638)

(0.5)

Beyond

Meat,

Inc.

(3,905)

(508,119)

24,658

2.0

Boeing

Co.

(The)

(1,709)

(435,316)

12,254

1.0

Bright

Horizons

Family

Solutions,

Inc.

(2,738)

(469,430)

(7,376)

(0.6)

Charter

Communications,

Inc.

(937)

(578,148)

20,914

1.7

Cincinnati

Financial

Corp.

(3,689)

(380,299)

11,815

1.0

Commerce

Bancshares,

Inc.

(5,398)

(413,541)

17,770

1.5

First

Financial

Bankshares

,

Inc.

(8,010)

(374,307)

17,222

1.4

First

Republic

Bank

(3,535)

(589,461)

8,982

0.7

Grocery

Outlet

Holding

Corp.

(14,684)

(541,693)

(6,719)

(0.6)

Hess

Corp.

(5,361)

(379,344)

315

0.0

JPMorgan

Chase

&

Co.

(2,523)

(384,076)

6,107

0.5

Live

Nation

Entertainment,

Inc.

(5,261)

(445,344)

7,319

0.6

Lyft,

Inc.

(8,418)

(531,849)

18,442

1.5

NextEra

Energy,

Inc.

(8,136)

(615,163)

(21,969)

(1.8)

Nordstrom,

Inc.

(9,994)

(378,473)

40,982

3.4

Norwegian

Cruise

Line

Holdings

Ltd.

(13,934)

(384,439)

8,138

0.7

PNC

Financial

Services

Group,

Inc.

(The)

(2,548)

(446,945)

5,700

0.5

T-Mobile

US,

Inc.

(3,688)

(462,070)

6,366

0.5

Trex

Co.,

Inc.

(5,118)

(468,502)

20,760

1.7

Uber

Technologies,

Inc.

(7,091)

(386,530)

7,245

0.6

Visa,

Inc.

(2,139)

(452,890)

23,042

1.9

Welltower

,

Inc.

(6,112)

(437,803)

5,929

0.5

70

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

82.5%

INVESTMENT

COMPANIES

-

45.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

745,832

745,832

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

13,250,239

13,246,264

TOTAL

INVESTMENT

COMPANIES

(Cost

$13,991,297)

13,992,096

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

37.0%

U.S.

Treasury

Bills

0.11%,

4/29/2021

(c)

$

2,639,000

2,638,977

0.11%,

5/6/2021

(c)

1,128,000

1,127,981

0.11%,

5/13/2021

(c)

2,318,000

2,317,939

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

37.0%

(continued)

0.10%,

5/20/2021

(c)(d)

$

847,000

846,980

0.09%,

6/3/2021

(c)(d)

508,000

507,985

0.09%,

6/17/2021

(c)

129,000

128,996

0.09%,

7/8/2021

(c)

2,936,000

2,935,868

0.09%,

7/29/2021

(c)(d)

559,000

558,965

0.05%,

8/26/2021

(c)

288,000

287,972

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$11,350,208)

11,351,663

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$25,341,505)

25,343,759

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

82.5%

(Cost

$25,341,505)

25,343,759

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

17.5%

(e)

5,373,830

NET

ASSETS

-

100.0%

30,717,589

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2021:

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

3M

BA

Qtrly

0.75%

Semi

6/14/2023

CAD

21,800,000

$

52,302

$

(32,258)

$

20,044

Pay

6M

BBR

Semi

2.00%

Semi

9/11/2031

AUD

900,000

3,447

(2,452)

995

Receive

3M

BA

Qtrly

1.25%

Qtrly

6/16/2031

CAD

1,400,000

38,811

53,676

92,487

Receive

3M

BA

Qtrly

1.25%

Qtrly

9/15/2031

CAD

5,400,000

268,722

113,004

381,726

Receive

3M

BBR

Qtrly

0.00%

Qtrly

9/07/2023

AUD

8,100,000

29,702

4,051

33,753

Receive

3M

BBR

Qtrly

1.50%

Qtrly

6/11/2031

NZD

600,000

(2,181)

22,504

20,323

Receive

3M

BBR

Qtrly

1.00%

Qtrly

6/11/2031

NZD

300,000

3,039

16,876

19,915

Receive

3M

LIBOR

Qtrly

0.25%

Qtrly

6/16/2023

USD

64,900,000

(31,434)

129,820

98,386

Receive

3M

LIBOR

Qtrly

0.25%

Qtrly

9/15/2023

USD

29,300,000

44,497

48,114

92,611

Receive

3M

STIBOR

Qtrly

0.00%

Qtrly

6/21/2023

SEK

8,500,000

841

(219)

622

Receive

3M

STIBOR

Qtrly

0.00%

Qtrly

9/20/2023

SEK

128,600,000

27,238

(7,920)

19,318

Receive

6M

EURIBOR

Semi

0.75%

Semi

6/16/2023

EUR

32,300,000

203,310

(2,158)

201,152

Receive

6M

EURIBOR

Semi

0.5%

Semi

6/16/2023

EUR

700,000

(265)

479

214

Receive

6M

EURIBOR

Semi

0.75%

Annual

9/15/2023

EUR

17,000,000

113,609

(1,239)

112,370

Receive

6M

EURIBOR

Semi

0.5%

Semi

9/15/2023

EUR

37,800,000

38,965

(13,300)

25,665

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2031

GBP

3,700,000

319,011

97,767

416,778

Receive

6M

LIBOR

Semi

1.00%

Semi

9/15/2031

GBP

700,000

6,078

6,110

12,188

Receive

6M

LIBOR

Semi

0.25%

Semi

9/15/2031

GBP

4,400,000

417,076

99,025

516,101

Receive

6M

NIBOR

Semi

1.50%

Semi

9/17/2031

NOK

22,300,000

81,743

23,689

105,432

1,614,511

555,569

2,170,080

Pay

3M

BA

Qtrly

0.75%

Semi

9/13/2023

CAD

22,700,000

(11,113)

(10,619)

(21,732)

Pay

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

9,500,000

(36,688)

7,005

(29,683)

71

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BBR

Qtrly

0.50%

Semi

6/14/2023

NZD

3,900,000

$

2,144

$

(3,426)

$

(1,282)

Pay

3M

BBR

Qtrly

0.50%

Semi

9/13/2023

NZD

20,500,000

(38,013)

10,728

(27,285)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

5,000,000

(227,091)

(279,895)

(506,986)

Pay

3M

LIBOR

Qtrly

1.00%

Semi

9/15/2031

USD

1,500,000

(91,343)

(33,923)

(125,266)

Pay

3M

STIBOR

Qtrly

0.50%

Annual

9/17/2031

SEK

9,700,000

(27,622)

(11,216)

(38,838)

Pay

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

900,000

(21,702)

(36,204)

(57,906)

Pay

6M

BBR

Semi

1.50%

Semi

9/11/2031

AUD

1,100,000

(21,404)

(16,191)

(37,595)

Pay

6M

EURIBOR

Semi

0.00%

Annual

6/16/2031

EUR

100,000

2,407

(3,560)

(1,153)

Pay

6M

EURIBOR

Semi

0.25%

Annual

6/16/2031

EUR

4,100,000

(134,506)

(35,015)

(169,521)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/15/2031

EUR

4,700,000

(179,172)

(33,328)

(212,500)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2023

GBP

18,100,000

(109,514)

(60,487)

(170,001)

Pay

6M

LIBOR

Semi

0.25%

Semi

6/16/2023

GBP

16,000,000

41,025

(81,168)

(40,143)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/15/2023

GBP

28,400,000

(262,784)

(60,632)

(323,416)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

213,500,000

(17,809)

(14,435)

(32,244)

Pay

6M

LIBOR

Semi

0.00%

Annual

9/17/2031

CHF

600,000

(5,755)

493

(5,262)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/17/2031

JPY

373,000,000

(70,072)

9,280

(60,792)

Pay

6M

NIBOR

Semi

1.00%

Annual

9/20/2023

NOK

166,900,000

(19,099)

(15,258)

(34,357)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

5,272,900,000

(53,051)

29,004

(24,047)

Receive

6M

LIBOR

Semi

0.00%

Semi

9/20/2023

JPY

6,595,000,000

(26,197)

1,288

(24,909)

Receive

6M

LIBOR

Semi

0.5%

Semi

9/20/2023

CHF

1,600,000

(2,650)

(1,006)

(3,656)

(1,310,009)

(638,565)

(1,948,574)

$

304,502

$

(82,996)

$

221,506

Abbreviations:

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2021

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.04%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.44%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.19%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

-0.02%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.09%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-

0.51%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.43%

72

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

BIST

30

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2021

TRY

(245,183)

$

7

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

394,975

11,885

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

8,494,800

4,193

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

8,494,800

2,412

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

2,735,750

4,086

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

4,924,350

1,950

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/10/2021

KRW

518,312,500

6,177

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

349,272

52,326

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/21/2021

TWD

3,284,600

1,587

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2021

TWD

32,846,000

16,411

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(30,900)

1,800

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(30,900)

1,785

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/18/2021

HKD

1,181,984

1,554

73

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.19%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/18/2021

EUR

374,347

$

35,818

141,991

DTOP

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/17/2021

ZAR

4,133,580

(2,441)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

(1,165,490)

(3,860)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

(3,059,840)

(64,185)

Tel

Aviv

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2021

ILS

(2,086,006)

(6,011)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

30,900

(1,752)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

30,900

(1,771)

MSCI

China

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/18/2021

HKD

11,826

(22)

MSCI

Emerging

Markets

Thailand

Net

Total

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

(-0.45%)

Monthly

JPMC

06/16/2021

USD

(149,744)

(820)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

GSIN

06/16/2021

SGD

(160,730)

(3,757)

74

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

(-0.40%)

Monthly

GSIN

06/16/2021

EUR

(94,888)

$

(1,587)

(86,206)

$

55,785

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

7

4/2021

EUR

$

1,147,834

$

27,850

Brent

Crude

Oil

8

4/2021

USD

501,920

(27,628)

Hang

Seng

Index

6

4/2021

HKD

1,092,705

(295)

HSCEI

1

4/2021

HKD

70,381

376

LME

Aluminum

Base

Metal

1

4/2021

USD

54,800

4,573

LME

Aluminum

Base

Metal

1

4/2021

USD

54,935

5,390

LME

Aluminum

Base

Metal

1

4/2021

USD

54,702

3,861

LME

Aluminum

Base

Metal

2

4/2021

USD

109,432

8,378

LME

Aluminum

Base

Metal

2

4/2021

USD

109,713

9,833

LME

Aluminum

Base

Metal

2

4/2021

USD

109,730

10,574

LME

Aluminum

Base

Metal

2

4/2021

USD

109,818

9,644

LME

Aluminum

Base

Metal

3

4/2021

USD

164,700

13,854

LME

Copper

Base

Metal

1

4/2021

USD

219,814

19,911

LME

Copper

Base

Metal

1

4/2021

USD

219,708

17,996

LME

Copper

Base

Metal

1

4/2021

USD

219,825

18,316

LME

Copper

Base

Metal

1

4/2021

USD

219,722

15,989

LME

Nickel

Base

Metal

3

4/2021

USD

288,636

(32,992)

LME

Zinc

Base

Metal

1

4/2021

USD

70,200

5,728

LME

Zinc

Base

Metal

1

4/2021

USD

70,131

(1,121)

LME

Zinc

Base

Metal

1

4/2021

USD

70,181

697

LME

Zinc

Base

Metal

1

4/2021

USD

70,181

3,313

LME

Zinc

Base

Metal

3

4/2021

USD

210,591

14,084

SGX

FTSE

China

A50

Index

7

4/2021

USD

120,274

(63)

SGX

FTSE

Taiwan

Index

14

4/2021

USD

811,160

4,624

SGX

NIFTY

50

Index

5

4/2021

USD

147,460

137

WTI

Crude

Oil

12

4/2021

USD

709,920

(46,405)

Copper

2

5/2021

USD

199,775

(4,420)

Corn

25

5/2021

USD

705,313

21,307

LME

Aluminum

Base

Metal

1

5/2021

USD

55,046

(707)

LME

Aluminum

Base

Metal

1

5/2021

USD

55,039

3,086

LME

Aluminum

Base

Metal

1

5/2021

USD

54,970

5,781

LME

Aluminum

Base

Metal

7

5/2021

USD

385,119

17,725

LME

Copper

Base

Metal

1

5/2021

USD

219,613

(7,890)

LME

Copper

Base

Metal

1

5/2021

USD

219,725

1,222

LME

Copper

Base

Metal

1

5/2021

USD

219,713

24,929

LME

Nickel

Base

Metal

1

5/2021

USD

96,255

(14,828)

LME

Nickel

Base

Metal

1

5/2021

USD

96,229

(10,419)

75

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

1

5/2021

USD

$

96,294

$

(21,579)

LME

Zinc

Base

Metal

1

5/2021

USD

70,248

3,840

LME

Zinc

Base

Metal

3

5/2021

USD

210,869

(6,214)

Silver

1

5/2021

USD

122,660

(17,089)

Soybean

Meal

1

5/2021

USD

42,320

155

Soybean

Oil

3

5/2021

USD

95,256

13,262

Australia

10

Year

Bond

23

6/2021

AUD

2,412,810

(4,156)

DJIA

CBOT

E-Mini

Index

1

6/2021

USD

164,490

(410)

FTSE/JSE

Top

40

Index

7

6/2021

ZAR

290,149

1,013

FTSE/MIB

Index

16

6/2021

EUR

2,288,548

33,559

KOSPI

200

Index

15

6/2021

KRW

1,373,923

23,876

LME

Aluminum

Base

Metal

1

6/2021

USD

55,219

167

LME

Aluminum

Base

Metal

1

6/2021

USD

55,206

(464)

LME

Aluminum

Base

Metal

2

6/2021

USD

110,207

2,401

LME

Aluminum

Base

Metal

2

6/2021

USD

110,256

2,038

LME

Aluminum

Base

Metal

3

6/2021

USD

165,638

(998)

LME

Aluminum

Base

Metal

6

6/2021

USD

331,115

7,323

LME

Aluminum

Base

Metal

20

6/2021

USD

1,104,375

12,183

LME

Copper

Base

Metal

1

6/2021

USD

219,706

(6,696)

LME

Copper

Base

Metal

1

6/2021

USD

219,606

(4,842)

LME

Copper

Base

Metal

4

6/2021

USD

878,775

(31,998)

LME

Nickel

Base

Metal

1

6/2021

USD

96,408

(197)

LME

Nickel

Base

Metal

1

6/2021

USD

96,344

(1,014)

LME

Nickel

Base

Metal

1

6/2021

USD

96,363

(1,119)

LME

Nickel

Base

Metal

2

6/2021

USD

192,666

(2,946)

LME

Nickel

Base

Metal

2

6/2021

USD

192,642

(30,984)

LME

Nickel

Base

Metal

6

6/2021

USD

578,196

(87,156)

LME

Zinc

Base

Metal

1

6/2021

USD

70,431

228

LME

Zinc

Base

Metal

1

6/2021

USD

70,406

541

LME

Zinc

Base

Metal

1

6/2021

USD

70,423

1,020

LME

Zinc

Base

Metal

2

6/2021

USD

140,925

37

LME

Zinc

Base

Metal

2

6/2021

USD

140,696

890

LME

Zinc

Base

Metal

5

6/2021

USD

352,094

(6,459)

Long

Gilt

20

6/2021

GBP

3,517,912

(16,212)

MSCI

Emerging

Markets

E-Mini

Index

3

6/2021

USD

198,375

(68)

Nikkei

225

Index

2

6/2021

JPY

527,072

(963)

Russell

2000

E-Mini

Index

1

6/2021

USD

111,125

(6,667)

S&P

500

E-Mini

Index

31

6/2021

USD

6,149,470

55,903

S&P

Midcap

400

E-Mini

Index

1

6/2021

USD

260,530

(3,813)

S&P/TSX

60

Index

2

6/2021

CAD

353,656

(648)

TOPIX

Index

36

6/2021

JPY

6,353,037

174,032

202,186

Short

Contracts

CAC

40

10

Euro

Index

(9)

4/2021

EUR

(640,224)

(3,008)

FTSE

Bursa

Malaysia

KLCI

Index

(3)

4/2021

MYR

(56,867)

1,245

IBEX

35

Index

(23)

4/2021

EUR

(2,316,013)

15,930

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,800)

(4,678)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,702)

(3,946)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,935)

(5,411)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,818)

(8,822)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,432)

(8,212)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,713)

(9,832)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,730)

(10,568)

LME

Aluminum

Base

Metal

(3)

4/2021

USD

(164,700)

(14,007)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,814)

(20,092)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,722)

(15,635)

76

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

4/2021

USD

$

(219,825)

$

(18,355)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,708)

(18,235)

LME

Nickel

Base

Metal

(3)

4/2021

USD

(288,636)

33,015

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,181)

(3,471)

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,131)

1,428

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,181)

(828)

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,200)

(5,540)

LME

Zinc

Base

Metal

(3)

4/2021

USD

(210,591)

(15,412)

MSCI

Singapore

Index

(36)

4/2021

SGD

(957,939)

(4,101)

Natural

Gas

(18)

4/2021

USD

(469,440)

2,017

OMXS30

Index

(45)

4/2021

SEK

(1,127,003)

(12,764)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,046)

666

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(54,970)

(5,910)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,039)

(3,066)

LME

Aluminum

Base

Metal

(7)

5/2021

USD

(385,119)

(19,869)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,613)

8,181

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,713)

(26,290)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,725)

(1,291)

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,229)

10,388

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,294)

20,343

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,255)

14,832

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,248)

(3,770)

LME

Zinc

Base

Metal

(3)

5/2021

USD

(210,869)

6,623

Soybean

(2)

5/2021

USD

(143,675)

(3,723)

Wheat

(6)

5/2021

USD

(185,400)

1,293

Australia

3

Year

Bond

(10)

6/2021

AUD

(889,003)

(590)

Canada

10

Year

Bond

(11)

6/2021

CAD

(1,214,665)

5,152

DAX

Index

(2)

6/2021

EUR

(881,225)

(30,087)

EURO

STOXX

50

Index

(105)

6/2021

EUR

(4,760,341)

(97,348)

Euro-

Bobl

(31)

6/2021

EUR

(4,910,658)

(3,966)

Euro-BTP

(3)

6/2021

EUR

(525,288)

(977)

Euro-Bund

(80)

6/2021

EUR

(16,068,806)

42,513

Euro-OAT

(3)

6/2021

EUR

(569,756)

1,929

Euro-Schatz

(64)

6/2021

EUR

(8,413,420)

(1,615)

FTSE

100

Index

(53)

6/2021

GBP

(4,880,430)

43,028

Japan

10

Year

Bond

(11)

6/2021

JPY

(15,017,025)

(28,321)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,206)

278

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,219)

98

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,256)

(2,370)

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,207)

(2,579)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,638)

1,079

LME

Aluminum

Base

Metal

(6)

6/2021

USD

(331,115)

(6,286)

LME

Aluminum

Base

Metal

(12)

6/2021

USD

(662,625)

(11,790)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,606)

5,066

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,706)

6,539

LME

Copper

Base

Metal

(3)

6/2021

USD

(659,081)

12,857

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,344)

916

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,408)

9

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,363)

654

LME

Nickel

Base

Metal

(2)

6/2021

USD

(192,642)

31,314

LME

Nickel

Base

Metal

(2)

6/2021

USD

(192,666)

3,382

LME

Nickel

Base

Metal

(6)

6/2021

USD

(578,196)

56,283

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,431)

(239)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,406)

(922)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,423)

(1,080)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,925)

(31)

77

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(2)

6/2021

USD

$

(140,696)

$

(77)

LME

Zinc

Base

Metal

(7)

6/2021

USD

(492,931)

216

MEX

BOLSA

Index

(11)

6/2021

MXN

(252,484)

6,433

NASDAQ

100

E-Mini

Index

(1)

6/2021

USD

(261,795)

(5,888)

SET50

Index

(100)

6/2021

THB

(617,664)

(3,142)

SPI

200

Index

(6)

6/2021

AUD

(770,867)

(2,273)

U.S.

Treasury

10

Year

Note

(23)

6/2021

USD

(3,011,563)

17,352

U.S.

Treasury

2

Year

Note

(52)

6/2021

USD

(11,477,782)

9,377

U.S.

Treasury

5

Year

Note

(17)

6/2021

USD

(2,097,773)

24,335

U.S.

Treasury

Long

Bond

(6)

6/2021

USD

(927,563)

20,786

U.S.

Treasury

Ultra

Bond

(3)

6/2021

USD

(543,656)

21,648

(19,212)

$

182,974

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

428,000

USD

325,085

CITI

6/16/2021

$

106

AUD

428,000

USD

325,086

JPMC

6/16/2021

105

BRL

1,746,878

USD

302,445

CITI

**

6/16/2021

6,320

BRL

1,746,874

USD

302,445

JPMC

**

6/16/2021

6,319

CAD

4,046,501

USD

3,204,016

CITI

6/16/2021

16,228

CAD

4,046,499

USD

3,204,018

JPMC

6/16/2021

16,225

CLP

65,875,000

USD

90,109

CITI

**

6/16/2021

1,371

CLP

65,875,000

USD

90,109

JPMC

**

6/16/2021

1,371

CNY

8,500

USD

1,286

CITI

**

6/16/2021

2

CNY

8,500

USD

1,286

JPMC

**

6/16/2021

2

GBP

76,000

USD

104,524

CITI

6/16/2021

274

GBP

76,000

USD

104,524

JPMC

6/16/2021

273

INR

39,945,376

USD

536,506

CITI

**

6/16/2021

3,042

INR

39,945,376

USD

536,507

JPMC

**

6/16/2021

3,042

KRW

179,382,500

USD

158,405

CITI

**

6/16/2021

668

KRW

179,382,500

USD

158,402

JPMC

**

6/16/2021

671

MXN

34,631,500

USD

1,661,345

CITI

6/16/2021

19,421

MXN

34,631,500

USD

1,661,347

JPMC

6/16/2021

19,419

NOK

3,942,000

USD

459,157

CITI

6/16/2021

1,708

NOK

3,942,000

USD

459,158

JPMC

6/16/2021

1,707

RUB

5,067,000

USD

66,389

CITI

**

6/16/2021

65

RUB

5,067,000

USD

66,389

JPMC

**

6/16/2021

65

THB

23,000

USD

734

CITI

6/16/2021

2

THB

23,000

USD

734

JPMC

6/16/2021

2

USD

1,496,014

AUD

1,916,500

CITI

6/16/2021

39,873

USD

1,496,012

AUD

1,916,500

JPMC

6/16/2021

39,871

USD

315,669

BRL

1,762,500

CITI

**

6/16/2021

4,144

USD

315,669

BRL

1,762,500

JPMC

**

6/16/2021

4,144

USD

808,974

CAD

1,010,333

CITI

6/16/2021

4,942

USD

808,973

CAD

1,010,334

JPMC

6/16/2021

4,940

USD

4,284,354

CHF

3,873,500

CITI

6/16/2021

177,824

USD

4,284,200

CHF

3,873,500

JPMC

6/16/2021

177,671

USD

14,691

CLP

10,500,000

CITI

**

6/16/2021

110

USD

14,691

CLP

10,500,000

JPMC

**

6/16/2021

110

78

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

573,965

CNY

3,753,500

CITI

**

6/16/2021

$

5,355

USD

573,964

CNY

3,753,500

JPMC

**

6/16/2021

5,354

USD

335,630

COP

1,211,875,001

CITI

**

6/16/2021

5,337

USD

335,629

COP

1,211,874,998

JPMC

**

6/16/2021

5,337

USD

445,565

CZK

9,600,000

CITI

6/16/2021

14,181

USD

445,565

CZK

9,600,000

JPMC

6/16/2021

14,181

USD

6,111,911

EUR

5,050,004

CITI

6/16/2021

180,560

USD

6,111,894

EUR

5,049,996

JPMC

6/16/2021

180,552

USD

1,830,560

GBP

1,314,002

CITI

6/16/2021

18,669

USD

1,830,552

GBP

1,313,998

JPMC

6/16/2021

18,667

USD

296,936

HUF

88,853,000

CITI

6/16/2021

9,531

USD

296,936

HUF

88,853,000

JPMC

6/16/2021

9,531

USD

884,688

IDR

12,882,045,500

CITI

**

6/16/2021

9,379

USD

884,687

IDR

12,882,045,500

JPMC

**

6/16/2021

9,378

USD

402,425

ILS

1,320,000

CITI

6/16/2021

7,185

USD

402,424

ILS

1,320,000

JPMC

6/16/2021

7,184

USD

362,194

INR

26,656,000

CITI

**

6/16/2021

2,146

USD

362,193

INR

26,656,000

JPMC

**

6/16/2021

2,146

USD

574,956

JPY

60,746,500

CITI

6/16/2021

25,954

USD

574,956

JPY

60,746,500

JPMC

6/16/2021

25,954

USD

142,892

KRW

160,643,500

CITI

**

6/16/2021

438

USD

142,892

KRW

160,643,500

JPMC

**

6/16/2021

438

USD

2,062,803

NOK

17,429,995

CITI

6/16/2021

25,039

USD

2,062,800

NOK

17,429,993

JPMC

6/16/2021

25,036

USD

7,749,077

NZD

10,756,001

CITI

6/16/2021

238,420

USD

7,749,066

NZD

10,755,999

JPMC

6/16/2021

238,410

USD

149,332

PHP

7,275,000

CITI

**

6/16/2021

460

USD

149,332

PHP

7,275,000

JPMC

**

6/16/2021

460

USD

1,000,899

PLN

3,805,001

CITI

6/16/2021

37,724

USD

1,000,898

PLN

3,804,999

JPMC

6/16/2021

37,724

USD

106,603

RUB

7,978,500

CITI

**

6/16/2021

1,965

USD

106,603

RUB

7,978,500

JPMC

**

6/16/2021

1,965

USD

92,001

SEK

790,000

CITI

6/16/2021

1,483

USD

92,001

SEK

790,000

JPMC

6/16/2021

1,483

USD

1,049,555

SGD

1,394,000

CITI

6/16/2021

13,632

USD

1,049,554

SGD

1,394,000

JPMC

6/16/2021

13,631

USD

3,384

THB

103,000

CITI

6/16/2021

89

USD

3,384

THB

103,000

JPMC

6/16/2021

89

USD

45,378

ZAR

675,000

CITI

6/17/2021

95

USD

45,378

ZAR

675,000

JPMC

6/17/2021

95

ZAR

14,528,500

USD

954,349

CITI

6/17/2021

20,299

ZAR

14,528,500

USD

954,350

JPMC

6/17/2021

20,298

Total

unrealized

appreciation

1,787,891

AUD

5,485,006

USD

4,282,163

CITI

6/16/2021

(114,699)

AUD

5,484,994

USD

4,282,158

JPMC

6/16/2021

(114,704)

BRL

4,323,126

USD

786,118

CITI

**

6/16/2021

(21,995)

BRL

4,323,122

USD

786,118

JPMC

**

6/16/2021

(21,995)

CAD

2,525,000

USD

2,018,634

CITI

6/16/2021

(9,215)

CAD

2,525,000

USD

2,018,637

JPMC

6/16/2021

(9,218)

CHF

1,148,000

USD

1,230,219

CITI

6/16/2021

(13,155)

CHF

1,148,000

USD

1,230,220

JPMC

6/16/2021

(13,157)

CLP

82,625,000

USD

116,769

CITI

**

6/16/2021

(2,029)

CLP

82,625,000

USD

116,769

JPMC

**

6/16/2021

(2,029)

CNY

12,230,753

USD

1,877,559

CITI

**

6/16/2021

(24,747)

CNY

12,230,747

USD

1,877,561

JPMC

**

6/16/2021

(24,749)

COP

5,000,000

USD

1,392

CITI

**

6/16/2021

(30)

COP

5,000,000

USD

1,392

JPMC

**

6/16/2021

(30)

EUR

3,883,500

USD

4,695,268

CITI

6/16/2021

(134,004)

79

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

3,883,500

USD

4,695,274

JPMC

6/16/2021

$

(134,010)

GBP

1,095,002

USD

1,520,368

CITI

6/16/2021

(10,459)

GBP

1,094,998

USD

1,520,364

JPMC

6/16/2021

(10,460)

HUF

60,640,000

USD

204,873

CITI

6/16/2021

(8,726)

HUF

60,640,000

USD

204,873

JPMC

6/16/2021

(8,726)

ILS

170,000

USD

51,504

CITI

6/16/2021

(601)

ILS

170,000

USD

51,504

JPMC

6/16/2021

(601)

INR

76,425,624

USD

1,037,428

CITI

**

6/16/2021

(5,132)

INR

76,425,624

USD

1,037,429

JPMC

**

6/16/2021

(5,134)

JPY

290,820,000

USD

2,701,737

CITI

6/16/2021

(73,425)

JPY

290,820,000

USD

2,701,741

JPMC

6/16/2021

(73,429)

KRW

1,366,457,000

USD

1,225,491

CITI

**

6/16/2021

(13,747)

KRW

1,366,457,000

USD

1,225,492

JPMC

**

6/16/2021

(13,749)

MXN

400,000

USD

19,428

CITI

6/16/2021

(14)

MXN

400,000

USD

19,428

JPMC

6/16/2021

(14)

NOK

10,767,000

USD

1,269,977

CITI

6/16/2021

(11,193)

NOK

10,767,000

USD

1,269,978

JPMC

6/16/2021

(11,194)

NZD

3,664,501

USD

2,660,359

CITI

6/16/2021

(101,526)

NZD

3,664,499

USD

2,660,361

JPMC

6/16/2021

(101,529)

PLN

1,278,500

USD

341,642

CITI

6/16/2021

(18,010)

PLN

1,278,500

USD

341,642

JPMC

6/16/2021

(18,011)

RUB

34,665,500

USD

462,696

CITI

**

6/16/2021

(8,059)

RUB

34,665,500

USD

462,697

JPMC

**

6/16/2021

(8,060)

SEK

2,746,500

USD

327,652

CITI

6/16/2021

(12,957)

SEK

2,746,500

USD

327,652

JPMC

6/16/2021

(12,958)

THB

2,434,500

USD

80,514

CITI

6/16/2021

(2,631)

THB

2,434,500

USD

80,514

JPMC

6/16/2021

(2,631)

TWD

16,350,002

USD

594,616

CITI

**

6/16/2021

(15,853)

TWD

16,349,998

USD

594,617

JPMC

**

6/16/2021

(15,854)

USD

555,088

BRL

3,212,503

CITI

**

6/16/2021

(12,730)

USD

555,079

BRL

3,212,497

JPMC

**

6/16/2021

(12,739)

USD

2,399,972

CAD

3,031,000

CITI

6/16/2021

(12,128)

USD

2,399,967

CAD

3,030,997

JPMC

6/16/2021

(12,130)

USD

175,071

CNY

1,157,000

CITI

**

6/16/2021

(200)

USD

175,071

CNY

1,157,000

JPMC

**

6/16/2021

(200)

USD

46,917

COP

173,125,001

CITI

**

6/16/2021

(268)

USD

46,917

COP

173,125,000

JPMC

**

6/16/2021

(268)

USD

91,899

HUF

28,451,000

CITI

6/16/2021

(130)

USD

91,899

HUF

28,451,000

JPMC

6/16/2021

(130)

USD

68,844

INR

5,113,500

CITI

**

6/16/2021

(225)

USD

68,844

INR

5,113,500

JPMC

**

6/16/2021

(225)

USD

443,357

KRW

503,196,000

CITI

**

6/16/2021

(2,867)

USD

443,357

KRW

503,196,000

JPMC

**

6/16/2021

(2,867)

USD

1,444,711

MXN

30,204,000

CITI

6/16/2021

(21,176)

USD

1,444,709

MXN

30,204,000

JPMC

6/16/2021

(21,178)

USD

700,751

NOK

6,023,006

CITI

6/16/2021

(3,407)

USD

700,750

NOK

6,023,006

JPMC

6/16/2021

(3,408)

USD

315,294

NZD

452,500

CITI

6/16/2021

(676)

USD

315,294

NZD

452,500

JPMC

6/16/2021

(676)

USD

151,275

PHP

7,425,000

CITI

**

6/16/2021

(666)

USD

151,275

PHP

7,425,000

JPMC

**

6/16/2021

(666)

USD

113,157

PLN

449,000

CITI

6/16/2021

(500)

USD

113,157

PLN

449,000

JPMC

6/16/2021

(501)

USD

5,468

RUB

419,000

CITI

**

6/16/2021

(27)

USD

5,468

RUB

419,000

JPMC

**

6/16/2021

(27)

USD

283,978

SGD

382,500

CITI

6/16/2021

(269)

USD

283,978

SGD

382,500

JPMC

6/16/2021

(269)

USD

188,765

TWD

5,350,000

CITI

**

6/16/2021

(616)

80

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

188,765

TWD

5,350,000

JPMC

**

6/16/2021

$

(617)

USD

239,738

ZAR

3,645,000

CITI

6/17/2021

(4,788)

USD

239,738

ZAR

3,645,000

JPMC

6/17/2021

(4,788)

ZAR

3,051,500

USD

206,809

CITI

6/17/2021

(2,097)

ZAR

3,051,500

USD

206,809

JPMC

6/17/2021

(2,097)

Total

unrealized

depreciation

(1,330,005)

Net

unrealized

appreciation

$

457,886

**

Non-deliverable

forward.

81

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

7

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

87.0%

INVESTMENT

COMPANIES

-

31.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

1,208,050

1,208,050

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

90,950,382

90,923,097

TOTAL

INVESTMENT

COMPANIES

(Cost

$92,123,196)

92,131,147

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

55.2%

U.S.

Treasury

Bills

0.11%,

5/13/2021

(c)(d)

$

8,780,000

8,779,770

0.10%,

5/20/2021

(d)

3,990,000

3,989,905

0.09%,

5/27/2021

(d)

4,280,000

4,279,900

0.09%,

6/3/2021

(d)(e)

40,717,000

40,715,752

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

55.2%

(continued)

0.09%,

6/10/2021

(d)(e)

$

36,313,000

36,311,835

0.09%,

6/24/2021

(d)(e)

8,740,000

8,739,745

0.09%,

7/15/2021

(d)(e)

6,870,000

6,869,725

0.10%,

7/22/2021

(d)(f)

26,165,000

26,163,779

0.09%,

7/29/2021

(d)(e)

448,000

447,972

0.05%,

8/12/2021

(d)(f)

20,266,000

20,264,203

0.06%,

8/19/2021

(d)(e)

3,471,000

3,470,676

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$160,008,912)

160,033,262

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$252,132,108)

252,164,409

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.0%

(Cost

$252,132,108)

252,164,409

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

13.0%

(g)

37,685,566

NET

ASSETS

-

100.0%

289,849,975

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(g)

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.

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/29/2021

HKD

8,494,800

$

8,995

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/18/2021

CHF

3,169,120

68,098

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

AUD

1,352,709

4,159

82

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.63%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

CAD

500,911

$

7,054

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.70%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

107,379

3,325

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

HKD

295,496

380

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

252,380

11,125

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

JPY

1,083,988,004

362,540

MSCI

Netherlands

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

06/18/2021

EUR

1,003,576

95,866

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

SGD

5,953

139

83

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

602,193

$

10,073

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-1.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

SEK

478,128

2,905

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.45%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

CHF

1,071,117

35,060

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.16%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

GBP

11,338

22

609,741

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/18/2021

CHF

109,280

(327)

(327)

$

609,414

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

14

4/2021

EUR

$

2,295,668

$

60,121

CAC

40

10

Euro

Index

59

4/2021

EUR

4,197,023

23,554

Hang

Seng

Index

1

4/2021

HKD

182,118

2,295

IBEX

35

Index

9

4/2021

EUR

906,266

(3,825)

MSCI

Singapore

Index

10

4/2021

SGD

266,094

280

OMXS30

Index

61

4/2021

SEK

1,527,715

21,932

DAX

Index

9

6/2021

EUR

3,965,514

121,938

FTSE

100

Index

62

6/2021

GBP

5,709,182

(33,494)

84

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

FTSE/MIB

Index

7

6/2021

EUR

$

1,001,240

$

14,862

S&P

500

E-Mini

Index

563

6/2021

USD

111,682,310

1,062,323

S&P/TSX

60

Index

24

6/2021

CAD

4,243,877

(7,390)

SPI

200

Index

18

6/2021

AUD

2,312,602

(15,624)

TOPIX

Index

4

6/2021

JPY

705,893

3,035

$

1,250,007

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

160,500

USD

121,887

CITI

6/16/2021

$

59

AUD

160,500

USD

121,888

JPMC

6/16/2021

59

CAD

2,431,905

USD

1,925,610

CITI

6/16/2021

9,723

CAD

2,431,902

USD

1,925,610

JPMC

6/16/2021

9,722

GBP

194,500

USD

267,855

CITI

6/16/2021

343

GBP

194,500

USD

267,855

JPMC

6/16/2021

343

NOK

127,000

USD

14,764

CITI

6/16/2021

83

NOK

127,000

USD

14,765

JPMC

6/16/2021

83

NZD

6,500

USD

4,527

CITI

6/16/2021

12

NZD

6,500

USD

4,527

JPMC

6/16/2021

12

SGD

40,000

USD

29,657

CITI

6/16/2021

68

SGD

40,000

USD

29,657

JPMC

6/16/2021

68

USD

20,541

AUD

26,500

CITI

6/16/2021

406

USD

20,541

AUD

26,500

JPMC

6/16/2021

406

USD

694,789

CHF

630,210

CITI

6/16/2021

26,665

USD

694,756

CHF

630,208

JPMC

6/16/2021

26,635

USD

21,101

DKK

130,500

CITI

6/16/2021

502

USD

21,101

DKK

130,500

JPMC

6/16/2021

502

USD

647,901

EUR

532,562

CITI

6/16/2021

22,394

USD

647,896

EUR

532,559

JPMC

6/16/2021

22,393

USD

61,778

GBP

44,500

CITI

6/16/2021

417

USD

61,778

GBP

44,500

JPMC

6/16/2021

417

USD

42,565

HKD

330,000

CITI

6/16/2021

109

USD

42,565

HKD

330,000

JPMC

6/16/2021

109

USD

3,793

ILS

12,500

CITI

6/16/2021

50

USD

3,793

ILS

12,500

JPMC

6/16/2021

50

USD

8,336

NZD

11,500

CITI

6/16/2021

306

USD

8,336

NZD

11,500

JPMC

6/16/2021

306

USD

21,493

SEK

179,620

CITI

6/16/2021

912

USD

21,493

SEK

179,619

JPMC

6/16/2021

912

USD

581,731

SGD

772,644

CITI

6/16/2021

7,556

USD

581,728

SGD

772,641

JPMC

6/16/2021

7,555

Total

unrealized

appreciation

139,177

AUD

1,924,002

USD

1,509,985

CITI

6/16/2021

(48,144)

AUD

1,923,998

USD

1,509,983

JPMC

6/16/2021

(48,145)

CAD

707,802

USD

567,162

CITI

6/16/2021

(3,886)

CAD

707,801

USD

567,162

JPMC

6/16/2021

(3,887)

CHF

2,005,002

USD

2,205,172

CITI

6/16/2021

(79,549)

CHF

2,004,998

USD

2,205,170

JPMC

6/16/2021

(79,551)

DKK

3,607,221

USD

589,412

CITI

6/16/2021

(20,012)

DKK

3,607,222

USD

589,413

JPMC

6/16/2021

(20,013)

EUR

6,080,002

USD

7,375,435

CITI

6/16/2021

(234,326)

85

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

6,079,999

USD

7,375,441

JPMC

6/16/2021

$

(234,337)

GBP

2,135,000

USD

2,989,384

CITI

6/16/2021

(45,412)

GBP

2,135,001

USD

2,989,390

JPMC

6/16/2021

(45,415)

HKD

5,812,000

USD

749,551

CITI

6/16/2021

(1,808)

HKD

5,812,000

USD

749,552

JPMC

6/16/2021

(1,809)

ILS

423,000

USD

128,912

CITI

6/16/2021

(2,255)

ILS

423,000

USD

128,912

JPMC

6/16/2021

(2,255)

JPY

610,391,501

USD

5,754,317

CITI

6/16/2021

(237,849)

JPY

610,391,500

USD

5,754,324

JPMC

6/16/2021

(237,857)

NOK

1,051,258

USD

124,313

CITI

6/16/2021

(1,410)

NOK

1,051,257

USD

124,313

JPMC

6/16/2021

(1,410)

NZD

87,000

USD

63,160

CITI

6/16/2021

(2,411)

NZD

86,999

USD

63,160

JPMC

6/16/2021

(2,411)

SEK

6,892,000

USD

822,119

CITI

6/16/2021

(32,432)

SEK

6,892,001

USD

822,120

JPMC

6/16/2021

(32,434)

SGD

290,003

USD

218,358

CITI

6/16/2021

(2,848)

SGD

289,997

USD

218,354

JPMC

6/16/2021

(2,848)

Total

unrealized

depreciation

(1,424,714)

Net

unrealized

depreciation

$

(1,285,537)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-3.50%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

04/26/2021

-

05/25/2022

$69,723,102

$409,259

$764,800

$1,174,059

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

AT&T,

Inc.

51,729

1,565,837

8,084

0.7

Cabot

Corp.

21,787

1,142,510

24,619

2.1

Capri

Holdings

Ltd.

14,208

724,608

24,154

2.1

Columbia

Sportswear

Co.

9,815

1,036,758

(3,698)

(0.3)

Deckers

Outdoor

Corp.

8,099

2,676,072

69,075

5.9

Dow,

Inc.

10,767

688,442

6,745

0.6

Graphic

Packaging

Holding

Co.

37,084

673,445

9,271

0.8

Huntsman

Corp.

50,727

1,462,459

42,172

3.6

Minerals

Technologies,

Inc.

7,092

534,169

5,603

0.5

Mosaic

Co.

(The)

40,200

1,270,722

29,855

2.5

86

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

NewMarket

Corp.

2,639

1,003,242

(4,763)

(0.4)

Newmont

Corp.

16,203

976,555

6,319

0.5

Packaging

Corp.

of

America

5,164

694,455

(135)

(0.0)

Peloton

Interactive,

Inc.

7,951

894,010

73,228

6.2

Polaris,

Inc.

8,636

1,152,906

27,290

2.3

PulteGroup,

Inc.

32,357

1,696,801

67,100

5.7

PVH

Corp.

7,895

834,502

58,510

5.0

Reliance

Steel

&

Aluminum

Co.

6,873

1,046,689

38,283

3.3

Sensient

Technologies

Corp.

8,574

668,772

12,089

1.0

Silgan

Holdings,

Inc.

18,408

773,688

(15,095)

(1.3)

Skechers

USA,

Inc.

17,263

720,040

6,387

0.5

Walmart,

Inc.

29,049

3,945,726

48,106

4.1

Westlake

Chemical

Corp.

10,039

891,363

8,132

0.7

Westrock

Co.

11,695

608,725

2,222

0.2

Short

Positions

Common

Stocks

United

Kingdom

Liberty

Global

plc

(21,998)

(561,829)

9,899

0.8

Linde

plc

(2,655)

(743,772)

(17,948)

(1.5)

United

States

Albemarle

Corp.

(5,811)

(849,045)

16,387

1.4

Amcor

plc

(48,320)

(564,378)

(4,832)

(0.4)

AptarGroup,

Inc.

(5,143)

(728,609)

5,199

0.4

Avery

Dennison

Corp.

(6,071)

(1,114,939)

(10,677)

(0.9)

Ball

Corp.

(25,760)

(2,182,902)

(17,535)

(1.5)

BJ's

Wholesale

Club

Holdings,

Inc.

(23,604)

(1,058,875)

(34,834)

(3.0)

Compass

Minerals

International,

Inc.

(10,773)

(675,683)

(539)

(0.0)

Ecolab,

Inc.

(2,723)

(582,913)

(14,323)

(1.2)

Grocery

Outlet

Holding

Corp.

(67,248)

(2,480,779)

(28,244)

(2.4)

Hasbro,

Inc.

(5,821)

(559,515)

12,280

1.0

Helen

of

Troy

Ltd.

(4,249)

(895,094)

(15,254)

(1.3)

International

Flavors

&

Fragrances,

Inc.

(7,970)

(1,112,692)

(1,594)

(0.1)

Lululemon

Athletica

,

Inc.

(4,319)

(1,324,680)

3,759

0.3

Lumen

Technologies,

Inc.

(61,513)

(821,199)

13,533

1.2

PPG

Industries,

Inc.

(4,787)

(719,295)

20,317

1.7

Royal

Gold,

Inc.

(5,160)

(555,319)

(21,287)

(1.8)

Scotts

Miracle-

Gro

Co.

(The)

(2,406)

(589,398)

(23,098)

(2.0)

Sysco

Corp.

(10,048)

(791,180)

8,081

0.7

T-Mobile

US,

Inc.

(16,639)

(2,084,700)

(30,162)

(2.6)

TopBuild

Corp.

(6,898)

(1,444,648)

(43,642)

(3.7)

Under

Armour

,

Inc.

(34,061)

(754,792)

8,353

0.7

US

Foods

Holding

Corp.

(15,890)

(605,727)

(17,638)

(1.5)

VF

Corp.

(15,321)

(1,224,454)

(25,717)

(2.2)

YETI

Holdings,

Inc.

(9,579)

(691,700)

(26,464)

(2.3)

87

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.10%

to

0.03%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$42,990,902

$63,576

$216,673

$280,249

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

AGL

Energy

Ltd.

106,305

781,478

(2,258)

(0.8)

Ampol

Ltd.

12,186

228,128

6,974

2.5

Ansell

Ltd.

12,675

378,918

18,686

6.7

Aurizon

Holdings

Ltd.

591,011

1,756,319

5,334

1.9

Australia

&

New

Zealand

Banking

Group

Ltd.

18,838

404,461

(1,523)

(0.5)

BlueScope

Steel

Ltd.

92,885

1,370,683

48,940

17.5

Brambles

Ltd.

74,012

597,030

29,044

10.4

carsales.com

Ltd.

40,870

555,796

(21,142)

(7.5)

Coles

Group

Ltd.

59,654

727,454

23,520

8.4

Evolution

Mining

Ltd.

103,419

322,193

6,798

2.4

Fortescue

Metals

Group

Ltd.

118,485

1,805,783

(17,400)

(6.2)

Harvey

Norman

Holdings

Ltd.

283,521

1,239,142

16,983

6.1

JB

Hi-Fi

Ltd.

49,627

1,958,654

78,531

28.0

Mineral

Resources

Ltd.

24,669

716,107

715

0.3

Newcrest

Mining

Ltd.

47,821

903,430

25,781

9.2

Origin

Energy

Ltd.

145,630

521,752

3,761

1.3

Sonic

Healthcare

Ltd.

15,439

412,860

27,176

9.7

South32

Ltd.

257,030

551,625

15,956

5.7

Suncorp

Group

Ltd.

114,424

862,084

(16,487)

(5.9)

Tabcorp

Holdings

Ltd.

105,959

378,567

(887)

(0.3)

Telstra

Corp.

Ltd.

160,276

415,011

26,874

9.6

Worley

Ltd.

154,585

1,238,256

(41,183)

(14.7)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(10,020)

(782,603)

41,161

14.7

Alumina

Ltd.

(828,324)

(1,100,610)

(43,919)

(15.7)

APA

Group

(122,855)

(938,064)

(10,645)

(3.8)

Atlas

Arteria

Ltd.

(55,150)

(250,260)

5,485

2.0

AusNet

Services

(802,033)

(1,121,039)

(29,268)

(10.4)

Cochlear

Ltd.

(7,708)

(1,239,870)

(12,653)

(4.5)

Commonwealth

Bank

of

Australia

(10,829)

(710,542)

3,521

1.3

CSL

Ltd.

(3,835)

(775,068)

(9,879)

(3.5)

Domino's

Pizza

Enterprises

Ltd.

(6,722)

(493,373)

(11,236)

(4.0)

Insurance

Australia

Group

Ltd.

(205,859)

(733,339)

7,850

2.8

88

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Lendlease

Corp.

Ltd.

(86,175)

(849,638)

11,467

4.1

Macquarie

Group

Ltd.

(14,066)

(1,639,798)

(22,196)

(7.9)

Magellan

Financial

Group

Ltd.

(15,387)

(531,094)

(3,976)

(1.4)

National

Australia

Bank

Ltd.

(37,194)

(736,906)

4,558

1.6

Northern

Star

Resources

Ltd.

(133,783)

(969,088)

(42,268)

(15.1)

Oil

Search

Ltd.

(305,253)

(954,399)

51,968

18.5

Orica

Ltd.

(82,846)

(880,705)

(36,690)

(13.1)

OZ

Minerals

Ltd.

(41,487)

(723,634)

4,174

1.5

Qantas

Airways

Ltd.

(160,197)

(621,745)

26,434

9.4

Qube

Holdings

Ltd.

(118,881)

(271,392)

7,750

2.8

REA

Group

Ltd.

(3,601)

(389,678)

(19,477)

(7.0)

Santos

Ltd.

(60,438)

(327,130)

4,740

1.7

SEEK

Ltd.

(31,617)

(689,150)

(24,158)

(8.6)

Seven

Group

Holdings

Ltd.

(33,665)

(578,222)

252

0.1

Sydney

Airport

(248,036)

(1,172,030)

10,069

3.6

Transurban

Group

(172,250)

(1,751,131)

(26,333)

(9.4)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(12,297)

(296,034)

(10,408)

(3.7)

United

States

James

Hardie

Industries

plc

(43,395)

(1,311,554)

(42,984)

(15.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

GBP/USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.05%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$128,840,367

$967,805

$277,953

$1,245,758

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

Rio

Tinto

plc

44,083

3,363,012

44,715

3.6

Russia

Evraz

plc

227,780

1,813,994

114,541

9.2

South

Africa

Anglo

American

plc

30,239

1,184,396

(20,573)

(1.7)

United

Kingdom

ASOS

plc

15,174

1,157,467

(13,079)

(1.0)

Associated

British

Foods

plc

49,487

1,644,133

(35,270)

(2.8)

Aviva

plc

572,315

3,225,964

136,903

11.0

BAE

Systems

plc

192,208

1,338,550

10,501

0.8

British

American

Tobacco

plc

44,342

1,685,460

(11,396)

(0.9)

BT

Group

plc

852,352

1,818,334

37,226

3.0

89

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

DCC

plc

21,841

1,894,484

82,754

6.6

Entain

plc

71,207

1,489,131

(6,866)

(0.6)

GlaxoSmithKline

plc

108,392

1,918,844

(5,295)

(0.4)

IMI

plc

59,154

1,087,424

13,581

1.1

Imperial

Brands

plc

81,527

1,671,379

31,817

2.6

Indivior

plc

724,399

1,268,294

34,087

2.7

JD

Sports

Fashion

plc

134,163

1,525,137

(65,487)

(5.3)

Kingfisher

plc

619,124

2,713,646

50,877

4.1

M&G

plc

862,269

2,464,079

(81,341)

(6.5)

Marks

&

Spencer

Group

plc

1,138,735

2,366,950

(115,680)

(9.3)

Mondi

plc

48,453

1,235,227

20,566

1.7

Royal

Mail

plc

422,760

2,942,306

(71,525)

(5.7)

Sage

Group

plc

(The)

258,863

2,186,926

94,747

7.6

Tate

&

Lyle

plc

173,276

1,828,024

6,898

0.6

Vodafone

Group

plc

954,079

1,739,836

(60,232)

(4.8)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(51,526)

(1,200,201)

10,472

0.8

United

Kingdom

Admiral

Group

plc

(38,089)

(1,627,958)

(64,597)

(5.2)

Burberry

Group

plc

(100,196)

(2,621,111)

272,924

21.9

Croda

International

plc

(28,587)

(2,501,257)

(24,434)

(2.0)

Diageo

plc

(65,608)

(2,695,276)

49,976

4.0

Halma

plc

(53,234)

(1,741,641)

(45,253)

(3.6)

Hargreaves

Lansdown

plc

(53,313)

(1,132,776)

22,804

1.8

HSBC

Holdings

plc

(193,563)

(1,128,216)

20,894

1.7

Informa

plc

(215,712)

(1,665,549)

44,484

3.6

InterContinental

Hotels

Group

plc

(41,889)

(2,880,681)

56,157

4.5

J

Sainsbury

plc

(383,798)

(1,283,416)

(5,741)

(0.5)

National

Grid

plc

(115,530)

(1,371,408)

(24,548)

(2.0)

Natwest

Group

plc

(651,695)

(1,763,376)

(77,072)

(6.2)

Ocado

Group

plc

(117,296)

(3,288,651)

72,788

5.8

Prudential

plc

(144,945)

(3,087,698)

(15,152)

(1.2)

Reckitt

Benckiser

Group

plc

(12,068)

(1,080,211)

(26,989)

(2.2)

RELX

plc

(72,327)

(1,814,019)

(38,668)

(3.1)

Rolls-Royce

Holdings

plc

(1,631,712)

(2,369,578)

410,366

32.9

Severn

Trent

plc

(55,259)

(1,757,647)

(57,977)

(4.7)

Spirax-Sarco

Engineering

plc

(11,382)

(1,788,319)

19,013

1.5

St

James's

Place

plc

(61,611)

(1,081,662)

(19,520)

(1.6)

Taylor

Wimpey

plc

(531,773)

(1,322,149)

14,314

1.1

Tesco

plc

(563,180)

(1,778,089)

(23,722)

(1.9)

United

Utilities

Group

plc

(130,130)

(1,662,853)

(55,143)

(4.4)

Whitbread

plc

(31,470)

(1,485,556)

7,147

0.6

Wm

Morrison

Supermarkets

plc

(410,224)

(1,031,743)

(16,213)

(1.3)

90

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HKD/USD

1

Month

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.15%

to

0.03%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$22,965,242

$74,418

$686,249

$760,667

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

131,500

460,039

(23,296)

(3.1)

SITC

International

Holdings

Co.

Ltd.

24,000

81,679

3,729

0.5

Hong

Kong

ASM

Pacific

Technology

Ltd.

36,600

468,396

970

0.1

CK

Asset

Holdings

Ltd.

165,500

1,007,495

30,415

4.0

CLP

Holdings

Ltd.

97,500

949,328

12,236

1.6

Henderson

Land

Development

Co.

Ltd.

88,960

401,486

13,564

1.8

HKT

Trust

&

HKT

Ltd.

207,000

295,464

(9,691)

(1.3)

Kerry

Properties

Ltd.

362,500

1,172,340

75,401

9.9

Man

Wah

Holdings

Ltd.

265,600

552,415

(379)

(0.0)

Melco

International

Development

Ltd.

108,000

220,461

(14,930)

(2.0)

New

World

Development

Co.

Ltd.

90,250

468,820

9,038

1.2

NWS

Holdings

Ltd.

141,000

149,478

(9,232)

(1.2)

Sino

Land

Co.

Ltd.

162,000

226,083

(6,040)

(0.8)

Sun

Hung

Kai

Properties

Ltd.

26,000

393,688

2,775

0.4

Swire

Pacific

Ltd.

47,000

354,050

22,804

3.0

Techtronic

Industries

Co.

Ltd.

8,500

145,722

(1,342)

(0.2)

WH

Group

Ltd.

1,714,500

1,392,913

(192,760)

(25.3)

Yue

Yuen

Industrial

Holdings

Ltd.

111,500

278,841

(4,576)

(0.6)

Macau

SJM

Holdings

Ltd.

144,000

188,969

(3,441)

(0.5)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

296,000

2,364,836

2,712

0.4

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(585,300)

(1,752,019)

42,895

5.6

ESR

Cayman

Ltd.

(179,200)

(589,376)

(10,012)

(1.3)

Hong

Kong

AIA

Group

Ltd.

(82,000)

(1,003,415)

24,492

3.2

Hang

Lung

Properties

Ltd.

(214,000)

(558,592)

(20,712)

(2.7)

Hang

Seng

Bank

Ltd.

(37,900)

(735,949)

(755)

(0.1)

Hong

Kong

&

China

Gas

Co.

Ltd.

(996,165)

(1,579,508)

(62,389)

(8.2)

MTR

Corp.

Ltd.

(281,287)

(1,599,814)

46,352

6.1

91

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Swire

Properties

Ltd.

(206,000)

(639,422)

15,115

2.0

Vitasoy

International

Holdings

Ltd.

(92,000)

(354,122)

25,799

3.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(179,000)

(1,006,584)

23,833

3.1

Xinyi

Glass

Holdings

Ltd.

(4,000)

(13,140)

(981)

(0.1)

Macau

Galaxy

Entertainment

Group

Ltd.

(17,000)

(153,686)

17,448

2.3

MGM

China

Holdings

Ltd.

(111,200)

(197,726)

1,730

0.2

Sands

China

Ltd.

(76,400)

(382,926)

1,555

0.2

Wynn

Macau

Ltd.

(424,800)

(826,460)

62,091

8.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

JPY/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.15%

to

0.02%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$295,019,453

$4,045,272

$112,861

$4,158,133

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Japan

Aisin

Corp.

41,500

1,580,580

78,673

1.9

Brother

Industries

Ltd.

83,200

1,847,908

21,760

0.5

Honda

Motor

Co.

Ltd.

70,900

2,137,318

29,340

0.7

Iida

Group

Holdings

Co.

Ltd.

70,700

1,713,110

(51,097)

(1.2)

Kajima

Corp.

145,100

2,063,806

19,954

0.5

K's

Holdings

Corp.

126,000

1,734,501

2,818

0.1

Mebuki

Financial

Group,

Inc.

938,700

2,214,998

(39,327)

(0.9)

Medipal

Holdings

Corp.

84,900

1,631,902

(90,549)

(2.2)

Nintendo

Co.

Ltd.

5,000

2,818,178

(49,730)

(1.2)

Obayashi

Corp.

247,800

2,274,553

19,855

0.5

Ono

Pharmaceutical

Co.

Ltd.

61,700

1,613,597

(17,384)

(0.4)

SCREEN

Holdings

Co.

Ltd.

25,200

2,231,069

251,175

6.0

Shimamura

Co.

Ltd.

15,100

1,744,889

196,663

4.7

Sony

Group

Corp.

22,700

2,402,420

29,864

0.7

Subaru

Corp.

122,900

2,456,352

59,672

1.4

Sumitomo

Rubber

Industries

Ltd.

136,600

1,617,139

111,764

2.7

Taiheiyo

Cement

Corp.

81,300

2,142,211

105,304

2.5

Taisei

Corp.

48,800

1,882,768

24,341

0.6

Toyo

Suisan

Kaisha

Ltd.

38,700

1,624,203

(3,601)

(0.1)

Toyota

Boshoku

Corp.

94,800

1,572,083

(4,313)

(0.1)

Yamato

Holdings

Co.

Ltd.

59,500

1,633,946

7,900

0.2

92

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(106,900)

(3,193,113)

(23,876)

(0.6)

Asahi

Intecc

Co.

Ltd.

(75,100)

(2,072,959)

(40,694)

(1.0)

Chiba

Bank

Ltd.

(The)

(278,100)

(1,820,555)

61,969

1.5

Chugai

Pharmaceutical

Co.

Ltd.

(41,900)

(1,702,558)

12,760

0.3

Chugoku

Electric

Power

Co.,

Inc.

(The)

(136,100)

(1,672,218)

28,088

0.7

Daiichi

Sankyo

Co.

Ltd.

(57,100)

(1,665,937)

39,031

0.9

Denso

Corp.

(36,700)

(2,446,573)

27,907

0.7

East

Japan

Railway

Co.

(30,900)

(2,197,217)

167,405

4.0

Japan

Airport

Terminal

Co.

Ltd.

(43,300)

(2,135,557)

(4,414)

(0.1)

Keio

Corp.

(32,200)

(2,167,953)

185,182

4.5

Kikkoman

Corp.

(40,800)

(2,433,095)

168,017

4.0

Kintetsu

Group

Holdings

Co.

Ltd.

(42,600)

(1,626,681)

159,152

3.8

Kobe

Bussan

Co.

Ltd.

(76,900)

(2,061,862)

35,473

0.9

Mitsubishi

Motors

Corp.

(629,100)

(1,798,798)

20,611

0.5

Nippon

Paint

Holdings

Co.

Ltd.

(131,000)

(1,892,122)

282,878

6.8

Odakyu

Electric

Railway

Co.

Ltd.

(103,300)

(2,826,500)

250,424

6.0

Oriental

Land

Co.

Ltd.

(15,400)

(2,317,410)

73,918

1.8

Pan

Pacific

International

Holdings

Corp.

(67,500)

(1,593,298)

(4,630)

(0.1)

Rakuten

Group,

Inc.

(134,900)

(1,611,631)

119,410

2.9

Seven

Bank

Ltd.

(839,300)

(1,918,526)

98,911

2.4

Shiseido

Co.

Ltd.

(35,900)

(2,414,425)

181,104

4.4

Showa

Denko

KK

(61,000)

(1,738,545)

4,771

0.1

SoftBank

Group

Corp.

(22,500)

(1,915,597)

99,794

2.4

Toho

Gas

Co.

Ltd.

(25,500)

(1,573,571)

(52,642)

(1.3)

Tokio

Marine

Holdings,

Inc.

(81,100)

(3,859,640)

199,133

4.8

Tokyu

Corp.

(128,400)

(1,712,363)

128,803

3.1

Toyota

Motor

Corp.

(63,700)

(4,957,135)

(158,010)

(3.8)

West

Japan

Railway

Co.

(31,500)

(1,747,805)

166,362

4.0

Yaskawa

Electric

Corp.

(33,800)

(1,688,724)

(24,394)

(0.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-61

months

maturity

ranging

from

01/13/2025

-

03/26/2026

$76,739,302

$1,164,252

$(23,548)

$1,140,704

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

93

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Amundi

SA

14,483

1,157,508

28,664

2.5

Arkema

SA

8,738

1,058,219

53,104

4.7

Atos

SE

40,335

3,144,710

81,709

7.2

Bouygues

SA

33,605

1,346,037

(19,753)

(1.7)

Carrefour

SA

159,061

2,879,896

172,542

15.1

Cie

de

Saint-Gobain

46,644

2,754,400

146,005

12.8

Cie

Generale

des

Etablissements

Michelin

SCA

14,258

2,135,424

35,585

3.1

CNP

Assurances

62,808

1,191,272

(5,087)

(0.4)

Eiffage

SA

8,104

810,308

(34,692)

(3.0)

Electricite

de

France

SA

111,008

1,489,086

197,375

17.3

Eutelsat

Communications

SA

105,359

1,281,714

35,659

3.1

Ipsen

SA

18,489

1,584,964

123,498

10.8

La

Francaise

des

Jeux

SAEM

19,906

904,570

(4,861)

(0.4)

Legrand

SA

5,945

552,339

25,990

2.3

Orange

SA

134,407

1,654,007

75,250

6.6

Publicis

Groupe

SA

40,450

2,466,735

73,053

6.4

Rexel

SA

101,453

2,008,174

154,210

13.5

Rubis

SCA

37,664

1,782,455

(14,760)

(1.3)

SEB

SA

3,144

553,875

21,716

1.9

Societe

BIC

SA

9,179

537,292

(287)

(0.0)

Sodexo

SA

13,794

1,321,579

(42,970)

(3.8)

Luxembourg

SES

SA

92,911

737,067

(7,010)

(0.6)

Switzerland

STMicroelectronics

NV

30,761

1,175,236

92,593

8.1

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(12,111)

(1,444,827)

38,904

3.4

Air

Liquide

SA

(5,187)

(846,912)

(37,287)

(3.3)

Airbus

SE

(18,447)

(2,092,210)

72,714

6.4

Alstom

SA

(24,109)

(1,201,279)

11,805

1.0

AXA

SA

(52,461)

(1,408,275)

(10,314)

(0.9)

Cie

Plastic

Omnium

SA

(24,088)

(881,551)

19,806

1.7

Danone

SA

(10,076)

(689,683)

(1,103)

(0.1)

Dassault

Systemes

SE

(14,726)

(3,147,519)

(172,109)

(15.1)

Edenred

(14,948)

(780,492)

20,562

1.8

EssilorLuxottica

SA

(3,131)

(510,062)

(6,337)

(0.6)

Faurecia

SE

(20,224)

(1,076,147)

21,091

1.8

Getlink

SE

(69,621)

(1,067,255)

35,386

3.1

Hermes

International

(451)

(498,805)

(4,742)

(0.4)

Kering

SA

(959)

(661,765)

(29,386)

(2.6)

L'Oreal

SA

(12,440)

(4,765,531)

(172,392)

(15.1)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(3,182)

(2,125,422)

(100,705)

(8.8)

Orpea

SA

(7,505)

(869,067)

34,529

3.0

Pernod

Ricard

SA

(11,945)

(2,235,856)

(35,900)

(3.1)

Remy

Cointreau

SA

(6,095)

(1,125,748)

20,778

1.8

Renault

SA

(14,274)

(617,234)

67,412

5.9

Safran

SA

(13,049)

(1,775,023)

93,497

8.2

Schneider

Electric

SE

(8,936)

(1,361,267)

(44,738)

(3.9)

SCOR

SE

(15,832)

(539,285)

9,724

0.9

Suez

SA

(46,946)

(994,270)

(2,055)

(0.2)

TOTAL

SE

(57,288)

(2,670,753)

60,309

5.3

94

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Vinci

SA

(8,230)

(842,932)

8,957

0.8

Worldline

SA

(12,995)

(1,087,901)

22,671

2.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.05%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-61

months

maturity

ranging

from

01/13/2025

-

04/01/2026

$433,488,057

$3,318,650

$370,849

$3,689,499

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

Allstate

Corp.

(The)

21,863

2,512,059

57,445

1.6

Associated

Banc-Corp.

97,635

2,083,531

(51,994)

(1.4)

Bank

of

New

York

Mellon

Corp.

(The)

46,022

2,176,380

82,546

2.2

Best

Buy

Co.,

Inc.

18,891

2,168,876

130,924

3.5

CACI

International,

Inc.

6,309

1,556,178

114,173

3.1

Citigroup,

Inc.

23,914

1,739,744

36,380

1.0

Darden

Restaurants,

Inc.

12,229

1,736,518

17,730

0.5

Dick's

Sporting

Goods,

Inc.

27,858

2,121,387

72,063

2.0

Facebook,

Inc.

13,595

4,004,135

366,987

9.9

Ford

Motor

Co.

187,473

2,296,544

(58,269)

(1.6)

Intel

Corp.

68,945

4,412,480

82,612

2.2

Kohl's

Corp.

35,188

2,097,557

78,379

2.1

L

Brands,

Inc.

34,237

2,117,901

219,854

6.0

Microsoft

Corp.

13,466

3,174,879

22,637

0.6

Popular,

Inc.

24,371

1,713,769

(3,025)

(0.1)

Roku,

Inc.

5,004

1,630,153

(114,717)

(3.1)

Schneider

National,

Inc.

62,323

1,556,205

(37,572)

(1.0)

Target

Corp.

15,604

3,090,684

272,917

7.4

Texas

Roadhouse,

Inc.

17,163

1,646,618

46,269

1.3

Tyson

Foods,

Inc.

41,802

3,105,889

62,614

1.7

Wells

Fargo

&

Co.

39,041

1,525,332

35,426

1.0

95

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Ameren

Corp.

(22,871)

(1,860,785)

(138,580)

(3.8)

American

Airlines

Group,

Inc.

(64,838)

(1,549,628)

(82,049)

(2.2)

Aon

plc

(12,383)

(2,849,452)

6,080

0.2

Beyond

Meat,

Inc.

(18,329)

(2,384,969)

122,580

3.3

BlackRock,

Inc.

(2,151)

(1,621,768)

(67,248)

(1.8)

Bright

Horizons

Family

Solutions,

Inc.

(12,702)

(2,177,758)

(105,450)

(2.9)

Burlington

Stores,

Inc.

(5,125)

(1,531,350)

23,978

0.6

CenterPoint

Energy,

Inc.

(76,120)

(1,724,118)

(133,210)

(3.6)

Charter

Communications,

Inc.

(4,245)

(2,619,250)

8,066

0.2

Cincinnati

Financial

Corp.

(16,952)

(1,747,582)

42,841

1.2

Commerce

Bancshares,

Inc.

(23,665)

(1,812,976)

31,184

0.8

Coupa

Software,

Inc.

(6,089)

(1,549,529)

72,555

2.0

Digital

Realty

Trust,

Inc.

(11,082)

(1,560,789)

(47,372)

(1.3)

Erie

Indemnity

Co.

(7,833)

(1,730,388)

82,567

2.2

First

Financial

Bankshares

,

Inc.

(43,421)

(2,029,063)

52,263

1.4

First

Republic

Bank

(16,474)

(2,747,040)

40,497

1.1

Live

Nation

Entertainment,

Inc.

(24,806)

(2,099,828)

49,794

1.3

Lyft,

Inc.

(39,781)

(2,513,364)

(22,809)

(0.6)

NextEra

Energy,

Inc.

(37,492)

(2,834,770)

(63,616)

(1.7)

Nordstrom,

Inc.

(47,269)

(1,790,077)

(20,889)

(0.6)

Norwegian

Cruise

Line

Holdings

Ltd.

(66,442)

(1,833,135)

8,704

0.2

PNC

Financial

Services

Group,

Inc.

(The)

(10,934)

(1,917,933)

(13,989)

(0.4)

Royal

Caribbean

Cruises

Ltd.

(18,455)

(1,579,933)

55,983

1.5

Starbucks

Corp.

(13,624)

(1,488,694)

(36,216)

(1.0)

SVB

Financial

Group

(3,234)

(1,596,496)

34,156

0.9

Uber

Technologies,

Inc.

(32,816)

(1,788,800)

8,793

0.2

Verisk

Analytics,

Inc.

(8,472)

(1,496,918)

(19,450)

(0.5)

Visa,

Inc.

(9,391)

(1,988,356)

78,176

2.1

Welltower

,

Inc.

(27,968)

(2,003,348)

15,219

0.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.71%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-62

months

maturity

ranging

from

01/21/2025

-

04/01/2026

$46,743,636

$82,075

$(161)

$81,914

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

96

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alamos

Gold,

Inc.

73,828

576,901

(20,165)

(24.6)

Alimentation

Couche-Tard,

Inc.

18,622

600,432

(7,857)

(9.6)

Atco

Ltd.

18,486

613,699

17,975

21.9

Barrick

Gold

Corp.

57,187

1,134,457

(40,524)

(49.5)

Canadian

Imperial

Bank

of

Commerce

3,683

360,622

(6,559)

(8.0)

Canadian

Tire

Corp.

Ltd.

4,371

620,260

2,747

3.4

CI

Financial

Corp.

70,186

1,013,667

(30,327)

(37.0)

Empire

Co.

Ltd.

17,652

550,334

12,016

14.7

Finning

International,

Inc.

49,756

1,265,379

(22,497)

(27.5)

Gibson

Energy,

Inc.

27,120

480,594

(13,165)

(16.1)

iA

Financial

Corp.,

Inc.

7,951

432,316

3,350

4.1

Kinross

Gold

Corp.

180,189

1,200,113

(44,027)

(53.7)

Magna

International,

Inc.

5,619

494,876

(18,842)

(23.0)

Manulife

Financial

Corp.

42,750

919,498

1,619

2.0

Methanex

Corp.

12,660

467,132

(28,726)

(35.1)

Onex

Corp.

6,171

383,803

(11,153)

(13.6)

Quebecor,

Inc.

16,934

454,646

(32,484)

(39.7)

Stantec

,

Inc.

16,070

687,965

(1,951)

(2.4)

Tourmaline

Oil

Corp.

48,415

921,530

(3,383)

(4.1)

West

Fraser

Timber

Co.

Ltd.

15,717

1,130,719

114,700

140.0

Yamana

Gold,

Inc.

169,877

738,067

(39,172)

(47.8)

Ivory

Coast

Endeavour

Mining

Corp.

18,412

371,112

(2,373)

(2.9)

Kyrgyzstan

Centerra

Gold,

Inc.

126,463

1,119,017

(178,147)

(217.5)

United

States

BRP,

Inc.

9,723

843,093

91,449

111.6

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(17,383)

(663,948)

17,366

21.2

Canada

Air

Canada

(43,427)

(903,649)

56,989

69.6

Algonquin

Power

&

Utilities

Corp.

(59,867)

(948,478)

1,948

2.4

AltaGas

Ltd.

(41,684)

(694,567)

14,909

18.2

Ballard

Power

Systems,

Inc.

(30,829)

(751,897)

16,110

19.7

BCE,

Inc.

(27,848)

(1,257,116)

6,546

8.0

Brookfield

Asset

Management,

Inc.

(34,795)

(1,547,737)

20,591

25.1

CAE,

Inc.

(23,909)

(681,293)

(11,942)

(14.6)

Cameco

Corp.

(45,975)

(762,409)

96,322

117.6

Canada

Goose

Holdings,

Inc.

(11,855)

(465,351)

46,458

56.7

Canopy

Growth

Corp.

(18,171)

(583,577)

38,397

46.9

Element

Fleet

Management

Corp.

(91,739)

(1,003,749)

49,794

60.8

Emera

,

Inc.

(21,644)

(963,276)

(27,805)

(33.9)

Franco-Nevada

Corp.

(6,562)

(822,352)

(17,616)

(21.5)

Gildan

Activewear

,

Inc.

(17,211)

(526,725)

11,417

13.9

Innergex

Renewable

Energy,

Inc.

(54,466)

(952,191)

5,085

6.2

Intact

Financial

Corp.

(5,550)

(680,115)

(13,614)

(16.6)

Inter

Pipeline

Ltd.

(33,954)

(485,520)

1,192

1.5

Lightspeed

POS,

Inc.

(8,181)

(514,478)

2,734

3.3

National

Bank

of

Canada

(5,558)

(377,565)

10,749

13.1

Northland

Power,

Inc.

(11,932)

(432,484)

(14,541)

(17.8)

Premium

Brands

Holdings

Corp.

(7,211)

(687,073)

(14,413)

(17.6)

97

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Restaurant

Brands

International,

Inc.

(30,263)

(1,968,167)

(17,803)

(21.7)

Royal

Bank

of

Canada

(11,551)

(1,065,023)

5,650

6.9

Saputo,

Inc.

(28,957)

(870,761)

15,262

18.6

TMX

Group

Ltd.

(5,990)

(622,451)

5,079

6.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.80%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-61

months

maturity

ranging

from

01/21/2025

-

03/18/2026

$42,894,330

$201,195

$116,747

$317,942

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

France

Faurecia

SE

1,457

77,775

(7,014)

(2.2)

Italy

A2A

SpA

158,896

289,207

12,574

4.0

Assicurazioni

Generali

SpA

34,990

699,070

10,727

3.4

Atlantia

SpA

29,557

553,137

(2,367)

(0.7)

Azimut

Holding

SpA

22,851

520,549

11,340

3.6

Banca

Generali

SpA

24,066

846,863

(1,977)

(0.6)

Banco

BPM

SpA

559,616

1,596,297

(10,393)

(3.3)

Buzzi

Unicem

SpA

98,464

2,557,603

10,508

3.3

DiaSorin

SpA

2,509

402,557

(15,412)

(4.8)

Eni

SpA

4,011

49,424

980

0.3

Hera

SpA

295,063

1,131,415

35,091

11.0

Italgas

SpA

154,568

1,003,779

36,203

11.4

Poste

Italiane

SpA

48,998

622,254

25,983

8.2

Prysmian

SpA

36,978

1,200,680

88,293

27.8

Telecom

Italia

SpA

2,969,197

1,606,285

4,904

1.5

UniCredit

SpA

163,533

1,727,374

(76,275)

(24.0)

Unipol

Gruppo

SpA

302,125

1,682,870

4,160

1.3

United

Kingdom

CNH

Industrial

NV

110,038

1,703,411

31,382

9.9

United

States

Stellantis

NV

151,096

2,672,738

45,748

14.4

98

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(21,023)

(782,280)

6,063

1.9

Davide

Campari-Milano

NV

(125,091)

(1,400,090)

32,082

10.1

Enel

SpA

(223,300)

(2,221,245)

(62,614)

(19.7)

Ferrari

NV

(13,194)

(2,759,967)

(196,633)

(61.8)

FinecoBank

Banca

Fineco

SpA

(121,975)

(1,995,485)

71,249

22.4

Freni

Brembo

SpA

(26,372)

(328,269)

1,143

0.4

Infrastrutture

Wireless

Italiane

SpA

(144,962)

(1,614,493)

(65,433)

(20.6)

Intesa

Sanpaolo

SpA

(298,246)

(808,120)

(2,361)

(0.7)

Leonardo

SpA

(175,269)

(1,417,868)

181,059

56.9

Mediobanca

Banca

di

Credito

Finanziario

SpA

(129,707)

(1,437,316)

43,179

13.6

Moncler

SpA

(22,226)

(1,272,856)

11,698

3.7

Nexi

SpA

(185,009)

(3,227,899)

16,087

5.1

Pirelli

&

C

SpA

(1,459)

(8,553)

3

0.0

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(9,022)

(485,198)

(7,666)

(2.4)

Saipem

SpA

(29,960)

(81,622)

1,854

0.6

Salvatore

Ferragamo

SpA

(17,335)

(332,342)

7,685

2.4

Snam

SpA

(92,514)

(512,891)

(16,422)

(5.2)

Terna

Rete

Elettrica

Nazionale

SpA

(70,586)

(533,072)

(18,208)

(5.7)

United

States

Tenaris

SA

(64,683)

(731,433)

(5,991)

(1.9)

NO.

OF

RIGHTS

Rights

Italy

Snam

SpA

(a)

(41,819)

(43)

(34)

(0.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-1.00%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-61

months

maturity

ranging

from

01/21/2025

-

04/01/2026

$6,987,775

$20,459

$1,140

$21,599

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,706,900

1,628,574

55,257

255.8

99

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

ComfortDelGro

Corp.

Ltd.

1,018,400

1,297,945

31,547

146.1

Genting

Singapore

Ltd.

602,800

413,007

2,963

13.7

Venture

Corp.

Ltd.

4,300

64,210

(137)

(0.6)

Short

Positions

Common

Stocks

China

Wilmar

International

Ltd.

(14,800)

(59,772)

197

0.9

Singapore

CapitaLand

Ltd.

(106,900)

(299,525)

(37,932)

(175.6)

City

Developments

Ltd.

(45,100)

(268,237)

(14,357)

(66.5)

DBS

Group

Holdings

Ltd.

(11,212)

(240,401)

(6,851)

(31.7)

Keppel

Corp.

Ltd.

(179,500)

(711,155)

(22,343)

(103.4)

SATS

Ltd.

(28,500)

(92,309)

2,825

13.1

Singapore

Airlines

Ltd.

(302,100)

(1,247,558)

25,854

119.7

Singapore

Technologies

Engineering

Ltd.

(26,800)

(77,627)

(1,125)

(5.2)

Singapore

Telecommunications

Ltd.

(323,300)

(587,455)

(15,439)

(71.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.45%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-63

months

maturity

ranging

from

01/22/2025

-

04/01/2026

$181,222,626

$2,288,499

$217,515

$2,506,014

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

Abbott

Laboratories

10,373

1,243,100

20,739

0.8

AGCO

Corp.

16,136

2,317,936

(7,100)

(0.3)

AmerisourceBergen

Corp.

13,662

1,613,072

47,676

1.9

Arrow

Electronics,

Inc.

20,712

2,295,304

28,882

1.2

Avnet,

Inc.

25,206

1,046,301

5,139

0.2

Becton

Dickinson

and

Co.

7,873

1,914,320

29,476

1.2

Biogen,

Inc.

5,146

1,439,594

79,012

3.2

Cardinal

Health,

Inc.

27,222

1,653,736

65,617

2.6

Cisco

Systems,

Inc.

36,331

1,878,676

83,198

3.3

EMCOR

Group,

Inc.

10,476

1,174,988

(12,576)

(0.5)

GrafTech

International

Ltd.

113,640

1,389,817

3,190

0.1

Hill-Rom

Holdings,

Inc.

9,502

1,049,781

6,081

0.2

HP,

Inc.

35,240

1,118,870

35,018

1.4

100

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Huntington

Ingalls

Industries,

Inc.

5,595

1,151,731

43,381

1.7

Jabil,

Inc.

24,433

1,274,425

27,854

1.1

Johnson

&

Johnson

7,406

1,217,176

13,153

0.5

Johnson

Controls

International

plc

18,855

1,125,078

(16,026)

(0.6)

Lockheed

Martin

Corp.

6,658

2,460,131

110,561

4.4

McKesson

Corp.

5,628

1,097,685

42,053

1.7

Medtronic

plc

9,055

1,069,667

(2,484)

(0.1)

Merck

&

Co.,

Inc.

14,733

1,135,767

(3,094)

(0.1)

Oshkosh

Corp.

13,210

1,567,499

(21,532)

(0.9)

SYNNEX

Corp.

15,250

1,751,310

161,498

6.4

Terex

Corp.

23,867

1,099,553

(49,714)

(2.0)

Thermo

Fisher

Scientific,

Inc.

4,296

1,960,608

38,368

1.5

Vertex

Pharmaceuticals,

Inc.

6,452

1,386,470

(13,302)

(0.5)

World

Fuel

Services

Corp.

37,264

1,311,693

(58,132)

(2.3)

Short

Positions

Common

Stocks

United

States

Alnylam

Pharmaceuticals,

Inc.

(8,275)

(1,168,347)

20,358

0.8

Boeing

Co.

(The)

(7,998)

(2,037,251)

59,861

2.4

Caterpillar,

Inc.

(5,468)

(1,267,865)

(9,556)

(0.4)

Deere

&

Co.

(4,239)

(1,585,979)

19,287

0.8

Dexcom

,

Inc.

(4,443)

(1,596,770)

(33,859)

(1.4)

F5

Networks,

Inc.

(5,944)

(1,240,037)

(35,483)

(1.4)

Global

Blood

Therapeutics,

Inc.

(27,004)

(1,100,413)

54,083

2.2

Guardant

Health,

Inc.

(10,509)

(1,604,199)

(98,790)

(3.9)

HealthEquity

,

Inc.

(19,872)

(1,351,296)

103,199

4.1

Hess

Corp.

(24,927)

(1,763,835)

323

0.0

Honeywell

International,

Inc.

(4,877)

(1,058,650)

(19,828)

(0.8)

II-VI,

Inc.

(19,005)

(1,299,372)

94,727

3.8

Insulet

Corp.

(6,215)

(1,621,618)

(2,058)

(0.1)

Kennametal,

Inc.

(26,533)

(1,060,524)

37,631

1.5

Nektar

Therapeutics

(54,024)

(1,080,480)

137,626

5.5

Penumbra,

Inc.

(3,971)

(1,074,473)

59,582

2.4

Phillips

66

(14,812)

(1,207,770)

52,397

2.1

Reata

Pharmaceuticals,

Inc.

(15,917)

(1,586,925)

216,085

8.6

Stryker

Corp.

(4,969)

(1,210,349)

(46,431)

(1.9)

Sunrun

,

Inc.

(25,440)

(1,538,611)

(99,412)

(4.0)

Trex

Co.,

Inc.

(24,853)

(2,275,044)

103,399

4.1

Trinity

Industries,

Inc.

(44,013)

(1,253,930)

5,722

0.2

UnitedHealth

Group,

Inc.

(3,229)

(1,201,414)

(54,159)

(2.2)

(a)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

101

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.88%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-40

months

maturity

05/12/2021

$47,879,445

$(544,253)

$(4,437)

$(548,690)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Austria

ams

AG

8,573

170,695

(634)

0.1

Switzerland

Adecco

Group

AG

(Registered)

27,991

1,888,046

19,142

(3.5)

Baloise

Holding

AG

(Registered)

1,428

242,834

(1,615)

0.3

BKW

AG

6,473

704,702

(26,438)

4.8

Bucher

Industries

AG

(Registered)

1,203

613,011

5,552

(1.0)

Cie

Financiere

Richemont

SA

(Registered)

3,336

320,334

1,913

(0.3)

Credit

Suisse

Group

AG

(Registered)

176,327

1,865,428

(375,808)

68.5

DKSH

Holding

AG

12,294

943,980

(1,496)

0.3

dormakaba

Holding

AG

1,298

886,628

11,148

(2.0)

Emmi

AG

(Registered)

90

90,938

542

(0.1)

Galenica

AG

19,520

1,217,084

(2,723)

0.5

Georg

Fischer

AG

(Registered)

77

102,905

885

(0.2)

LafargeHolcim

Ltd.

(Registered)

50,739

2,983,705

145,168

(26.5)

Logitech

International

SA

(Registered)

12,021

1,260,693

73,864

(13.5)

Novartis

AG

(Registered)

8,029

686,325

10,260

(1.9)

OC

Oerlikon

Corp.

AG

(Registered)

69,246

801,425

6,795

(1.2)

Roche

Holding

AG

518

167,803

1,090

(0.2)

Sonova

Holding

AG

(Registered)

4,019

1,065,337

23,465

(4.3)

Sulzer

AG

(Registered)

2,475

278,783

(921)

0.2

Swatch

Group

AG

(The)

5,085

1,464,167

(9,522)

1.7

Swiss

Life

Holding

AG

(Registered)

2,500

1,228,592

34,747

(6.3)

Tecan

Group

AG

(Registered)

636

282,155

26,152

(4.8)

UBS

Group

AG

(Registered)

125,591

1,943,080

(7,071)

1.3

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(6,275)

(190,895)

2,110

(0.4)

Alcon,

Inc.

(18,098)

(1,270,034)

(49,263)

9.0

Bachem

Holding

AG

(Registered)

(613)

(262,474)

(22,091)

4.0

Barry

Callebaut

AG

(Registered)

(306)

(692,810)

(30,175)

5.5

Chocoladefabriken

Lindt

&

Spruengli

AG

(140)

(1,219,568)

(6,141)

1.1

Clariant

AG

(Registered)

(14,202)

(286,554)

4,683

(0.9)

Dufry

AG

(Registered)

(45,807)

(3,125,427)

48,590

(8.9)

EMS-

Chemie

Holding

AG

(Registered)

(1,261)

(1,126,472)

(21,507)

3.9

102

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Flughafen

Zurich

AG

(Registered)

(6,642)

(1,092,798)

27,734

(5.1)

Geberit

AG

(Registered)

(833)

(530,159)

(13,899)

2.5

Givaudan

SA

(Registered)

(241)

(929,596)

(21,297)

3.9

Helvetia

Holding

AG

(Registered)

(784)

(92,032)

(2,898)

0.5

Idorsia

Ltd.

(48,008)

(1,287,855)

49,168

(9.0)

Julius

Baer

Group

Ltd.

(2,326)

(148,639)

(251)

0.0

Lonza

Group

AG

(Registered)

(939)

(525,182)

16,160

(2.9)

Nestle

SA

(Registered)

(10,656)

(1,187,892)

(13,605)

2.5

Partners

Group

Holding

AG

(1,239)

(1,583,350)

(98,737)

18.0

Schindler

Holding

AG

(1,135)

(333,473)

(14,228)

2.6

SIG

Combibloc

Group

AG

(11,270)

(260,394)

(6,772)

1.2

Sika

AG

(Registered)

(8,879)

(2,538,989)

(67,647)

12.3

Straumann

Holding

AG

(Registered)

(862)

(1,076,223)

(67,638)

12.3

Swiss

Re

AG

(11,532)

(1,134,093)

(25,887)

4.7

Swisscom

AG

(Registered)

(844)

(452,820)

(6,276)

1.1

Temenos

AG

(Registered)

(10,995)

(1,586,456)

(60,444)

11.0

VAT

Group

AG

(1,054)

(295,036)

(14,397)

2.6

Vifor

Pharma

AG

(7,246)

(986,125)

(35,097)

6.4

Zurich

Insurance

Group

AG

(5,306)

(2,258,507)

(57,195)

10.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.75%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-49

months

maturity

02/14/2022

$19,743,143

$(407,902)

$55,545

$(352,357)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Denmark

AP

Moller

-

Maersk

A/S

1,190

2,762,607

47,027

(13.3)

Carlsberg

A/S

7,631

1,170,287

(10,990)

3.1

Coloplast

A/S

3,945

593,119

11,627

(3.3)

Demant

A/S

5,347

226,342

8,905

(2.5)

Genmab

A/S

3,406

1,120,212

11,918

(3.4)

GN

Store

Nord

A/S

1,352

106,414

3,098

(0.9)

H

Lundbeck

A/S

13,418

458,177

(26,670)

7.6

Pandora

A/S

24,392

2,608,710

68,962

(19.6)

Royal

Unibrew

A/S

1,488

155,546

1,060

(0.3)

103

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(41,342)

(1,941,528)

(178,907)

50.8

Chr

Hansen

Holding

A/S

(22,817)

(2,072,574)

(63,541)

18.0

DSV

Panalpina

A/S

(1,282)

(251,456)

(16,407)

4.7

ISS

A/S

(23,578)

(439,426)

14,234

(4.0)

Novozymes

A/S

(22,392)

(1,432,790)

(39,364)

11.2

Orsted

A/S

(5,721)

(923,743)

(60,399)

17.1

ROCKWOOL

International

A/S

(1,928)

(811,489)

(67,921)

19.3

SimCorp

A/S

(4,856)

(601,252)

(5,995)

1.7

Tryg

A/S

(69,410)

(1,635,919)

(38,764)

11.0

Vestas

Wind

Systems

A/S

(2,092)

(431,552)

(65,775)

18.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-49

months

maturity

12/16/2021

$132,689,489

$1,590,645

$(31,961)

$1,558,684

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Belgium

Proximus

SADP

62,462

1,359,044

29,531

1.9

Germany

Aurubis

AG

18,973

1,572,419

43,321

2.8

Bayerische

Motoren

Werke

AG

17,651

1,831,761

64,116

4.1

Brenntag

SE

24,136

2,061,912

60,566

3.9

Covestro

AG

17,609

1,184,748

(1,559)

(0.1)

Deutsche

Post

AG

(Registered)

41,460

2,274,532

68,247

4.4

Fresenius

Medical

Care

AG

&

Co.

KGaA

29,267

2,155,851

63,441

4.1

HOCHTIEF

AG

15,650

1,401,110

22,449

1.4

Uniper

SE

31,640

1,146,101

10,406

0.7

Volkswagen

AG

(Preference)

9,126

2,554,557

124,535

8.0

Wacker

Chemie

AG

9,092

1,293,522

90,951

5.8

Netherlands

ASM

International

NV

3,736

1,083,229

139,961

9.0

ASR

Nederland

NV

28,806

1,287,485

42,653

2.7

Koninklijke

Ahold

Delhaize

NV

141,410

3,944,328

118,194

7.6

Randstad

NV

24,457

1,716,757

(31,797)

(2.0)

Signify

NV

52,853

2,718,398

287,303

18.4

104

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acerinox

SA

81,721

1,070,449

81,517

5.2

Banco

Bilbao

Vizcaya

Argentaria

SA

477,105

2,486,270

(96,522)

(6.2)

Enagas

SA

62,622

1,363,335

57,500

3.7

Endesa

SA

115,953

3,073,028

114,271

7.3

Mapfre

SA

728,083

1,516,984

31,813

2.0

Red

Electrica

Corp.

SA

68,178

1,209,337

57,637

3.7

Repsol

SA

138,483

1,718,847

(19,796)

(1.3)

Short

Positions

Common

Stocks

Belgium

Elia

Group

SA/NV

(10,751)

(1,183,986)

(58,929)

(3.8)

Finland

Neste

OYJ

(28,765)

(1,527,586)

198,510

12.7

Sampo

OYJ

(46,546)

(2,098,768)

(91,222)

(5.9)

Germany

adidas

AG

(5,298)

(1,655,047)

116,587

7.5

Beiersdorf

AG

(11,873)

(1,254,513)

(25,765)

(1.7)

Carl

Zeiss

Meditec

AG

(10,292)

(1,551,357)

(11,420)

(0.7)

Delivery

Hero

SE

(9,256)

(1,199,737)

(53,369)

(3.4)

Deutsche

Lufthansa

AG

(Registered)

(151,646)

(2,011,328)

132,065

8.5

Deutsche

Telekom

AG

(Registered)

(74,865)

(1,508,787)

(48,896)

(3.1)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(20,475)

(1,243,988)

7,468

0.5

Infineon

Technologies

AG

(35,204)

(1,497,846)

(69,128)

(4.4)

Merck

KGaA

(7,369)

(1,260,498)

(54,439)

(3.5)

MTU

Aero

Engines

AG

(6,739)

(1,587,483)

53,927

3.5

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

(3,933)

(1,211,243)

(16,188)

(1.0)

Rational

AG

(2,562)

(1,990,168)

34,916

2.2

Sartorius

AG

(Preference)

(2,497)

(1,244,902)

(29,934)

(1.9)

Siemens

AG

(Registered)

(10,254)

(1,684,851)

(47,175)

(3.0)

Netherlands

Aegon

NV

(301,868)

(1,434,260)

78

0.0

Argenx

SE

(7,017)

(1,929,491)

162,223

10.4

Heineken

NV

(27,430)

(2,815,906)

88,070

5.7

Koninklijke

DSM

NV

(8,512)

(1,439,024)

(25,929)

(1.7)

Koninklijke

KPN

NV

(621,487)

(2,108,114)

13,761

0.9

Spain

Amadeus

IT

Group

SA

(43,228)

(3,079,048)

(2,457)

(0.2)

Bankinter

SA

(198,121)

(1,378,729)

(34,910)

(2.2)

Cellnex

Telecom

SA

(67,040)

(3,864,736)

(251,606)

(16.1)

Ferrovial

SA

(67,728)

(1,769,796)

(21,213)

(1.4)

Telefonica

SA

(251,086)

(1,128,853)

76,866

4.9

105

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-49

months

maturity

02/14/2022

$13,261,715

$133,964

$(19,228)

$114,736

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Brazil

Yara

International

ASA

53,928

2,809,354

74,886

65.3

Norway

Leroy

Seafood

Group

ASA

71,991

615,302

7,550

6.6

Norsk

Hydro

ASA

265,301

1,704,018

93,790

81.7

Orkla

ASA

165,951

1,627,486

(14,626)

(12.7)

Telenor

ASA

12,196

214,866

(28)

(0.0)

United

Kingdom

Subsea

7

SA

6,567

65,975

(1,157)

(1.0)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(9,115)

(724,093)

(17,061)

(14.9)

France

Adevinta

ASA

(11,816)

(174,102)

9,647

8.4

Norway

Equinor

ASA

(1,417)

(27,659)

828

0.7

Gjensidige

Forsikring

ASA

(48,589)

(1,139,522)

(2,652)

(2.3)

Mowi

ASA

(91,453)

(2,271,391)

(1,871)

(1.6)

Salmar

ASA

(3,851)

(265,630)

(5,661)

(4.9)

Schibsted

ASA

(15,671)

(658,666)

11,363

9.9

TOMRA

Systems

ASA

(22,200)

(963,651)

(21,044)

(18.3)

106

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-49

months

maturity

02/14/2022

$36,653,071

$(188,831)

$55,247

$(133,584)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Finland

Nordea

Bank

Abp

120,975

1,192,844

33,486

(25.1)

Sweden

AAK

AB

5,100

115,476

3,367

(2.5)

Alfa

Laval

AB

11,167

337,505

(10,741)

8.0

Boliden

AB

19,383

719,174

(12,343)

9.2

Electrolux

AB

76,417

2,124,479

40,771

(30.5)

Embracer

Group

AB

26,660

732,424

49,888

(37.3)

Essity

AB

6,593

208,373

4,223

(3.2)

Evolution

Gaming

Group

AB

1,221

179,811

18,665

(14.0)

Getinge

AB

75,026

2,083,686

78,504

(58.8)

Hexpol

AB

21,376

241,387

10,984

(8.2)

Husqvarna

AB

93,011

1,340,905

104,345

(78.1)

ICA

Gruppen

AB

1,764

86,262

55

(0.0)

Lifco

AB

143

13,286

5

(0.0)

Saab

AB

17,918

490,879

7,260

(5.4)

Securitas

AB

54,116

920,391

13,178

(9.9)

Skanska

AB

45,161

1,132,621

(11,887)

8.9

SKF

AB

15,207

432,708

(3,885)

2.9

SSAB

AB

86,772

458,832

42,708

(32.0)

Svenska

Handelsbanken

AB

90,526

984,126

(46,152)

34.5

Swedish

Orphan

Biovitrum

AB

56,557

904,455

(39,282)

29.4

Telefonaktiebolaget

LM

Ericsson

106,849

1,416,311

9,766

(7.3)

Trelleborg

AB

41,075

1,044,675

13,497

(10.1)

Volvo

AB

6,732

170,488

(3,438)

2.6

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(10,650)

(409,788)

6,628

(5.0)

Sweden

Assa

Abloy

AB

(15,084)

(434,124)

(21,248)

15.9

Atlas

Copco

AB

(41,301)

(2,518,008)

(139,503)

104.4

Axfood

AB

(13,106)

(313,293)

(3,848)

2.9

BillerudKorsnas

AB

(42,539)

(791,229)

(33,651)

25.2

Elekta

AB

(35,250)

(457,278)

6,416

(4.8)

Epiroc

AB

(3,276)

(74,215)

(2,341)

1.8

107

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

EQT

AB

(81,040)

(2,668,141)

(284,793)

213.2

H

&

M

Hennes

&

Mauritz

AB

(23,162)

(521,990)

48,414

(36.2)

Hexagon

AB

(5,927)

(547,112)

(29,293)

21.9

Holmen

AB

(8,057)

(353,684)

(2,285)

1.7

Indutrade

AB

(19,516)

(450,627)

8,884

(6.7)

Nibe

Industrier

AB

(46,596)

(1,445,101)

13,254

(9.9)

Sinch

AB

(3,732)

(655,996)

(34,561)

25.9

Skandinaviska

Enskilda

Banken

AB

(205,274)

(2,504,034)

(8,658)

6.5

Svenska

Cellulosa

AB

SCA

(94,101)

(1,665,596)

1,713

(1.3)

Sweco

AB

(19,287)

(314,768)

(8,315)

6.2

Swedbank

AB

(91,088)

(1,606,052)

17,079

(12.8)

Swedish

Match

AB

(3,048)

(237,778)

(4,415)

3.3

Tele2

AB

(19,520)

(263,324)

(4,222)

3.2

Telia

Co.

AB

(251,359)

(1,089,835)

(17,060)

12.8

108

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

March

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

103.9%

INVESTMENT

COMPANIES

-

13.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

12,288,704

12,288,704

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)(c)

214,554,635

214,490,269

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

1,407,045

1,407,045

TOTAL

INVESTMENT

COMPANIES

(Cost

$228,167,603)

228,186,018

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

90.8%

U.S.

Treasury

Bills

0.11%,

4/1/2021

(d)

$

176,859,000

176,859,000

0.12%,

4/22/2021

(d)

88,371,000

88,370,356

0.11%,

5/6/2021

(d)(e)

84,754,000

84,752,558

0.10%,

5/20/2021

(d)

70,331,000

70,329,325

0.09%,

5/27/2021

(d)

37,931,000

37,930,115

0.09%,

6/3/2021

(d)

23,333,000

23,332,285

0.09%,

6/17/2021

(d)

23,072,000

23,071,247

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

90.8%

(continued)

0.09%,

6/24/2021

(d)

$

10,609,000

10,608,691

0.10%,

7/1/2021

(d)

17,839,000

17,837,985

0.09%,

7/8/2021

(d)

35,066,000

35,064,425

0.09%,

7/15/2021

(d)

80,718,000

80,714,763

0.10%,

7/22/2021

(d)(f)

83,903,000

83,899,084

0.09%,

7/29/2021

(d)(g)

119,510,000

119,502,593

0.07%,

8/5/2021

(d)(g)

72,279,000

72,273,941

0.05%,

8/12/2021

(d)(g)

920,000

919,918

0.06%,

9/2/2021

(d)(g)

71,209,000

71,201,765

0.06%,

9/9/2021

(d)(g)

155,132,000

155,114,655

0.06%,

9/16/2021

(d)(g)

218,546,000

218,518,973

0.04%,

9/23/2021

(d)(f)

101,385,000

101,369,722

0.04%,

9/30/2021

(d)

109,738,000

109,715,809

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,581,196,580)

1,581,387,210

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,809,364,183)

1,809,573,228

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.9%

(Cost

$1,809,364,183)

1,809,573,228

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.9)%

(h)

(68,418,707)

NET

ASSETS

-

100.0%

1,741,154,521

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrea

lized

App/Dep

Value

At

3/31/2021

Shares

Held

At

3/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

12.3%

INVESTMENT

COMPANIES

-

12.3%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

(Cost

$214,471,854)

$342,382,832

$965,308,527

$(1,093,239,017)

$4,969

$32,958

$214,490,269

214,554,635

$13,465

$–

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

109

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

23,585,650

$

709,228

Cotton

No.

2

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

(14,275,320)

1,473,045

Cotton

No.

2

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/16/2021

USD

(6,066,000)

285,560

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

383,681,800

270,734

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

373,156,300

319,036

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/10/2021

KRW

621,975,000

11,065

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

16,124,480

161,160

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

3,591,875

157,130

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

7,207,704

1,083,365

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

15,517,760

331,477

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(14,183,100)

333,675

5,135,475

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(5,952,838)

(158,100)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/16/2021

USD

687,480

(13,932)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/16/2021

USD

6,066,000

(117,923)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/16/2021

USD

12,576,840

(269,525)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

21,271,440

(423,365)

110

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

19,230,585

$

(91,280)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/23/2021

USD

(10,410,720)

(181,417)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

6,305,680

(113,217)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/23/2021

USD

16,166,240

(277,710)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(4,159,512)

(390,339)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

23,978,400

(1,359,164)

(3,395,972)

$

1,739,503

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

3

4/2021

EUR

$

491,929

$

11,822

Brent

Crude

Oil

887

4/2021

USD

55,650,380

(3,074,517)

CAC

40

10

Euro

Index

98

4/2021

EUR

6,971,326

31,197

Hang

Seng

Index

131

4/2021

HKD

23,857,398

183,932

HSCEI

235

4/2021

HKD

16,539,567

116,834

IBEX

35

Index

23

4/2021

EUR

2,316,013

(10,529)

LME

Aluminum

Base

Metal

3

4/2021

USD

164,569

15,854

LME

Aluminum

Base

Metal

4

4/2021

USD

219,144

17,247

LME

Aluminum

Base

Metal

9

4/2021

USD

493,706

44,247

LME

Aluminum

Base

Metal

10

4/2021

USD

548,650

52,871

LME

Aluminum

Base

Metal

12

4/2021

USD

656,418

46,333

LME

Aluminum

Base

Metal

13

4/2021

USD

712,400

60,987

LME

Aluminum

Base

Metal

19

4/2021

USD

1,043,266

91,644

LME

Aluminum

Base

Metal

19

4/2021

USD

1,043,100

89,481

LME

Aluminum

Base

Metal

36

4/2021

USD

1,971,792

161,826

LME

Aluminum

Base

Metal

41

4/2021

USD

2,243,346

171,751

LME

Aluminum

Base

Metal

43

4/2021

USD

2,361,453

224,901

LME

Aluminum

Base

Metal

50

4/2021

USD

2,734,375

197,103

LME

Copper

Base

Metal

2

4/2021

USD

439,686

40,009

LME

Copper

Base

Metal

3

4/2021

USD

659,550

55,308

LME

Copper

Base

Metal

3

4/2021

USD

659,335

60,302

LME

Copper

Base

Metal

5

4/2021

USD

1,098,500

101,739

LME

Copper

Base

Metal

5

4/2021

USD

1,098,539

92,651

LME

Copper

Base

Metal

8

4/2021

USD

1,757,716

171,247

LME

Copper

Base

Metal

9

4/2021

USD

1,977,316

220,996

111

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

12

4/2021

USD

$

2,636,664

$

185,632

LME

Copper

Base

Metal

17

4/2021

USD

3,734,794

332,705

LME

Nickel

Base

Metal

1

4/2021

USD

96,180

(13,023)

LME

Nickel

Base

Metal

2

4/2021

USD

192,424

(22,399)

LME

Nickel

Base

Metal

2

4/2021

USD

192,276

(22,662)

LME

Nickel

Base

Metal

2

4/2021

USD

192,307

(19,319)

LME

Nickel

Base

Metal

4

4/2021

USD

384,720

(57,372)

LME

Nickel

Base

Metal

6

4/2021

USD

577,221

(62,894)

LME

Nickel

Base

Metal

7

4/2021

USD

673,153

(87,068)

LME

Nickel

Base

Metal

8

4/2021

USD

769,257

(82,597)

LME

Nickel

Base

Metal

10

4/2021

USD

961,830

(122,427)

LME

Nickel

Base

Metal

11

4/2021

USD

1,057,770

(116,001)

LME

Zinc

Base

Metal

2

4/2021

USD

140,363

4,057

LME

Zinc

Base

Metal

6

4/2021

USD

421,088

5,172

LME

Zinc

Base

Metal

7

4/2021

USD

491,269

14,377

LME

Zinc

Base

Metal

9

4/2021

USD

631,631

30,855

LME

Zinc

Base

Metal

11

4/2021

USD

771,994

18,461

LME

Zinc

Base

Metal

13

4/2021

USD

912,356

4,249

LME

Zinc

Base

Metal

15

4/2021

USD

1,052,093

(24,202)

LME

Zinc

Base

Metal

19

4/2021

USD

1,333,919

112,163

LME

Zinc

Base

Metal

20

4/2021

USD

1,404,000

114,566

LME

Zinc

Base

Metal

21

4/2021

USD

1,473,108

(22,154)

LME

Zinc

Base

Metal

27

4/2021

USD

1,893,544

(1,408)

LME

Zinc

Base

Metal

32

4/2021

USD

2,246,504

185,610

MSCI

Singapore

Index

250

4/2021

SGD

6,652,357

7,375

NY

Harbor

ULSD

608

4/2021

USD

45,193,613

(3,616,547)

RBOB

Gasoline

414

4/2021

USD

34,075,264

(1,337,167)

SGX

FTSE

China

A50

Index

1,634

4/2021

USD

28,075,388

(12,865)

SGX

FTSE

Taiwan

Index

118

4/2021

USD

6,836,920

65,154

SGX

NIFTY

50

Index

26

4/2021

USD

766,792

(4,213)

Sugar

No.

11

1,354

4/2021

USD

22,398,410

(1,503,166)

WTI

Crude

Oil

945

4/2021

USD

55,906,200

(4,127,960)

Coffee

'C'

238

5/2021

USD

11,022,375

(568,544)

Copper

111

5/2021

USD

11,087,513

(271,233)

Corn

123

5/2021

USD

3,470,138

126,634

Cotton

No.

2

6

5/2021

USD

242,640

(12,862)

KC

HRW

Wheat

213

5/2021

USD

6,131,738

(566,271)

LME

Aluminum

Base

Metal

3

5/2021

USD

165,131

9,497

LME

Aluminum

Base

Metal

4

5/2021

USD

220,006

16,794

LME

Aluminum

Base

Metal

5

5/2021

USD

275,165

15,825

LME

Aluminum

Base

Metal

7

5/2021

USD

385,270

21,774

LME

Aluminum

Base

Metal

9

5/2021

USD

495,056

9,030

LME

Aluminum

Base

Metal

9

5/2021

USD

495,153

26,287

LME

Aluminum

Base

Metal

19

5/2021

USD

1,045,219

19,447

LME

Aluminum

Base

Metal

20

5/2021

USD

1,099,575

94,141

LME

Aluminum

Base

Metal

25

5/2021

USD

1,375,556

67,995

LME

Aluminum

Base

Metal

26

5/2021

USD

1,430,969

29,542

LME

Aluminum

Base

Metal

26

5/2021

USD

1,431,183

(18,394)

LME

Aluminum

Base

Metal

37

5/2021

USD

2,036,989

(7,352)

LME

Aluminum

Base

Metal

48

5/2021

USD

2,638,560

268,112

LME

Copper

Base

Metal

2

5/2021

USD

439,475

8,457

LME

Copper

Base

Metal

2

5/2021

USD

439,216

(21,289)

LME

Copper

Base

Metal

4

5/2021

USD

878,400

(72,111)

LME

Copper

Base

Metal

4

5/2021

USD

878,900

4,889

LME

Copper

Base

Metal

4

5/2021

USD

878,862

88,076

LME

Copper

Base

Metal

6

5/2021

USD

1,318,328

112,087

112

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

7

5/2021

USD

$

1,538,149

$

100,330

LME

Copper

Base

Metal

7

5/2021

USD

1,537,288

(40,181)

LME

Copper

Base

Metal

7

5/2021

USD

1,537,988

162,469

LME

Copper

Base

Metal

8

5/2021

USD

1,757,930

80,709

LME

Copper

Base

Metal

9

5/2021

USD

1,976,513

(76,511)

LME

Copper

Base

Metal

10

5/2021

USD

2,197,328

128,551

LME

Copper

Base

Metal

11

5/2021

USD

2,417,250

115,471

LME

Copper

Base

Metal

12

5/2021

USD

2,636,757

173,125

LME

Nickel

Base

Metal

2

5/2021

USD

192,459

(19,387)

LME

Nickel

Base

Metal

7

5/2021

USD

674,043

(133,638)

LME

Nickel

Base

Metal

13

5/2021

USD

1,251,827

(280,521)

LME

Zinc

Base

Metal

1

5/2021

USD

70,290

(2,085)

LME

Zinc

Base

Metal

1

5/2021

USD

70,265

3,524

LME

Zinc

Base

Metal

1

5/2021

USD

70,290

3,462

LME

Zinc

Base

Metal

2

5/2021

USD

140,596

(2,096)

LME

Zinc

Base

Metal

2

5/2021

USD

140,496

7,365

LME

Zinc

Base

Metal

2

5/2021

USD

140,613

(1,006)

LME

Zinc

Base

Metal

4

5/2021

USD

281,225

(5,037)

LME

Zinc

Base

Metal

7

5/2021

USD

491,969

(10,302)

LME

Zinc

Base

Metal

8

5/2021

USD

562,450

(13,610)

LME

Zinc

Base

Metal

11

5/2021

USD

773,094

(27,580)

LME

Zinc

Base

Metal

22

5/2021

USD

1,546,738

(4,571)

LME

Zinc

Base

Metal

58

5/2021

USD

4,073,891

338,656

Low

Sulphur

Gasoil

698

5/2021

USD

35,423,500

(2,419,269)

Silver

19

5/2021

USD

2,330,540

(239,265)

Soybean

184

5/2021

USD

13,218,100

256,909

Soybean

Oil

15

5/2021

USD

476,280

7,557

DAX

Index

9

6/2021

EUR

3,965,514

121,576

DJIA

CBOT

E-Mini

Index

24

6/2021

USD

3,947,760

46,988

EURO

STOXX

50

Index

182

6/2021

EUR

8,251,258

178,255

FTSE

100

Index

201

6/2021

GBP

18,508,801

(106,194)

FTSE/JSE

Top

40

Index

29

6/2021

ZAR

1,202,046

(12,851)

FTSE/MIB

Index

23

6/2021

EUR

3,289,787

50,606

KOSPI

200

Index

48

6/2021

KRW

4,396,554

31,905

Lean

Hogs

298

6/2021

USD

12,551,760

1,010,218

Live

Cattle

273

6/2021

USD

13,420,680

204,502

LME

Aluminum

Base

Metal

2

6/2021

USD

110,455

(3,576)

LME

Aluminum

Base

Metal

4

6/2021

USD

220,413

4,801

LME

Aluminum

Base

Metal

6

6/2021

USD

331,388

(3,130)

LME

Aluminum

Base

Metal

7

6/2021

USD

386,185

7,814

LME

Aluminum

Base

Metal

8

6/2021

USD

441,420

6,396

LME

Aluminum

Base

Metal

10

6/2021

USD

553,000

(10,505)

LME

Aluminum

Base

Metal

14

6/2021

USD

773,514

(25,175)

LME

Aluminum

Base

Metal

16

6/2021

USD

884,644

(26,323)

LME

Aluminum

Base

Metal

17

6/2021

USD

938,158

20,073

LME

Aluminum

Base

Metal

31

6/2021

USD

1,708,457

28,180

LME

Aluminum

Base

Metal

33

6/2021

USD

1,819,224

40,327

LME

Aluminum

Base

Metal

34

6/2021

USD

1,874,072

(13,012)

LME

Aluminum

Base

Metal

35

6/2021

USD

1,930,635

29,157

LME

Aluminum

Base

Metal

577

6/2021

USD

31,861,219

519,805

LME

Copper

Base

Metal

1

6/2021

USD

219,613

(6,262)

LME

Copper

Base

Metal

1

6/2021

USD

219,606

(6,542)

LME

Copper

Base

Metal

1

6/2021

USD

219,638

(1,190)

LME

Copper

Base

Metal

1

6/2021

USD

219,698

(8,497)

LME

Copper

Base

Metal

2

6/2021

USD

439,213

(8,087)

LME

Copper

Base

Metal

2

6/2021

USD

439,406

(5,151)

113

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

2

6/2021

USD

$

439,213

$

(13,884)

LME

Copper

Base

Metal

3

6/2021

USD

659,119

(19,972)

LME

Copper

Base

Metal

3

6/2021

USD

659,114

(9,068)

LME

Copper

Base

Metal

3

6/2021

USD

658,838

(16,520)

LME

Copper

Base

Metal

58

6/2021

USD

12,742,238

(428,109)

LME

Nickel

Base

Metal

1

6/2021

USD

96,390

(3,453)

LME

Nickel

Base

Metal

1

6/2021

USD

96,396

(1,587)

LME

Nickel

Base

Metal

3

6/2021

USD

289,157

(6,142)

LME

Nickel

Base

Metal

4

6/2021

USD

385,284

(61,968)

LME

Nickel

Base

Metal

4

6/2021

USD

385,452

(1,560)

LME

Nickel

Base

Metal

6

6/2021

USD

578,179

(4,318)

LME

Nickel

Base

Metal

8

6/2021

USD

770,940

(2,602)

LME

Nickel

Base

Metal

16

6/2021

USD

1,541,592

(9,335)

LME

Nickel

Base

Metal

18

6/2021

USD

1,733,994

(38,987)

LME

Nickel

Base

Metal

23

6/2021

USD

2,216,102

(25,596)

LME

Nickel

Base

Metal

25

6/2021

USD

2,408,669

25,845

LME

Nickel

Base

Metal

27

6/2021

USD

2,601,287

(27,391)

LME

Nickel

Base

Metal

177

6/2021

USD

17,056,782

(3,827,548)

LME

Zinc

Base

Metal

2

6/2021

USD

140,857

(699)

LME

Zinc

Base

Metal

4

6/2021

USD

281,667

(5,795)

LME

Zinc

Base

Metal

5

6/2021

USD

352,115

(525)

LME

Zinc

Base

Metal

7

6/2021

USD

492,844

(2,773)

LME

Zinc

Base

Metal

12

6/2021

USD

844,725

3,265

LME

Zinc

Base

Metal

12

6/2021

USD

844,974

19,039

LME

Zinc

Base

Metal

12

6/2021

USD

845,076

12,241

LME

Zinc

Base

Metal

15

6/2021

USD

1,055,595

16,788

LME

Zinc

Base

Metal

16

6/2021

USD

1,126,940

4,393

LME

Zinc

Base

Metal

18

6/2021

USD

1,267,763

3,513

LME

Zinc

Base

Metal

20

6/2021

USD

1,408,125

10,816

LME

Zinc

Base

Metal

131

6/2021

USD

9,224,856

(201,990)

MSCI

EAFE

E-Mini

Index

103

6/2021

USD

11,288,800

(38,113)

MSCI

Emerging

Markets

E-Mini

Index

302

6/2021

USD

19,969,750

53,423

NASDAQ

100

E-Mini

Index

10

6/2021

USD

2,617,950

11,846

Nikkei

225

Index

20

6/2021

JPY

5,270,716

94,380

Palladium

33

6/2021

USD

8,645,670

77,189

Russell

2000

E-Mini

Index

40

6/2021

USD

4,445,000

(130,743)

S&P

500

E-Mini

Index

34

6/2021

USD

6,744,580

60,643

S&P

Midcap

400

E-Mini

Index

23

6/2021

USD

5,992,190

(83,268)

S&P/TSX

60

Index

67

6/2021

CAD

11,847,489

(21,705)

SPI

200

Index

47

6/2021

AUD

6,038,460

(41,556)

TOPIX

Index

50

6/2021

JPY

8,823,662

288,000

Cocoa

284

7/2021

GBP

6,518,848

(99,500)

Cocoa

317

7/2021

USD

7,560,450

(152,488)

Platinum

15

7/2021

USD

893,625

6,600

3

Month

Canadian

Bankers

Acceptance

898

9/2021

CAD

177,793,925

(32,257)

3

Month

Euro

Euribor

1,227

9/2021

EUR

361,668,248

(27,214)

3

Month

Eurodollar

723

9/2021

USD

180,406,575

(43,037)

3

Month

Sterling

468

9/2021

GBP

80,571,485

(71,799)

ASX

90

Day

Bank

Accepted

Bill

311

9/2021

AUD

236,173,463

(30,102)

3

Month

Canadian

Bankers

Acceptance

361

12/2021

CAD

71,445,224

4,939

3

Month

Euro

Euribor

1,989

12/2021

EUR

586,303,112

(43,710)

3

Month

Eurodollar

296

12/2021

USD

73,803,900

(36,324)

3

Month

Sterling

572

12/2021

GBP

98,441,760

(147,639)

ASX

90

Day

Bank

Accepted

Bill

174

12/2021

AUD

132,122,607

741

3

Month

Euro

Euribor

1,651

3/2022

EUR

486,621,501

(52,437)

3

Month

Eurodollar

255

3/2022

USD

63,600,188

(21,741)

114

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Sterling

467

3/2022

GBP

$

80,310,801

$

(159,554)

3

Month

Euro

Euribor

719

6/2022

EUR

211,910,029

(29,643)

3

Month

Eurodollar

290

6/2022

USD

72,289,750

(52,556)

3

Month

Sterling

814

6/2022

GBP

139,928,884

(257,888)

3

Month

Euro

Euribor

1,356

9/2022

EUR

399,632,417

(80,491)

3

Month

Eurodollar

113

9/2022

USD

28,145,475

(43,969)

3

Month

Sterling

623

9/2022

GBP

107,031,033

(296,588)

3

Month

Euro

Euribor

1,503

12/2022

EUR

442,867,272

(92,783)

3

Month

Sterling

323

12/2022

GBP

55,452,247

(168,960)

3

Month

Euro

Euribor

430

3/2023

EUR

126,664,061

(16,973)

3

Month

Sterling

2

3/2023

GBP

343,099

(152)

(17,741,475)

Short

Contracts

LME

Aluminum

Base

Metal

(3)

4/2021

USD

(164,569)

(15,969)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(219,144)

(17,886)

LME

Aluminum

Base

Metal

(9)

4/2021

USD

(493,706)

(44,225)

LME

Aluminum

Base

Metal

(10)

4/2021

USD

(548,650)

(52,417)

LME

Aluminum

Base

Metal

(12)

4/2021

USD

(656,418)

(47,321)

LME

Aluminum

Base

Metal

(13)

4/2021

USD

(712,400)

(59,558)

LME

Aluminum

Base

Metal

(19)

4/2021

USD

(1,043,266)

(83,813)

LME

Aluminum

Base

Metal

(19)

4/2021

USD

(1,043,100)

(93,331)

LME

Aluminum

Base

Metal

(36)

4/2021

USD

(1,971,792)

(160,782)

LME

Aluminum

Base

Metal

(41)

4/2021

USD

(2,243,346)

(168,223)

LME

Aluminum

Base

Metal

(43)

4/2021

USD

(2,361,453)

(239,529)

LME

Aluminum

Base

Metal

(50)

4/2021

USD

(2,734,375)

(195,480)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,686)

(39,903)

LME

Copper

Base

Metal

(3)

4/2021

USD

(659,335)

(61,637)

LME

Copper

Base

Metal

(3)

4/2021

USD

(659,550)

(54,908)

LME

Copper

Base

Metal

(5)

4/2021

USD

(1,098,539)

(89,977)

LME

Copper

Base

Metal

(5)

4/2021

USD

(1,098,500)

(103,638)

LME

Copper

Base

Metal

(8)

4/2021

USD

(1,757,716)

(172,187)

LME

Copper

Base

Metal

(9)

4/2021

USD

(1,977,316)

(240,114)

LME

Copper

Base

Metal

(12)

4/2021

USD

(2,636,664)

(192,246)

LME

Copper

Base

Metal

(17)

4/2021

USD

(3,734,794)

(327,731)

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,180)

12,897

LME

Nickel

Base

Metal

(2)

4/2021

USD

(192,424)

22,010

LME

Nickel

Base

Metal

(2)

4/2021

USD

(192,276)

22,608

LME

Nickel

Base

Metal

(2)

4/2021

USD

(192,307)

19,228

LME

Nickel

Base

Metal

(4)

4/2021

USD

(384,720)

57,108

LME

Nickel

Base

Metal

(6)

4/2021

USD

(577,221)

57,009

LME

Nickel

Base

Metal

(7)

4/2021

USD

(673,153)

82,971

LME

Nickel

Base

Metal

(8)

4/2021

USD

(769,257)

81,984

LME

Nickel

Base

Metal

(10)

4/2021

USD

(961,830)

122,521

LME

Nickel

Base

Metal

(11)

4/2021

USD

(1,057,770)

119,119

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,363)

(4,500)

LME

Zinc

Base

Metal

(6)

4/2021

USD

(421,088)

(4,286)

LME

Zinc

Base

Metal

(7)

4/2021

USD

(491,269)

(13,559)

LME

Zinc

Base

Metal

(9)

4/2021

USD

(631,631)

(30,195)

LME

Zinc

Base

Metal

(11)

4/2021

USD

(771,994)

(22,564)

LME

Zinc

Base

Metal

(13)

4/2021

USD

(912,356)

(8,184)

LME

Zinc

Base

Metal

(15)

4/2021

USD

(1,052,093)

23,121

LME

Zinc

Base

Metal

(19)

4/2021

USD

(1,333,919)

(113,470)

LME

Zinc

Base

Metal

(20)

4/2021

USD

(1,404,000)

(110,611)

LME

Zinc

Base

Metal

(21)

4/2021

USD

(1,473,108)

13,408

LME

Zinc

Base

Metal

(27)

4/2021

USD

(1,893,544)

10,835

LME

Zinc

Base

Metal

(32)

4/2021

USD

(2,246,504)

(172,298)

115

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Natural

Gas

(82)

4/2021

USD

$

(2,138,560)

$

(41,543)

OMXS30

Index

(144)

4/2021

SEK

(3,606,410)

(41,533)

LME

Aluminum

Base

Metal

(3)

5/2021

USD

(165,131)

(9,815)

LME

Aluminum

Base

Metal

(4)

5/2021

USD

(220,006)

(17,034)

LME

Aluminum

Base

Metal

(5)

5/2021

USD

(275,165)

(15,469)

LME

Aluminum

Base

Metal

(7)

5/2021

USD

(385,270)

(22,028)

LME

Aluminum

Base

Metal

(9)

5/2021

USD

(495,153)

(25,022)

LME

Aluminum

Base

Metal

(9)

5/2021

USD

(495,056)

(9,942)

LME

Aluminum

Base

Metal

(19)

5/2021

USD

(1,045,219)

(21,645)

LME

Aluminum

Base

Metal

(20)

5/2021

USD

(1,099,575)

(94,775)

LME

Aluminum

Base

Metal

(25)

5/2021

USD

(1,375,556)

(68,607)

LME

Aluminum

Base

Metal

(26)

5/2021

USD

(1,430,969)

(36,786)

LME

Aluminum

Base

Metal

(26)

5/2021

USD

(1,431,183)

16,999

LME

Aluminum

Base

Metal

(37)

5/2021

USD

(2,036,989)

(4,675)

LME

Aluminum

Base

Metal

(48)

5/2021

USD

(2,638,560)

(264,937)

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,475)

(9,098)

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,216)

21,115

LME

Copper

Base

Metal

(4)

5/2021

USD

(878,400)

70,887

LME

Copper

Base

Metal

(4)

5/2021

USD

(878,862)

(88,088)

LME

Copper

Base

Metal

(4)

5/2021

USD

(878,900)

(4,928)

LME

Copper

Base

Metal

(6)

5/2021

USD

(1,318,328)

(120,257)

LME

Copper

Base

Metal

(7)

5/2021

USD

(1,538,149)

(94,959)

LME

Copper

Base

Metal

(7)

5/2021

USD

(1,537,988)

(162,056)

LME

Copper

Base

Metal

(7)

5/2021

USD

(1,537,288)

40,495

LME

Copper

Base

Metal

(8)

5/2021

USD

(1,757,930)

(82,166)

LME

Copper

Base

Metal

(9)

5/2021

USD

(1,976,513)

80,806

LME

Copper

Base

Metal

(10)

5/2021

USD

(2,197,328)

(127,953)

LME

Copper

Base

Metal

(11)

5/2021

USD

(2,417,250)

(110,306)

LME

Copper

Base

Metal

(12)

5/2021

USD

(2,636,757)

(174,939)

LME

Nickel

Base

Metal

(2)

5/2021

USD

(192,459)

18,151

LME

Nickel

Base

Metal

(7)

5/2021

USD

(674,043)

134,016

LME

Nickel

Base

Metal

(13)

5/2021

USD

(1,251,827)

264,578

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,290)

2,208

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,265)

(3,372)

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,290)

(3,367)

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,496)

(7,360)

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,596)

2,198

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,613)

995

LME

Zinc

Base

Metal

(4)

5/2021

USD

(281,225)

5,528

LME

Zinc

Base

Metal

(7)

5/2021

USD

(491,969)

13,761

LME

Zinc

Base

Metal

(8)

5/2021

USD

(562,450)

12,526

LME

Zinc

Base

Metal

(11)

5/2021

USD

(773,094)

25,474

LME

Zinc

Base

Metal

(22)

5/2021

USD

(1,546,738)

8,873

LME

Zinc

Base

Metal

(58)

5/2021

USD

(4,073,891)

(317,388)

100

oz

Gold

(131)

6/2021

USD

(22,474,360)

29,224

Australia

10

Year

Bond

(1,392)

6/2021

AUD

(146,027,429)

805,129

Australia

3

Year

Bond

(228)

6/2021

AUD

(20,269,270)

(13,452)

Canada

10

Year

Bond

(568)

6/2021

CAD

(62,720,904)

338,751

Euro-

Bobl

(1,022)

6/2021

EUR

(161,893,301)

(140,405)

Euro-BTP

(64)

6/2021

EUR

(11,206,134)

(63,890)

Euro-Bund

(768)

6/2021

EUR

(154,260,525)

312,011

Euro-

Buxl

(645)

6/2021

EUR

(155,846,906)

2,517,230

Euro-OAT

(689)

6/2021

EUR

(130,854,031)

88,854

Euro-Schatz

(2,385)

6/2021

EUR

(313,531,316)

(41,875)

Japan

10

Year

Bond

(372)

6/2021

JPY

(507,848,453)

(987,801)

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,455)

3,267

116

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(4)

6/2021

USD

$

(220,413)

$

(4,144)

LME

Aluminum

Base

Metal

(6)

6/2021

USD

(331,388)

2,816

LME

Aluminum

Base

Metal

(7)

6/2021

USD

(386,185)

(9,212)

LME

Aluminum

Base

Metal

(8)

6/2021

USD

(441,420)

(5,416)

LME

Aluminum

Base

Metal

(10)

6/2021

USD

(553,000)

8,899

LME

Aluminum

Base

Metal

(14)

6/2021

USD

(773,514)

24,577

LME

Aluminum

Base

Metal

(16)

6/2021

USD

(884,644)

27,593

LME

Aluminum

Base

Metal

(17)

6/2021

USD

(938,158)

(18,111)

LME

Aluminum

Base

Metal

(31)

6/2021

USD

(1,708,457)

(57,798)

LME

Aluminum

Base

Metal

(33)

6/2021

USD

(1,819,224)

(35,491)

LME

Aluminum

Base

Metal

(34)

6/2021

USD

(1,874,072)

7,077

LME

Aluminum

Base

Metal

(35)

6/2021

USD

(1,930,635)

(32,795)

LME

Aluminum

Base

Metal

(295)

6/2021

USD

(16,289,531)

(48,859)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,698)

8,912

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,606)

6,135

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,638)

147

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,613)

6,560

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,213)

10,132

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,213)

14,545

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,406)

4,589

LME

Copper

Base

Metal

(3)

6/2021

USD

(659,114)

12,129

LME

Copper

Base

Metal

(3)

6/2021

USD

(658,838)

15,930

LME

Copper

Base

Metal

(3)

6/2021

USD

(659,119)

19,248

LME

Copper

Base

Metal

(27)

6/2021

USD

(5,931,731)

200,205

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,396)

1,581

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,390)

3,207

LME

Nickel

Base

Metal

(3)

6/2021

USD

(289,157)

6,575

LME

Nickel

Base

Metal

(4)

6/2021

USD

(385,284)

62,116

LME

Nickel

Base

Metal

(4)

6/2021

USD

(385,452)

696

LME

Nickel

Base

Metal

(6)

6/2021

USD

(578,179)

6,783

LME

Nickel

Base

Metal

(8)

6/2021

USD

(770,940)

(705)

LME

Nickel

Base

Metal

(16)

6/2021

USD

(1,541,592)

9,081

LME

Nickel

Base

Metal

(18)

6/2021

USD

(1,733,994)

38,399

LME

Nickel

Base

Metal

(23)

6/2021

USD

(2,216,102)

27,039

LME

Nickel

Base

Metal

(25)

6/2021

USD

(2,408,669)

(14,039)

LME

Nickel

Base

Metal

(27)

6/2021

USD

(2,601,287)

24,733

LME

Nickel

Base

Metal

(163)

6/2021

USD

(15,707,658)

566,200

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,857)

406

LME

Zinc

Base

Metal

(4)

6/2021

USD

(281,667)

4,750

LME

Zinc

Base

Metal

(5)

6/2021

USD

(352,115)

2,281

LME

Zinc

Base

Metal

(7)

6/2021

USD

(492,844)

1,455

LME

Zinc

Base

Metal

(12)

6/2021

USD

(845,076)

(12,929)

LME

Zinc

Base

Metal

(12)

6/2021

USD

(844,725)

(4,038)

LME

Zinc

Base

Metal

(12)

6/2021

USD

(844,974)

(16,290)

LME

Zinc

Base

Metal

(15)

6/2021

USD

(1,055,595)

(21,715)

LME

Zinc

Base

Metal

(16)

6/2021

USD

(1,126,940)

(4,274)

LME

Zinc

Base

Metal

(18)

6/2021

USD

(1,267,763)

(2,741)

LME

Zinc

Base

Metal

(20)

6/2021

USD

(1,408,125)

(18,537)

LME

Zinc

Base

Metal

(127)

6/2021

USD

(8,943,181)

(60,669)

Long

Gilt

(1,062)

6/2021

GBP

(186,801,101)

1,040,018

U.S.

Treasury

10

Year

Note

(1,113)

6/2021

USD

(145,733,438)

1,576,702

U.S.

Treasury

2

Year

Note

(405)

6/2021

USD

(89,394,258)

13,448

U.S.

Treasury

5

Year

Note

(958)

6/2021

USD

(118,215,703)

738,456

U.S.

Treasury

Long

Bond

(1,405)

6/2021

USD

(217,204,219)

6,696,871

U.S.

Treasury

Ultra

Bond

(746)

6/2021

USD

(135,189,188)

5,716,048

Coffee

'C'

(40)

7/2021

USD

(1,881,000)

(13,595)

117

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euroswiss

(110)

9/2021

CHF

$

(29,308,311)

$

(7,591)

3

Month

Euroswiss

(115)

12/2021

CHF

(30,640,507)

(6,598)

3

Month

Euroswiss

(97)

3/2022

CHF

(25,839,470)

(5,888)

3

Month

Eurodollar

(18)

12/2022

USD

(4,477,500)

492

3

Month

Eurodollar

(62)

3/2023

USD

(15,406,225)

4,189

15,799,467

$

(1,942,008)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

724,001

USD

125,312

CITI

**

6/16/2021

$

2,657

BRL

724,001

USD

125,313

JPMC

**

6/16/2021

2,656

CAD

40,834,235

USD

32,327,158

CITI

6/16/2021

169,119

CAD

40,834,234

USD

32,327,197

JPMC

6/16/2021

169,078

CLP

3,675,736,794

USD

5,070,060

CITI

**

6/16/2021

34,359

CLP

3,675,736,793

USD

5,070,066

JPMC

**

6/16/2021

34,353

COP

861,393,400

USD

233,385

CITI

**

6/16/2021

1,385

COP

861,393,398

USD

233,385

JPMC

**

6/16/2021

1,385

GBP

103,000

USD

141,753

CITI

6/16/2021

274

GBP

103,000

USD

141,754

JPMC

6/16/2021

274

HUF

1,904,188,000

USD

6,141,730

CITI

6/16/2021

17,592

HUF

1,904,188,000

USD

6,141,738

JPMC

6/16/2021

17,585

INR

1,186,469,119

USD

15,935,467

CITI

**

6/16/2021

90,382

INR

1,186,469,118

USD

15,935,487

JPMC

**

6/16/2021

90,362

KRW

29,718,569,500

USD

26,230,592

CITI

**

6/16/2021

123,182

KRW

29,718,569,500

USD

26,230,447

JPMC

**

6/16/2021

123,327

MXN

216,732,624

USD

10,359,298

CITI

6/16/2021

159,359

MXN

216,732,624

USD

10,359,311

JPMC

6/16/2021

159,346

NOK

3,603,500

USD

421,002

CITI

6/16/2021

287

NOK

3,603,500

USD

421,003

JPMC

6/16/2021

287

PHP

450,766,428

USD

9,189,698

CITI

**

6/16/2021

34,549

PHP

450,766,428

USD

9,189,710

JPMC

**

6/16/2021

34,538

TWD

49,420,500

USD

1,743,227

CITI

**

6/16/2021

6,176

TWD

49,420,500

USD

1,743,230

JPMC

**

6/16/2021

6,174

USD

132,182,803

AUD

171,893,000

CITI

6/16/2021

1,579,877

USD

132,182,638

AUD

171,893,000

JPMC

6/16/2021

1,579,711

USD

10,094,782

BRL

55,743,500

CITI

**

6/16/2021

241,983

USD

10,094,770

BRL

55,743,500

JPMC

**

6/16/2021

241,970

USD

2,788,258

CAD

3,500,500

CITI

6/16/2021

2,527

USD

2,788,255

CAD

3,500,500

JPMC

6/16/2021

2,523

USD

126,031,387

CHF

115,431,500

CITI

6/16/2021

3,655,527

USD

126,030,489

CHF

115,431,500

JPMC

6/16/2021

3,654,629

USD

2,990,811

CLP

2,149,204,000

CITI

**

6/16/2021

6,256

USD

2,990,807

CLP

2,149,204,000

JPMC

**

6/16/2021

6,253

USD

809,685

COP

2,951,962,000

CITI

**

6/16/2021

5,137

USD

809,684

COP

2,951,962,000

JPMC

**

6/16/2021

5,136

USD

90,640,852

EUR

75,458,961

CITI

6/16/2021

2,012,490

USD

90,640,731

EUR

75,458,955

JPMC

6/16/2021

2,012,377

USD

5,310,430

GBP

3,826,000

CITI

6/16/2021

34,720

USD

5,310,423

GBP

3,826,000

JPMC

6/16/2021

34,713

118

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

37,625,871

HUF

11,334,246,359

CITI

6/16/2021

$

963,903

USD

37,625,824

HUF

11,334,246,359

JPMC

6/16/2021

963,855

USD

15,185,043

IDR

220,453,003,503

CITI

**

6/16/2021

205,702

USD

15,184,850

IDR

220,453,003,497

JPMC

**

6/16/2021

205,510

USD

13,188,980

ILS

43,509,500

CITI

6/16/2021

161,168

USD

13,188,963

ILS

43,509,500

JPMC

6/16/2021

161,151

USD

154,727,898

JPY

16,490,099,720

CITI

6/16/2021

5,697,121

USD

154,727,704

JPY

16,490,099,720

JPMC

6/16/2021

5,696,928

USD

42,381,671

KRW

47,307,298,500

CITI

**

6/16/2021

430,600

USD

42,381,515

KRW

47,307,298,500

JPMC

**

6/16/2021

430,445

USD

92,921,176

NZD

129,428,501

CITI

6/16/2021

2,544,360

USD

92,921,058

NZD

129,428,499

JPMC

6/16/2021

2,544,244

USD

7,439,228

PHP

361,889,000

CITI

**

6/16/2021

33,722

USD

7,439,052

PHP

361,889,000

JPMC

**

6/16/2021

33,545

USD

68,155,689

PLN

260,191,500

CITI

6/16/2021

2,292,393

USD

68,155,604

PLN

260,191,500

JPMC

6/16/2021

2,292,307

USD

165,411,328

SEK

1,405,728,000

CITI

6/16/2021

4,342,962

USD

165,411,121

SEK

1,405,728,000

JPMC

6/16/2021

4,342,755

USD

46,367,161

SGD

62,194,000

CITI

6/16/2021

148,949

USD

46,367,103

SGD

62,194,000

JPMC

6/16/2021

148,890

USD

31,236,989

TWD

874,451,000

CITI

**

6/16/2021

282,877

USD

31,236,950

TWD

874,451,000

JPMC

**

6/16/2021

282,839

USD

14,852,949

ZAR

219,786,000

CITI

6/17/2021

108,534

USD

14,852,930

ZAR

219,786,000

JPMC

6/17/2021

108,515

ZAR

887,057,292

USD

58,668,939

CITI

6/17/2021

839,588

ZAR

887,057,288

USD

58,669,012

JPMC

6/17/2021

839,515

Total

unrealized

appreciation

52,456,893

AUD

275,459,047

USD

215,778,646

CITI

6/16/2021

(6,487,066)

AUD

275,459,041

USD

215,778,911

JPMC

6/16/2021

(6,487,335)

BRL

2,172,004

USD

395,623

CITI

**

6/16/2021

(11,717)

BRL

2,172,002

USD

395,623

JPMC

**

6/16/2021

(11,716)

CAD

27,585,246

USD

22,080,370

CITI

6/16/2021

(127,768)

CAD

27,585,244

USD

22,080,396

JPMC

6/16/2021

(127,796)

CLP

9,395,606,379

USD

13,304,308

CITI

**

6/16/2021

(256,827)

CLP

9,395,606,378

USD

13,304,325

JPMC

**

6/16/2021

(256,844)

COP

7,194,187,290

USD

1,994,590

CITI

**

6/16/2021

(33,836)

COP

7,194,187,288

USD

1,994,593

JPMC

**

6/16/2021

(33,838)

EUR

55,569,500

USD

66,344,027

CITI

6/16/2021

(1,076,315)

EUR

55,569,500

USD

66,344,110

JPMC

6/16/2021

(1,076,398)

GBP

20,970,492

USD

29,321,140

CITI

6/16/2021

(404,719)

GBP

20,970,492

USD

29,321,177

JPMC

6/16/2021

(404,755)

HUF

2,016,414,500

USD

6,532,057

CITI

6/16/2021

(9,725)

HUF

2,016,414,500

USD

6,532,066

JPMC

6/16/2021

(9,733)

IDR

125,535,859,859

USD

8,711,837

CITI

**

6/16/2021

(181,927)

IDR

125,535,859,853

USD

8,711,848

JPMC

**

6/16/2021

(181,937)

ILS

48,853,504

USD

14,893,437

CITI

6/16/2021

(265,499)

ILS

48,853,496

USD

14,893,453

JPMC

6/16/2021

(265,517)

INR

3,094,074,029

USD

42,017,924

CITI

**

6/16/2021

(225,715)

INR

3,094,074,030

USD

42,017,976

JPMC

**

6/16/2021

(225,767)

JPY

2,790,708,500

USD

25,687,888

CITI

6/16/2021

(466,606)

JPY

2,790,708,500

USD

25,687,920

JPMC

6/16/2021

(466,638)

KRW

103,248,960,422

USD

92,625,927

CITI

**

6/16/2021

(1,067,021)

KRW

103,248,960,418

USD

92,626,043

JPMC

**

6/16/2021

(1,067,137)

MXN

27,013,500

USD

1,314,914

CITI

6/16/2021

(3,871)

MXN

27,013,500

USD

1,314,916

JPMC

6/16/2021

(3,873)

NOK

144,385,004

USD

17,065,404

CITI

6/16/2021

(185,159)

NOK

144,385,000

USD

17,065,425

JPMC

6/16/2021

(185,181)

NZD

73,162,970

USD

53,114,942

CITI

6/16/2021

(2,026,996)

119

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

73,162,968

USD

53,115,007

JPMC

6/16/2021

$

(2,027,063)

PHP

225,555,476

USD

4,636,977

CITI

**

6/16/2021

(21,328)

PHP

225,555,476

USD

4,637,001

JPMC

**

6/16/2021

(21,352)

PLN

4,182,508

USD

1,121,140

CITI

6/16/2021

(62,406)

PLN

4,182,508

USD

1,121,142

JPMC

6/16/2021

(62,407)

SEK

1,625,920,625

USD

195,066,188

CITI

6/16/2021

(8,768,142)

SEK

1,625,920,624

USD

195,066,431

JPMC

6/16/2021

(8,768,386)

SGD

108,209,503

USD

81,526,480

CITI

6/16/2021

(1,112,778)

SGD

108,209,497

USD

81,526,578

JPMC

6/16/2021

(1,112,880)

TWD

1,541,457,477

USD

56,087,253

CITI

**

6/16/2021

(1,522,222)

TWD

1,541,457,474

USD

56,087,288

JPMC

**

6/16/2021

(1,522,257)

USD

13,779,531

AUD

18,146,000

CITI

6/16/2021

(7,655)

USD

13,779,514

AUD

18,146,000

JPMC

6/16/2021

(7,672)

USD

7,094,625

BRL

40,718,000

CITI

**

6/16/2021

(102,381)

USD

7,094,616

BRL

40,718,000

JPMC

**

6/16/2021

(102,390)

USD

7,045,242

CLP

5,161,269,000

CITI

**

6/16/2021

(122,104)

USD

7,045,233

CLP

5,161,269,000

JPMC

**

6/16/2021

(122,114)

USD

1,564,173

COP

5,759,577,502

CITI

**

6/16/2021

(5,583)

USD

1,564,171

COP

5,759,577,498

JPMC

**

6/16/2021

(5,585)

USD

7,307,375

GBP

5,317,500

CITI

6/16/2021

(24,979)

USD

7,307,366

GBP

5,317,500

JPMC

6/16/2021

(24,987)

USD

1,825,680

HUF

565,290,000

CITI

6/16/2021

(2,818)

USD

1,825,678

HUF

565,290,000

JPMC

6/16/2021

(2,819)

USD

20,177,980

INR

1,501,503,500

CITI

**

6/16/2021

(103,095)

USD

20,177,955

INR

1,501,503,500

JPMC

**

6/16/2021

(103,120)

USD

37,523,436

KRW

42,631,507,500

CITI

**

6/16/2021

(281,248)

USD

37,523,482

KRW

42,631,507,500

JPMC

**

6/16/2021

(281,202)

USD

8,404,680

MXN

175,641,500

CITI

6/16/2021

(119,708)

USD

8,404,669

MXN

175,641,500

JPMC

6/16/2021

(119,718)

USD

49,798,346

NZD

71,376,500

CITI

6/16/2021

(42,151)

USD

49,798,284

NZD

71,376,500

JPMC

6/16/2021

(42,213)

USD

6,800,563

PHP

333,681,000

CITI

**

6/16/2021

(27,711)

USD

6,800,535

PHP

333,681,000

JPMC

**

6/16/2021

(27,738)

USD

26,362,586

SGD

35,559,000

CITI

6/16/2021

(62,366)

USD

26,362,553

SGD

35,559,000

JPMC

6/16/2021

(62,398)

USD

5,781,712

TWD

163,606,500

CITI

**

6/16/2021

(9,686)

USD

5,781,611

TWD

163,606,500

JPMC

**

6/16/2021

(9,787)

USD

30,456,859

ZAR

464,508,004

CITI

6/17/2021

(704,812)

USD

30,456,820

ZAR

464,507,996

JPMC

6/17/2021

(704,849)

ZAR

219,696,264

USD

14,887,162

CITI

6/17/2021

(148,766)

ZAR

219,696,260

USD

14,887,180

JPMC

6/17/2021

(148,785)

Total

unrealized

depreciation

(52,166,893)

Net

unrealized

appreciation

$

290,000

**

Non-deliverable

forward.

120

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

95.5%

INVESTMENT

COMPANIES

-

17.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

3,155,809

3,155,809

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

16,987,189

16,982,093

TOTAL

INVESTMENT

COMPANIES

(Cost

$20,136,572)

20,137,902

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

78.3%

U.S.

Treasury

Bills

0.11%,

4/8/2021

(c)(d)

$

3,156,000

3,155,995

0.12%,

4/22/2021

(c)

21,793,000

21,792,842

0.11%,

5/6/2021

(c)

2,612,000

2,611,956

0.10%,

5/20/2021

(c)

11,630,000

11,629,723

0.08%,

6/17/2021

(c)

997,000

996,967

0.10%,

7/1/2021

(c)(d)

14,966,000

14,965,149

0.09%,

7/8/2021

(c)

4,762,000

4,761,786

0.09%,

7/15/2021

(c)

1,445,000

1,444,942

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

78.3%

(continued)

0.09%,

7/22/2021

(c)

$

1,620,000

1,619,924

0.08%,

7/29/2021

(c)(e)

2,130,000

2,129,868

0.07%,

8/5/2021

(c)(e)

6,053,000

6,052,576

0.05%,

8/12/2021

(c)

9,331,000

9,330,173

0.06%,

8/19/2021

(c)

3,695,000

3,694,655

0.05%,

8/26/2021

(c)(d)

2,078,000

2,077,798

0.06%,

9/2/2021

(c)

177,000

176,982

0.06%,

9/9/2021

(c)

2,619,000

2,618,707

0.06%,

9/16/2021

(c)

1,610,000

1,609,801

0.04%,

9/23/2021

(c)

1,104,000

1,103,834

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$91,762,193)

91,773,678

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$111,898,765)

111,911,580

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.5%

(Cost

$111,898,765)

111,911,580

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.5%

(f)

5,314,273

NET

ASSETS

-

100.0%

117,225,853

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

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.

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

1,862,025

$

56,345

Cotton

No.

2

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

(1,334,520)

130,700

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

33,979,200

22,605

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

35,564,750

30,334

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/10/2021

KRW

103,662,500

2,605

121

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

1,671,440

$

15,426

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

287,350

12,136

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

603,288

90,211

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

1,529,920

33,321

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(1,143,300)

22,505

416,188

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(84,638)

(2,363)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

3,275,640

(66,475)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

1,748,235

(8,077)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

(677,120)

(18,277)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

211,600

(3,796)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

338,560

(6,310)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

1,354,240

(24,951)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(317,520)

(26,378)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

2,132,100

(120,854)

(277,481)

$

138,707

122

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

91

4/2021

USD

$

5,709,340

$

(325,830)

CAC

40

10

Euro

Index

10

4/2021

EUR

711,360

3,182

Hang

Seng

Index

17

4/2021

HKD

3,095,998

21,467

HSCEI

29

4/2021

HKD

2,041,053

13,487

IBEX

35

Index

2

4/2021

EUR

201,392

(1,307)

LME

Aluminum

Base

Metal

1

4/2021

USD

54,800

4,691

LME

Aluminum

Base

Metal

1

4/2021

USD

54,856

5,285

LME

Aluminum

Base

Metal

1

4/2021

USD

54,856

4,916

LME

Aluminum

Base

Metal

1

4/2021

USD

54,702

3,861

LME

Aluminum

Base

Metal

3

4/2021

USD

164,147

12,567

LME

Aluminum

Base

Metal

3

4/2021

USD

164,726

14,470

LME

Aluminum

Base

Metal

4

4/2021

USD

219,670

20,921

LME

Aluminum

Base

Metal

4

4/2021

USD

219,088

17,882

LME

Aluminum

Base

Metal

4

4/2021

USD

218,750

15,768

LME

Aluminum

Base

Metal

4

4/2021

USD

219,600

17,905

LME

Copper

Base

Metal

1

4/2021

USD

219,722

15,469

LME

Copper

Base

Metal

1

4/2021

USD

219,708

18,530

LME

Copper

Base

Metal

1

4/2021

USD

219,694

21,154

LME

Copper

Base

Metal

1

4/2021

USD

219,715

19,464

LME

Copper

Base

Metal

1

4/2021

USD

219,850

18,436

LME

Copper

Base

Metal

1

4/2021

USD

219,700

20,348

LME

Nickel

Base

Metal

1

4/2021

USD

96,161

(10,546)

LME

Nickel

Base

Metal

1

4/2021

USD

96,212

(11,199)

LME

Nickel

Base

Metal

1

4/2021

USD

96,153

(9,660)

LME

Nickel

Base

Metal

1

4/2021

USD

96,199

(12,290)

LME

Nickel

Base

Metal

1

4/2021

USD

96,165

(12,438)

LME

Zinc

Base

Metal

1

4/2021

USD

70,181

2,054

LME

Zinc

Base

Metal

1

4/2021

USD

70,140

(1,613)

LME

Zinc

Base

Metal

1

4/2021

USD

70,181

197

LME

Zinc

Base

Metal

1

4/2021

USD

70,200

5,728

LME

Zinc

Base

Metal

2

4/2021

USD

140,263

507

LME

Zinc

Base

Metal

2

4/2021

USD

140,296

(2,110)

LME

Zinc

Base

Metal

3

4/2021

USD

210,610

17,401

LME

Zinc

Base

Metal

3

4/2021

USD

210,619

17,710

MSCI

Singapore

Index

25

4/2021

SGD

665,236

635

NY

Harbor

ULSD

62

4/2021

USD

4,608,559

(372,235)

RBOB

Gasoline

42

4/2021

USD

3,456,911

(138,281)

SGX

FTSE

China

A50

Index

168

4/2021

USD

2,886,576

(1,248)

SGX

FTSE

Taiwan

Index

12

4/2021

USD

695,280

5,965

SGX

NIFTY

50

Index

3

4/2021

USD

88,476

(197)

Sugar

No.

11

139

4/2021

USD

2,299,394

(150,964)

WTI

Crude

Oil

97

4/2021

USD

5,738,520

(411,784)

Coffee

'C'

24

5/2021

USD

1,111,500

(59,185)

Copper

11

5/2021

USD

1,098,763

(27,507)

Corn

14

5/2021

USD

394,975

14,274

Cotton

No.

2

4

5/2021

USD

161,760

(15,040)

KC

HRW

Wheat

22

5/2021

USD

633,325

(60,624)

LME

Aluminum

Base

Metal

1

5/2021

USD

55,022

2,720

LME

Aluminum

Base

Metal

1

5/2021

USD

55,012

1,024

LME

Aluminum

Base

Metal

1

5/2021

USD

55,006

1,003

LME

Aluminum

Base

Metal

1

5/2021

USD

55,017

2,921

LME

Aluminum

Base

Metal

2

5/2021

USD

110,075

2,319

LME

Aluminum

Base

Metal

2

5/2021

USD

109,958

9,414

123

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

3

5/2021

USD

$

165,161

$

(596)

LME

Aluminum

Base

Metal

3

5/2021

USD

165,137

(2,122)

LME

Aluminum

Base

Metal

4

5/2021

USD

219,880

22,493

LME

Copper

Base

Metal

1

5/2021

USD

219,750

10,497

LME

Copper

Base

Metal

1

5/2021

USD

219,600

(18,028)

LME

Copper

Base

Metal

1

5/2021

USD

219,730

13,027

LME

Copper

Base

Metal

1

5/2021

USD

219,733

12,855

LME

Copper

Base

Metal

1

5/2021

USD

219,716

22,019

LME

Copper

Base

Metal

1

5/2021

USD

219,613

(7,890)

LME

Copper

Base

Metal

1

5/2021

USD

219,736

14,333

LME

Copper

Base

Metal

1

5/2021

USD

219,725

1,222

LME

Nickel

Base

Metal

1

5/2021

USD

96,294

(21,579)

LME

Zinc

Base

Metal

1

5/2021

USD

70,298

(1,048)

LME

Zinc

Base

Metal

1

5/2021

USD

70,281

(1,472)

LME

Zinc

Base

Metal

1

5/2021

USD

70,306

(1,259)

LME

Zinc

Base

Metal

1

5/2021

USD

70,281

(2,507)

LME

Zinc

Base

Metal

2

5/2021

USD

140,613

(416)

LME

Zinc

Base

Metal

4

5/2021

USD

280,958

23,060

Low

Sulphur

Gasoil

71

5/2021

USD

3,603,250

(246,024)

Silver

2

5/2021

USD

245,320

(29,575)

Soybean

20

5/2021

USD

1,436,750

32,235

Soybean

Oil

2

5/2021

USD

63,504

594

DAX

Index

1

6/2021

EUR

440,613

13,094

DJIA

CBOT

E-Mini

Index

2

6/2021

USD

328,980

2,306

EURO

STOXX

50

Index

19

6/2021

EUR

861,395

17,824

FTSE

100

Index

21

6/2021

GBP

1,933,755

(9,713)

FTSE/JSE

Top

40

Index

3

6/2021

ZAR

124,350

(1,283)

FTSE/MIB

Index

2

6/2021

EUR

286,068

4,374

KOSPI

200

Index

5

6/2021

KRW

457,974

3,176

Lean

Hogs

30

6/2021

USD

1,263,600

100,803

Live

Cattle

28

6/2021

USD

1,376,480

21,366

LME

Aluminum

Base

Metal

1

6/2021

USD

55,231

(522)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,290

(1,645)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,169

1,116

LME

Aluminum

Base

Metal

1

6/2021

USD

55,103

1,200

LME

Aluminum

Base

Metal

1

6/2021

USD

55,300

(1,253)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,186

1,221

LME

Aluminum

Base

Metal

1

6/2021

USD

55,251

(1,798)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,178

800

LME

Aluminum

Base

Metal

2

6/2021

USD

110,322

1,666

LME

Aluminum

Base

Metal

3

6/2021

USD

165,359

(1,148)

LME

Aluminum

Base

Metal

3

6/2021

USD

165,335

2,727

LME

Aluminum

Base

Metal

3

6/2021

USD

165,384

3,750

LME

Aluminum

Base

Metal

55

6/2021

USD

3,037,031

49,717

LME

Copper

Base

Metal

1

6/2021

USD

219,606

(4,043)

LME

Copper

Base

Metal

1

6/2021

USD

219,705

(3,023)

LME

Copper

Base

Metal

6

6/2021

USD

1,318,163

(41,250)

LME

Nickel

Base

Metal

1

6/2021

USD

96,350

(583)

LME

Nickel

Base

Metal

1

6/2021

USD

96,390

(3,453)

LME

Nickel

Base

Metal

1

6/2021

USD

96,368

(505)

LME

Nickel

Base

Metal

2

6/2021

USD

192,693

2,068

LME

Nickel

Base

Metal

2

6/2021

USD

192,666

(4,332)

LME

Nickel

Base

Metal

3

6/2021

USD

289,057

(4,121)

LME

Nickel

Base

Metal

3

6/2021

USD

289,032

(3,043)

LME

Nickel

Base

Metal

16

6/2021

USD

1,541,856

(345,948)

LME

Zinc

Base

Metal

1

6/2021

USD

70,394

3

124

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

6/2021

USD

$

70,417

$

(1,449)

LME

Zinc

Base

Metal

1

6/2021

USD

70,423

1,020

LME

Zinc

Base

Metal

1

6/2021

USD

70,406

(396)

LME

Zinc

Base

Metal

1

6/2021

USD

70,406

541

LME

Zinc

Base

Metal

2

6/2021

USD

140,746

2,853

LME

Zinc

Base

Metal

2

6/2021

USD

140,868

212

LME

Zinc

Base

Metal

2

6/2021

USD

140,863

382

LME

Zinc

Base

Metal

2

6/2021

USD

140,829

3,173

LME

Zinc

Base

Metal

13

6/2021

USD

915,444

(19,637)

MSCI

EAFE

E-Mini

Index

10

6/2021

USD

1,096,000

(3,700)

MSCI

Emerging

Markets

E-Mini

Index

31

6/2021

USD

2,049,875

6,768

NASDAQ

100

E-Mini

Index

1

6/2021

USD

261,795

1,007

Nikkei

225

Index

2

6/2021

JPY

527,072

10,743

Palladium

3

6/2021

USD

785,970

(3,407)

Russell

2000

E-Mini

Index

4

6/2021

USD

444,500

(12,752)

S&P

500

E-Mini

Index

3

6/2021

USD

595,110

6,755

S&P

Midcap

400

E-Mini

Index

2

6/2021

USD

521,060

(7,328)

S&P/TSX

60

Index

7

6/2021

CAD

1,237,797

(2,268)

SPI

200

Index

5

6/2021

AUD

642,389

(4,421)

TOPIX

Index

5

6/2021

JPY

882,366

27,480

Cocoa

29

7/2021

GBP

665,657

(10,357)

Cocoa

33

7/2021

USD

787,050

(16,010)

Platinum

1

7/2021

USD

59,575

1,343

3

Month

Canadian

Bankers

Acceptance

92

9/2021

CAD

18,214,968

(2,135)

3

Month

Euro

Euribor

126

9/2021

EUR

37,139,527

(2,847)

3

Month

Eurodollar

73

9/2021

USD

18,215,325

(4,219)

3

Month

Sterling

45

9/2021

GBP

7,747,258

(6,793)

ASX

90

Day

Bank

Accepted

Bill

30

9/2021

AUD

22,782,006

(2,904)

3

Month

Canadian

Bankers

Acceptance

35

12/2021

CAD

6,926,822

799

3

Month

Euro

Euribor

204

12/2021

EUR

60,133,653

(4,689)

3

Month

Eurodollar

30

12/2021

USD

7,480,125

(3,785)

3

Month

Sterling

57

12/2021

GBP

9,809,756

(14,425)

ASX

90

Day

Bank

Accepted

Bill

18

12/2021

AUD

13,667,856

154

3

Month

Euro

Euribor

170

3/2022

EUR

50,106,393

(5,269)

3

Month

Eurodollar

26

3/2022

USD

6,484,725

(2,186)

3

Month

Sterling

47

3/2022

GBP

8,082,672

(16,079)

3

Month

Euro

Euribor

74

6/2022

EUR

21,809,933

(2,967)

3

Month

Eurodollar

30

6/2022

USD

7,478,250

(5,138)

3

Month

Sterling

81

6/2022

GBP

13,924,127

(25,138)

3

Month

Euro

Euribor

139

9/2022

EUR

40,965,270

(8,364)

3

Month

Eurodollar

12

9/2022

USD

2,988,900

(4,745)

3

Month

Sterling

62

9/2022

GBP

10,651,563

(31,178)

3

Month

Euro

Euribor

154

12/2022

EUR

45,376,953

(9,469)

3

Month

Sterling

33

12/2022

GBP

5,665,400

(17,273)

3

Month

Euro

Euribor

44

3/2023

EUR

12,960,974

(1,855)

(1,840,969)

Short

Contracts

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,856)

(5,323)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,800)

(4,581)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,702)

(3,943)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,856)

(4,914)

LME

Aluminum

Base

Metal

(3)

4/2021

USD

(164,147)

(12,310)

LME

Aluminum

Base

Metal

(3)

4/2021

USD

(164,726)

(13,235)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(219,670)

(22,282)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(218,750)

(15,638)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(219,600)

(18,047)

125

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

$

(219,088)

$

(17,697)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,700)

(20,728)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,715)

(20,223)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,694)

(21,325)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,722)

(16,020)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,708)

(17,995)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,850)

(18,303)

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,212)

11,005

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,153)

9,614

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,161)

10,829

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,199)

11,798

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,165)

11,853

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,200)

(5,531)

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,181)

(1,937)

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,140)

1,541

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,181)

(492)

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,296)

1,277

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,263)

222

LME

Zinc

Base

Metal

(3)

4/2021

USD

(210,619)

(17,916)

LME

Zinc

Base

Metal

(3)

4/2021

USD

(210,610)

(16,153)

Natural

Gas

(8)

4/2021

USD

(208,640)

(4,702)

OMXS30

Index

(15)

4/2021

SEK

(375,668)

(4,085)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,022)

(2,744)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,012)

(1,139)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,006)

(1,105)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,017)

(2,780)

LME

Aluminum

Base

Metal

(2)

5/2021

USD

(110,075)

(2,827)

LME

Aluminum

Base

Metal

(2)

5/2021

USD

(109,958)

(9,477)

LME

Aluminum

Base

Metal

(3)

5/2021

USD

(165,161)

(379)

LME

Aluminum

Base

Metal

(3)

5/2021

USD

(165,137)

1,961

LME

Aluminum

Base

Metal

(4)

5/2021

USD

(219,880)

(22,221)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,733)

(12,795)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,600)

17,722

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,750)

(10,028)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,613)

8,359

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,730)

(13,117)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,716)

(22,022)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,736)

(13,566)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,725)

(1,232)

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,294)

20,352

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,306)

1,382

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,281)

1,966

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,281)

2,316

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,298)

1,099

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,613)

807

LME

Zinc

Base

Metal

(4)

5/2021

USD

(280,958)

(21,944)

100

oz

Gold

(13)

6/2021

USD

(2,230,280)

4,523

Australia

10

Year

Bond

(143)

6/2021

AUD

(15,001,381)

84,381

Australia

3

Year

Bond

(23)

6/2021

AUD

(2,044,707)

(1,357)

Canada

10

Year

Bond

(58)

6/2021

CAD

(6,404,599)

33,459

Euro-Bobl

(105)

6/2021

EUR

(16,632,873)

(14,861)

Euro-BTP

(7)

6/2021

EUR

(1,225,671)

(7,523)

Euro-Bund

(79)

6/2021

EUR

(15,867,945)

28,761

Euro-Buxl

(66)

6/2021

EUR

(15,947,125)

261,958

Euro-OAT

(71)

6/2021

EUR

(13,484,232)

8,295

Euro-Schatz

(244)

6/2021

EUR

(32,076,160)

(4,810)

126

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Japan

10

Year

Bond

(38)

6/2021

JPY

$

(51,876,993)

$

(98,588)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,169)

(1,316)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,290)

1,725

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,186)

(1,224)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,103)

(1,036)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,178)

(677)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,300)

1,042

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,251)

1,756

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,231)

469

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,322)

(1,874)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,359)

624

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,335)

(5,593)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,384)

(3,257)

LME

Aluminum

Base

Metal

(26)

6/2021

USD

(1,435,688)

(4,844)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,705)

4,043

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,606)

5,066

LME

Copper

Base

Metal

(3)

6/2021

USD

(659,081)

23,980

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,350)

568

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,368)

158

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,390)

3,207

LME

Nickel

Base

Metal

(2)

6/2021

USD

(192,666)

4,267

LME

Nickel

Base

Metal

(2)

6/2021

USD

(192,693)

(1,123)

LME

Nickel

Base

Metal

(3)

6/2021

USD

(289,057)

4,122

LME

Nickel

Base

Metal

(3)

6/2021

USD

(289,032)

2,748

LME

Nickel

Base

Metal

(15)

6/2021

USD

(1,445,490)

35,118

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,417)

1,188

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,394)

(54)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,406)

208

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,406)

(927)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,423)

(1,077)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,868)

(205)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,746)

(3,192)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,829)

(2,715)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,863)

(284)

LME

Zinc

Base

Metal

(13)

6/2021

USD

(915,444)

(6,514)

Long

Gilt

(109)

6/2021

GBP

(19,172,618)

105,244

U.S.

Treasury

10

Year

Note

(114)

6/2021

USD

(14,926,875)

153,798

U.S.

Treasury

2

Year

Note

(41)

6/2021

USD

(9,049,789)

1,399

U.S.

Treasury

5

Year

Note

(98)

6/2021

USD

(12,093,047)

72,604

U.S.

Treasury

Long

Bond

(144)

6/2021

USD

(22,261,500)

661,879

U.S.

Treasury

Ultra

Bond

(77)

6/2021

USD

(13,953,844)

571,556

Coffee

'C'

(4)

7/2021

USD

(188,100)

(1,359)

3

Month

Euroswiss

(11)

9/2021

CHF

(2,930,831)

(645)

3

Month

Euroswiss

(12)

12/2021

CHF

(3,197,270)

(651)

3

Month

Euroswiss

(10)

3/2022

CHF

(2,663,863)

(599)

3

Month

Eurodollar

(2)

12/2022

USD

(497,500)

55

3

Month

Eurodollar

(6)

3/2023

USD

(1,490,925)

375

1,605,618

$

(235,351)

127

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

68,250

USD

11,813

CITI

**

6/16/2021

$

251

BRL

68,250

USD

11,813

JPMC

**

6/16/2021

251

CAD

4,276,878

USD

3,387,075

CITI

6/16/2021

16,506

CAD

4,276,872

USD

3,387,075

JPMC

6/16/2021

16,500

CLP

334,809,368

USD

461,830

CITI

**

6/16/2021

3,112

CLP

334,809,367

USD

461,831

JPMC

**

6/16/2021

3,112

COP

81,149,000

USD

21,986

CITI

**

6/16/2021

130

COP

81,149,000

USD

21,986

JPMC

**

6/16/2021

130

GBP

11,500

USD

15,827

CITI

6/16/2021

31

GBP

11,500

USD

15,827

JPMC

6/16/2021

31

HUF

255,863,500

USD

826,291

CITI

6/16/2021

1,330

HUF

255,863,500

USD

826,292

JPMC

6/16/2021

1,329

INR

112,372,697

USD

1,509,349

CITI

**

6/16/2021

8,489

INR

112,372,693

USD

1,509,351

JPMC

**

6/16/2021

8,487

KRW

3,100,952,000

USD

2,737,254

CITI

**

6/16/2021

12,603

KRW

3,100,952,000

USD

2,737,258

JPMC

**

6/16/2021

12,598

MXN

20,936,504

USD

1,000,784

CITI

6/16/2021

15,326

MXN

20,936,504

USD

1,000,785

JPMC

6/16/2021

15,324

NOK

2,066,500

USD

241,472

CITI

6/16/2021

125

NOK

2,066,500

USD

241,473

JPMC

6/16/2021

124

PHP

42,767,251

USD

871,897

CITI

**

6/16/2021

3,269

PHP

42,767,250

USD

871,899

JPMC

**

6/16/2021

3,267

TWD

5,580,500

USD

196,840

CITI

**

6/16/2021

700

TWD

5,580,500

USD

196,840

JPMC

**

6/16/2021

700

USD

12,253,178

AUD

15,942,500

CITI

6/16/2021

140,194

USD

12,253,162

AUD

15,942,500

JPMC

6/16/2021

140,179

USD

1,024,539

BRL

5,656,000

CITI

**

6/16/2021

24,826

USD

1,024,537

BRL

5,656,000

JPMC

**

6/16/2021

24,826

USD

12,904,751

CHF

11,834,500

CITI

6/16/2021

358,288

USD

12,904,669

CHF

11,834,500

JPMC

6/16/2021

358,206

USD

139,387

CLP

100,141,000

CITI

**

6/16/2021

323

USD

139,387

CLP

100,141,000

JPMC

**

6/16/2021

323

USD

76,141

COP

277,591,000

CITI

**

6/16/2021

484

USD

76,141

COP

277,591,000

JPMC

**

6/16/2021

484

USD

8,958,145

EUR

7,459,003

CITI

6/16/2021

197,367

USD

8,958,131

EUR

7,459,000

JPMC

6/16/2021

197,356

USD

789,944

GBP

570,000

CITI

6/16/2021

3,966

USD

789,943

GBP

570,000

JPMC

6/16/2021

3,964

USD

3,594,308

HUF

1,082,379,516

CITI

6/16/2021

93,223

USD

3,594,303

HUF

1,082,379,516

JPMC

6/16/2021

93,218

USD

1,440,693

IDR

20,931,957,501

CITI

**

6/16/2021

18,409

USD

1,440,675

IDR

20,931,957,499

JPMC

**

6/16/2021

18,391

USD

1,222,595

ILS

4,034,500

CITI

6/16/2021

14,567

USD

1,222,594

ILS

4,034,500

JPMC

6/16/2021

14,565

USD

15,488,556

JPY

1,651,997,576

CITI

6/16/2021

558,477

USD

15,488,536

JPY

1,651,997,572

JPMC

6/16/2021

558,458

USD

3,990,150

KRW

4,455,902,000

CITI

**

6/16/2021

38,754

USD

3,990,145

KRW

4,455,902,000

JPMC

**

6/16/2021

38,750

USD

8,699,454

NZD

12,109,500

CITI

6/16/2021

243,680

USD

8,699,443

NZD

12,109,500

JPMC

6/16/2021

243,670

USD

695,267

PHP

33,834,001

CITI

**

6/16/2021

2,906

USD

695,266

PHP

33,833,999

JPMC

**

6/16/2021

2,904

USD

6,653,115

PLN

25,410,000

CITI

6/16/2021

220,982

USD

6,653,107

PLN

25,410,000

JPMC

6/16/2021

220,974

USD

15,558,684

SEK

132,217,000

CITI

6/16/2021

409,256

128

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

15,558,665

SEK

132,217,000

JPMC

6/16/2021

$

409,236

USD

4,259,381

SGD

5,712,000

CITI

6/16/2021

14,624

USD

4,259,376

SGD

5,712,000

JPMC

6/16/2021

14,618

USD

2,867,009

TWD

80,340,500

CITI

**

6/16/2021

23,089

USD

2,867,005

TWD

80,340,500

JPMC

**

6/16/2021

23,086

USD

816,656

ZAR

12,070,000

CITI

6/17/2021

6,936

USD

816,655

ZAR

12,070,000

JPMC

6/17/2021

6,935

ZAR

86,875,878

USD

5,754,695

CITI

6/17/2021

73,401

ZAR

86,875,874

USD

5,754,702

JPMC

6/17/2021

73,394

Total

unrealized

appreciation

5,011,014

AUD

26,231,503

USD

20,548,022

CITI

6/16/2021

(617,536)

AUD

26,231,497

USD

20,548,043

JPMC

6/16/2021

(617,562)

BRL

204,750

USD

37,295

CITI

**

6/16/2021

(1,105)

BRL

204,750

USD

37,295

JPMC

**

6/16/2021

(1,105)

CAD

2,743,126

USD

2,197,435

CITI

6/16/2021

(14,430)

CAD

2,743,124

USD

2,197,437

JPMC

6/16/2021

(14,431)

CLP

910,583,601

USD

1,289,482

CITI

**

6/16/2021

(24,973)

CLP

910,583,600

USD

1,289,483

JPMC

**

6/16/2021

(24,975)

COP

680,202,999

USD

188,597

CITI

**

6/16/2021

(3,209)

COP

680,202,993

USD

188,597

JPMC

**

6/16/2021

(3,209)

EUR

5,416,500

USD

6,465,965

CITI

6/16/2021

(104,156)

EUR

5,416,500

USD

6,465,973

JPMC

6/16/2021

(104,164)

GBP

2,103,002

USD

2,938,583

CITI

6/16/2021

(38,733)

GBP

2,102,996

USD

2,938,579

JPMC

6/16/2021

(38,737)

HUF

112,450,000

USD

364,083

CITI

6/16/2021

(350)

HUF

112,450,000

USD

364,083

JPMC

6/16/2021

(350)

IDR

11,185,336,157

USD

776,231

CITI

**

6/16/2021

(16,210)

IDR

11,185,336,155

USD

776,232

JPMC

**

6/16/2021

(16,211)

ILS

4,567,500

USD

1,392,692

CITI

6/16/2021

(25,071)

ILS

4,567,500

USD

1,392,694

JPMC

6/16/2021

(25,073)

INR

312,864,322

USD

4,248,855

CITI

**

6/16/2021

(22,941)

INR

312,864,320

USD

4,248,860

JPMC

**

6/16/2021

(22,947)

JPY

244,974,500

USD

2,255,966

CITI

6/16/2021

(41,987)

JPY

244,974,500

USD

2,255,969

JPMC

6/16/2021

(41,990)

KRW

9,788,937,377

USD

8,781,883

CITI

**

6/16/2021

(101,269)

KRW

9,788,937,376

USD

8,781,894

JPMC

**

6/16/2021

(101,279)

MXN

2,721,000

USD

132,467

CITI

6/16/2021

(410)

MXN

2,721,000

USD

132,468

JPMC

6/16/2021

(410)

NOK

12,644,000

USD

1,495,316

CITI

6/16/2021

(17,089)

NOK

12,644,000

USD

1,495,318

JPMC

6/16/2021

(17,090)

NZD

6,888,500

USD

5,000,922

CITI

6/16/2021

(190,847)

NZD

6,888,500

USD

5,000,928

JPMC

6/16/2021

(190,854)

PHP

21,636,250

USD

444,783

CITI

**

6/16/2021

(2,029)

PHP

21,636,249

USD

444,785

JPMC

**

6/16/2021

(2,031)

PLN

394,501

USD

105,748

CITI

6/16/2021

(5,886)

PLN

394,500

USD

105,748

JPMC

6/16/2021

(5,886)

SEK

154,832,500

USD

18,575,323

CITI

6/16/2021

(834,609)

SEK

154,832,500

USD

18,575,346

JPMC

6/16/2021

(834,632)

SGD

10,388,500

USD

7,827,553

CITI

6/16/2021

(107,549)

SGD

10,388,500

USD

7,827,562

JPMC

6/16/2021

(107,559)

TWD

146,988,503

USD

5,346,875

CITI

**

6/16/2021

(143,726)

TWD

146,988,497

USD

5,346,881

JPMC

**

6/16/2021

(143,733)

USD

1,150,446

AUD

1,515,000

CITI

6/16/2021

(639)

USD

1,150,444

AUD

1,515,000

JPMC

6/16/2021

(641)

USD

735,091

BRL

4,213,500

CITI

**

6/16/2021

(9,654)

USD

735,090

BRL

4,213,500

JPMC

**

6/16/2021

(9,657)

USD

278,259

CAD

350,500

CITI

6/16/2021

(672)

USD

278,259

CAD

350,500

JPMC

6/16/2021

(672)

129

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

758,756

CLP

553,654,000

CITI

**

6/16/2021

$

(10,091)

USD

758,755

CLP

553,654,000

JPMC

**

6/16/2021

(10,092)

USD

149,079

COP

548,936,503

CITI

**

6/16/2021

(531)

USD

149,079

COP

548,936,497

JPMC

**

6/16/2021

(532)

USD

439,463

GBP

320,500

CITI

6/16/2021

(2,478)

USD

439,463

GBP

320,500

JPMC

6/16/2021

(2,478)

USD

340,075

HUF

105,369,000

CITI

6/16/2021

(754)

USD

340,075

HUF

105,369,000

JPMC

6/16/2021

(754)

USD

1,879,073

INR

139,829,000

CITI

**

6/16/2021

(9,622)

USD

1,879,071

INR

139,829,000

JPMC

**

6/16/2021

(9,625)

USD

3,535,275

KRW

4,015,091,000

CITI

**

6/16/2021

(25,219)

USD

3,535,271

KRW

4,015,091,000

JPMC

**

6/16/2021

(25,224)

USD

794,433

MXN

16,661,000

CITI

6/16/2021

(14,173)

USD

794,432

MXN

16,661,000

JPMC

6/16/2021

(14,174)

USD

5,503,521

NZD

7,888,000

CITI

6/16/2021

(4,479)

USD

5,503,514

NZD

7,888,000

JPMC

6/16/2021

(4,487)

USD

663,125

PHP

32,538,000

CITI

**

6/16/2021

(2,716)

USD

663,122

PHP

32,538,000

JPMC

**

6/16/2021

(2,718)

USD

311,795

PLN

1,232,000

CITI

6/16/2021

(66)

USD

311,794

PLN

1,232,000

JPMC

6/16/2021

(67)

USD

2,670,669

SGD

3,602,500

CITI

6/16/2021

(6,456)

USD

2,670,666

SGD

3,602,500

JPMC

6/16/2021

(6,458)

USD

546,267

TWD

15,456,000

CITI

**

6/16/2021

(849)

USD

546,267

TWD

15,456,000

JPMC

**

6/16/2021

(851)

USD

3,463,013

ZAR

52,499,001

CITI

6/17/2021

(58,899)

USD

3,463,009

ZAR

52,498,999

JPMC

6/17/2021

(58,904)

ZAR

21,082,624

USD

1,428,536

CITI

6/17/2021

(14,201)

ZAR

21,082,624

USD

1,428,538

JPMC

6/17/2021

(14,203)

Total

unrealized

depreciation

(4,951,379)

Net

unrealized

appreciation

$

59,635

**

Non-deliverable

forward.

130

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

128.7%

COMMON

STOCKS

-

55.6%

Argentina

-

0.0%

(a)

MercadoLibre

,

Inc.

*

10

14,721

Australia

-

1.5%

Aurizon

Holdings

Ltd.

(2)

71,358

212,056

BHP

Group

Ltd.

(2)

2,222

77,080

BlueScope

Steel

Ltd.

(2)

14,232

210,018

carsales.com

Ltd.

(2)

1,365

18,563

Evolution

Mining

Ltd.

(2)

6,926

21,577

Fortescue

Metals

Group

Ltd.

(2)

19,102

291,125

Harvey

Norman

Holdings

Ltd.

(2)

25,067

109,557

Iluka

Resources

Ltd.

(2)

2,021

11,132

JB

Hi-Fi

Ltd.

(2)

6,145

242,528

Mineral

Resources

Ltd.

(2)

1,313

38,115

Newcrest

Mining

Ltd.

(2)

7,950

150,191

Origin

Energy

Ltd.

(2)

9,811

35,150

Rio

Tinto

plc

(2)

3,487

266,016

Sonic

Healthcare

Ltd.

(2)

442

11,820

South32

Ltd.

(2)

57,143

122,637

Suncorp

Group

Ltd.

(2)

1,062

8,001

WiseTech

Global

Ltd.

(2)

1,778

39,564

Worley

Ltd.

(2)

15,564

124,671

1,989,801

—

Austria

-

0.0%

(a)

ams

AG

(2)*

912

18,159

Belgium

-

0.2%

Ageas

SA/NV

(2)

466

28,140

Etablissements

Franz

Colruyt

NV

(2)

858

51,152

Proximus

SADP

(2)

6,952

151,261

Telenet

Group

Holding

NV

(2)

1,291

52,331

282,884

—

Brazil

-

0.3%

Yara

International

ASA

(2)

7,728

402,587

Canada

-

2.6%

Agnico

Eagle

Mines

Ltd.

1,272

73,535

Atco

Ltd.,

Class

I

390

12,947

Bank

of

Nova

Scotia

(The)

239

14,952

Barrick

Gold

Corp.

12,784

253,605

CAE,

Inc.

*

475

13,535

Canadian

National

Railway

Co.

112

12,998

Canadian

Tire

Corp.

Ltd.,

Class

A

2,161

306,653

CGI,

Inc.

*

1,772

147,603

CI

Financial

Corp.

11,132

160,775

Constellation

Software,

Inc.

46

64,241

Imperial

Oil

Ltd.

3,855

93,376

Kinross

Gold

Corp.

67,941

452,507

Magna

International,

Inc.

182

16,029

Manulife

Financial

Corp.

17,290

371,886

Onex

Corp.

5,862

364,585

Open

Text

Corp.

1,389

66,228

Parkland

Corp.

465

13,972

Ritchie

Bros

Auctioneers,

Inc.

2,090

122,370

Shaw

Communications,

Inc.,

Class

B

964

25,068

Shopify,

Inc.,

Class

A

*

114

125,859

INVESTMENTS

SHARES

VALUE

($)

Canada

-

2.6%

(continued)

Suncor

Energy,

Inc.

7,370

154,062

TC

Energy

Corp.

3,242

148,621

Teck

Resources

Ltd.,

Class

B

3,097

59,318

Thomson

Reuters

Corp.

602

52,737

Toromont

Industries

Ltd.

793

60,698

Toronto-Dominion

Bank

(The)

230

15,000

WSP

Global,

Inc.

116

11,036

Yamana

Gold,

Inc.

40,784

177,195

3,391,391

—

Denmark

-

0.4%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

52

120,719

Genmab

A/S

(2)*

24

7,893

Pandora

A/S

(2)(b)

3,622

387,371

515,983

—

Finland

-

0.4%

Huhtamaki

OYJ

(2)

1,629

73,713

Kone

OYJ,

Class

B

(2)

128

10,462

Nokian

Renkaat

OYJ

(2)

2,943

106,602

Orion

OYJ,

Class

B

(2)

2,783

111,506

UPM-

Kymmene

OYJ

(2)

565

20,305

Valmet

OYJ

(2)

2,611

95,068

Wartsila

OYJ

Abp

(2)

4,542

47,613

465,269

—

France

-

1.7%

Atos

SE

(2)

3,477

271,084

BNP

Paribas

SA

(2)*

836

50,937

Bouygues

SA

(2)

1,573

63,006

Carrefour

SA

(2)

12,822

232,150

Cie

de

Saint-Gobain

(2)

5,087

300,395

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

915

137,040

CNP

Assurances

(2)

3,184

60,391

Eiffage

SA

(2)*

152

15,198

Electricite

de

France

SA

(2)*

2,728

36,594

Eutelsat

Communications

SA

(2)

8,091

98,429

Faurecia

SE

(2)

175

9,341

Ipsen

SA

(2)

1,024

87,782

La

Francaise

des

Jeux

SAEM

(2)(c)

767

34,854

Orange

SA

(2)

9,976

122,764

Publicis

Groupe

SA

(2)

1,899

115,805

Rexel

SA

(2)

8,127

160,867

Rubis

SCA

(2)

1,108

52,436

Sanofi

(2)

1,503

148,623

SEB

SA

(2)

478

84,209

Societe

BIC

SA

(2)

1,635

95,705

Sodexo

SA

(2)*

322

30,850

2,208,460

—

Germany

-

1.8%

Aurubis

AG

(2)

3,234

268,023

Bayer

AG

(Registered)

(2)(b)

1,248

79,089

Bayerische

Motoren

Werke

AG

(2)

4,131

428,701

Brenntag

SE

(2)

1,063

90,811

Covestro

AG

(2)(c)

379

25,499

Deutsche

Post

AG

(Registered)

(2)

2,367

129,856

Fresenius

Medical

Care

AG

&

Co.

KGaA

(2)

2,102

154,836

131

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

1.8%

(continued)

GEA

Group

AG

(2)

1,640

67,266

HeidelbergCement

AG

(2)

860

78,138

HelloFresh

SE

(2)*

801

59,681

HOCHTIEF

AG

(2)

728

65,176

HUGO

BOSS

AG

(2)

1,210

47,546

Knorr-

Bremse

AG

(2)

135

16,847

LANXESS

AG

(2)

337

24,872

METRO

AG

(2)

8,552

90,315

ProSiebenSat.1

Media

SE

(2)*

3,498

71,436

Rheinmetall

AG

(2)

609

61,767

SAP

SE

(2)

523

64,149

Uniper

SE

(2)

1,504

54,480

Volkswagen

AG

(Preference)

(2)

1,669

467,189

2,345,677

—

Hong

Kong

-

0.4%

CK

Asset

Holdings

Ltd.

(2)

1,000

6,088

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

800

47,461

Kerry

Properties

Ltd.

(2)

6,000

19,404

Swire

Pacific

Ltd.,

Class

A

(2)

7,500

56,497

WH

Group

Ltd.

(2)(c)

418,000

339,596

469,046

—

Italy

-

0.7%

Banca

Generali

SpA

(2)

406

14,287

Banco

BPM

SpA

(2)*

82,810

236,214

Buzzi

Unicem

SpA

(2)

6,897

179,150

DiaSorin

SpA

(2)

135

21,660

Poste

Italiane

SpA

(2)(c)

2,761

35,064

Prysmian

SpA

(2)

445

14,449

Telecom

Italia

SpA

(2)

414,509

224,242

Unipol

Gruppo

SpA

(2)

36,987

206,022

931,088

—

Japan

-

3.6%

Aisin

Corp.

(2)

600

22,852

Alfresa

Holdings

Corp.

(2)

800

15,445

Alps

Alpine

Co.

Ltd.

(2)

2,800

37,135

Anritsu

Corp.

(2)

4,100

89,740

Brother

Industries

Ltd.

(2)

3,500

77,736

COMSYS

Holdings

Corp.

(2)

400

12,338

DeNA

Co.

Ltd.

(2)

2,600

50,858

Disco

Corp.

(2)

300

94,801

Electric

Power

Development

Co.

Ltd.

(2)

400

7,000

ENEOS

Holdings,

Inc.

(2)

29,300

132,930

Fujitsu

Ltd.

(2)

400

58,205

Haseko

Corp.

(2)

2,200

30,772

Hirose

Electric

Co.

Ltd.

(2)

200

30,831

Hitachi

Transport

System

Ltd.

(2)

1,300

43,766

Honda

Motor

Co.

Ltd.

(2)

6,800

204,990

Hoya

Corp.

(2)

200

23,539

Iida

Group

Holdings

Co.

Ltd.

(2)

2,500

60,577

JGC

Holdings

Corp.

(2)

700

8,605

Kajima

Corp.

(2)

12,800

182,059

Kamigumi

Co.

Ltd.

(2)

8,700

165,047

Kinden

Corp.

(2)

2,700

46,039

K's

Holdings

Corp.

(2)

6,000

82,595

Kyocera

Corp.

(2)

200

12,726

INVESTMENTS

SHARES

VALUE

($)

Japan

-

3.6%

(continued)

Mabuchi

Motor

Co.

Ltd.

(2)

2,200

96,992

Marubeni

Corp.

(2)

8,400

70,157

McDonald's

Holdings

Co.

Japan

Ltd.

(2)

1,900

87,578

Mebuki

Financial

Group,

Inc.

(2)

61,500

145,118

Medipal

Holdings

Corp.

(2)

300

5,766

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

3,100

76,253

Mitsui

Chemicals,

Inc.

(2)

1,000

31,648

Mitsui

OSK

Lines

Ltd.

(2)

1,300

45,744

NEC

Networks

&

System

Integration

Corp.

(2)

1,800

31,755

NGK

Spark

Plug

Co.

Ltd.

(2)

4,500

77,961

Nintendo

Co.

Ltd.

(2)

700

394,544

Nippo

Corp.

(2)

1,200

32,784

Nitto

Denko

Corp.

(2)

600

51,432

Nomura

Holdings,

Inc.

(2)

3,500

18,545

NS

Solutions

Corp.

(2)

800

25,431

Obayashi

Corp.

(2)

25,900

237,736

Ono

Pharmaceutical

Co.

Ltd.

(2)

1,000

26,152

Renesas

Electronics

Corp.

(2)*

1,000

10,949

Resona

Holdings,

Inc.

(2)

28,100

118,034

Ricoh

Co.

Ltd.

(2)

600

6,116

Rohm

Co.

Ltd.

(2)

200

19,615

Rohto

Pharmaceutical

Co.

Ltd.

(2)

1,800

48,132

Sankyu,

Inc.

(2)

1,700

74,799

SCREEN

Holdings

Co.

Ltd.

(2)

1,700

150,509

Seino

Holdings

Co.

Ltd.

(2)

900

12,558

Sekisui

House

Ltd.

(2)

600

12,906

Shimamura

Co.

Ltd.

(2)

100

11,556

Shimizu

Corp.

(2)

15,000

121,457

Shinsei

Bank

Ltd.

(2)

3,500

56,564

Sojitz

Corp.

(2)

54,400

153,707

Sony

Group

Corp.

(2)

1,400

148,167

Subaru

Corp.

(2)

7,900

157,894

SUMCO

Corp.

(2)

1,800

41,251

Sumitomo

Rubber

Industries

Ltd.

(2)

1,900

22,493

Suzuken

Co.

Ltd.

(2)

700

27,387

Taiheiyo

Cement

Corp.

(2)

7,100

187,081

Taisei

Corp.

(2)

4,900

189,048

Teijin

Ltd.

(2)

2,100

36,232

Tosoh

Corp.

(2)

500

9,576

Toyota

Boshoku

Corp.

(2)

2,500

41,458

Yamada

Holdings

Co.

Ltd.

(2)

7,100

38,370

Yokohama

Rubber

Co.

Ltd.

(The)

(2)

4,400

79,042

4,721,083

—

Luxembourg

-

0.0%

(a)

SES

SA,

FDR

(2)

5,436

43,124

Netherlands

-

1.1%

ASM

International

NV

(2)

197

57,119

ASML

Holding

NV

(2)

249

152,779

ASR

Nederland

NV

(2)

1,207

53,947

ING

Groep

NV

(2)

5,135

62,719

Koninklijke

Ahold

Delhaize

NV

(2)

15,966

445,337

NXP

Semiconductors

NV

1,436

289,124

Randstad

NV

(2)

128

8,985

132

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

1.1%

(continued)

Royal

Dutch

Shell

plc,

Class

B

(2)

2,989

55,020

Signify

NV

(2)*(c)

5,773

296,924

1,421,954

—

Norway

-

0.0%

(a)

Norsk

Hydro

ASA

(2)

3,630

23,316

Orkla

ASA

(2)

635

6,227

29,543

—

Panama

-

0.0%

(a)

Copa

Holdings

SA,

Class

A

*

327

26,418

Russia

-

0.2%

Evraz

plc

(2)

30,027

239,129

Singapore

-

0.2%

City

Developments

Ltd.

(2)

13,400

79,698

Genting

Singapore

Ltd.

(2)

169,400

116,064

Venture

Corp.

Ltd.

(2)

900

13,439

209,201

—

South

Africa

-

0.0%

(a)

Anglo

American

plc

(2)

529

20,720

Spain

-

0.5%

Banco

Bilbao

Vizcaya

Argentaria

SA

(2)

24,880

129,654

CaixaBank

SA

(2)

10,255

31,840

Enagas

SA

(2)

6,935

150,981

Endesa

SA

(2)

4,121

109,216

Mapfre

SA

(2)

55,046

114,690

Repsol

SA

(2)

11,278

139,982

676,363

—

Sweden

-

1.1%

Autoliv

,

Inc.

*

1,437

133,354

Boliden

AB

(2)

811

30,091

Electrolux

AB,

Series

B

(2)

13,174

366,252

Evolution

Gaming

Group

AB

(2)(c)

38

5,596

Getinge

AB,

Class

B

(2)

13,701

380,515

Husqvarna

AB,

Class

B

(2)

12,288

177,152

Securitas

AB,

Class

B

(2)

1,783

30,325

Skanska

AB,

Class

B

(2)

652

16,352

Svenska

Handelsbanken

AB,

Class

A

(2)

11,364

123,540

Swedish

Orphan

Biovitrum

AB

(2)*

6,409

102,492

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

1,636

21,686

Trelleborg

AB,

Class

B

(2)*

762

19,380

1,406,735

—

Switzerland

-

1.1%

Adecco

Group

AG

(Registered)

(2)

1,480

99,829

BKW

AG

(2)

446

48,555

Credit

Suisse

Group

AG

(Registered)

(2)

20,524

217,131

DKSH

Holding

AG

(2)

839

64,422

dormakaba

Holding

AG

(2)

20

13,661

Galenica

AG

(2)(c)

1,397

87,104

LafargeHolcim

Ltd.

(Registered)

(2)*

5,682

334,129

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

1.1%

(continued)

Logitech

International

SA

(Registered)

(2)

546

57,261

Novartis

AG

(Registered)

(2)

694

59,324

OC

Oerlikon

Corp.

AG

(Registered)

(2)

1,201

13,900

Roche

Holding

AG

(2)(b)

872

282,479

STMicroelectronics

NV

(2)

843

32,207

Swatch

Group

AG

(The)

(2)

154

44,343

Swiss

Life

Holding

AG

(Registered)

(2)

108

53,075

UBS

Group

AG

(Registered)

(2)

3,510

54,305

1,461,725

—

United

Kingdom

-

3.7%

Aggreko

plc

(2)

8,216

99,266

ASOS

plc

(2)*

2,536

193,445

Aviva

plc

(2)

98,150

553,242

BAE

Systems

plc

(2)

39,352

274,050

Barclays

plc

(2)

15,730

40,283

boohoo

Group

plc

(2)*

16,983

79,521

BP

plc

(2)

15,225

61,843

BT

Group

plc

(2)*

38,480

82,090

Bunzl

plc

(2)

2,009

64,303

CK

Hutchison

Holdings

Ltd.

(2)

78,000

623,167

DCC

plc

(2)

2,233

193,690

Dialog

Semiconductor

plc

(2)*

2,298

173,258

Dunelm

Group

plc

(2)

2,007

35,948

Entain

plc

(2)*

15,174

317,329

GlaxoSmithKline

plc

(2)

1,813

32,095

IMI

plc

(2)

973

17,887

Inchcape

plc

(2)*

12,432

128,982

JD

Sports

Fashion

plc

(2)*

3,445

39,162

Kingfisher

plc

(2)*

59,342

260,098

M&G

plc

(2)

77,751

222,187

Man

Group

plc

(2)

30,187

66,989

Marks

&

Spencer

Group

plc

(2)*

45,945

95,500

Mondi

plc

(2)

301

7,673

Moneysupermarket.com

Group

plc

(2)

29,007

106,645

Royal

Mail

plc

(2)*

73,402

510,861

Sage

Group

plc

(The)

(2)

15,194

128,362

Tate

&

Lyle

plc

(2)

27,463

289,729

Vodafone

Group

plc

(2)

72,216

131,691

4,829,296

—

United

States

-

34.1%

3M

Co.

(b)

1,297

249,906

A

O

Smith

Corp.

1,222

82,619

Abbott

Laboratories

2,370

284,021

AbbVie,

Inc.

(b)

3,257

352,473

ACI

Worldwide,

Inc.

*

1,372

52,205

Activision

Blizzard,

Inc.

(b)

1,496

139,128

Acuity

Brands,

Inc.

534

88,110

Adobe,

Inc.

*(b)

535

254,323

Adtalem

Global

Education,

Inc.

*

373

14,748

Advanced

Micro

Devices,

Inc.

*

372

29,202

AGCO

Corp.

(b)

1,572

225,818

Alaska

Air

Group,

Inc.

*

913

63,189

Alexion

Pharmaceuticals,

Inc.

*(b)

126

19,267

Allegion

plc

371

46,605

133

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

Alliance

Data

Systems

Corp.

889

99,648

Allison

Transmission

Holdings,

Inc.

(b)

4,512

184,225

Allstate

Corp.

(The)

(b)

2,317

266,223

Ally

Financial,

Inc.

314

14,196

Alphabet,

Inc.,

Class

A

*(b)

229

472,317

Alphabet,

Inc.,

Class

C

*(b)

316

653,687

Amazon.com,

Inc.

*(b)

537

1,661,520

Amdocs

Ltd.

(b)

2,111

148,087

American

Financial

Group,

Inc.

112

12,779

American

Tower

Corp.,

REIT

(b)

324

77,455

AmerisourceBergen

Corp.

(b)

1,724

203,553

Amgen,

Inc.

170

42,298

Amphenol

Corp.,

Class

A

540

35,624

Anthem,

Inc.

284

101,942

Apple,

Inc.

(b)

18,830

2,300,084

Applied

Materials,

Inc.

(b)

1,439

192,250

Arrow

Electronics,

Inc.

*(b)

2,589

286,913

Ashland

Global

Holdings,

Inc.

121

10,741

Associated

Banc-Corp.

(b)

12,934

276,012

AT&T,

Inc.

11,048

334,423

Autodesk,

Inc.

*(b)

780

216,177

Automatic

Data

Processing,

Inc.

42

7,916

AutoNation,

Inc.

*(b)

1,579

147,194

AutoZone,

Inc.

*

80

112,344

Avnet,

Inc.

(b)

4,289

178,036

Bank

of

America

Corp.

4,578

177,123

Bank

of

New

York

Mellon

Corp.

(The)

(b)

4,978

235,410

Bausch

Health

Cos.,

Inc.

*

657

20,844

Baxter

International,

Inc.

(b)

963

81,219

Becton

Dickinson

and

Co.

(b)

1,395

339,194

Berkshire

Hathaway,

Inc.,

Class

B

*(b)

1,566

400,066

Berry

Global

Group,

Inc.

*

1,188

72,943

Best

Buy

Co.,

Inc.

(b)

3,025

347,300

Biogen,

Inc.

*

1,018

284,786

Bio-Rad

Laboratories,

Inc.,

Class

A

*

16

9,139

BOK

Financial

Corp.

1,100

98,252

Booking

Holdings,

Inc.

*

34

79,215

BorgWarner,

Inc.

654

30,319

Boston

Scientific

Corp.

*(b)

5,557

214,778

Boyd

Gaming

Corp.

*

1,891

111,493

Bristol-Myers

Squibb

Co.

4,068

256,813

Broadcom,

Inc.

(b)

643

298,133

BWX

Technologies,

Inc.

394

25,980

Cabot

Corp.

(b)

2,006

105,195

CACI

International,

Inc.,

Class

A

*(b)

1,036

255,540

Cadence

Design

Systems,

Inc.

*

58

7,945

Capital

One

Financial

Corp.

525

66,796

Cardinal

Health,

Inc.

(b)

6,042

367,052

Carrier

Global

Corp.

894

37,745

Carter's,

Inc.

*

532

47,311

Cathay

General

Bancorp

1,416

57,744

Cboe

Global

Markets,

Inc.

617

60,892

CDK

Global,

Inc.

767

41,464

CDW

Corp.

949

157,297

Celanese

Corp.

165

24,719

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

Change

Healthcare,

Inc.

*

326

7,205

Chevron

Corp.

1,026

107,515

Cirrus

Logic,

Inc.

*(b)

1,392

118,028

Cisco

Systems,

Inc.

(b)

13,671

706,927

Citigroup,

Inc.

(b)

4,121

299,803

CNX

Resources

Corp.

*

3,114

45,776

Coca-Cola

Co.

(The)

4,953

261,073

Cognizant

Technology

Solutions

Corp.,

Class

A

125

9,765

Comcast

Corp.,

Class

A

177

9,577

Commercial

Metals

Co.

1,650

50,886

CommVault

Systems,

Inc.

*

411

26,510

ConocoPhillips

1,012

53,606

Corteva

,

Inc.

475

22,145

Cracker

Barrel

Old

Country

Store,

Inc.

483

83,501

Crane

Co.

(b)

75

7,043

Crown

Castle

International

Corp.,

REIT

311

53,532

Cummins,

Inc.

500

129,555

Curtiss-Wright

Corp.

449

53,251

CVS

Health

Corp.

(b)

1,578

118,713

Danaher

Corp.

516

116,141

Darden

Restaurants,

Inc.

413

58,646

Deckers

Outdoor

Corp.

*(b)

1,003

331,411

Dell

Technologies,

Inc.,

Class

C

*

2,223

195,957

Delta

Air

Lines,

Inc.

*

424

20,471

Devon

Energy

Corp.

541

11,821

Dick's

Sporting

Goods,

Inc.

(b)

2,370

180,476

Digital

Realty

Trust,

Inc.,

REIT

191

26,900

DocuSign,

Inc.

*

476

96,366

Domino's

Pizza,

Inc.

(b)

215

79,075

Donaldson

Co.,

Inc.

(b)

1,945

113,121

Dover

Corp.

131

17,964

Dow,

Inc.

1,406

89,900

Dropbox,

Inc.,

Class

A

*

2,442

65,104

DXC

Technology

Co.

*

3,963

123,883

Eaton

Corp.

plc

859

118,783

eBay,

Inc.

(b)

1,636

100,189

EchoStar

Corp.,

Class

A

*

3,378

81,072

Electronic

Arts,

Inc.

(b)

673

91,104

Eli

Lilly

and

Co.

350

65,387

EMCOR

Group,

Inc.

294

32,975

Emergent

BioSolutions

,

Inc.

*

259

24,064

Emerson

Electric

Co.

1,396

125,947

Equinix

,

Inc.,

REIT

61

41,455

Equitrans

Midstream

Corp.

2,929

23,901

Etsy,

Inc.

*(b)

139

28,032

Everest

Re

Group

Ltd.

50

12,391

Exxon

Mobil

Corp.

4,878

272,339

Facebook,

Inc.,

Class

A

*(b)

4,732

1,393,715

Fair

Isaac

Corp.

*

14

6,805

Federated

Hermes,

Inc.,

Class

B

2,176

68,109

FedEx

Corp.

306

86,916

Fidelity

National

Financial,

Inc.

2,982

121,248

Fidelity

National

Information

Services,

Inc.

165

23,201

Fifth

Third

Bancorp

1,188

44,491

First

American

Financial

Corp.

3,157

178,844

First

Solar,

Inc.

*

159

13,881

134

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

FMC

Corp.

128

14,158

FNB

Corp.

8,930

113,411

Foot

Locker,

Inc.

1,185

66,656

Ford

Motor

Co.

*(b)

30,149

369,325

Fortive

Corp.

110

7,770

Fulton

Financial

Corp.

7,043

119,942

Gap,

Inc.

(The)

*

2,368

70,519

Garmin

Ltd.

146

19,250

Gartner,

Inc.

*

47

8,580

General

Dynamics

Corp.

34

6,173

General

Electric

Co.

3,946

51,811

General

Motors

Co.

*

2,222

127,676

Gentex

Corp.

1,336

47,655

Genuine

Parts

Co.

1,147

132,582

Gilead

Sciences,

Inc.

(b)

2,379

153,755

Goldman

Sachs

Group,

Inc.

(The)

46

15,042

Goodyear

Tire

&

Rubber

Co.

(The)

*

1,884

33,102

GrafTech

International

Ltd.

(b)

13,661

167,074

Graham

Holdings

Co.,

Class

B

66

37,121

Greif,

Inc.,

Class

A

565

32,205

H&R

Block,

Inc.

(b)

10,305

224,649

Healthcare

Services

Group,

Inc.

(b)

2,982

83,585

Henry

Schein,

Inc.

*

277

19,179

Herman

Miller,

Inc.

(b)

3,039

125,055

Hewlett

Packard

Enterprise

Co.

1,654

26,034

Hill-Rom

Holdings,

Inc.

(b)

1,907

210,685

Hologic

,

Inc.

*(b)

1,180

87,768

Home

Depot,

Inc.

(The)

(b)

1,328

405,372

Howmet

Aerospace,

Inc.

*

324

10,410

HP,

Inc.

(b)

4,956

157,353

Hubbell,

Inc.

(b)(d)

252

47,096

Huntington

Ingalls

Industries,

Inc.

(b)

910

187,324

Huntsman

Corp.

2,206

63,599

IAC/InterActiveCorp

*(b)

118

25,525

ICU

Medical,

Inc.

*

87

17,873

Illinois

Tool

Works,

Inc.

292

64,684

Ingredion,

Inc.

649

58,358

Intel

Corp.

(b)

14,370

919,679

International

Business

Machines

Corp.

(b)

1,862

248,130

Interpublic

Group

of

Cos.,

Inc.

(The)

643

18,776

Intuit,

Inc.

(b)

379

145,180

IQVIA

Holdings,

Inc.

*

627

121,099

J2

Global,

Inc.

*

121

14,503

Jabil,

Inc.

(b)

3,195

166,651

Jack

in

the

Box,

Inc.

(b)

197

21,627

Jazz

Pharmaceuticals

plc

*

81

13,314

Johnson

&

Johnson

(b)

2,021

332,151

Johnson

Controls

International

plc

(b)

2,071

123,577

Kinder

Morgan,

Inc.

5,348

89,044

KLA

Corp.

117

38,657

Knight-Swift

Transportation

Holdings,

Inc.

(b)

4,047

194,620

Kohl's

Corp.

3,226

192,302

L

Brands,

Inc.

*(b)

3,993

247,007

L3Harris

Technologies,

Inc.

313

63,439

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

Laboratory

Corp.

of

America

Holdings

*

98

24,993

Lam

Research

Corp.

(b)

186

110,715

Lions

Gate

Entertainment

Corp.,

Class

A

*

2,288

34,206

Lockheed

Martin

Corp.

(b)

1,107

409,037

Lowe's

Cos.,

Inc.

(b)

1,322

251,418

M&T

Bank

Corp.

141

21,377

ManpowerGroup

,

Inc.

(b)

1,916

189,492

Markel

Corp.

*

40

45,585

Marriott

Vacations

Worldwide

Corp.

*

310

53,996

Masco

Corp.

326

19,527

Mastercard

,

Inc.,

Class

A

116

41,302

Maxim

Integrated

Products,

Inc.

180

16,447

MAXIMUS,

Inc.

892

79,424

McDonald's

Corp.

(b)

629

140,984

McKesson

Corp.

(b)

1,141

222,541

Medtronic

plc

(b)

1,490

176,014

Merck

&

Co.,

Inc.

(b)

6,101

470,326

MGM

Resorts

International

361

13,714

Microchip

Technology,

Inc.

406

63,019

Micron

Technology,

Inc.

*(b)

2,233

196,973

Microsoft

Corp.

(b)

6,692

1,577,772

Minerals

Technologies,

Inc.

291

21,918

Moderna

,

Inc.

*

615

80,534

Mohawk

Industries,

Inc.

*

81

15,577

Monolithic

Power

Systems,

Inc.

117

41,326

Mosaic

Co.

(The)

799

25,256

Motorola

Solutions,

Inc.

165

31,028

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(b)

2,944

265,519

Murphy

USA,

Inc.

884

127,791

National

Instruments

Corp.

641

27,682

Navient

Corp.

8,793

125,828

NetApp,

Inc.

458

33,283

Netflix,

Inc.

*(b)

553

288,478

NewMarket

Corp.

(b)

319

121,271

Newmont

Corp.

1,595

96,131

Nexstar

Media

Group,

Inc.,

Class

A

143

20,081

NIKE,

Inc.,

Class

B

(b)

1,701

226,046

Nordson

Corp.

454

90,201

Northrop

Grumman

Corp.

(b)

376

121,689

NortonLifeLock

,

Inc.

1,831

38,927

Nu

Skin

Enterprises,

Inc.,

Class

A

2,372

125,455

nVent

Electric

plc

1,971

55,011

NVIDIA

Corp.

(b)

685

365,742

Old

Republic

International

Corp.

935

20,420

Omnicom

Group,

Inc.

(b)

1,876

139,105

Oracle

Corp.

(b)

4,674

327,975

O'Reilly

Automotive,

Inc.

*

64

32,464

Oshkosh

Corp.

1,373

162,920

PACCAR,

Inc.

495

45,995

Papa

John's

International,

Inc.

1,364

120,905

PayPal

Holdings,

Inc.

*

86

20,884

Peloton

Interactive,

Inc.,

Class

A

*(b)

956

107,493

Penn

National

Gaming,

Inc.

*

237

24,847

Penske

Automotive

Group,

Inc.

1,481

118,835

People's

United

Financial,

Inc.

2,475

44,303

135

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

PerkinElmer,

Inc.

271

34,767

Perrigo

Co.

plc

1,351

54,675

Perspecta

,

Inc.

601

17,459

Pfizer,

Inc.

(b)

4,132

149,702

Philip

Morris

International,

Inc.

488

43,305

Pinterest,

Inc.,

Class

A

*(b)

766

56,707

Polaris,

Inc.

835

111,473

Popular,

Inc.

(b)

2,924

205,616

Procter

&

Gamble

Co.

(The)

(b)

846

114,574

Prologis,

Inc.,

REIT

514

54,484

Prosperity

Bancshares,

Inc.

444

33,251

Public

Storage,

REIT

111

27,390

PulteGroup,

Inc.

(b)

3,290

172,528

PVH

Corp.

*

254

26,848

Qorvo

,

Inc.

*(b)

521

95,187

QUALCOMM,

Inc.

(b)

579

76,770

Quest

Diagnostics,

Inc.

632

81,111

Quidel

Corp.

*

292

37,356

Qurate

Retail,

Inc.,

Series

A

(b)

4,496

52,873

Regal

Beloit

Corp.

(b)

563

80,329

Reliance

Steel

&

Aluminum

Co.

148

22,539

Republic

Services,

Inc.

182

18,082

Roku,

Inc.

*(b)

442

143,990

Ryder

System,

Inc.

1,272

96,227

salesforce.com,

Inc.

*

745

157,843

Schlumberger

NV

3,098

84,235

Schneider

National,

Inc.,

Class

B

(b)

8,520

212,744

Science

Applications

International

Corp.

1,194

99,806

Scientific

Games

Corp.

*

734

28,274

SEI

Investments

Co.

192

11,699

Semtech

Corp.

*

175

12,075

Sensata

Technologies

Holding

plc

*

1,773

102,745

Sensient

Technologies

Corp.

(b)

1,006

78,468

Silgan

Holdings,

Inc.

3,240

136,177

Simon

Property

Group,

Inc.,

REIT

376

42,778

Simpson

Manufacturing

Co.,

Inc.

291

30,185

Skyworks

Solutions,

Inc.

(b)

611

112,106

Snap-on,

Inc.

596

137,521

SS&C

Technologies

Holdings,

Inc.

(b)

3,263

227,986

Stellantis

NV

10,285

181,931

Strategic

Education,

Inc.

978

89,888

Synchrony

Financial

200

8,132

SYNNEX

Corp.

(b)

1,790

205,564

Synopsys,

Inc.

*

140

34,689

Tapestry,

Inc.

*(b)

1,056

43,518

Targa

Resources

Corp.

3,141

99,727

Target

Corp.

(b)

1,324

262,245

Taylor

Morrison

Home

Corp.

*

377

11,615

TEGNA,

Inc.

4,943

93,077

Tempur

Sealy

International,

Inc.

247

9,030

Terex

Corp.

984

45,333

Tesla,

Inc.

*(b)

685

457,532

Texas

Instruments,

Inc.

(b)

1,561

295,013

Thermo

Fisher

Scientific,

Inc.

(b)

596

272,002

Timken

Co.

(The)

(b)

739

59,985

TJX

Cos.,

Inc.

(The)

1,634

108,089

Toro

Co.

(The)

184

18,978

INVESTMENTS

SHARES

VALUE

($)

United

States

-

34.1%

(continued)

Tractor

Supply

Co.

127

22,489

Tyson

Foods,

Inc.,

Class

A

(b)

5,350

397,505

UMB

Financial

Corp.

1,948

179,859

Umpqua

Holdings

Corp.

1,831

32,134

United

Therapeutics

Corp.

*(b)

245

40,981

Univar

Solutions,

Inc.

*

1,451

31,255

Universal

Health

Services,

Inc.,

Class

B

611

81,501

US

Bancorp

3,801

210,233

Valvoline,

Inc.

1,053

27,452

VeriSign,

Inc.

*

603

119,852

Vertex

Pharmaceuticals,

Inc.

*(b)

1,533

329,426

Viatris

,

Inc.

*

8,395

117,278

Virgin

Galactic

Holdings,

Inc.

*

462

14,151

Virtu

Financial,

Inc.,

Class

A

(b)

9,074

281,748

Vishay

Intertechnology

,

Inc.

(b)

4,803

115,656

W

R

Grace

&

Co.

511

30,588

Walgreens

Boots

Alliance,

Inc.

(b)

798

43,810

Walmart,

Inc.

(b)

3,246

440,904

Walt

Disney

Co.

(The)

*

696

128,426

Waters

Corp.

*

101

28,701

Wells

Fargo

&

Co.

(b)

4,996

195,194

Wendy's

Co.

(The)

7,620

154,381

Werner

Enterprises,

Inc.

(b)

3,414

161,038

Western

Union

Co.

(The)

1,692

41,725

Westrock

Co.

966

50,280

Whirlpool

Corp.

287

63,240

Wingstop

,

Inc.

572

72,741

World

Fuel

Services

Corp.

(b)

3,022

106,374

World

Wrestling

Entertainment,

Inc.,

Class

A

447

24,254

Worthington

Industries,

Inc.

1,935

129,819

WW

Grainger,

Inc.

49

19,646

Xerox

Holdings

Corp.

4,720

114,554

Xilinx,

Inc.

243

30,108

Yelp,

Inc.

*

3,710

144,690

Zillow

Group,

Inc.,

Class

C

*

42

5,445

Zoom

Video

Communications,

Inc.,

Class

A

*(b)

253

81,286

44,571,312

—

TOTAL

COMMON

STOCKS

(Cost

$59,304,308)

72,691,669

PREFERRED

STOCKS

-

0.0%

(a)

United

States

-

0.0%

(a)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$16,834)

302

30,698

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

10.8%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(2)(e)(f)(g)

EUR

2,643,134

3,769,458

French

Republic

1.85%,

7/25/2027

(2)(e)(f)(g)

2,014,920

2,935,398

0.10%,

3/1/2028

(2)(e)(f)(g)

1,250,376

1,626,241

0.10%,

3/1/2029

(2)(e)(f)(g)

1,007,850

1,347,703

0.70%,

7/25/2030

(2)(e)(f)(g)

2,100,120

3,009,088

136

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

10.8%

(continued)

United

Kingdom

Gilt

Inflation

Linked

0.13%,

3/22/2026

(2)(e)(f)(g)

GBP

114,079

183,731

1.25%,

11/22/2027

(2)(e)(f)(g)

151,804

273,091

0.13%,

8/10/2028

(2)(e)(f)(g)

105,503

180,462

0.13%,

3/22/2029

(2)(e)(f)(g)

124,084

214,587

1.25%,

11/22/2032

(2)(e)(f)(g)

271,357

568,581

Cost:

$13,978,515

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$13,978,515)

14,108,340

U.S.

TREASURY

OBLIGATIONS

-

15.3%

U.S.

Treasury

Inflation

Linked

Notes

0.88%,

1/15/2029

(2)

$

3,220,000

3,821,110

0.25%,

7/15/2029

(2)

3,900,000

4,383,499

0.13%,

1/15/2030

(2)

4,300,000

4,724,419

0.13%,

7/15/2030

(2)

4,700,000

5,197,520

0.13%,

1/15/2031

(2)(e)

1,700,000

1,836,849

Cost:

$19,695,862

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$19,695,862)

19,963,397

SHORT-TERM

INVESTMENTS

-

47.0%

REPURCHASE

AGREEMENTS

-

0.1%

BNPP,

(0.65)%,

dated

3/18/2021,

due

4/21/2021,

repurchase

price

EUR

128,929

,

collateralized

by

Federal

Republic

of

Germany,

0.50%,

due

4/15/2030

(2)

(Cost

$153,694)

EUR

129,008

153,694

SHARES

INVESTMENT

COMPANIES

-

22.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(h)(

i

)

2,874,956

2,874,956

Limited

Purpose

Cash

Investment

Fund,

0.01%

(h)

26,056,173

26,048,356

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(h)

25,369

25,369

TOTAL

INVESTMENT

COMPANIES

(Cost

$28,948,181)

28,948,681

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

24.8%

U.S.

Treasury

Bills

0.11%,

4/1/2021

(2)(j)

$

7,563,000

7,563,000

0.11%,

4/8/2021

(2)(j)

530,000

529,999

0.11%,

4/15/2021

(2)(j)(k)

749,000

748,996

0.12%,

4/22/2021

(2)(j)

4,607,000

4,606,967

0.11%,

4/29/2021

(2)(j)

516,000

515,995

0.11%,

5/13/2021

(2)(j)(k)

1,287,000

1,286,966

0.10%,

5/20/2021

(2)(j)

217,000

216,995

0.09%,

6/10/2021

(2)(j)(k)

4,587,000

4,586,853

0.06%,

9/9/2021

(2)(j)(k)

1,438,000

1,437,839

0.05%,

9/16/2021

(2)(j)(k)

1,541,000

1,540,809

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

24.8%

(continued)

0.04%,

9/30/2021

(2)(j)

$

9,352,000

9,350,109

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$32,382,931)

32,384,528

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$61,484,806)

61,486,903

TOTAL

LONG

POSITIONS

(Cost

$154,480,325)

168,281,007

SHARES

SHORT

POSITIONS

-

(12.7)%

COMMON

STOCKS

-

(12.7)%

Australia

-

(0.5)%

Afterpay

Ltd.

(2)*

(349)

(27,258)

Cochlear

Ltd.

(2)

(281)

(45,200)

Crown

Resorts

Ltd.

(2)*

(1,474)

(13,213)

Domino's

Pizza

Enterprises

Ltd.

(2)

(497)

(36,478)

Northern

Star

Resources

Ltd.

(2)

(19,537)

(141,521)

Oil

Search

Ltd.

(2)

(64,790)

(202,572)

Seven

Group

Holdings

Ltd.

(2)

(3,908)

(67,123)

Sydney

Airport

(2)*

(13,120)

(61,995)

Transurban

Group

(2)

(4,703)

(47,812)

(643,172)

—

Belgium

-

(0.1)%

Elia

Group

SA/NV

(2)

(315)

(34,690)

Galapagos

NV

(2)*

(591)

(45,605)

(80,295)

—

Brazil

-

0.0%

(a)

Wheaton

Precious

Metals

Corp.

(1,375)

(52,519)

Canada

-

(1.0)%

Air

Canada

*

(7,352)

(152,984)

Algonquin

Power

&

Utilities

Corp.

(4,224)

(66,921)

Brookfield

Asset

Management,

Inc.,

Class

A

(11,903)

(529,463)

Canopy

Growth

Corp.

*

(3,086)

(99,110)

Cenovus

Energy,

Inc.

(3,716)

(27,914)

Gildan

Activewear

,

Inc.

*

(1,659)

(50,772)

Inter

Pipeline

Ltd.

(7,503)

(107,288)

Restaurant

Brands

International,

Inc.

(4,265)

(277,376)

(1,311,828)

—

Colombia

-

0.0%

(a)

Millicom

International

Cellular

SA,

SDR

(2)*

(1,685)

(64,835)

Denmark

-

(0.3)%

Ambu

A/S,

Class

B

(2)

(7,184)

(337,380)

ISS

A/S

(2)*

(2,593)

(48,326)

(385,706)

—

Faroe

Islands

-

(0.1)%

Bakkafrost

P/F

(2)

(980)

(77,851)

Finland

-

0.0%

(a)

Neste

OYJ

(2)

(1,137)

(60,381)

137

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

(0.3)%

Aeroports

de

Paris

(2)*

(121)

(14,435)

Airbus

SE

(2)*

(1,688)

(191,449)

Natixis

SA

(2)

(2,257)

(10,788)

Remy

Cointreau

SA

(2)

(42)

(7,757)

Renault

SA

(2)*

(1,144)

(49,469)

Safran

SA

(2)

(696)

(94,675)

TOTAL

SE

(2)

(606)

(28,252)

(396,825)

—

Germany

-

(0.7)%

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(1,587)

(92,161)

Delivery

Hero

SE

(2)*(c)

(364)

(47,181)

Deutsche

Lufthansa

AG

(Registered)

(2)*

(15,297)

(202,889)

Evotec

SE

(2)*

(3,950)

(142,318)

MTU

Aero

Engines

AG

(2)

(1,011)

(238,158)

Rational

AG

(2)

(64)

(49,715)

thyssenkrupp

AG

(2)*

(10,629)

(141,961)

(914,383)

—

Italy

-

(0.3)%

Leonardo

SpA

(2)

(6,316)

(51,094)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)*

(21,452)

(237,715)

Nexi

SpA

(2)*(c)

(2,223)

(38,785)

Salvatore

Ferragamo

SpA

(2)*

(703)

(13,478)

(341,072)

—

Japan

-

(0.8)%

Aeon

Co.

Ltd.

(2)

(1,800)

(53,766)

Asics

Corp.

(2)

(1,000)

(15,991)

Central

Japan

Railway

Co.

(2)

(600)

(89,832)

East

Japan

Railway

Co.

(2)

(100)

(7,111)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(2,200)

(108,504)

Keikyu

Corp.

(2)

(800)

(12,096)

Keio

Corp.

(2)

(1,000)

(67,328)

Lasertec

Corp.

(2)

(300)

(39,618)

Mitsubishi

Motors

Corp.

(2)*

(3,400)

(9,722)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(10,500)

(151,659)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(4,100)

(112,184)

Rakuten

Group,

Inc.

(2)

(6,800)

(81,239)

Showa

Denko

KK

(2)

(700)

(19,951)

Toho

Gas

Co.

Ltd.

(2)

(600)

(37,025)

Tokyo

Century

Corp.

(2)

(900)

(60,641)

West

Japan

Railway

Co.

(2)

(4,100)

(227,492)

(1,094,159)

—

Netherlands

-

(0.1)%

Argenx

SE

(2)*

(266)

(73,142)

Heineken

NV

(2)

(206)

(21,148)

OCI

NV

(2)*

(2,860)

(61,682)

(155,972)

—

Spain

-

(0.3)%

Aena

SME

SA

(2)*(c)

(109)

(17,684)

Amadeus

IT

Group

SA

(2)*

(4,817)

(343,106)

Banco

de

Sabadell

SA

(2)

(32,749)

(17,561)

INVESTMENTS

SHARES

VALUE

($)

Spain

-

(0.3)%

(continued)

Cellnex

Telecom

SA

(2)(c)

(397)

(22,886)

(401,237)

—

Sweden

-

(0.3)%

EQT

AB

(2)

(11,217)

(369,306)

Sinch

AB

(2)*(c)

(405)

(71,189)

(440,495)

—

Switzerland

-

(0.4)%

Dufry

AG

(Registered)

(2)*

(6,729)

(459,122)

Idorsia

Ltd.

(2)*

(972)

(26,075)

(485,197)

—

United

Kingdom

-

(1.3)%

Burberry

Group

plc

(2)*

(4,967)

(129,936)

Centrica

plc

(2)*

(46,960)

(35,058)

easyJet

plc

(2)*

(5,902)

(79,590)

Hiscox

Ltd.

(2)*

(5,699)

(67,489)

Informa

plc

(2)*

(5,413)

(41,795)

InterContinental

Hotels

Group

plc

(2)*

(383)

(26,339)

Intermediate

Capital

Group

plc

(2)

(476)

(12,085)

Natwest

Group

plc

(2)

(71,531)

(193,551)

Ocado

Group

plc

(2)*

(9,644)

(270,391)

Prudential

plc

(2)

(8,244)

(175,618)

Rolls-Royce

Holdings

plc

(2)*

(288,196)

(418,518)

Signature

Aviation

plc

(2)*

(1,972)

(10,991)

St

James's

Place

plc

(2)

(6,595)

(115,784)

Tesco

plc

(2)

(5,051)

(15,947)

WH

Smith

plc

(2)*

(2,299)

(56,960)

(1,650,052)

—

United

States

-

(6.2)%

Agios

Pharmaceuticals,

Inc.

*

(321)

(16,576)

Albemarle

Corp.

(413)

(60,343)

Alnylam

Pharmaceuticals,

Inc.

*

(303)

(42,781)

American

Airlines

Group,

Inc.

*

(4,973)

(118,855)

APA

Corp.

*

(851)

(15,233)

Arrowhead

Pharmaceuticals,

Inc.

*

(1,762)

(116,838)

Avis

Budget

Group,

Inc.

*

(675)

(48,965)

Baker

Hughes

Co.

(1,428)

(30,859)

Beyond

Meat,

Inc.

*

(2,159)

(280,928)

Bill.com

Holdings,

Inc.

*

(844)

(122,802)

Bluebird

Bio,

Inc.

*

(779)

(23,487)

Bright

Horizons

Family

Solutions,

Inc.

*

(893)

(153,105)

Brink's

Co.

(The)

(1,072)

(84,935)

Burlington

Stores,

Inc.

*

(345)

(103,086)

Caesars

Entertainment,

Inc.

*

(189)

(16,528)

Carvana

Co.

*

(567)

(148,781)

CenterPoint

Energy,

Inc.

(5,020)

(113,703)

ChampionX

Corp.

*

(2,286)

(49,675)

Chegg

,

Inc.

*

(787)

(67,414)

Chewy,

Inc.,

Class

A

*

(1,572)

(133,164)

Choice

Hotels

International,

Inc.

(497)

(53,323)

Cincinnati

Financial

Corp.

(1,680)

(173,191)

Coty,

Inc.,

Class

A

*

(2,372)

(21,372)

Coupa

Software,

Inc.

*

(263)

(66,928)

Cree,

Inc.

*

(952)

(102,940)

138

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(6.2)%

(continued)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(97)

(17,703)

Darling

Ingredients,

Inc.

*

(406)

(29,873)

Discovery,

Inc.,

Class

A

*

(469)

(20,383)

Dun

&

Bradstreet

Holdings,

Inc.

*

(5,308)

(126,383)

East

West

Bancorp,

Inc.

(888)

(65,534)

Elanco

Animal

Health,

Inc.

*

(444)

(13,076)

Erie

Indemnity

Co.,

Class

A

(50)

(11,046)

Essential

Utilities,

Inc.

(262)

(11,725)

Everbridge

,

Inc.

*

(43)

(5,211)

Exact

Sciences

Corp.

*

(64)

(8,434)

Fastly

,

Inc.,

Class

A

*

(1,735)

(116,731)

Five

Below,

Inc.

*

(233)

(44,454)

Fluor

Corp.

*

(2,639)

(60,935)

Fox

Factory

Holding

Corp.

*

(646)

(82,081)

Global

Blood

Therapeutics,

Inc.

*

(1,130)

(46,048)

Grocery

Outlet

Holding

Corp.

*

(5,466)

(201,641)

Guardant

Health,

Inc.

*

(508)

(77,546)

Hain

Celestial

Group,

Inc.

(The)

*

(252)

(10,987)

HealthEquity

,

Inc.

*

(1,905)

(129,540)

Helmerich

&

Payne,

Inc.

(199)

(5,365)

Hess

Corp.

(2,345)

(165,932)

IAA,

Inc.

*

(278)

(15,329)

II-VI,

Inc.

*

(2,397)

(163,883)

Invesco

Ltd.

(1,347)

(33,971)

Ionis

Pharmaceuticals,

Inc.

*

(219)

(9,846)

Iovance

Biotherapeutics

,

Inc.

*

(2,065)

(65,378)

Kennametal,

Inc.

(1,223)

(48,883)

Lamb

Weston

Holdings,

Inc.

(170)

(13,172)

LendingTree

,

Inc.

*

(279)

(59,427)

Ligand

Pharmaceuticals,

Inc.

*

(79)

(12,044)

Live

Nation

Entertainment,

Inc.

*

(1,491)

(126,213)

Lyft,

Inc.,

Class

A

*

(3,929)

(248,233)

Marathon

Oil

Corp.

(4,934)

(52,695)

Marathon

Petroleum

Corp.

(341)

(18,240)

MasTec

,

Inc.

*

(764)

(71,587)

Medallia

,

Inc.

*

(3,796)

(105,870)

Murphy

Oil

Corp.

(1,582)

(25,961)

Nektar

Therapeutics

*

(7,148)

(142,960)

New

Jersey

Resources

Corp.

(643)

(25,636)

Nordstrom,

Inc.

*

(4,423)

(167,499)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(5,615)

(154,918)

Novocure

Ltd.

*

(209)

(27,626)

Occidental

Petroleum

Corp.

(1,688)

(44,935)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(545)

(47,415)

PagerDuty

,

Inc.

*

(1,381)

(55,558)

Penumbra,

Inc.

*

(700)

(189,406)

Phillips

66

(309)

(25,196)

Planet

Fitness,

Inc.,

Class

A

*

(1,155)

(89,282)

Reata

Pharmaceuticals,

Inc.,

Class

A

*

(1,635)

(163,010)

RH

*

(32)

(19,091)

RingCentral,

Inc.,

Class

A

*

(152)

(45,278)

Royal

Caribbean

Cruises

Ltd.

*

(2,697)

(230,890)

Sabre

Corp.

*

(13,044)

(193,182)

Sage

Therapeutics,

Inc.

*

(1,439)

(107,709)

Sailpoint

Technologies

Holdings,

Inc.

*

(371)

(18,787)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(6.2)%

(continued)

Six

Flags

Entertainment

Corp.

*

(1,272)

(59,110)

Splunk

,

Inc.

*

(353)

(47,824)

Sunrun

,

Inc.

*

(2,855)

(172,670)

SVB

Financial

Group

*

(48)

(23,696)

Texas

Capital

Bancshares,

Inc.

*

(4,118)

(292,048)

T-Mobile

US,

Inc.

*

(44)

(5,513)

TopBuild

Corp.

*

(784)

(164,193)

Trex

Co.,

Inc.

*

(3,067)

(280,752)

Trinity

Industries,

Inc.

(2,764)

(78,746)

TripAdvisor,

Inc.

*

(2,243)

(120,651)

Uber

Technologies,

Inc.

*

(978)

(53,311)

Under

Armour

,

Inc.,

Class

A

*

(726)

(16,088)

United

States

Steel

Corp.

(1,558)

(40,773)

Urban

Outfitters,

Inc.

*

(1,004)

(37,339)

ViacomCBS

,

Inc.

(1,703)

(76,805)

Wayfair,

Inc.,

Class

A

*

(156)

(49,101)

Western

Alliance

Bancorp

(737)

(69,602)

Woodward,

Inc.

(564)

(68,035)

WW

International,

Inc.

*

(3,602)

(112,671)

Wynn

Resorts

Ltd.

*

(264)

(33,098)

(8,037,576)

—

Zambia

-

0.0%

(a)

First

Quantum

Minerals

Ltd.

(2,633)

(50,179)

TOTAL

COMMON

STOCKS

(Proceeds

$(15,297,260))

(16,643,734)

TOTAL

SHORT

POSITIONS

(Proceeds

$(15,297,260))

(16,643,734)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

116.0%

(Cost

$139,183,065)

151,637,273

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(16.0)%

(l)

(20,886,510)

NET

ASSETS

-

100.0%

130,750,763

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

5,227,679

4.0

%

Consumer

Discretionary

10,682,260

8.2

Consumer

Staples

2,253,180

1.7

Energy

993,468

0.7

Financials

5,211,208

4.0

Foreign

Government

Securities

14,108,340

10.8

Health

Care

5,770,996

4.4

Industrials

7,443,077

5.7

Information

Technology

13,034,209

10.0

Materials

4,829,423

3.7

Real

Estate

485,682

0.4

U.S.

Treasury

Obligations

19,963,397

15.3

Utilities

147,451

0.1

Short-Term

Investments

61,486,903

47.0

Total

Investments

In

Securities

At

Value

151,637,273

116.0

Liabilities

in

Excess

of

Other

Assets

(l)

(20,886,510)

(16.0)

Net

Assets

$

130,750,763

100.0%

139

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$18,148,797.

(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

March

31,

2021

amounted

to

$626,912,

which

represents

approximately

0.48%

of

net

assets

of

the

fund.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$8,971.

(e)

On

March

31,

2021

securities

valued

at

$15,945,189

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(f)

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

March

31,

2021,

the

value

of

these

securities

amounted

to

$14,108,340

or

10.79%

of

net

assets.

(g)

Inflation

protected

security.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

Reverse

repurchase

agreements

at

March

31,

2021:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BANA

3/26/2021

(0.62)%

4/21/2021

EUR

$

164,446

BANA

3/12/2021

(0.57)%

4/21/2021

EUR

2,729,132

BANA

3/12/2021

(0.57)%

4/21/2021

EUR

2,484,944

BANA

3/12/2021

(0.57)%

4/21/2021

EUR

1,497,374

BANA

3/12/2021

(0.57)%

4/21/2021

EUR

1,217,567

BANA

3/16/2021

(0.57)%

4/21/2021

EUR

165,455

BANA

3/24/2021

(0.55)%

4/21/2021

EUR

164,154

BANA

3/25/2021

(0.55)%

4/21/2021

EUR

150,438

BANA

3/24/2021

(0.55)%

4/21/2021

EUR

150,519

BANA

3/24/2021

(0.55)%

4/21/2021

EUR

134,914

BANA

3/24/2021

(0.55)%

4/21/2021

EUR

134,226

BNPP

3/12/2021

(0.57)%

4/21/2021

EUR

3,920,871

CITI

3/9/2021

0.00%

4/8/2021

USD

106,000

CITI

3/8/2021

0.00%

4/8/2021

USD

1,692,000

JPMS

3/25/2021

0.04%

4/21/2021

GBP

283,148

JPMS

3/30/2021

0.06%

4/21/2021

GBP

180,959

JPMS

3/12/2021

0.08%

4/21/2021

GBP

179,878

JPMS

3/12/2021

0.08%

4/21/2021

GBP

213,834

JPMS

3/12/2021

0.08%

4/21/2021

GBP

273,553

JPMS

3/12/2021

0.08%

4/21/2021

GBP

283,856

$

16,127,268

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

March

31,

2021

was

$11,773,455

at

a

net

weighted

average

interest

rate

of

(0.411)%.

140

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

902,800

$

54,560

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

876,000

26,006

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/29/2021

HKD

11,326,400

11,412

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

14,158,000

8,752

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

290,340

5,563

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/04/2021

USD

294,960

3,690

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

42,480

2,272

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

42,480

2,368

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/25/2021

USD

84,960

4,827

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/25/2021

USD

807,120

45,360

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

127,008

21,430

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

1,365,336

233,408

Soybean

Oil

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

213,192

2,628

422,276

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(902,800)

(36,350)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

40,440

(250)

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

(290,340)

(2,564)

141

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/23/2021

USD

(804,080)

$

(42,970)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

(84,640)

(4,676)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(42,320)

(2,220)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(42,320)

(2,309)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

42,320

(1,012)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

42,320

(302)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

84,640

(404)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/23/2021

USD

804,080

(13,740)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(476,280)

(24,819)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(127,008)

(21,720)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

(327,840)

(6,611)

(159,947)

$

262,329

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

13

4/2021

EUR

$

2,131,692

$

46,766

Hang

Seng

Index

2

4/2021

HKD

364,235

(280)

LME

Aluminum

Base

Metal

4

4/2021

USD

219,460

20,948

LME

Aluminum

Base

Metal

4

4/2021

USD

219,425

19,913

LME

Aluminum

Base

Metal

6

4/2021

USD

328,125

22,828

LME

Aluminum

Base

Metal

12

4/2021

USD

658,800

56,077

LME

Copper

Base

Metal

1

4/2021

USD

219,825

18,335

LME

Copper

Base

Metal

1

4/2021

USD

219,792

19,939

142

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

4/2021

USD

$

219,715

$

21,410

LME

Copper

Base

Metal

1

4/2021

USD

219,744

21,545

LME

Copper

Base

Metal

2

4/2021

USD

439,388

42,307

LME

Copper

Base

Metal

2

4/2021

USD

439,700

38,328

LME

Nickel

Base

Metal

2

4/2021

USD

192,424

(21,995)

LME

Zinc

Base

Metal

1

4/2021

USD

70,140

(1,613)

LME

Zinc

Base

Metal

1

4/2021

USD

70,203

5,875

LME

Zinc

Base

Metal

1

4/2021

USD

70,200

5,872

LME

Zinc

Base

Metal

2

4/2021

USD

140,263

(868)

LME

Zinc

Base

Metal

2

4/2021

USD

140,413

11,708

Brent

Crude

Oil

63

5/2021

USD

3,925,530

(297,968)

Coffee

'C'

6

5/2021

USD

277,875

(5,678)

Cotton

No.

2

6

5/2021

USD

242,640

(2,677)

LME

Aluminum

Base

Metal

1

5/2021

USD

55,013

1,310

LME

Aluminum

Base

Metal

3

5/2021

USD

165,099

9,226

LME

Aluminum

Base

Metal

3

5/2021

USD

165,019

3,460

LME

Copper

Base

Metal

1

5/2021

USD

219,608

(10,645)

LME

Copper

Base

Metal

1

5/2021

USD

219,713

26,210

LME

Copper

Base

Metal

1

5/2021

USD

219,600

(18,028)

LME

Copper

Base

Metal

1

5/2021

USD

219,733

12,805

LME

Copper

Base

Metal

1

5/2021

USD

219,725

1,223

LME

Copper

Base

Metal

2

5/2021

USD

439,225

(15,780)

LME

Copper

Base

Metal

2

5/2021

USD

439,225

(11,480)

LME

Nickel

Base

Metal

1

5/2021

USD

96,297

(16,896)

LME

Nickel

Base

Metal

2

5/2021

USD

192,459

(20,251)

LME

Zinc

Base

Metal

1

5/2021

USD

70,290

(1,376)

LME

Zinc

Base

Metal

2

5/2021

USD

140,596

(2,122)

LME

Zinc

Base

Metal

3

5/2021

USD

210,719

17,935

NY

Harbor

ULSD

17

5/2021

USD

1,265,779

(100,330)

RBOB

Gasoline

16

5/2021

USD

1,312,819

(60,986)

Silver

6

5/2021

USD

735,960

(66,750)

WTI

Crude

Oil

3

5/2021

USD

177,540

(2,661)

100

oz

Gold

5

6/2021

USD

857,800

(153)

Australia

10

Year

Bond

66

6/2021

AUD

6,923,714

(33,281)

Canada

10

Year

Bond

101

6/2021

CAD

11,152,837

(343,350)

Euro-Bund

47

6/2021

EUR

9,440,423

(1,149)

FTSE/MIB

Index

18

6/2021

EUR

2,574,616

37,276

Japan

10

Year

Bond

11

6/2021

JPY

15,017,024

30,572

Lean

Hogs

6

6/2021

USD

252,720

(62)

Live

Cattle

25

6/2021

USD

1,229,000

22,360

LME

Aluminum

Base

Metal

2

6/2021

USD

110,425

(718)

LME

Aluminum

Base

Metal

3

6/2021

USD

165,656

501

LME

Aluminum

Base

Metal

3

6/2021

USD

165,533

2,470

LME

Aluminum

Base

Metal

3

6/2021

USD

165,508

3,953

LME

Aluminum

Base

Metal

3

6/2021

USD

165,557

2,298

LME

Aluminum

Base

Metal

3

6/2021

USD

165,483

2,796

LME

Aluminum

Base

Metal

4

6/2021

USD

220,512

3,707

LME

Aluminum

Base

Metal

49

6/2021

USD

2,705,719

146,127

LME

Copper

Base

Metal

1

6/2021

USD

219,694

(4,534)

LME

Copper

Base

Metal

1

6/2021

USD

219,703

(2,225)

LME

Copper

Base

Metal

1

6/2021

USD

219,701

(4,902)

LME

Copper

Base

Metal

29

6/2021

USD

6,371,119

572,208

LME

Lead

Base

Metal

3

6/2021

USD

147,881

(4,233)

LME

Nickel

Base

Metal

1

6/2021

USD

96,368

(145)

LME

Nickel

Base

Metal

1

6/2021

USD

96,363

(240)

LME

Nickel

Base

Metal

1

6/2021

USD

96,321

(15,492)

143

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

2

6/2021

USD

$

192,666

$

(2,946)

LME

Nickel

Base

Metal

6

6/2021

USD

578,196

(42,676)

LME

Zinc

Base

Metal

1

6/2021

USD

70,348

70

LME

Zinc

Base

Metal

1

6/2021

USD

70,406

1,166

LME

Zinc

Base

Metal

1

6/2021

USD

70,356

(692)

LME

Zinc

Base

Metal

10

6/2021

USD

704,188

242

Long

Gilt

48

6/2021

GBP

8,442,988

(68,330)

S&P/TSX

60

Index

6

6/2021

CAD

1,060,969

(2,080)

Sugar

No.

11

69

6/2021

USD

1,141,426

(33,151)

TOPIX

Index

38

6/2021

JPY

6,705,983

189,541

U.S.

Treasury

10

Year

Note

494

6/2021

USD

64,683,124

(1,683,072)

U.S.

Treasury

5

Year

Note

322

6/2021

USD

39,734,296

(505,970)

Cocoa

26

7/2021

USD

620,100

(14,831)

Corn

59

7/2021

USD

1,615,125

50,796

Cotton

No.

2

3

7/2021

USD

123,255

(2,203)

KC

HRW

Wheat

5

7/2021

USD

145,438

(2,535)

Silver

1

7/2021

USD

122,860

1,436

Soybean

9

7/2021

USD

642,488

10,172

Soybean

Meal

10

7/2021

USD

424,800

24,457

Wheat

21

7/2021

USD

646,538

965

Feeder

Cattle

1

8/2021

USD

78,638

1,122

(1,899,099)

Short

Contracts

CAC

40

10

Euro

Index

(7)

4/2021

EUR

(497,952)

(4,460)

IBEX

35

Index

(27)

4/2021

EUR

(2,718,798)

19,117

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(219,425)

(19,694)

LME

Aluminum

Base

Metal

(4)

4/2021

USD

(219,460)

(21,137)

LME

Aluminum

Base

Metal

(6)

4/2021

USD

(328,125)

(23,056)

LME

Aluminum

Base

Metal

(12)

4/2021

USD

(658,800)

(55,129)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,744)

(20,746)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,715)

(21,592)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,792)

(20,320)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,825)

(18,329)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,700)

(38,430)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,388)

(42,615)

LME

Nickel

Base

Metal

(2)

4/2021

USD

(192,424)

21,891

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,140)

1,599

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,203)

(5,380)

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,200)

(5,540)

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,413)

(11,938)

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,263)

1,474

OMXS30

Index

(1)

4/2021

SEK

(25,045)

2

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,013)

(1,415)

LME

Aluminum

Base

Metal

(3)

5/2021

USD

(165,099)

(9,408)

LME

Aluminum

Base

Metal

(3)

5/2021

USD

(165,019)

(3,179)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,608)

9,516

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,733)

(12,790)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,725)

(1,218)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,600)

17,832

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,713)

(26,416)

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,225)

12,982

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,225)

16,383

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,297)

16,868

LME

Nickel

Base

Metal

(2)

5/2021

USD

(192,459)

20,086

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,290)

2,208

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,596)

2,198

144

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(3)

5/2021

USD

$

(210,719)

$

(17,123)

Natural

Gas

(12)

5/2021

USD

(320,040)

725

EURO

STOXX

50

Index

(92)

6/2021

EUR

(4,170,966)

(86,410)

Euro-

Bobl

(27)

6/2021

EUR

(4,277,025)

(10,340)

FTSE

100

Index

(28)

6/2021

GBP

(2,578,340)

15,665

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,425)

225

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,483)

(2,592)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,656)

295

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,508)

(3,292)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,557)

(2,741)

LME

Aluminum

Base

Metal

(3)

6/2021

USD

(165,533)

(2,191)

LME

Aluminum

Base

Metal

(4)

6/2021

USD

(220,512)

(3,324)

LME

Aluminum

Base

Metal

(29)

6/2021

USD

(1,601,344)

(98,955)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,703)

1,819

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,701)

3,339

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,694)

3,275

LME

Copper

Base

Metal

(12)

6/2021

USD

(2,636,325)

25,167

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,321)

15,756

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,363)

564

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,368)

170

LME

Nickel

Base

Metal

(2)

6/2021

USD

(192,666)

3,424

LME

Nickel

Base

Metal

(4)

6/2021

USD

(385,464)

35,172

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,406)

(1,184)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,356)

391

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,348)

(351)

LME

Zinc

Base

Metal

(7)

6/2021

USD

(492,931)

(41,213)

SPI

200

Index

(9)

6/2021

AUD

(1,156,301)

(8,862)

Coffee

'C'

(7)

7/2021

USD

(329,175)

11,231

(381,996)

$

(2,281,095)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

600,000

USD

455,709

CITI

6/16/2021

$

166

AUD

600,000

USD

455,710

JPMC

6/16/2021

166

BRL

1,361,750

USD

235,696

CITI

**

6/16/2021

4,997

BRL

1,361,750

USD

235,696

JPMC

**

6/16/2021

4,996

CAD

4,700,000

USD

3,721,968

CITI

6/16/2021

18,337

CAD

4,700,000

USD

3,721,973

JPMC

6/16/2021

18,333

CLP

83,173,251

USD

114,706

CITI

**

6/16/2021

795

CLP

83,173,249

USD

114,706

JPMC

**

6/16/2021

795

GBP

148,000

USD

203,456

CITI

6/16/2021

622

GBP

148,000

USD

203,456

JPMC

6/16/2021

622

INR

84,240,939

USD

1,131,440

CITI

**

6/16/2021

6,417

INR

84,240,938

USD

1,131,442

JPMC

**

6/16/2021

6,416

KRW

14,687,500

USD

12,976

CITI

**

6/16/2021

48

KRW

14,687,500

USD

12,976

JPMC

**

6/16/2021

48

MXN

46,975,000

USD

2,259,776

CITI

6/16/2021

20,056

MXN

46,975,000

USD

2,259,779

JPMC

6/16/2021

20,053

NOK

4,348,000

USD

506,759

CITI

6/16/2021

1,571

145

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NOK

4,348,000

USD

506,760

JPMC

6/16/2021

$

1,571

RUB

2,370,000

USD

31,051

CITI

**

6/16/2021

32

RUB

2,370,000

USD

31,051

JPMC

**

6/16/2021

32

SGD

11,000

USD

8,169

CITI

6/16/2021

5

SGD

11,000

USD

8,169

JPMC

6/16/2021

5

USD

4,369,441

AUD

5,587,504

CITI

6/16/2021

124,101

USD

4,369,430

AUD

5,587,496

JPMC

6/16/2021

124,095

USD

219,063

BRL

1,211,250

CITI

**

6/16/2021

4,972

USD

219,063

BRL

1,211,250

JPMC

**

6/16/2021

4,972

USD

1,493,842

CAD

1,865,876

CITI

6/16/2021

8,959

USD

1,493,839

CAD

1,865,875

JPMC

6/16/2021

8,958

USD

5,019,058

CHF

4,540,500

CITI

6/16/2021

205,401

USD

5,018,857

CHF

4,540,500

JPMC

6/16/2021

205,201

USD

194,388

CNY

1,270,500

CITI

**

6/16/2021

1,922

USD

194,388

CNY

1,270,500

JPMC

**

6/16/2021

1,922

USD

194,796

CZK

4,274,500

CITI

6/16/2021

2,718

USD

194,796

CZK

4,274,500

JPMC

6/16/2021

2,718

USD

642

DKK

4,000

CITI

6/16/2021

11

USD

642

DKK

4,000

JPMC

6/16/2021

11

USD

15,163,141

EUR

12,475,742

CITI

6/16/2021

510,082

USD

15,134,394

EUR

12,451,732

JPMC

6/16/2021

509,536

USD

4,954,488

GBP

3,549,806

CITI

6/16/2021

59,625

USD

4,936,299

GBP

3,536,803

JPMC

6/16/2021

59,366

USD

763,330

HKD

5,918,000

CITI

6/16/2021

1,951

USD

763,329

HKD

5,918,000

JPMC

6/16/2021

1,950

USD

116,155

HUF

34,932,500

CITI

6/16/2021

3,161

USD

116,155

HUF

34,932,500

JPMC

6/16/2021

3,161

USD

527,605

INR

38,890,000

CITI

**

6/16/2021

2,311

USD

527,605

INR

38,890,000

JPMC

**

6/16/2021

2,310

USD

2,437,219

JPY

257,746,000

CITI

6/16/2021

107,816

USD

2,437,216

JPY

257,746,000

JPMC

6/16/2021

107,813

USD

501,677

KRW

562,612,000

CITI

**

6/16/2021

2,765

USD

501,676

KRW

562,612,000

JPMC

**

6/16/2021

2,764

USD

9,829

MXN

201,500

CITI

6/16/2021

50

USD

9,829

MXN

201,500

JPMC

6/16/2021

50

USD

4,463,338

NOK

37,803,752

CITI

6/16/2021

43,650

USD

4,463,331

NOK

37,803,747

JPMC

6/16/2021

43,645

USD

6,175,481

NZD

8,600,000

CITI

6/16/2021

170,307

USD

6,175,473

NZD

8,600,000

JPMC

6/16/2021

170,299

USD

743,741

PLN

2,827,501

CITI

6/16/2021

28,004

USD

743,739

PLN

2,827,499

JPMC

6/16/2021

28,003

USD

709,015

SEK

5,954,000

CITI

6/16/2021

26,805

USD

709,014

SEK

5,954,000

JPMC

6/16/2021

26,804

USD

292,507

SGD

388,503

CITI

6/16/2021

3,799

USD

292,503

SGD

388,497

JPMC

6/16/2021

3,799

USD

9,547

ZAR

142,000

CITI

6/17/2021

21

USD

9,547

ZAR

142,000

JPMC

6/17/2021

21

ZAR

24,622,879

USD

1,625,478

CITI

6/17/2021

26,356

ZAR

24,622,874

USD

1,625,480

JPMC

6/17/2021

26,353

Total

unrealized

appreciation

2,774,621

AUD

12,597,000

USD

9,862,166

CITI

6/16/2021

(291,066)

AUD

12,597,000

USD

9,862,178

JPMC

6/16/2021

(291,079)

BRL

4,106,250

USD

747,891

CITI

**

6/16/2021

(22,102)

BRL

4,106,250

USD

747,892

JPMC

**

6/16/2021

(22,102)

CAD

950,000

USD

761,341

CITI

6/16/2021

(5,322)

CAD

950,000

USD

761,342

JPMC

6/16/2021

(5,323)

CHF

1,095,000

USD

1,179,236

CITI

6/16/2021

(18,361)

CHF

1,095,000

USD

1,179,238

JPMC

6/16/2021

(18,363)

146

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CLP

249,519,752

USD

353,291

CITI

**

6/16/2021

$

(6,788)

CLP

249,519,748

USD

353,291

JPMC

**

6/16/2021

(6,789)

CNY

9,955,003

USD

1,527,940

CITI

**

6/16/2021

(19,876)

CNY

9,954,997

USD

1,527,941

JPMC

**

6/16/2021

(19,878)

CZK

5,128,000

USD

238,493

CITI

6/16/2021

(8,062)

CZK

5,128,000

USD

238,493

JPMC

6/16/2021

(8,062)

DKK

346,500

USD

55,944

CITI

6/16/2021

(1,248)

DKK

346,500

USD

55,944

JPMC

6/16/2021

(1,249)

EUR

7,174,000

USD

8,691,123

CITI

6/16/2021

(265,087)

EUR

7,174,000

USD

8,691,134

JPMC

6/16/2021

(265,098)

GBP

1,596,501

USD

2,225,720

CITI

6/16/2021

(24,288)

GBP

1,596,499

USD

2,225,720

JPMC

6/16/2021

(24,291)

HKD

872,000

USD

112,347

CITI

6/16/2021

(160)

HKD

872,000

USD

112,347

JPMC

6/16/2021

(160)

HUF

98,568,000

USD

333,013

CITI

6/16/2021

(14,183)

HUF

98,568,000

USD

333,013

JPMC

6/16/2021

(14,183)

INR

144,279,563

USD

1,958,311

CITI

**

6/16/2021

(9,501)

INR

144,279,560

USD

1,958,313

JPMC

**

6/16/2021

(9,504)

JPY

374,217,000

USD

3,465,694

CITI

6/16/2021

(83,673)

JPY

374,217,000

USD

3,465,698

JPMC

6/16/2021

(83,678)

KRW

3,614,948,502

USD

3,242,667

CITI

**

6/16/2021

(37,010)

KRW

3,614,948,497

USD

3,242,671

JPMC

**

6/16/2021

(37,014)

MXN

475,500

USD

23,081

CITI

6/16/2021

(4)

MXN

475,500

USD

23,081

JPMC

6/16/2021

(3)

NOK

17,314,500

USD

2,046,602

CITI

6/16/2021

(22,340)

NOK

17,314,500

USD

2,046,604

JPMC

6/16/2021

(22,343)

NZD

750,000

USD

544,486

CITI

6/16/2021

(20,779)

NZD

750,000

USD

544,487

JPMC

6/16/2021

(20,780)

PLN

1,153,501

USD

309,201

CITI

6/16/2021

(17,211)

PLN

1,153,499

USD

309,201

JPMC

6/16/2021

(17,211)

RUB

28,238,500

USD

377,311

CITI

**

6/16/2021

(6,964)

RUB

28,238,500

USD

377,312

JPMC

**

6/16/2021

(6,965)

SEK

8,386,000

USD

1,000,962

CITI

6/16/2021

(40,094)

SEK

8,386,000

USD

1,000,963

JPMC

6/16/2021

(40,095)

SGD

28,000

USD

21,141

CITI

6/16/2021

(333)

SGD

28,000

USD

21,141

JPMC

6/16/2021

(333)

USD

52,796

BRL

301,750

CITI

**

6/16/2021

(540)

USD

52,796

BRL

301,750

JPMC

**

6/16/2021

(540)

USD

4,355,845

CAD

5,501,126

CITI

6/16/2021

(22,003)

USD

4,355,838

CAD

5,501,123

JPMC

6/16/2021

(22,009)

USD

26,416

CZK

588,000

CITI

6/16/2021

(6)

USD

26,416

CZK

588,000

JPMC

6/16/2021

(6)

USD

73,435

GBP

53,500

CITI

6/16/2021

(337)

USD

69,314

GBP

50,500

JPMC

6/16/2021

(321)

USD

3,651

HUF

1,132,500

CITI

6/16/2021

(12)

USD

3,651

HUF

1,132,500

JPMC

6/16/2021

(12)

USD

43,494

INR

3,226,000

CITI

**

6/16/2021

(79)

USD

43,494

INR

3,226,000

JPMC

**

6/16/2021

(79)

USD

303,750

KRW

343,899,500

CITI

**

6/16/2021

(1,212)

USD

303,750

KRW

343,899,500

JPMC

**

6/16/2021

(1,212)

USD

391,696

MXN

8,189,000

CITI

6/16/2021

(5,740)

USD

391,695

MXN

8,189,000

JPMC

6/16/2021

(5,741)

USD

348,850

NOK

2,995,751

CITI

6/16/2021

(1,387)

USD

348,850

NOK

2,995,750

JPMC

6/16/2021

(1,388)

USD

171,564

ZAR

2,616,500

CITI

6/17/2021

(3,964)

USD

171,564

ZAR

2,616,500

JPMC

6/17/2021

(3,965)

ZAR

9,220,625

USD

625,509

CITI

6/17/2021

(6,941)

147

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

9,220,624

USD

625,509

JPMC

6/17/2021

$

(6,941)

Total

unrealized

depreciation

(1,913,390)

Net

unrealized

appreciation

$

861,231

**

Non-deliverable

forward.

148

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

14.4%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(a)(b)

EUR

2,605,042

3,715,135

French

Republic

1.85%,

7/25/2027

(a)(b)

1,343,280

1,956,932

0.10%,

3/1/2029

(a)(b)

705,495

943,392

0.70%,

7/25/2030

(a)(b)

1,470,084

2,106,361

United

Kingdom

Gilt

Inflation

Linked

0.13%,

3/22/2026

(a)(b)

GBP

114,079

183,731

1.25%,

11/22/2027

(a)(b)

463,002

832,927

0.13%,

8/10/2028

(a)(b)

316,509

541,387

0.13%,

3/22/2029

(a)(b)

521,153

901,265

1.25%,

11/22/2032

(a)(b)

542,712

1,137,156

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$11,711,093)

12,318,286

U.S.

TREASURY

OBLIGATIONS

-

23.6%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024

$

100,000

110,251

0.13%,

4/15/2025

100,000

109,603

0.38%,

7/15/2025

(c)

200,000

242,942

0.13%,

10/15/2025

500,000

548,895

0.13%,

7/15/2026

165,000

196,682

0.38%,

1/15/2027

1,100,000

1,313,182

0.38%,

7/15/2027

1,690,000

2,003,417

0.50%,

1/15/2028

(c)

1,800,000

2,124,039

0.75%,

7/15/2028

1,770,000

2,101,360

0.88%,

1/15/2029

(c)

1,795,000

2,130,091

0.25%,

7/15/2029

2,300,000

2,585,141

0.13%,

1/15/2030

2,500,000

2,746,755

0.13%,

7/15/2030

2,800,000

3,096,395

0.13%,

1/15/2031

800,000

864,399

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$19,541,894)

20,173,152

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

60.0%

INVESTMENT

COMPANIES

-

31.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

658,787

658,787

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(d)

26,403,972

26,396,050

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(d)

8,257

8,257

TOTAL

INVESTMENT

COMPANIES

(Cost

$27,062,400)

27,063,094

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

28.3%

U.S.

Treasury

Bills

0.11%,

4/1/2021

(f)

$

6,879,000

6,879,000

0.11%,

4/8/2021

(f)

6,627,000

6,626,990

0.12%,

4/15/2021

(f)

601,000

600,996

0.12%,

4/22/2021

(f)(g)

3,202,000

3,201,977

0.11%,

5/13/2021

(f)

1,650,000

1,649,957

0.10%,

5/20/2021

(f)

463,000

462,989

0.09%,

5/27/2021

(f)

295,000

294,993

0.09%,

6/3/2021

(f)

241,000

240,993

0.05%,

8/12/2021

(f)(g)

735,000

734,935

0.04%,

9/23/2021

(f)

213,000

212,968

0.04%,

9/30/2021

(f)

3,291,000

3,290,334

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$24,195,420)

24,196,132

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$51,257,820)

51,259,226

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.0%

(Cost

$82,510,807)

83,750,664

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.0%

(h)

1,745,598

NET

ASSETS

-

100.0%

85,496,262

(a)

Inflation

protected

security.

(b)

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

March

31,

2021,

the

value

of

these

securities

amounted

to

$12,318,286

or

14.41%

of

net

assets.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(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.

149

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2021

USD

(23,480)

$

31

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

846,375

50,676

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

821,250

24,636

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

4,247,400

1,206

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

4,247,400

804

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

16,961,650

14,936

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/10/2021

KRW

1,140,287,500

19,525

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

241,950

4,897

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/04/2021

USD

245,800

3,586

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

344,120

3,467

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

1,293,075

56,743

Soybean

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

1,213,588

17,549

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

212,400

11,573

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/25/2021

USD

297,360

16,539

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

637,200

35,813

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

1,365,336

233,408

150

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Oil

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

182,736

$

2,252

Sugar

No.

11

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2021

USD

(33,085)

1,184

Sugar

No.

11

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2021

USD

(16,542)

370

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

546,400

11,293

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2021

TWD

36,130,600

18,894

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

123,150

1,700

531,082

Canada

10

Year

Bond

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

06/21/2021

CAD

693,850

(17,921)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2021

USD

23,480

(2,875)

Cocoa

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

23,850

(36)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(846,375)

(34,350)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

40,440

(250)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/16/2021

USD

80,880

(1,017)

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

HKD

1,094,300

(77)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

1,165,490

(5,385)

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

(241,950)

(2,529)

SGX

NIFTY

50

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

USD

88,476

(466)

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(1,293,075)

(18,672)

151

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(634,800)

$

(33,900)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

(296,240)

(15,748)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(211,600)

(10,907)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

211,600

(1,751)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

296,240

(9,111)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

634,800

(15,695)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(571,536)

(33,768)

Sugar

No.

11

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2021

USD

16,542

(1,327)

Sugar

No.

11

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2021

USD

33,085

(2,510)

Sugar

No.

11

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/15/2021

USD

16,542

(230)

Sugar

No.

11

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/15/2021

USD

33,085

(837)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(123,600)

(1,388)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

123,600

(7,363)

(218,113)

$

312,969

152

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

4

4/2021

EUR

$

655,905

$

17,003

CAC

40

10

Euro

Index

3

4/2021

EUR

213,408

964

Hang

Seng

Index

5

4/2021

HKD

910,588

3,361

HSCEI

4

4/2021

HKD

281,525

1,702

LME

Aluminum

Base

Metal

1

4/2021

USD

54,856

4,978

LME

Aluminum

Base

Metal

2

4/2021

USD

109,375

7,787

LME

Aluminum

Base

Metal

2

4/2021

USD

109,800

9,407

LME

Aluminum

Base

Metal

2

4/2021

USD

109,730

10,474

LME

Copper

Base

Metal

1

4/2021

USD

219,825

18,335

LME

Copper

Base

Metal

1

4/2021

USD

219,694

21,154

LME

Copper

Base

Metal

1

4/2021

USD

219,850

19,164

LME

Nickel

Base

Metal

1

4/2021

USD

96,212

(10,997)

LME

Zinc

Base

Metal

2

4/2021

USD

140,413

11,708

SGX

NIFTY

50

Index

17

4/2021

USD

501,364

(2,225)

Brent

Crude

Oil

45

5/2021

USD

2,803,950

(217,139)

Coffee

'C'

9

5/2021

USD

416,813

(8,048)

Cotton

No.

2

6

5/2021

USD

242,640

(2,677)

LME

Copper

Base

Metal

1

5/2021

USD

219,613

(5,740)

LME

Copper

Base

Metal

1

5/2021

USD

219,600

(18,028)

LME

Copper

Base

Metal

1

5/2021

USD

219,725

1,222

LME

Copper

Base

Metal

1

5/2021

USD

219,613

(7,890)

LME

Lead

Base

Metal

1

5/2021

USD

49,027

(1,883)

LME

Nickel

Base

Metal

1

5/2021

USD

96,229

(9,715)

LME

Zinc

Base

Metal

1

5/2021

USD

70,240

6,362

NY

Harbor

ULSD

12

5/2021

USD

893,491

(67,568)

RBOB

Gasoline

12

5/2021

USD

984,614

(50,931)

Silver

5

5/2021

USD

613,300

(56,364)

WTI

Crude

Oil

18

5/2021

USD

1,065,240

(77,021)

100

oz

Gold

9

6/2021

USD

1,544,040

(1,887)

Australia

10

Year

Bond

35

6/2021

AUD

3,671,667

(17,649)

Canada

10

Year

Bond

36

6/2021

CAD

3,975,269

(129,260)

DAX

Index

1

6/2021

EUR

440,613

13,094

EURO

STOXX

50

Index

3

6/2021

EUR

136,010

2,815

Euro-Bund

75

6/2021

EUR

15,064,504

(963)

FTSE

100

Index

3

6/2021

GBP

276,251

(1,955)

FTSE/JSE

Top

40

Index

4

6/2021

ZAR

165,799

(2,190)

FTSE/MIB

Index

6

6/2021

EUR

858,205

12,645

Japan

10

Year

Bond

Mini

4

6/2021

JPY

545,315

(417)

Lean

Hogs

9

6/2021

USD

379,080

1,840

Live

Cattle

17

6/2021

USD

835,720

15,464

LME

Aluminum

Base

Metal

1

6/2021

USD

55,228

(1,788)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,213

(340)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,186

766

LME

Aluminum

Base

Metal

2

6/2021

USD

110,322

1,864

LME

Aluminum

Base

Metal

2

6/2021

USD

110,339

2,635

LME

Aluminum

Base

Metal

2

6/2021

USD

110,355

1,646

LME

Aluminum

Base

Metal

2

6/2021

USD

110,463

(1,043)

LME

Aluminum

Base

Metal

29

6/2021

USD

1,601,344

106,123

LME

Copper

Base

Metal

1

6/2021

USD

219,703

(2,225)

LME

Copper

Base

Metal

1

6/2021

USD

219,701

(4,902)

LME

Copper

Base

Metal

21

6/2021

USD

4,613,569

414,635

LME

Lead

Base

Metal

3

6/2021

USD

147,881

(5,645)

LME

Nickel

Base

Metal

1

6/2021

USD

96,333

(2,166)

153

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

4

6/2021

USD

$

385,464

$

(42,986)

LME

Zinc

Base

Metal

8

6/2021

USD

563,350

4,913

Long

Gilt

6

6/2021

GBP

1,055,373

(7,193)

Low

Sulphur

Gasoil

11

6/2021

USD

560,725

(40,679)

Russell

2000

E-Mini

Index

10

6/2021

USD

1,111,250

(56,631)

S&P

500

E-Mini

Index

81

6/2021

USD

16,067,970

151,659

S&P

Midcap

400

E-Mini

Index

5

6/2021

USD

1,302,650

(19,154)

S&P/TSX

60

Index

6

6/2021

CAD

1,060,969

(1,944)

SPI

200

Index

2

6/2021

AUD

256,956

(1,768)

Sugar

No.

11

74

6/2021

USD

1,224,138

(35,918)

TOPIX

Index

16

6/2021

JPY

2,823,572

93,813

U.S.

Treasury

10

Year

Note

452

6/2021

USD

59,183,749

(1,539,708)

Cocoa

11

7/2021

USD

262,350

(5,601)

Corn

42

7/2021

USD

1,149,750

37,200

KC

HRW

Wheat

4

7/2021

USD

116,350

(1,318)

Silver

1

7/2021

USD

122,860

1,436

Soybean

6

7/2021

USD

428,325

6,064

Wheat

14

7/2021

USD

431,025

2,819

Feeder

Cattle

1

8/2021

USD

78,638

1,122

(1,455,382)

Short

Contracts

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,856)

(4,923)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,375)

(7,917)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,800)

(9,230)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,730)

(10,568)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,694)

(21,308)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,850)

(19,215)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,825)

(18,328)

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,212)

10,945

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,413)

(11,938)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,613)

6,491

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,613)

8,192

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,725)

(1,218)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,600)

17,832

LME

Lead

Base

Metal

(1)

5/2021

USD

(49,027)

1,921

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,229)

9,608

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,240)

(6,432)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,228)

1,653

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,186)

(914)

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,213)

3

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,463)

1,069

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,339)

(2,194)

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,322)

(1,728)

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,355)

(1,461)

LME

Aluminum

Base

Metal

(10)

6/2021

USD

(552,188)

(22,252)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,703)

1,819

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,701)

3,339

LME

Copper

Base

Metal

(6)

6/2021

USD

(1,318,163)

36,368

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,333)

2,140

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,366)

2,127

LME

Zinc

Base

Metal

(3)

6/2021

USD

(211,256)

(18,002)

Coffee

'C'

(3)

7/2021

USD

(141,075)

3,585

(50,536)

$

(1,505,918)

154

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

5,080,832

EUR

4,175,408

CITI

6/16/2021

$

176,715

USD

5,080,817

EUR

4,175,401

JPMC

6/16/2021

176,708

USD

2,218,236

GBP

1,583,417

CITI

6/16/2021

34,847

USD

2,218,228

GBP

1,583,413

JPMC

6/16/2021

34,844

Total

unrealized

appreciation

423,114

EUR

384,000

USD

459,145

CITI

6/16/2021

(8,128)

GBP

405,000

USD

564,351

CITI

6/16/2021

(5,892)

Total

unrealized

depreciation

(14,020)

Net

unrealized

appreciation

$

409,094

155

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

89.2%

INVESTMENT

COMPANIES

-

47.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

74,674

74,674

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

53,937,565

53,921,384

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

963

963

TOTAL

INVESTMENT

COMPANIES

(Cost

$53,994,394)

53,997,021

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

41.6%

U.S.

Treasury

Bills

0.11%,

4/1/2021

(c)

$

2,382,000

2,382,000

0.12%,

4/15/2021

(c)

244,000

243,999

0.12%,

4/22/2021

(c)

2,131,000

2,130,984

0.11%,

4/29/2021

(c)

446,000

445,996

0.11%,

5/13/2021

(c)

739,000

738,981

0.10%,

5/20/2021

(c)

527,000

526,987

0.09%,

5/27/2021

(c)

1,505,000

1,504,965

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

41.6%

(continued)

0.10%,

7/1/2021

(c)

$

10,213,000

10,212,419

0.09%,

7/8/2021

(b)(c)

1,336,000

1,335,940

0.09%,

7/15/2021

(c)

2,906,000

2,905,883

0.09%,

7/22/2021

(c)

1,616,000

1,615,925

0.09%,

7/29/2021

(c)

2,507,000

2,506,845

0.07%,

8/5/2021

(c)

8,768,000

8,767,386

0.05%,

8/12/2021

(c)

1,065,000

1,064,905

0.06%,

8/19/2021

(c)

2,126,000

2,125,802

0.04%,

8/26/2021

(c)

948,000

947,908

0.06%,

9/2/2021

(c)

2,778,000

2,777,718

0.06%,

9/16/2021

(c)

2,013,000

2,012,751

0.04%,

9/23/2021

(c)

883,000

882,867

0.04%,

9/30/2021

(c)

2,162,000

2,161,563

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$47,284,723)

47,291,824

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$101,279,117)

101,288,845

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

89.2%

(Cost

$101,279,117)

101,288,845

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

10.8%

(d)

12,261,707

NET

ASSETS

-

100.0%

113,550,552

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

56,425

$

3,437

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

4,570,425

274,030

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

27,375

508

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

793,875

24,007

Cotton

No.

2

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

(40,440)

–

156

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cotton

No.

2

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/11/2021

USD

41,085

$

15

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/04/2021

USD

294,960

4,182

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

359,188

19,704

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/25/2021

USD

892,080

49,217

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

3,101,040

169,259

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

2,952,936

504,321

Soybean

Oil

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/25/2021

USD

304,560

3,754

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(61,800)

840

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

(61,575)

2,935

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

(30,788)

147

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

30,788

225

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/25/2021

USD

61,575

1,043

1,057,624

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(4,570,425)

(231,406)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(56,425)

(2,302)

Corn

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/25/2021

USD

(27,375)

(1,149)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/16/2021

USD

80,880

(1,060)

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(359,188)

(16,125)

157

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(3,089,360)

$

(159,670)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

(888,720)

(46,481)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/23/2021

USD

888,720

(32,264)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

3,089,360

(40,748)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/23/2021

USD

(1,619,352)

(97,477)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

(61,800)

(875)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/23/2021

USD

61,800

(3,467)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

61,800

(2,276)

(635,300)

$

422,324

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

4/2021

USD

$

54,716

$

4,213

LME

Aluminum

Base

Metal

1

4/2021

USD

54,702

3,861

LME

Aluminum

Base

Metal

2

4/2021

USD

109,600

9,146

LME

Aluminum

Base

Metal

3

4/2021

USD

164,779

15,313

LME

Aluminum

Base

Metal

3

4/2021

USD

164,726

14,466

LME

Aluminum

Base

Metal

11

4/2021

USD

601,563

42,049

LME

Aluminum

Base

Metal

11

4/2021

USD

602,924

53,912

LME

Aluminum

Base

Metal

17

4/2021

USD

932,556

84,631

LME

Aluminum

Base

Metal

17

4/2021

USD

932,705

89,030

LME

Aluminum

Base

Metal

24

4/2021

USD

1,318,440

127,981

LME

Aluminum

Base

Metal

34

4/2021

USD

1,867,195

177,728

LME

Aluminum

Base

Metal

45

4/2021

USD

2,470,500

210,379

LME

Copper

Base

Metal

1

4/2021

USD

219,694

16,321

LME

Copper

Base

Metal

2

4/2021

USD

439,416

35,992

LME

Copper

Base

Metal

2

4/2021

USD

439,407

48,074

LME

Copper

Base

Metal

2

4/2021

USD

439,627

39,688

LME

Copper

Base

Metal

2

4/2021

USD

439,557

40,626

LME

Copper

Base

Metal

2

4/2021

USD

439,613

39,517

158

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

3

4/2021

USD

$

659,231

$

64,636

LME

Copper

Base

Metal

14

4/2021

USD

3,076,003

288,800

LME

Copper

Base

Metal

16

4/2021

USD

3,517,200

293,063

LME

Copper

Base

Metal

25

4/2021

USD

5,492,544

613,338

LME

Lead

Base

Metal

1

4/2021

USD

48,873

(1,993)

LME

Lead

Base

Metal

1

4/2021

USD

48,880

(1,390)

LME

Lead

Base

Metal

1

4/2021

USD

48,919

(1,547)

LME

Lead

Base

Metal

1

4/2021

USD

48,820

(1,951)

LME

Lead

Base

Metal

2

4/2021

USD

97,715

(1,490)

LME

Lead

Base

Metal

3

4/2021

USD

146,891

(7,018)

LME

Lead

Base

Metal

3

4/2021

USD

146,595

(6,289)

LME

Lead

Base

Metal

4

4/2021

USD

195,927

(5,084)

LME

Lead

Base

Metal

4

4/2021

USD

195,700

(10,011)

LME

Lead

Base

Metal

9

4/2021

USD

440,593

(23,125)

LME

Lead

Base

Metal

9

4/2021

USD

440,755

(14,875)

LME

Nickel

Base

Metal

1

4/2021

USD

96,153

(9,510)

LME

Nickel

Base

Metal

1

4/2021

USD

96,180

(14,193)

LME

Nickel

Base

Metal

1

4/2021

USD

96,135

(10,965)

LME

Nickel

Base

Metal

2

4/2021

USD

192,366

(24,040)

LME

Nickel

Base

Metal

3

4/2021

USD

288,585

(39,354)

LME

Nickel

Base

Metal

4

4/2021

USD

384,659

(46,921)

LME

Nickel

Base

Metal

5

4/2021

USD

481,018

(52,407)

LME

Nickel

Base

Metal

9

4/2021

USD

865,909

(98,977)

LME

Zinc

Base

Metal

1

4/2021

USD

70,140

(1,613)

LME

Zinc

Base

Metal

1

4/2021

USD

70,148

(1,105)

LME

Zinc

Base

Metal

2

4/2021

USD

140,263

(868)

LME

Zinc

Base

Metal

2

4/2021

USD

140,363

6,626

LME

Zinc

Base

Metal

2

4/2021

USD

140,413

11,708

LME

Zinc

Base

Metal

3

4/2021

USD

210,581

8,585

LME

Zinc

Base

Metal

3

4/2021

USD

210,544

6,683

LME

Zinc

Base

Metal

7

4/2021

USD

491,379

32,158

LME

Zinc

Base

Metal

19

4/2021

USD

1,333,800

111,569

Brent

Crude

Oil

294

5/2021

USD

18,319,140

(1,407,522)

Coffee

'C'

70

5/2021

USD

3,241,875

(54,126)

Cotton

No.

2

31

5/2021

USD

1,253,640

(61,396)

LME

Aluminum

Base

Metal

1

5/2021

USD

54,979

4,676

LME

Aluminum

Base

Metal

1

5/2021

USD

55,044

3,242

LME

Aluminum

Base

Metal

1

5/2021

USD

55,046

(707)

LME

Aluminum

Base

Metal

1

5/2021

USD

55,006

1,185

LME

Aluminum

Base

Metal

2

5/2021

USD

110,075

2,619

LME

Aluminum

Base

Metal

5

5/2021

USD

275,165

15,377

LME

Aluminum

Base

Metal

13

5/2021

USD

714,610

70,325

LME

Aluminum

Base

Metal

21

5/2021

USD

1,155,357

53,174

LME

Copper

Base

Metal

1

5/2021

USD

219,736

13,664

LME

Copper

Base

Metal

1

5/2021

USD

219,733

12,805

LME

Copper

Base

Metal

1

5/2021

USD

219,608

(10,738)

LME

Copper

Base

Metal

2

5/2021

USD

439,431

43,626

LME

Copper

Base

Metal

2

5/2021

USD

439,443

38,949

LME

Copper

Base

Metal

5

5/2021

USD

1,098,563

120,192

LME

Copper

Base

Metal

6

5/2021

USD

1,317,675

(34,441)

LME

Copper

Base

Metal

8

5/2021

USD

1,758,000

79,957

LME

Copper

Base

Metal

8

5/2021

USD

1,756,900

(67,247)

LME

Lead

Base

Metal

2

5/2021

USD

98,288

(7,302)

LME

Lead

Base

Metal

2

5/2021

USD

98,302

(7,946)

LME

Lead

Base

Metal

2

5/2021

USD

98,072

(4,197)

LME

Lead

Base

Metal

2

5/2021

USD

98,108

(5,212)

159

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

2

5/2021

USD

$

98,288

$

(8,469)

LME

Lead

Base

Metal

3

5/2021

USD

147,431

(12,552)

LME

Lead

Base

Metal

4

5/2021

USD

196,107

(6,753)

LME

Lead

Base

Metal

4

5/2021

USD

196,395

(15,598)

LME

Lead

Base

Metal

4

5/2021

USD

196,655

(16,196)

LME

Lead

Base

Metal

5

5/2021

USD

245,656

(24,232)

LME

Lead

Base

Metal

9

5/2021

USD

441,727

(28,772)

LME

Nickel

Base

Metal

1

5/2021

USD

96,279

(20,784)

LME

Nickel

Base

Metal

1

5/2021

USD

96,261

(15,312)

LME

Nickel

Base

Metal

1

5/2021

USD

96,294

(21,579)

LME

Nickel

Base

Metal

1

5/2021

USD

96,255

(14,828)

LME

Nickel

Base

Metal

2

5/2021

USD

192,568

(43,238)

LME

Nickel

Base

Metal

5

5/2021

USD

481,380

(81,135)

LME

Nickel

Base

Metal

8

5/2021

USD

769,834

(82,000)

LME

Zinc

Base

Metal

1

5/2021

USD

70,298

(672)

LME

Zinc

Base

Metal

2

5/2021

USD

140,496

7,680

LME

Zinc

Base

Metal

3

5/2021

USD

210,869

(6,214)

LME

Zinc

Base

Metal

3

5/2021

USD

210,919

(1,865)

LME

Zinc

Base

Metal

15

5/2021

USD

1,053,593

90,086

Natural

Gas

5

5/2021

USD

133,350

(1,649)

NY

Harbor

ULSD

63

5/2021

USD

4,690,829

(387,258)

RBOB

Gasoline

90

5/2021

USD

7,384,608

(354,235)

Silver

43

5/2021

USD

5,274,380

(470,819)

Soybean

Oil

120

5/2021

USD

3,810,240

565,239

100

oz

Gold

158

6/2021

USD

27,106,479

(138,309)

Lean

Hogs

26

6/2021

USD

1,095,120

(1,298)

Live

Cattle

101

6/2021

USD

4,965,160

84,234

LME

Aluminum

Base

Metal

1

6/2021

USD

55,228

(1,788)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,241

(774)

LME

Aluminum

Base

Metal

1

6/2021

USD

55,251

(577)

LME

Aluminum

Base

Metal

2

6/2021

USD

110,413

(928)

LME

Aluminum

Base

Metal

8

6/2021

USD

440,826

9,602

LME

Aluminum

Base

Metal

9

6/2021

USD

496,913

(3,016)

LME

Aluminum

Base

Metal

11

6/2021

USD

606,771

10,173

LME

Aluminum

Base

Metal

12

6/2021

USD

662,130

9,879

LME

Aluminum

Base

Metal

26

6/2021

USD

1,435,688

4,343

LME

Aluminum

Base

Metal

34

6/2021

USD

1,875,755

44,795

LME

Aluminum

Base

Metal

43

6/2021

USD

2,370,504

41,984

LME

Aluminum

Base

Metal

75

6/2021

USD

4,138,931

72,578

LME

Aluminum

Base

Metal

385

6/2021

USD

21,259,219

1,200,951

LME

Copper

Base

Metal

1

6/2021

USD

219,619

379

LME

Copper

Base

Metal

1

6/2021

USD

219,669

(6,004)

LME

Copper

Base

Metal

1

6/2021

USD

219,606

(6,714)

LME

Copper

Base

Metal

1

6/2021

USD

219,656

(7,996)

LME

Copper

Base

Metal

1

6/2021

USD

219,613

(5,459)

LME

Copper

Base

Metal

1

6/2021

USD

219,681

(10,679)

LME

Copper

Base

Metal

2

6/2021

USD

439,409

(6,196)

LME

Copper

Base

Metal

2

6/2021

USD

439,225

(13,130)

LME

Copper

Base

Metal

2

6/2021

USD

439,402

(9,803)

LME

Copper

Base

Metal

3

6/2021

USD

658,913

(3,570)

LME

Copper

Base

Metal

5

6/2021

USD

1,098,490

(41,924)

LME

Copper

Base

Metal

6

6/2021

USD

1,317,638

(38,709)

LME

Copper

Base

Metal

8

6/2021

USD

1,757,622

(17,799)

LME

Copper

Base

Metal

10

6/2021

USD

2,197,063

(61,717)

LME

Copper

Base

Metal

11

6/2021

USD

2,416,631

(3,573)

LME

Copper

Base

Metal

175

6/2021

USD

38,446,405

2,991,894

160

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

1

6/2021

USD

$

49,203

$

(2,885)

LME

Lead

Base

Metal

1

6/2021

USD

49,255

(111)

LME

Lead

Base

Metal

1

6/2021

USD

49,341

69

LME

Lead

Base

Metal

1

6/2021

USD

49,216

(2,387)

LME

Lead

Base

Metal

1

6/2021

USD

49,331

(65)

LME

Lead

Base

Metal

2

6/2021

USD

98,536

530

LME

Lead

Base

Metal

2

6/2021

USD

98,588

2,719

LME

Lead

Base

Metal

3

6/2021

USD

147,667

(4,140)

LME

Lead

Base

Metal

3

6/2021

USD

147,784

251

LME

Lead

Base

Metal

3

6/2021

USD

147,971

(370)

LME

Lead

Base

Metal

3

6/2021

USD

147,881

273

LME

Lead

Base

Metal

3

6/2021

USD

147,628

(8,574)

LME

Lead

Base

Metal

4

6/2021

USD

197,400

3,258

LME

Lead

Base

Metal

76

6/2021

USD

3,746,325

(139,847)

LME

Nickel

Base

Metal

1

6/2021

USD

96,393

(600)

LME

Nickel

Base

Metal

1

6/2021

USD

96,363

(300)

LME

Nickel

Base

Metal

1

6/2021

USD

96,396

111

LME

Nickel

Base

Metal

1

6/2021

USD

96,368

(285)

LME

Nickel

Base

Metal

1

6/2021

USD

96,352

(2,231)

LME

Nickel

Base

Metal

1

6/2021

USD

96,350

(583)

LME

Nickel

Base

Metal

1

6/2021

USD

96,325

(14,888)

LME

Nickel

Base

Metal

3

6/2021

USD

289,224

(592)

LME

Nickel

Base

Metal

4

6/2021

USD

385,316

(61,094)

LME

Nickel

Base

Metal

5

6/2021

USD

481,605

(77,460)

LME

Nickel

Base

Metal

5

6/2021

USD

481,720

(5,072)

LME

Nickel

Base

Metal

9

6/2021

USD

866,997

(11,178)

LME

Nickel

Base

Metal

20

6/2021

USD

1,927,265

(22,383)

LME

Nickel

Base

Metal

66

6/2021

USD

6,360,156

(386,845)

LME

Zinc

Base

Metal

1

6/2021

USD

70,415

1,337

LME

Zinc

Base

Metal

1

6/2021

USD

70,373

1,008

LME

Zinc

Base

Metal

1

6/2021

USD

70,423

1,020

LME

Zinc

Base

Metal

1

6/2021

USD

70,348

445

LME

Zinc

Base

Metal

2

6/2021

USD

140,788

232

LME

Zinc

Base

Metal

2

6/2021

USD

140,813

1,722

LME

Zinc

Base

Metal

3

6/2021

USD

211,269

(902)

LME

Zinc

Base

Metal

3

6/2021

USD

211,069

(2,075)

LME

Zinc

Base

Metal

4

6/2021

USD

281,850

225

LME

Zinc

Base

Metal

5

6/2021

USD

352,156

1,142

LME

Zinc

Base

Metal

14

6/2021

USD

985,103

(692)

LME

Zinc

Base

Metal

62

6/2021

USD

4,365,963

23,745

Sugar

No.

11

447

6/2021

USD

7,394,453

(254,075)

Cocoa

166

7/2021

USD

3,959,100

(106,345)

Copper

7

7/2021

USD

700,088

(9,478)

Corn

635

7/2021

USD

17,383,125

541,372

Cotton

No.

2

38

7/2021

USD

1,561,230

(29,157)

Silver

11

7/2021

USD

1,351,460

15,840

Soybean

47

7/2021

USD

3,355,213

62,643

Soybean

Meal

93

7/2021

USD

3,950,640

218,684

Soybean

Oil

28

7/2021

USD

852,768

42,988

Wheat

108

7/2021

USD

3,325,050

(2,957)

Feeder

Cattle

53

8/2021

USD

4,167,788

37,516

3,863,577

Short

Contracts

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,702)

(3,946)

LME

Aluminum

Base

Metal

(1)

4/2021

USD

(54,716)

(4,106)

LME

Aluminum

Base

Metal

(2)

4/2021

USD

(109,600)

(9,355)

161

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(3)

4/2021

USD

$

(164,726)

$

(13,460)

LME

Aluminum

Base

Metal

(3)

4/2021

USD

(164,779)

(16,063)

LME

Aluminum

Base

Metal

(11)

4/2021

USD

(601,563)

(42,850)

LME

Aluminum

Base

Metal

(11)

4/2021

USD

(602,924)

(52,956)

LME

Aluminum

Base

Metal

(17)

4/2021

USD

(932,705)

(89,832)

LME

Aluminum

Base

Metal

(17)

4/2021

USD

(932,556)

(83,574)

LME

Aluminum

Base

Metal

(24)

4/2021

USD

(1,318,440)

(129,872)

LME

Aluminum

Base

Metal

(34)

4/2021

USD

(1,867,195)

(187,696)

LME

Aluminum

Base

Metal

(45)

4/2021

USD

(2,470,500)

(207,760)

LME

Copper

Base

Metal

(1)

4/2021

USD

(219,694)

(17,196)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,416)

(36,471)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,613)

(39,818)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,557)

(40,129)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,407)

(47,062)

LME

Copper

Base

Metal

(2)

4/2021

USD

(439,627)

(40,932)

LME

Copper

Base

Metal

(3)

4/2021

USD

(659,231)

(62,239)

LME

Copper

Base

Metal

(14)

4/2021

USD

(3,076,003)

(298,440)

LME

Copper

Base

Metal

(16)

4/2021

USD

(3,517,200)

(293,242)

LME

Copper

Base

Metal

(25)

4/2021

USD

(5,492,544)

(651,986)

LME

Lead

Base

Metal

(1)

4/2021

USD

(48,873)

2,231

LME

Lead

Base

Metal

(1)

4/2021

USD

(48,919)

1,654

LME

Lead

Base

Metal

(1)

4/2021

USD

(48,820)

2,248

LME

Lead

Base

Metal

(1)

4/2021

USD

(48,880)

1,317

LME

Lead

Base

Metal

(2)

4/2021

USD

(97,715)

1,493

LME

Lead

Base

Metal

(3)

4/2021

USD

(146,891)

7,151

LME

Lead

Base

Metal

(3)

4/2021

USD

(146,595)

6,322

LME

Lead

Base

Metal

(4)

4/2021

USD

(195,927)

5,048

LME

Lead

Base

Metal

(4)

4/2021

USD

(195,700)

9,224

LME

Lead

Base

Metal

(9)

4/2021

USD

(440,755)

11,922

LME

Lead

Base

Metal

(9)

4/2021

USD

(440,593)

20,834

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,180)

14,157

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,135)

12,342

LME

Nickel

Base

Metal

(1)

4/2021

USD

(96,153)

9,654

LME

Nickel

Base

Metal

(2)

4/2021

USD

(192,366)

24,709

LME

Nickel

Base

Metal

(3)

4/2021

USD

(288,585)

39,397

LME

Nickel

Base

Metal

(4)

4/2021

USD

(384,659)

47,330

LME

Nickel

Base

Metal

(5)

4/2021

USD

(481,018)

47,718

LME

Nickel

Base

Metal

(9)

4/2021

USD

(865,909)

98,510

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,140)

1,599

LME

Zinc

Base

Metal

(1)

4/2021

USD

(70,148)

1,262

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,413)

(11,938)

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,363)

(6,867)

LME

Zinc

Base

Metal

(2)

4/2021

USD

(140,263)

1,537

LME

Zinc

Base

Metal

(3)

4/2021

USD

(210,581)

(9,278)

LME

Zinc

Base

Metal

(3)

4/2021

USD

(210,544)

(7,003)

LME

Zinc

Base

Metal

(7)

4/2021

USD

(491,379)

(35,960)

LME

Zinc

Base

Metal

(19)

4/2021

USD

(1,333,800)

(105,265)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,044)

(3,172)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(54,979)

(4,736)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,006)

(1,059)

LME

Aluminum

Base

Metal

(1)

5/2021

USD

(55,046)

666

LME

Aluminum

Base

Metal

(2)

5/2021

USD

(110,075)

(2,160)

LME

Aluminum

Base

Metal

(5)

5/2021

USD

(275,165)

(15,680)

LME

Aluminum

Base

Metal

(13)

5/2021

USD

(714,610)

(69,698)

LME

Aluminum

Base

Metal

(21)

5/2021

USD

(1,155,357)

(57,644)

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,736)

(14,188)

162

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

5/2021

USD

$

(219,608)

$

11,039

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,733)

(12,790)

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,443)

(38,323)

LME

Copper

Base

Metal

(2)

5/2021

USD

(439,431)

(44,110)

LME

Copper

Base

Metal

(5)

5/2021

USD

(1,098,563)

(120,250)

LME

Copper

Base

Metal

(6)

5/2021

USD

(1,317,675)

38,947

LME

Copper

Base

Metal

(8)

5/2021

USD

(1,758,000)

(78,821)

LME

Copper

Base

Metal

(8)

5/2021

USD

(1,756,900)

74,180

LME

Lead

Base

Metal

(2)

5/2021

USD

(98,288)

8,257

LME

Lead

Base

Metal

(2)

5/2021

USD

(98,108)

5,362

LME

Lead

Base

Metal

(2)

5/2021

USD

(98,302)

8,168

LME

Lead

Base

Metal

(2)

5/2021

USD

(98,072)

4,573

LME

Lead

Base

Metal

(2)

5/2021

USD

(98,288)

7,357

LME

Lead

Base

Metal

(3)

5/2021

USD

(147,431)

12,811

LME

Lead

Base

Metal

(4)

5/2021

USD

(196,655)

16,834

LME

Lead

Base

Metal

(4)

5/2021

USD

(196,107)

7,682

LME

Lead

Base

Metal

(4)

5/2021

USD

(196,395)

15,394

LME

Lead

Base

Metal

(5)

5/2021

USD

(245,656)

24,827

LME

Lead

Base

Metal

(9)

5/2021

USD

(441,727)

29,092

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,255)

14,862

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,294)

20,343

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,261)

14,196

LME

Nickel

Base

Metal

(1)

5/2021

USD

(96,279)

20,811

LME

Nickel

Base

Metal

(2)

5/2021

USD

(192,568)

42,356

LME

Nickel

Base

Metal

(5)

5/2021

USD

(481,380)

80,787

LME

Nickel

Base

Metal

(8)

5/2021

USD

(769,834)

82,262

LME

Zinc

Base

Metal

(1)

5/2021

USD

(70,298)

1,099

LME

Zinc

Base

Metal

(2)

5/2021

USD

(140,496)

(7,402)

LME

Zinc

Base

Metal

(3)

5/2021

USD

(210,919)

1,997

LME

Zinc

Base

Metal

(3)

5/2021

USD

(210,869)

6,623

LME

Zinc

Base

Metal

(15)

5/2021

USD

(1,053,593)

(86,445)

WTI

Crude

Oil

(93)

5/2021

USD

(5,503,740)

479,977

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,228)

1,759

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,251)

759

LME

Aluminum

Base

Metal

(1)

6/2021

USD

(55,241)

938

LME

Aluminum

Base

Metal

(2)

6/2021

USD

(110,413)

557

LME

Aluminum

Base

Metal

(8)

6/2021

USD

(440,826)

(10,317)

LME

Aluminum

Base

Metal

(9)

6/2021

USD

(496,913)

3,216

LME

Aluminum

Base

Metal

(11)

6/2021

USD

(606,771)

(9,503)

LME

Aluminum

Base

Metal

(12)

6/2021

USD

(662,130)

(8,765)

LME

Aluminum

Base

Metal

(26)

6/2021

USD

(1,435,688)

2,554

LME

Aluminum

Base

Metal

(34)

6/2021

USD

(1,875,755)

(37,305)

LME

Aluminum

Base

Metal

(43)

6/2021

USD

(2,370,504)

(36,531)

LME

Aluminum

Base

Metal

(75)

6/2021

USD

(4,138,931)

(73,082)

LME

Aluminum

Base

Metal

(212)

6/2021

USD

(11,706,375)

(592,773)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,681)

10,691

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,613)

5,625

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,669)

6,389

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,656)

7,953

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,606)

6,135

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,619)

(567)

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,402)

6,694

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,409)

5,561

LME

Copper

Base

Metal

(2)

6/2021

USD

(439,225)

12,352

LME

Copper

Base

Metal

(3)

6/2021

USD

(658,913)

2,464

LME

Copper

Base

Metal

(5)

6/2021

USD

(1,098,490)

44,559

163

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(6)

6/2021

USD

$

(1,317,638)

$

36,142

LME

Copper

Base

Metal

(8)

6/2021

USD

(1,757,622)

14,550

LME

Copper

Base

Metal

(10)

6/2021

USD

(2,197,063)

60,148

LME

Copper

Base

Metal

(11)

6/2021

USD

(2,416,631)

19,300

LME

Copper

Base

Metal

(57)

6/2021

USD

(12,522,544)

107,070

LME

Lead

Base

Metal

(1)

6/2021

USD

(49,255)

130

LME

Lead

Base

Metal

(1)

6/2021

USD

(49,341)

(368)

LME

Lead

Base

Metal

(1)

6/2021

USD

(49,203)

2,795

LME

Lead

Base

Metal

(1)

6/2021

USD

(49,331)

110

LME

Lead

Base

Metal

(1)

6/2021

USD

(49,216)

2,382

LME

Lead

Base

Metal

(2)

6/2021

USD

(98,588)

(2,790)

LME

Lead

Base

Metal

(2)

6/2021

USD

(98,536)

(648)

LME

Lead

Base

Metal

(3)

6/2021

USD

(147,667)

3,863

LME

Lead

Base

Metal

(3)

6/2021

USD

(147,784)

(1,438)

LME

Lead

Base

Metal

(3)

6/2021

USD

(147,881)

(524)

LME

Lead

Base

Metal

(3)

6/2021

USD

(147,971)

(127)

LME

Lead

Base

Metal

(3)

6/2021

USD

(147,628)

8,064

LME

Lead

Base

Metal

(4)

6/2021

USD

(197,400)

(3,991)

LME

Lead

Base

Metal

(37)

6/2021

USD

(1,823,869)

75,688

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,325)

14,582

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,396)

(129)

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,393)

594

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,363)

564

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,368)

170

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,352)

1,865

LME

Nickel

Base

Metal

(1)

6/2021

USD

(96,350)

848

LME

Nickel

Base

Metal

(3)

6/2021

USD

(289,224)

27

LME

Nickel

Base

Metal

(4)

6/2021

USD

(385,316)

44,304

LME

Nickel

Base

Metal

(5)

6/2021

USD

(481,605)

78,284

LME

Nickel

Base

Metal

(5)

6/2021

USD

(481,720)

4,578

LME

Nickel

Base

Metal

(9)

6/2021

USD

(866,997)

13,875

LME

Nickel

Base

Metal

(20)

6/2021

USD

(1,927,265)

13,086

LME

Nickel

Base

Metal

(49)

6/2021

USD

(4,721,934)

484,700

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,423)

(1,080)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,348)

(38)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,415)

(1,605)

LME

Zinc

Base

Metal

(1)

6/2021

USD

(70,373)

(1,392)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,813)

(2,368)

LME

Zinc

Base

Metal

(2)

6/2021

USD

(140,788)

(292)

LME

Zinc

Base

Metal

(3)

6/2021

USD

(211,069)

1,172

LME

Zinc

Base

Metal

(3)

6/2021

USD

(211,269)

372

LME

Zinc

Base

Metal

(4)

6/2021

USD

(281,850)

(322)

LME

Zinc

Base

Metal

(5)

6/2021

USD

(352,156)

(1,195)

LME

Zinc

Base

Metal

(14)

6/2021

USD

(985,103)

13,056

LME

Zinc

Base

Metal

(51)

6/2021

USD

(3,591,356)

(240,388)

Low

Sulphur

Gasoil

(137)

6/2021

USD

(6,983,575)

447,422

Coffee

'C'

(6)

7/2021

USD

(282,150)

7,270

Platinum

(2)

2/2022

JPY

(37,435)

(215)

(1,156,149)

$

2,707,428

164

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

88.7%

COMMON

STOCKS

-

4.5%

France

-

0.0%

(a)

Faurecia

SE

(b)

3,615

192,968

Italy

-

3.9%

A2A

SpA

(b)

2,024,679

3,685,121

Assicurazioni

Generali

SpA

(b)

96,439

1,926,767

Azimut

Holding

SpA

(b)

61,732

1,406,263

Banco

BPM

SpA

*(b)

257,814

735,411

Buzzi

Unicem

SpA

(b)

132,650

3,445,584

DiaSorin

SpA

(b)

4,313

692,000

Hera

SpA

(b)

651,308

2,497,431

Intesa

Sanpaolo

SpA

*(b)

148,334

401,922

Italgas

SpA

(b)

325,053

2,110,925

Leonardo

SpA

(b)

294,346

2,381,162

Mediobanca

Banca

di

Credito

Finanziario

SpA

*(b)

17,793

197,169

Poste

Italiane

SpA

(b)(c)

52,501

666,741

Prysmian

SpA

(b)

65,848

2,138,092

Saipem

SpA

(b)

442,251

1,204,856

Telecom

Italia

SpA

(b)

522,901

282,881

Terna

Rete

Elettrica

Nazionale

SpA

(b)

79,387

599,538

Unipol

Gruppo

SpA

(b)

732,764

4,081,577

28,453,440

—

United

States

-

0.6%

Stellantis

NV

(1)(b)

272,609

4,822,183

TOTAL

COMMON

STOCKS

(Cost

$27,591,905)

33,468,591

SHORT-TERM

INVESTMENTS

-

84.2%

INVESTMENT

COMPANIES

-

37.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

30,196,289

30,196,289

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(d)(f)

250,682,760

250,607,555

TOTAL

INVESTMENT

COMPANIES

(Cost

$280,791,085)

280,803,844

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.6%

U.S.

Treasury

Bills

0.11%,

4/8/2021

(g)(h)

$

49,111,000

49,110,927

0.12%,

4/15/2021

(g)

4,752,000

4,751,972

0.12%,

4/22/2021

(g)

11,924,000

11,923,913

0.11%,

4/29/2021

(g)(i)

31,625,000

31,624,723

0.11%,

5/6/2021

(g)(h)

16,003,000

16,002,728

0.11%,

5/13/2021

(g)(h)

33,207,000

33,206,128

0.10%,

5/20/2021

(g)(h)

7,646,000

7,645,818

0.09%,

5/27/2021

(g)(h)

13,729,000

13,728,680

0.09%,

7/15/2021

(g)(h)

4,697,000

4,696,812

0.10%,

7/22/2021

(g)(h)

10,874,000

10,873,493

0.09%,

7/29/2021

(g)(h)

12,011,000

12,010,256

0.05%,

8/12/2021

(g)(h)

6,453,000

6,452,428

0.06%,

8/19/2021

(g)(h)

6,022,000

6,021,438

0.05%,

8/26/2021

(g)(h)

14,111,000

14,109,632

0.06%,

9/9/2021

(g)(h)

54,417,000

54,410,915

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

46.6%

(continued)

0.06%,

9/16/2021

(g)(h)

$

45,419,000

45,413,383

0.04%,

9/23/2021

(g)(h)

26,306,000

26,302,036

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$348,248,909)

348,285,282

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$629,039,994)

629,089,126

TOTAL

LONG

POSITIONS

(Cost

$656,631,899)

662,557,717

SHARES

SHORT

POSITIONS

-

(5.2)%

COMMON

STOCKS

-

(5.2)%

Canada

-

(0.5)%

SNC-Lavalin

Group,

Inc.

(1)

(183,293)

(3,923,436)

Italy

-

(4.0)%

Amplifon

SpA

(79,570)

(2,960,852)

Atlantia

SpA

*

(74,827)

(1,400,330)

Davide

Campari-Milano

NV

(385,642)

(4,316,326)

Enel

SpA

(58,978)

(586,675)

Eni

SpA

(31,152)

(383,862)

Ferrari

NV

(19,478)

(4,074,476)

FinecoBank

Banca

Fineco

SpA

*

(58,943)

(964,295)

Freni

Brembo

SpA

*

(83,334)

(1,037,311)

Infrastrutture

Wireless

Italiane

SpA

(c)

(210,545)

(2,344,914)

Moncler

SpA

*

(30,004)

(1,718,293)

Nexi

SpA

*(c)

(156,969)

(2,738,678)

Pirelli

&

C

SpA

*(c)

(47,145)

(276,386)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(33,575)

(1,805,645)

Salvatore

Ferragamo

SpA

*

(28,892)

(553,910)

Snam

SpA

(537,259)

(2,978,528)

UniCredit

SpA

*

(137,837)

(1,455,951)

(29,596,432)

—

Portugal

-

0.0%

(a)

Banco

Espirito

Santo

SA

(Registered)

(3)*(j)

(216,618)

(3)

United

Kingdom

-

(0.4)%

CNH

Industrial

NV

(210,176)

(3,253,567)

United

States

-

(0.3)%

Tenaris

SA

(207,542)

(2,346,878)

TOTAL

COMMON

STOCKS

(Proceeds

$(37,665,210))

(39,120,316)

165

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$33,462,678.

In

addition,

$9,559,101

of

cash

collateral

was

pledged.

(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

March

31,

2021

amounted

to

$(4,693,237),

which

represents

approximately

(0.63)%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

For

the

period

ended

March

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$(258),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(k)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

RIGHTS

-

0.0%

(a)

Italy

-

0.0%

(a)

Snam

SpA,

expiring

4/7/2021

(3)*(j)

(Proceeds

$–)

(248,124)

(255)

TOTAL

SHORT

POSITIONS

(Proceeds

$(37,665,210))

(39,120,571)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

83.5%

(Cost

$618,966,689)

623,437,146

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

16.5%

(k)

123,188,492

NET

ASSETS

-

100.0%

746,625,638

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,062,033)

(0.3)

%

Consumer

Discretionary

(2,645,225)

(0.4)

Consumer

Staples

(4,316,326)

(0.6)

Energy

(1,525,884)

(0.2)

Financials

6,995,602

0.9

Health

Care

(4,074,498)

(0.5)

Industrials

(4,058,080)

(0.5)

Information

Technology

(2,738,678)

(0.4)

Materials

3,445,584

0.5

Utilities

5,327,558

0.8

Short-Term

Investments

629,089,126

84.2

Total

Investments

In

Securities

At

Value

623,437,146

83.5

Other

Assets

in

Excess

of

Liabilities

(k)

123,188,492

16.5

Net

Assets

$

746,625,638

100.0%

Affiliate

Value

At

12/31/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2021

Shares

Held

At

3/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

33.6%

INVESTMENT

COMPANIES

-

33.6%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(a)

(Cost

$250,594,796)

$182,233,410

$375,384,407

$(307,031,996)

$(3,028)

$24,762

$250,607,555

250,682,760

$8,335

$–

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

(3)

Level

3

security.

166

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2021:

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

3M

BA

Qtrly

0.75%

Semi

6/14/2023

CAD

19,100,000

$

26,863

$

(9,300)

$

17,563

Pay

6M

BBR

Semi

2.00%

Semi

9/11/2031

AUD

3,800,000

18,919

(14,720)

4,199

Receive

3M

BA

Qtrly

1.25%

Qtrly

6/16/2031

CAD

4,200,000

8,060

269,401

277,461

Receive

3M

BA

Qtrly

1.25%

Qtrly

9/15/2031

CAD

65,900,000

3,713,392

945,071

4,658,463

Receive

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

49,100,000

91,097

62,319

153,416

Receive

3M

BBR

Qtrly

0.00%

Qtrly

9/07/2023

AUD

76,500,000

196,105

122,676

318,781

Receive

3M

LIBOR

Qtrly

0.25%

Qtrly

6/16/2023

USD

88,300,000

(51,978)

185,838

133,860

Receive

3M

LIBOR

Qtrly

0.25%

Qtrly

9/15/2023

USD

105,100,000

127,983

204,213

332,196

Receive

6M

EURIBOR

Semi

0.75%

Annual

9/15/2023

EUR

154,900,000

974,454

49,430

1,023,884

Receive

6M

EURIBOR

Semi

0.5%

Semi

9/15/2023

EUR

213,200,000

245,730

(100,976)

144,754

Receive

6M

LIBOR

Semi

0.50%

Semi

6/16/2031

GBP

115,700,000

238,419

8,933,717

9,172,136

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2031

GBP

29,400,000

1,943,106

1,368,598

3,311,704

Receive

6M

LIBOR

Semi

0.25%

Semi

9/15/2031

GBP

60,700,000

6,509,829

610,029

7,119,858

Receive

6M

LIBOR

Semi

1.00%

Semi

9/15/2031

GBP

2,800,000

19,544

29,208

48,752

14,061,523

12,655,504

26,717,027

Pay

3M

BA

Qtrly

0.75%

Semi

9/13/2023

CAD

281,400,000

(225,115)

(44,281)

(269,396)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

22,000,000

(723,366)

(1,507,372)

(2,230,738)

Pay

3M

LIBOR

Qtrly

1.00%

Semi

9/15/2031

USD

20,800,000

(1,139,879)

(597,147)

(1,737,026)

Pay

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

10,700,000

(407,208)

(281,226)

(688,434)

Pay

6M

BBR

Semi

1.50%

Semi

9/11/2031

AUD

56,200,000

(1,118,171)

(802,626)

(1,920,797)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/15/2031

EUR

75,600,000

(2,863,734)

(554,344)

(3,418,078)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2023

GBP

131,800,000

(689,588)

(548,316)

(1,237,904)

Pay

6M

LIBOR

Semi

0.25%

Semi

6/16/2023

GBP

543,400,000

1,290,277

(2,653,638)

(1,363,361)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/15/2023

GBP

293,800,000

(2,939,320)

(406,447)

(3,345,767)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

6,354,100,000

(663,695)

(206,123)

(869,818)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/17/2031

JPY

7,489,400,000

(1,274,036)

163,685

(1,110,351)

Receive

3M

BBR

Qtrly

0.50%

Qtrly

9/07/2023

AUD

185,300,000

(697,204)

67,606

(629,598)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

31,239,100,000

(260,389)

92,520

(167,869)

Receive

6M

LIBOR

Semi

0.00%

Semi

9/20/2023

JPY

36,740,600,000

(203,250)

29,002

(174,248)

(11,914,678)

(7,248,707)

(19,163,385)

$

2,146,845

$

5,406,797

$

7,553,642

Abbreviations:

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2021

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.04%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.44%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.19%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.09%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.51

%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

167

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

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)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/14/2021

BRL

(37,878,425)

$

169,984

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/14/2021

BRL

(26,806,270)

113,647

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/29/2021

USD

(1,681,044)

10,147

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

USD

(1,622,060)

9,599

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

34,913,025

1,494,582

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/18/2021

CHF

16,173,440

343,172

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/18/2021

CHF

84,473,440

1,872,484

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/21/2021

TWD

52,553,600

27,815

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2021

TWD

683,196,800

365,593

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.55%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

USD

1,947,606

27,330

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

EUR

529,589

23,190

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(-0.40%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

MXN

33,185,084

3,056

168

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.19%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

EUR

34,518,339

$

3,294,191

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

SEK

28,847,027

172,873

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.38%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

CHF

43,716,206

1,409,592

9,337,255

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2021

TRY

11,364,930

(62,320)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/17/2021

ZAR

(250,520)

(292)

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/23/2021

USD

(33,691,788)

(579,044)

Tel

Aviv

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2021

ILS

(17,811,282)

(51,321)

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

CITI

06/16/2021

AUD

(12,687,629)

(55,617)

MSCI

Poland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

WIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/18/2021

PLN

743,735

(1,587)

169

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

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

(-0.39%)

Monthly

CITI

06/16/2021

EUR

(53,567,707)

$

(728,852)

MSCI

Israel

Daily

Net

Total

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

(-0.75%)

Monthly

JPMC

06/16/2021

USD

(249,416)

(4,396)

(1,483,429)

$

7,853,826

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

458

4/2021

USD

$

28,734,920

$

(1,736,863)

CAC

40

10

Euro

Index

848

4/2021

EUR

60,323,313

409,587

FTSE

Bursa

Malaysia

KLCI

Index

136

4/2021

MYR

2,577,981

(46,981)

LME

Copper

Base

Metal

9

4/2021

USD

1,977,431

179,692

LME

Copper

Base

Metal

11

4/2021

USD

2,416,942

170,163

LME

Copper

Base

Metal

15

4/2021

USD

3,295,616

277,952

LME

Copper

Base

Metal

21

4/2021

USD

4,613,569

444,226

OMXS30

Index

1,332

4/2021

SEK

33,359,291

486,235

SGX

FTSE

Taiwan

Index

309

4/2021

USD

17,903,460

191,863

WTI

Crude

Oil

311

4/2021

USD

18,398,760

(1,285,855)

Corn

935

5/2021

USD

26,378,688

932,089

LME

Copper

Base

Metal

1

5/2021

USD

219,608

(10,645)

LME

Copper

Base

Metal

6

5/2021

USD

1,318,425

25,372

LME

Copper

Base

Metal

14

5/2021

USD

3,076,017

308,268

LME

Copper

Base

Metal

26

5/2021

USD

5,712,525

680,157

3

Month

Canadian

Bankers

Acceptance

58

6/2021

CAD

11,485,657

(2,648)

3

Month

Sterling

616

6/2021

GBP

106,051,356

(20,421)

Australia

10

Year

Bond

1,229

6/2021

AUD

128,927,953

(477,214)

Canada

10

Year

Bond

2,084

6/2021

CAD

230,123,880

(7,453,486)

DAX

Index

41

6/2021

EUR

18,065,121

553,848

FTSE/MIB

Index

570

6/2021

EUR

81,529,506

1,284,694

Japan

10

Year

Bond

487

6/2021

JPY

664,844,616

1,203,011

LME

Copper

Base

Metal

1

6/2021

USD

219,638

(1,190)

LME

Copper

Base

Metal

4

6/2021

USD

878,425

(28,986)

LME

Copper

Base

Metal

6

6/2021

USD

1,317,638

(36,803)

LME

Copper

Base

Metal

6

6/2021

USD

1,317,938

(47,978)

LME

Copper

Base

Metal

8

6/2021

USD

1,757,650

(52,580)

LME

Copper

Base

Metal

9

6/2021

USD

1,976,456

(67,355)

LME

Copper

Base

Metal

9

6/2021

USD

1,977,309

(44,115)

LME

Copper

Base

Metal

12

6/2021

USD

2,635,425

4,543

170

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

15

6/2021

USD

$

3,295,568

$

(42,511)

LME

Copper

Base

Metal

18

6/2021

USD

3,954,488

(41,097)

LME

Copper

Base

Metal

23

6/2021

USD

5,052,956

(110,729)

MEX

BOLSA

Index

20

6/2021

MXN

459,062

(2,756)

TOPIX

Index

1,012

6/2021

JPY

178,590,923

4,803,793

U.S.

Treasury

10

Year

Note

2,006

6/2021

USD

262,660,625

(1,115,917)

3

Month

Canadian

Bankers

Acceptance

466

9/2021

CAD

92,262,772

7,871

3

Month

Sterling

3,263

9/2021

GBP

561,762,299

(84,847)

3

Month

Canadian

Bankers

Acceptance

444

12/2021

CAD

87,871,688

6,550

3

Month

Sterling

3,326

12/2021

GBP

572,407,857

(141,791)

3

Month

Canadian

Bankers

Acceptance

357

3/2022

CAD

70,639,383

48,760

3

Month

Sterling

2,770

3/2022

GBP

476,361,707

(52,240)

(886,334)

Short

Contracts

Hang

Seng

Index

(3)

4/2021

HKD

(546,353)

3,455

HSCEI

(127)

4/2021

HKD

(8,938,404)

52,755

IBEX

35

Index

(805)

4/2021

EUR

(81,060,467)

571,524

LME

Copper

Base

Metal

(9)

4/2021

USD

(1,977,431)

(182,006)

LME

Copper

Base

Metal

(11)

4/2021

USD

(2,416,942)

(176,489)

LME

Copper

Base

Metal

(15)

4/2021

USD

(3,295,616)

(270,227)

LME

Copper

Base

Metal

(21)

4/2021

USD

(4,613,569)

(448,047)

MSCI

Singapore

Index

(110)

4/2021

SGD

(2,927,037)

(4,817)

Natural

Gas

(475)

4/2021

USD

(12,388,000)

449,154

SGX

NIFTY

50

Index

(175)

4/2021

USD

(5,161,100)

21,903

LME

Copper

Base

Metal

(1)

5/2021

USD

(219,608)

10,638

LME

Copper

Base

Metal

(6)

5/2021

USD

(1,318,425)

(27,137)

LME

Copper

Base

Metal

(14)

5/2021

USD

(3,076,017)

(308,559)

LME

Copper

Base

Metal

(26)

5/2021

USD

(5,712,525)

(677,617)

Silver

(29)

5/2021

USD

(3,557,140)

429,002

100

oz

Gold

(570)

6/2021

USD

(97,789,200)

1,019,743

3

Month

Euro

Euribor

(650)

6/2021

EUR

(191,592,796)

29,605

3

Month

Eurodollar

(91)

6/2021

USD

(22,710,188)

2,121

ASX

90

Day

Bank

Accepted

Bill

(137)

6/2021

AUD

(104,045,523)

1,820

EURO

STOXX

50

Index

(493)

6/2021

EUR

(22,350,935)

(484,138)

Euro-Bund

(1,907)

6/2021

EUR

(383,040,131)

894,386

FTSE

100

Index

(1,046)

6/2021

GBP

(96,319,433)

317,285

FTSE/JSE

Top

40

Index

(111)

6/2021

ZAR

(4,600,935)

(94,646)

LME

Copper

Base

Metal

(1)

6/2021

USD

(219,638)

926

LME

Copper

Base

Metal

(4)

6/2021

USD

(878,425)

24,448

LME

Copper

Base

Metal

(6)

6/2021

USD

(1,317,638)

42,922

LME

Copper

Base

Metal

(6)

6/2021

USD

(1,317,938)

47,683

LME

Copper

Base

Metal

(8)

6/2021

USD

(1,757,650)

51,329

LME

Copper

Base

Metal

(9)

6/2021

USD

(1,976,456)

62,649

LME

Copper

Base

Metal

(9)

6/2021

USD

(1,977,309)

29,906

LME

Copper

Base

Metal

(12)

6/2021

USD

(2,635,425)

(7,759)

LME

Copper

Base

Metal

(15)

6/2021

USD

(3,295,568)

60,643

LME

Copper

Base

Metal

(18)

6/2021

USD

(3,954,488)

44,779

LME

Copper

Base

Metal

(72)

6/2021

USD

(15,817,950)

319,011

Long

Gilt

(1,592)

6/2021

GBP

(280,025,757)

2,332,272

S&P

500

E-Mini

Index

(596)

6/2021

USD

(118,228,520)

(1,096,431)

S&P/TSX

60

Index

(132)

6/2021

CAD

(23,341,323)

41,931

SET50

Index

(1,209)

6/2021

THB

(7,467,558)

(31,486)

SPI

200

Index

(798)

6/2021

AUD

(102,525,350)

629,987

3

Month

Euro

Euribor

(2,333)

9/2021

EUR

(687,670,759)

16,291

3

Month

Eurodollar

(418)

9/2021

USD

(104,301,450)

4,982

ASX

90

Day

Bank

Accepted

Bill

(754)

9/2021

AUD

(572,587,752)

37,595

171

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euro

Euribor

(2,378)

12/2021

EUR

$

(700,969,734)

$

17,490

3

Month

Eurodollar

(414)

12/2021

USD

(103,225,725)

28,367

ASX

90

Day

Bank

Accepted

Bill

(773)

12/2021

AUD

(586,958,477)

64,709

3

Month

Euro

Euribor

(1,979)

3/2022

EUR

(583,297,366)

(32,572)

3

Month

Eurodollar

(301)

3/2022

USD

(75,073,163)

20,027

ASX

90

Day

Bank

Accepted

Bill

(639)

3/2022

AUD

(485,173,001)

32,145

3,871,552

$

2,985,218

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

12,700,000

USD

2,223,275

CITI

**

6/16/2021

$

21,482

BRL

12,700,000

USD

2,223,278

JPMC

**

6/16/2021

21,479

CAD

28,141,750

USD

22,243,180

CITI

6/16/2021

152,296

CAD

28,141,750

USD

22,243,208

JPMC

6/16/2021

152,267

CNY

29,667,000

USD

4,487,350

CITI

**

6/16/2021

6,845

CNY

29,667,000

USD

4,487,356

JPMC

**

6/16/2021

6,840

INR

207,984,131

USD

2,793,435

CITI

**

6/16/2021

15,844

INR

207,984,129

USD

2,793,438

JPMC

**

6/16/2021

15,841

KRW

5,100,000,000

USD

4,491,393

CITI

**

6/16/2021

31,175

KRW

5,100,000,000

USD

4,491,380

JPMC

**

6/16/2021

31,188

MXN

524,567,171

USD

25,067,847

CITI

6/16/2021

390,906

MXN

524,567,170

USD

25,067,879

JPMC

6/16/2021

390,874

NOK

95,948,500

USD

11,135,305

CITI

6/16/2021

82,164

NOK

95,948,500

USD

11,132,546

JPMC

6/16/2021

84,922

TWD

395,500

USD

13,971

CITI

**

6/16/2021

29

TWD

395,500

USD

13,971

JPMC

**

6/16/2021

29

USD

8,334,055

AUD

10,556,000

CITI

6/16/2021

313,691

USD

8,334,045

AUD

10,556,000

JPMC

6/16/2021

313,680

USD

16,984,578

BRL

93,683,139

CITI

**

6/16/2021

425,854

USD

16,984,556

BRL

93,683,135

JPMC

**

6/16/2021

425,833

USD

9,060,986

CAD

11,316,332

CITI

6/16/2021

55,341

USD

9,060,974

CAD

11,316,331

JPMC

6/16/2021

55,330

USD

77,620,910

CHF

70,282,668

CITI

6/16/2021

3,110,036

USD

77,625,031

CHF

70,282,663

JPMC

6/16/2021

3,114,162

USD

16,950,081

CNY

110,653,500

CITI

**

6/16/2021

187,401

USD

16,950,060

CNY

110,653,500

JPMC

**

6/16/2021

187,380

USD

881,826

DKK

5,386,212

CITI

6/16/2021

31,612

USD

881,825

DKK

5,386,211

JPMC

6/16/2021

31,611

USD

31,757,712

EUR

26,317,834

CITI

6/16/2021

846,784

USD

31,757,662

EUR

26,317,825

JPMC

6/16/2021

846,744

USD

36,936,275

GBP

26,470,003

CITI

6/16/2021

436,523

USD

36,936,220

GBP

26,469,997

JPMC

6/16/2021

436,477

USD

7,671,872

HUF

2,294,500,000

CITI

6/16/2021

250,038

USD

7,671,862

HUF

2,294,500,000

JPMC

6/16/2021

250,029

USD

16,485,582

ILS

54,196,547

CITI

6/16/2021

257,806

USD

16,485,560

ILS

54,196,544

JPMC

6/16/2021

257,785

USD

2,641,906

INR

195,000,000

CITI

**

6/16/2021

8,007

USD

2,641,903

INR

195,000,000

JPMC

**

6/16/2021

8,003

USD

6,451,462

KRW

7,189,834,480

CITI

**

6/16/2021

75,675

172

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

6,451,454

KRW

7,189,834,480

JPMC

**

6/16/2021

$

75,667

USD

48,694,668

NOK

411,427,609

CITI

6/16/2021

594,114

USD

48,694,606

NOK

411,427,606

JPMC

6/16/2021

594,052

USD

20,019,756

NZD

27,610,072

CITI

6/16/2021

740,305

USD

20,019,730

NZD

27,610,071

JPMC

6/16/2021

740,280

USD

10,769,803

PLN

40,799,998

CITI

6/16/2021

441,939

USD

10,769,790

PLN

40,799,998

JPMC

6/16/2021

441,926

USD

2,720

SEK

22,728

CITI

6/16/2021

115

USD

2,719

SEK

22,725

JPMC

6/16/2021

115

USD

6,081,250

SGD

8,150,000

CITI

6/16/2021

24,743

USD

6,081,242

SGD

8,150,000

JPMC

6/16/2021

24,735

USD

2,708,781

TWD

74,637,004

CITI

**

6/16/2021

66,755

USD

2,708,777

TWD

74,636,996

JPMC

**

6/16/2021

66,752

USD

33,617

ZAR

500,000

CITI

6/17/2021

74

USD

33,616

ZAR

500,000

JPMC

6/17/2021

74

ZAR

192,000,000

USD

12,674,011

CITI

6/17/2021

206,371

ZAR

192,000,000

USD

12,674,027

JPMC

6/17/2021

206,356

Total

unrealized

appreciation

17,554,356

AUD

51,314,995

USD

40,272,752

CITI

6/16/2021

(1,284,031)

AUD

51,314,994

USD

40,272,802

JPMC

6/16/2021

(1,284,078)

BRL

58,150,000

USD

10,471,254

CITI

**

6/16/2021

(193,099)

BRL

58,150,000

USD

10,471,267

JPMC

**

6/16/2021

(193,112)

CAD

17,860,250

USD

14,290,381

CITI

6/16/2021

(77,021)

CAD

17,860,250

USD

14,290,399

JPMC

6/16/2021

(77,040)

CNY

110,512,500

USD

16,883,886

CITI

**

6/16/2021

(142,568)

CNY

110,512,500

USD

16,883,907

JPMC

**

6/16/2021

(142,588)

EUR

85,222,152

USD

103,609,533

CITI

6/16/2021

(3,514,069)

EUR

85,222,135

USD

103,609,642

JPMC

6/16/2021

(3,514,196)

GBP

27,370,128

USD

38,314,927

CITI

6/16/2021

(573,985)

GBP

27,370,121

USD

38,314,965

JPMC

6/16/2021

(574,031)

ILS

1,241,503

USD

374,856

CITI

6/16/2021

(3,120)

ILS

1,241,497

USD

374,855

JPMC

6/16/2021

(3,120)

INR

460,640,217

USD

6,253,884

CITI

**

6/16/2021

(31,934)

INR

460,640,213

USD

6,253,892

JPMC

**

6/16/2021

(31,943)

JPY

9,686,368,179

USD

91,193,916

CITI

6/16/2021

(3,652,484)

JPY

9,686,368,177

USD

91,194,030

JPMC

6/16/2021

(3,652,599)

KRW

700,000,000

USD

621,187

CITI

**

6/16/2021

(442)

KRW

700,000,000

USD

621,188

JPMC

**

6/16/2021

(443)

NOK

86,521,760

USD

10,238,341

CITI

6/16/2021

(122,966)

NOK

86,521,757

USD

10,238,353

JPMC

6/16/2021

(122,980)

SEK

77,255,093

USD

9,193,833

CITI

6/16/2021

(341,942)

SEK

77,255,092

USD

9,193,844

JPMC

6/16/2021

(341,954)

SGD

10,527,751

USD

7,926,883

CITI

6/16/2021

(103,398)

SGD

10,527,750

USD

7,926,893

JPMC

6/16/2021

(103,408)

TWD

226,879,159

USD

8,250,335

CITI

**

6/16/2021

(219,189)

TWD

226,879,157

USD

8,250,345

JPMC

**

6/16/2021

(219,201)

USD

3,265,742

BRL

18,844,380

CITI

**

6/16/2021

(65,048)

USD

3,265,738

BRL

18,844,380

JPMC

**

6/16/2021

(65,052)

USD

27,017,615

CAD

34,120,996

CITI

6/16/2021

(136,201)

USD

27,017,577

CAD

34,120,991

JPMC

6/16/2021

(136,235)

USD

354,888

HUF

110,000,000

CITI

6/16/2021

(920)

USD

354,887

HUF

110,000,000

JPMC

6/16/2021

(921)

USD

1,079,584

INR

80,000,000

CITI

**

6/16/2021

(990)

USD

1,079,583

INR

80,000,000

JPMC

**

6/16/2021

(991)

USD

6,272,617

KRW

7,100,000,000

CITI

**

6/16/2021

(23,507)

USD

6,272,609

KRW

7,100,000,000

JPMC

**

6/16/2021

(23,515)

USD

2,727,552

MXN

57,000,000

CITI

6/16/2021

(38,822)

USD

2,727,549

MXN

57,000,000

JPMC

6/16/2021

(38,825)

173

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,938,043

NOK

16,618,350

CITI

6/16/2021

$

(4,831)

USD

1,938,040

NOK

16,618,350

JPMC

6/16/2021

(4,833)

USD

893,921

PLN

3,550,000

CITI

6/16/2021

(4,704)

USD

893,920

PLN

3,550,000

JPMC

6/16/2021

(4,706)

USD

2,563,584

SGD

3,450,000

CITI

6/16/2021

(214)

USD

2,563,581

SGD

3,450,000

JPMC

6/16/2021

(217)

USD

2,306,007

TWD

65,207,500

CITI

**

6/16/2021

(2,230)

USD

2,306,004

TWD

65,207,500

JPMC

**

6/16/2021

(2,233)

ZAR

41,500,000

USD

2,816,508

CITI

6/17/2021

(32,467)

ZAR

41,500,000

USD

2,816,512

JPMC

6/17/2021

(32,471)

Total

unrealized

depreciation

(21,140,874)

Net

unrealized

depreciation

$

(3,586,518)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2021

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.90%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

04/26/2021

-

04/25/2022

$557,252,524

$3,090,561

$15,477,751

$18,568,312

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

Acuity

Brands,

Inc.

24,761

4,085,565

691,327

3.7

AGCO

Corp.

19,590

2,814,104

54,656

0.3

Alphabet,

Inc.

2,482

5,119,175

74,609

0.4

Amdocs

Ltd.

43,010

3,017,152

(432,681)

(2.3)

Applied

Materials,

Inc.

22,280

2,976,608

309,246

1.7

AutoNation,

Inc.

48,850

4,553,797

158,274

0.9

Cerner

Corp.

76,290

5,483,725

(30,516)

(0.2)

Cummins,

Inc.

10,911

2,827,149

(22,586)

(0.1)

Dick's

Sporting

Goods,

Inc.

43,580

3,318,617

(17,868)

(0.1)

eBay,

Inc.

46,602

2,853,906

146,796

0.8

Facebook,

Inc.

24,421

7,192,717

385,608

2.1

Fortune

Brands

Home

&

Security,

Inc.

40,011

3,833,854

203,656

1.1

Huntington

Ingalls

Industries,

Inc.

17,718

3,647,250

101,170

0.5

Intel

Corp.

58,739

3,759,296

116,303

0.6

174

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Interpublic

Group

of

Cos.,

Inc.

(The)

115,931

3,385,185

77,674

0.4

Micron

Technology,

Inc.

39,973

3,526,018

164,689

0.9

Molina

Healthcare,

Inc.

12,386

2,895,351

(3,468)

(0.0)

Murphy

USA,

Inc.

20,977

3,032,435

(4,405)

(0.0)

Owens

Corning

35,359

3,256,210

83,801

0.5

Penske

Automotive

Group,

Inc.

37,129

2,979,231

33,416

0.2

Quidel

Corp.

28,785

3,682,465

51,813

0.3

Qurate

Retail,

Inc.

391,317

4,601,888

3,913

0.0

Regal

Beloit

Corp.

28,575

4,077,081

(34,290)

(0.2)

Target

Corp.

18,922

3,747,881

101,611

0.5

Timken

Co.

(The)

35,766

2,903,126

23,248

0.1

Universal

Health

Services,

Inc.

22,618

3,017,015

(47,724)

(0.3)

Veeva

Systems,

Inc.

14,199

3,709,347

168,542

0.9

World

Fuel

Services

Corp.

115,826

4,077,075

32,431

0.2

Yelp,

Inc.

95,861

3,738,579

58,475

0.3

Short

Positions

Common

Stocks

United

States

APA

Corp.

(209,083)

(3,742,586)

91,997

0.5

Armstrong

World

Industries,

Inc.

(50,735)

(4,570,716)

16,743

0.1

Boeing

Co.

(The)

(24,859)

(6,332,084)

(187,188)

(1.0)

Carvana

Co.

(11,415)

(2,995,296)

(68,947)

(0.4)

Cheniere

Energy,

Inc.

(48,567)

(3,497,310)

22,341

0.1

Covetrus,

Inc.

(137,001)

(4,105,920)

78,091

0.4

Cree,

Inc.

(30,421)

(3,289,423)

(163,969)

(0.9)

Dexcom,

Inc.

(7,846)

(2,819,774)

(87,875)

(0.5)

General

Electric

Co.

(318,373)

(4,180,237)

(89,144)

(0.5)

Guardant

Health,

Inc.

(23,857)

(3,641,771)

(434,555)

(2.3)

HealthEquity,

Inc.

(45,159)

(3,070,812)

82,641

0.4

Hess

Corp.

(96,589)

(6,834,638)

(174,826)

(0.9)

Marathon

Petroleum

Corp.

(61,135)

(3,270,111)

23,843

0.1

Nordstrom,

Inc.

(112,775)

(4,270,789)

(48,493)

(0.3)

Occidental

Petroleum

Corp.

(135,061)

(3,595,324)

10,805

0.1

Resideo

Technologies,

Inc.

(110,756)

(3,128,857)

–

0.0

Sabre

Corp.

(191,348)

(2,833,864)

24,875

0.1

Schlumberger

NV

(119,182)

(3,240,559)

25,028

0.1

Spirit

AeroSystems

Holdings,

Inc.

(69,115)

(3,362,445)

16,588

0.1

Sunrun,

Inc.

(85,668)

(5,181,201)

(640,797)

(3.5)

Trex

Co.,

Inc.

(47,716)

(4,367,923)

(94,955)

(0.5)

175

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.07%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-61

months

maturity

ranging

from

04/01/2021

-

03/13/2026

$103,893,297

$157,433

$442,191

$599,624

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

AGL

Energy

Ltd.

832,617

6,120,801

(72,656)

(12.1)

Ampol

Ltd.

30,276

566,783

16,182

2.7

Ansell

Ltd.

55,186

1,649,781

184,729

30.8

Aristocrat

Leisure

Ltd.

51,791

1,358,770

90,239

15.0

Aurizon

Holdings

Ltd.

525,314

1,561,086

60,350

10.1

Beach

Energy

Ltd.

1,845,491

2,413,150

(68,586)

(11.4)

BlueScope

Steel

Ltd.

207,158

3,056,983

162,471

27.1

Brambles

Ltd.

133,637

1,078,005

57,586

9.6

carsales.com

Ltd.

90,954

1,236,895

(2,004)

(0.3)

Cleanaway

Waste

Management

Ltd.

633,629

1,063,815

(28,823)

(4.8)

Crown

Resorts

Ltd.

115,431

1,034,723

170,193

28.4

Domino's

Pizza

Enterprises

Ltd.

9,694

711,508

43,474

7.3

Fortescue

Metals

Group

Ltd.

366,119

5,579,874

(387,928)

(64.7)

Harvey

Norman

Holdings

Ltd.

961,917

4,204,104

288,404

48.1

Incitec

Pivot

Ltd.

540,975

1,196,964

49,399

8.2

JB

Hi-Fi

Ltd.

119,297

4,708,354

412,594

68.8

Orica

Ltd.

52,585

559,012

31,431

5.2

Qantas

Airways

Ltd.

215,606

836,794

(4,367)

(0.7)

Qube

Holdings

Ltd.

513,721

1,172,766

(7,040)

(1.2)

Tabcorp

Holdings

Ltd.

630,953

2,254,250

21,136

3.5

Treasury

Wine

Estates

Ltd.

71,570

564,117

(42,187)

(7.0)

Wesfarmers

Ltd.

39,436

1,583,696

90,474

15.1

Worley

Ltd.

242,580

1,943,113

(21,124)

(3.5)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(14,816)

(1,157,190)

58,411

9.7

Alumina

Ltd.

(1,293,742)

(1,719,019)

5,777

1.0

AMP

Ltd.

(2,221,543)

(2,141,887)

307,441

51.3

APA

Group

(684,921)

(5,229,741)

(282,213)

(47.1)

Atlas

Arteria

Ltd.

(126,106)

(572,244)

(30,584)

(5.1)

AusNet

Services

(1,173,699)

(1,640,534)

(88,898)

(14.8)

Challenger

Ltd.

(424,108)

(2,066,456)

69,973

11.7

CIMIC

Group

Ltd.

(69,125)

(925,708)

50,916

8.5

Cochlear

Ltd.

(6,903)

(1,110,382)

(37,598)

(6.3)

176

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Commonwealth

Bank

of

Australia

(15,202)

(997,476)

2,542

0.4

CSL

Ltd.

(9,756)

(1,971,725)

(94,258)

(15.7)

Insurance

Australia

Group

Ltd.

(958,948)

(3,416,096)

(38,253)

(6.4)

Magellan

Financial

Group

Ltd.

(27,658)

(954,636)

(47,396)

(7.9)

Medibank

Pvt

Ltd.

(1,833,621)

(3,908,355)

49,428

8.2

Oil

Search

Ltd.

(876,581)

(2,740,704)

207,416

34.6

OZ

Minerals

Ltd.

(72,121)

(1,257,965)

(56,224)

(9.4)

QBE

Insurance

Group

Ltd.

(395,136)

(2,893,787)

35,377

5.9

Ramsay

Health

Care

Ltd.

(22,409)

(1,144,563)

(49,114)

(8.2)

REA

Group

Ltd.

(5,709)

(617,792)

(28,490)

(4.8)

SEEK

Ltd.

(103,661)

(2,259,479)

(182,345)

(30.4)

Seven

Group

Holdings

Ltd.

(47,271)

(811,915)

(33,625)

(5.6)

Sydney

Airport

(426,477)

(2,015,206)

(64,362)

(10.7)

Transurban

Group

(205,567)

(2,089,839)

(107,010)

(17.8)

Westpac

Banking

Corp.

(43,514)

(807,139)

16,910

2.8

Woolworths

Group

Ltd.

(40,264)

(1,253,992)

(54,696)

(9.1)

New

Zealand

Xero

Ltd.

(10,724)

(1,037,932)

(123,861)

(20.7)

United

States

James

Hardie

Industries

plc

(105,586)

(3,191,192)

(228,017)

(38.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.10%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-61

months

maturity

ranging

from

01/13/2025

-

03/20/2026

$65,242,563

$(482,290)

$(32,716)

$(515,006)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

471,000

1,647,745

(78,726)

15.3

Hong

Kong

CK

Asset

Holdings

Ltd.

619,500

3,771,256

49,336

(9.6)

CLP

Holdings

Ltd.

217,000

2,112,863

41,519

(8.1)

Henderson

Land

Development

Co.

Ltd.

288,580

1,302,394

34,991

(6.8)

Kerry

Properties

Ltd.

709,500

2,294,552

134,218

(26.1)

Melco

International

Development

Ltd.

637,000

1,300,313

(61,608)

12.0

New

World

Development

Co.

Ltd.

237,000

1,231,139

10,928

(2.1)

NWS

Holdings

Ltd.

597,000

632,895

(69,068)

13.4

Sino

Land

Co.

Ltd.

148,000

206,545

(12,400)

2.4

Sun

Hung

Kai

Properties

Ltd.

156,500

2,369,699

(44,755)

8.7

Swire

Pacific

Ltd.

151,500

1,141,247

64,342

(12.5)

177

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

WH

Group

Ltd.

4,873,500

3,959,382

(524,384)

101.8

Xinyi

Glass

Holdings

Ltd.

260,000

854,124

80,626

(15.7)

Yue

Yuen

Industrial

Holdings

Ltd.

958,000

2,395,782

86,676

(16.8)

Macau

Galaxy

Entertainment

Group

Ltd.

15,000

135,605

(4,579)

0.9

SJM

Holdings

Ltd.

563,000

738,817

(1,325)

0.3

United

Kingdom

CK

Hutchison

Holdings

Ltd.

828,500

6,619,145

(117,970)

22.9

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(734,900)

(2,199,827)

(10,454)

2.0

ESR

Cayman

Ltd.

(482,000)

(1,585,264)

(108,927)

21.2

SITC

International

Holdings

Co.

Ltd.

(353,000)

(1,201,367)

(151,820)

29.5

Hong

Kong

AIA

Group

Ltd.

(374,400)

(4,581,447)

224,705

(43.6)

ASM

Pacific

Technology

Ltd.

(26,600)

(340,419)

(25,331)

4.9

Hang

Lung

Properties

Ltd.

(579,000)

(1,511,331)

(93,349)

18.1

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(488,000)

(484,874)

1,926

(0.4)

HKT

Trust

&

HKT

Ltd.

(176,000)

(251,216)

2,463

(0.5)

Hong

Kong

&

China

Gas

Co.

Ltd.

(5,201,920)

(8,248,107)

(303,007)

58.8

Man

Wah

Holdings

Ltd.

(600,400)

(1,248,758)

(61,088)

11.9

MTR

Corp.

Ltd.

(315,012)

(1,791,624)

173,967

(33.8)

Power

Assets

Holdings

Ltd.

(82,000)

(485,357)

(14,935)

2.9

Swire

Properties

Ltd.

(497,000)

(1,542,684)

55,681

(10.8)

Techtronic

Industries

Co.

Ltd.

(41,500)

(711,468)

(50,199)

9.7

Vitasoy

International

Holdings

Ltd.

(488,000)

(1,878,389)

121,010

(23.5)

Wharf

Real

Estate

Investment

Co.

Ltd.

(665,000)

(3,739,544)

161,429

(31.3)

Macau

Sands

China

Ltd.

(69,200)

(346,839)

(2,634)

0.5

Wynn

Macau

Ltd.

(195,600)

(380,545)

10,452

(2.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.41%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-61

months

maturity

ranging

from

01/14/2025

-

03/25/2026

$588,500,851

$1,527,486

$1,621,180

$3,148,666

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

178

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

200,900

8,432,790

718,857

22.8

Alfresa

Holdings

Corp.

176,000

3,397,930

170,283

5.4

Brother

Industries

Ltd.

191,200

4,246,634

107,002

3.4

Haseko

Corp.

294,300

4,116,399

314,987

10.0

Kajima

Corp.

329,300

4,683,744

178,731

5.7

KDDI

Corp.

109,600

3,376,852

41,324

1.3

Mitsubishi

Gas

Chemical

Co.,

Inc.

133,300

3,278,878

215,323

6.8

Mitsui

Chemicals,

Inc.

142,300

4,503,475

(150,391)

(4.8)

Nippon

Express

Co.

Ltd.

47,000

3,505,821

96,787

3.1

Nippon

Telegraph

&

Telephone

Corp.

226,000

5,831,234

114,497

3.6

Obayashi

Corp.

598,700

5,495,461

89,758

2.9

Osaka

Gas

Co.

Ltd.

287,200

5,604,628

314,207

10.0

Sekisui

House

Ltd.

166,600

3,583,590

206,960

6.6

Shimamura

Co.

Ltd.

36,300

4,194,668

622,535

19.8

Shimizu

Corp.

415,600

3,365,174

56,365

1.8

Sojitz

Corp.

1,634,700

4,618,825

67,697

2.2

Sumitomo

Heavy

Industries

Ltd.

135,500

3,767,592

92,967

3.0

Suntory

Beverage

&

Food

Ltd.

113,800

4,243,680

52,959

1.7

T&D

Holdings,

Inc.

308,500

3,969,662

(31,248)

(1.0)

Taiheiyo

Cement

Corp.

148,100

3,902,354

166,370

5.3

Tokyo

Gas

Co.

Ltd.

244,400

5,444,925

255,985

8.1

Toppan

Printing

Co.

Ltd.

285,900

4,846,931

133,891

4.3

Tosoh

Corp.

229,700

4,399,317

(78,701)

(2.5)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(173,500)

(5,182,461)

(265,296)

(8.4)

Asahi

Intecc

Co.

Ltd.

(119,100)

(3,287,476)

(63,413)

(2.0)

Asics

Corp.

(320,000)

(5,117,198)

96,253

3.1

CyberAgent,

Inc.

(233,200)

(4,209,385)

(866,979)

(27.5)

Daikin

Industries

Ltd.

(20,800)

(4,204,903)

(79,105)

(2.5)

Hamamatsu

Photonics

KK

(59,300)

(3,513,179)

(161,552)

(5.1)

Japan

Airport

Terminal

Co.

Ltd.

(100,200)

(4,941,867)

(314,376)

(10.0)

Kansai

Paint

Co.

Ltd.

(133,500)

(3,570,980)

(211,366)

(6.7)

Keio

Corp.

(52,700)

(3,548,172)

242,328

7.7

Kikkoman

Corp.

(79,900)

(4,764,812)

253,407

8.0

Marui

Group

Co.

Ltd.

(185,000)

(3,486,822)

130,217

4.1

Mitsubishi

Motors

Corp.

(1,474,000)

(4,214,637)

251,349

8.0

MonotaRO

Co.

Ltd.

(142,200)

(3,857,652)

(104,956)

(3.3)

Nippon

Paint

Holdings

Co.

Ltd.

(226,000)

(3,264,271)

66,770

2.1

Nissan

Motor

Co.

Ltd.

(595,500)

(3,326,851)

(18,821)

(0.6)

Odakyu

Electric

Railway

Co.

Ltd.

(158,300)

(4,331,412)

201,149

6.4

Oriental

Land

Co.

Ltd.

(23,400)

(3,521,260)

114,861

3.6

Pan

Pacific

International

Holdings

Corp.

(142,200)

(3,356,548)

(43,534)

(1.4)

Park24

Co.

Ltd.

(252,200)

(4,733,488)

436,333

13.9

Pigeon

Corp.

(145,200)

(5,505,865)

(149,421)

(4.7)

Rakuten

Group,

Inc.

(274,100)

(3,274,633)

(454,231)

(14.4)

Shiseido

Co.

Ltd.

(80,000)

(5,380,335)

447,420

14.2

SoftBank

Group

Corp.

(40,600)

(3,456,588)

246,378

7.8

TOTO

Ltd.

(167,700)

(10,321,267)

(542,515)

(17.2)

Unicharm

Corp.

(88,300)

(3,707,764)

(62,020)

(2.0)

West

Japan

Railway

Co.

(65,600)

(3,639,874)

276,359

8.8

179

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(68,600)

(3,427,411)

(221,820)

(7.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.05%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-61

months

maturity

ranging

from

01/13/2025

-

03/27/2026

$891,747,180

$9,592,795

$(127,729)

$9,465,066

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

United

States

Arrow

Electronics,

Inc.

47,705

5,286,668

353,290

3.7

Berry

Global

Group,

Inc.

73,439

4,509,155

131,521

1.4

Carter's,

Inc.

47,460

4,220,618

68,007

0.7

Deckers

Outdoor

Corp.

16,533

5,462,834

120,695

1.3

HP,

Inc.

140,497

4,460,780

232,059

2.5

Jabil,

Inc.

66,110

3,448,298

453,587

4.8

Jazz

Pharmaceuticals

plc

21,436

3,523,435

24,859

0.3

ManpowerGroup,

Inc.

36,464

3,606,290

(1,644)

(0.0)

MDU

Resources

Group,

Inc.

149,839

4,736,411

169,163

1.8

Molson

Coors

Beverage

Co.

73,296

3,749,090

320,576

3.4

Nu

Skin

Enterprises,

Inc.

98,859

5,228,653

106,060

1.1

PerkinElmer,

Inc.

31,863

4,087,704

72,531

0.8

SYNNEX

Corp.

52,931

6,078,596

918,306

9.7

Thermo

Fisher

Scientific,

Inc.

11,217

5,119,214

69,404

0.7

United

Therapeutics

Corp.

30,461

5,095,211

221,120

2.3

Unum

Group

144,726

4,027,725

(69,249)

(0.7)

Werner

Enterprises,

Inc.

95,372

4,498,697

106,830

1.1

Short

Positions

Common

Stocks

United

States

Adaptive

Biotechnologies

Corp.

(108,645)

(4,374,048)

155,562

1.6

American

Airlines

Group,

Inc.

(170,050)

(4,064,195)

(391,115)

(4.1)

American

Express

Co.

(28,489)

(4,029,484)

79,182

0.8

American

Water

Works

Co.,

Inc.

(29,594)

(4,436,732)

(366,386)

(3.9)

Ball

Corp.

(60,995)

(5,168,716)

66,706

0.7

Beyond

Meat,

Inc.

(34,987)

(4,552,508)

305,110

3.2

Carnival

Corp.

(131,127)

(3,480,111)

120,389

1.3

CenterPoint

Energy,

Inc.

(169,171)

(3,831,723)

(274,188)

(2.9)

180

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

CMS

Energy

Corp.

(76,677)

(4,694,166)

(317,452)

(3.4)

Delta

Air

Lines,

Inc.

(99,256)

(4,792,080)

(65,509)

(0.7)

Dominion

Energy,

Inc.

(78,392)

(5,954,656)

(225,929)

(2.4)

FirstEnergy

Corp.

(126,117)

(4,374,999)

(63,127)

(0.7)

Grocery

Outlet

Holding

Corp.

(122,983)

(4,536,843)

(120,503)

(1.3)

LendingTree,

Inc.

(27,376)

(5,831,088)

538,097

5.7

Liberty

Broadband

Corp.

(26,332)

(3,953,750)

27,606

0.3

Live

Nation

Entertainment,

Inc.

(46,176)

(3,908,798)

104,270

1.1

Lyft,

Inc.

(80,795)

(5,104,628)

(42,827)

(0.5)

Madison

Square

Garden

Sports

Corp.

(24,469)

(4,391,207)

438,330

4.6

New

Jersey

Resources

Corp.

(100,059)

(3,989,352)

40,745

0.4

NextEra

Energy,

Inc.

(59,425)

(4,493,124)

(101,927)

(1.1)

NiSource,

Inc.

(208,858)

(5,035,566)

(434,425)

(4.6)

Norwegian

Cruise

Line

Holdings

Ltd.

(129,581)

(3,575,140)

230,176

2.4

Pure

Storage,

Inc.

(208,614)

(4,493,546)

18,691

0.2

Royal

Gold,

Inc.

(32,201)

(3,465,472)

(47,301)

(0.5)

Spire,

Inc.

(49,902)

(3,687,259)

(83,993)

(0.9)

Terminix

Global

Holdings,

Inc.

(95,550)

(4,554,868)

(4,925)

(0.1)

Tesla,

Inc.

(7,656)

(5,113,672)

61,063

0.6

T-Mobile

US,

Inc.

(33,528)

(4,200,723)

45,676

0.5

Uber

Technologies,

Inc.

(97,979)

(5,340,835)

152,656

1.6

Under

Armour,

Inc.

(173,418)

(3,842,943)

43,354

0.5

Visteon

Corp.

(36,427)

(4,442,273)

12,556

0.1

WEC

Energy

Group,

Inc.

(45,967)

(4,302,052)

(282,929)

(3.0)

Willis

Towers

Watson

plc

(43,563)

(9,970,699)

(108,908)

(1.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-3.46%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

48-62

months

maturity

ranging

from

02/25/2025

-

03/26/2026

$163,861,210

$968,288

$54,244

$1,022,532

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

41,620

1,341,961

(8,706)

(0.9)

Atco

Ltd.

75,014

2,490,319

69,925

6.8

Canadian

Imperial

Bank

of

Commerce

17,094

1,673,762

(29,127)

(2.8)

Canadian

Tire

Corp.

Ltd.

45,517

6,459,017

27,596

2.7

CI

Financial

Corp.

186,917

2,699,565

(81,379)

(8.0)

181

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Empire

Co.

Ltd.

40,370

1,258,611

28,550

2.8

Gibson

Energy,

Inc.

77,411

1,371,802

(30,994)

(3.0)

Hydro

One

Ltd.

89,495

2,084,442

15,041

1.5

iA

Financial

Corp.,

Inc.

41,852

2,275,600

15,162

1.5

IGM

Financial,

Inc.

54,799

1,670,090

(40,426)

(4.0)

Kinross

Gold

Corp.

447,870

2,982,949

(123,955)

(12.1)

Linamar

Corp.

38,659

2,279,180

(121,411)

(11.9)

Magna

International,

Inc.

51,346

4,522,142

(222,345)

(21.7)

Manulife

Financial

Corp.

189,318

4,071,987

7,101

0.7

National

Bank

of

Canada

41,628

2,827,869

(82,716)

(8.1)

Parkland

Corp.

62,436

1,876,011

(91,279)

(8.9)

Quebecor,

Inc.

76,242

2,046,952

(141,056)

(13.8)

Stantec,

Inc.

44,623

1,910,335

(5,417)

(0.5)

TFI

International,

Inc.

34,066

2,553,527

61,274

6.0

Tourmaline

Oil

Corp.

272,496

5,186,683

(26,409)

(2.6)

Yamana

Gold,

Inc.

320,466

1,392,333

(74,471)

(7.3)

Kyrgyzstan

Centerra

Gold,

Inc.

237,149

2,098,430

(413,810)

(40.5)

United

States

BRP,

Inc.

41,394

3,589,325

382,485

37.4

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(43,815)

(1,673,526)

51,304

5.0

Canada

Air

Canada

(265,887)

(5,532,701)

463,564

45.3

Algonquin

Power

&

Utilities

Corp.

(242,039)

(3,834,644)

5,966

0.6

Ballard

Power

Systems,

Inc.

(111,459)

(2,718,404)

95,269

9.3

BCE,

Inc.

(33,643)

(1,518,714)

(9,225)

(0.9)

Boralex,

Inc.

(40,884)

(1,285,697)

(33,553)

(3.3)

Brookfield

Asset

Management,

Inc.

(60,183)

(2,677,035)

34,146

3.3

CAE,

Inc.

(68,149)

(1,941,924)

(34,038)

(3.3)

Cameco

Corp.

(232,250)

(3,851,428)

544,193

53.2

Canada

Goose

Holdings,

Inc.

(105,465)

(4,139,881)

409,326

40.0

Canadian

Utilities

Ltd.

(82,319)

(2,210,108)

(29,560)

(2.9)

Canopy

Growth

Corp.

(52,224)

(1,677,219)

113,048

11.1

CCL

Industries,

Inc.

(59,023)

(3,265,122)

(9,417)

(0.9)

Dollarama,

Inc.

(78,368)

(3,462,236)

(282,199)

(27.6)

Element

Fleet

Management

Corp.

(270,948)

(2,964,538)

134,682

13.2

Enbridge,

Inc.

(46,715)

(1,701,769)

(12,000)

(1.2)

Fortis,

Inc.

(31,814)

(1,380,455)

(38,561)

(3.8)

Franco-Nevada

Corp.

(17,020)

(2,132,951)

(44,976)

(4.4)

Gildan

Activewear,

Inc.

(48,501)

(1,484,323)

32,173

3.1

Innergex

Renewable

Energy,

Inc.

(130,100)

(2,274,447)

22,106

2.2

Onex

Corp.

(33,736)

(2,098,198)

84,946

8.3

Restaurant

Brands

International,

Inc.

(44,454)

(2,891,084)

(43,091)

(4.2)

Shopify,

Inc.

(1,594)

(1,759,818)

81,089

7.9

Suncor

Energy,

Inc.

(77,181)

(1,613,388)

147,544

14.4

TC

Energy

Corp.

(30,558)

(1,400,849)

10,923

1.1

Thomson

Reuters

Corp.

(32,019)

(2,804,943)

(17,083)

(1.7)

WSP

Global,

Inc.

(19,459)

(1,851,292)

51,435

5.0

182

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-2.30%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

47-63

months

maturity

ranging

from

01/21/2025

-

03/27/2026

$179,273,544

$1,063,851

$249,801

$1,313,652

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Australia

Rio

Tinto

plc

33,680

2,569,386

42,274

3.2

Russia

Evraz

plc

335,349

2,670,652

173,290

13.2

South

Africa

Anglo

American

plc

69,373

2,717,191

(35,975)

(2.7)

Investec

plc

565,982

1,710,892

(79,825)

(6.1)

Switzerland

Coca-Cola

HBC

AG

94,579

3,006,132

(35,087)

(2.7)

United

Kingdom

Aggreko

plc

137,592

1,662,387

(13,612)

(1.0)

ASOS

plc

47,124

3,594,600

(48,792)

(3.7)

Auto

Trader

Group

plc

296,854

2,269,755

(40,852)

(3.1)

Aviva

plc

615,669

3,470,337

144,464

11.0

BAE

Systems

plc

287,173

1,999,894

20,962

1.6

boohoo

Group

plc

596,309

2,792,167

114,014

8.7

Britvic

plc

168,458

1,939,503

10,504

0.8

BT

Group

plc

2,076,302

4,429,402

81,725

6.2

DCC

plc

35,454

3,075,272

126,503

9.6

DS

Smith

plc

340,372

1,912,647

44,867

3.4

Hays

plc

945,132

1,947,340

(120,847)

(9.2)

JD

Sports

Fashion

plc

171,128

1,945,347

(83,530)

(6.4)

Kingfisher

plc

669,194

2,933,105

52,569

4.0

M&G

plc

1,690,388

4,830,568

(133,185)

(10.1)

Marks

&

Spencer

Group

plc

1,919,595

3,990,029

(193,372)

(14.7)

Rightmove

plc

167,472

1,343,904

61,172

4.7

Royal

Mail

plc

1,275,310

8,875,845

(225,448)

(17.2)

Tate

&

Lyle

plc

268,281

2,830,305

16,105

1.2

Vodafone

Group

plc

779,477

1,421,436

(42,503)

(3.2)

Wm

Morrison

Supermarkets

plc

628,804

1,581,487

42,487

3.2

183

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(68,123)

(1,306,349)

116,129

8.8

Barratt

Developments

plc

(154,719)

(1,591,442)

19,674

1.5

Burberry

Group

plc

(64,715)

(1,692,934)

176,277

13.4

Croda

International

plc

(18,849)

(1,649,218)

(18,973)

(1.4)

Diageo

plc

(59,631)

(2,449,732)

43,846

3.3

easyJet

plc

(116,565)

(1,571,907)

85,542

6.5

Halma

plc

(56,527)

(1,849,377)

(54,205)

(4.1)

Hargreaves

Lansdown

plc

(186,193)

(3,956,164)

72,660

5.5

HomeServe

plc

(99,612)

(1,649,364)

(43,920)

(3.3)

HSBC

Holdings

plc

(266,241)

(1,551,833)

28,740

2.2

Informa

plc

(373,832)

(2,886,420)

77,135

5.9

InterContinental

Hotels

Group

plc

(21,251)

(1,461,418)

35,971

2.7

Intermediate

Capital

Group

plc

(68,443)

(1,737,724)

47,705

3.6

Legal

&

General

Group

plc

(426,058)

(1,635,858)

10,036

0.8

Prudential

plc

(356,913)

(7,603,157)

(37,853)

(2.9)

Reckitt

Benckiser

Group

plc

(17,466)

(1,563,388)

(39,061)

(3.0)

RELX

plc

(97,293)

(2,440,186)

(61,958)

(4.7)

Rentokil

Initial

plc

(668,826)

(4,465,344)

27,995

2.1

Rolls-Royce

Holdings

plc

(1,991,473)

(2,892,024)

535,681

40.8

Spirax-Sarco

Engineering

plc

(10,356)

(1,627,116)

7,088

0.5

St

James's

Place

plc

(139,978)

(2,457,497)

(44,348)

(3.4)

Taylor

Wimpey

plc

(1,424,596)

(3,541,978)

38,346

2.9

Weir

Group

plc

(The)

(89,651)

(2,197,371)

23,400

1.8

Whitbread

plc

(51,610)

(2,436,274)

11,721

0.9

United

States

Ferguson

plc

(12,476)

(1,490,321)

37,819

2.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.40%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

48-61

months

maturity

ranging

from

02/25/2025

-

03/27/2026

$25,489,121

$(237,746)

$6,237

$(231,509)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

China

Wilmar

International

Ltd.

499,200

2,016,089

53,147

(23.0)

Yangzijiang

Shipbuilding

Holdings

Ltd.

4,280,900

4,084,460

125,400

(54.2)

184

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

ComfortDelGro

Corp.

Ltd.

1,952,800

2,488,833

60,614

(26.2)

Genting

Singapore

Ltd.

1,760,100

1,205,929

8,651

(3.7)

Jardine

Cycle

&

Carriage

Ltd.

33,700

565,343

11,463

(5.0)

Singapore

Airlines

Ltd.

34,100

140,820

(761)

0.3

Venture

Corp.

Ltd.

148,200

2,212,989

12,537

(5.4)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(510,200)

(1,429,538)

(181,049)

78.2

City

Developments

Ltd.

(329,600)

(1,960,334)

(111,370)

48.1

Keppel

Corp.

Ltd.

(416,100)

(1,648,532)

(53,458)

23.1

SATS

Ltd.

(236,900)

(767,296)

23,481

(10.1)

Singapore

Technologies

Engineering

Ltd.

(73,800)

(213,764)

(3,097)

1.3

Singapore

Telecommunications

Ltd.

(3,467,800)

(6,301,198)

(167,171)

72.2

UOL

Group

Ltd.

(77,200)

(453,996)

(16,133)

7.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.88%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

3-40

months

maturity

05/18/2021

$65,586,395

$(970,499)

$(72,509)

$(1,043,008)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Austria

ams

AG

73,961

1,472,618

(6,337)

0.6

Switzerland

Adecco

Group

AG

(Registered)

32,255

2,175,661

21,936

(2.1)

Baloise

Holding

AG

(Registered)

1,421

241,644

3,567

(0.3)

BKW

AG

11,695

1,273,211

(55,947)

5.4

Bucher

Industries

AG

(Registered)

1,053

536,575

3,394

(0.3)

Cie

Financiere

Richemont

SA

(Registered)

3,137

301,225

3,188

(0.3)

Credit

Suisse

Group

AG

(Registered)

172,902

1,829,193

(381,963)

36.6

DKSH

Holding

AG

16,438

1,262,172

(4,387)

0.4

dormakaba

Holding

AG

1,442

984,991

13,111

(1.3)

Flughafen

Zurich

AG

(Registered)

6,928

1,139,853

(39,268)

3.8

Georg

Fischer

AG

(Registered)

555

741,721

(4,332)

0.4

Helvetia

Holding

AG

(Registered)

2,370

278,209

7,507

(0.7)

185

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Julius

Baer

Group

Ltd.

1,703

108,828

3,036

(0.3)

LafargeHolcim

Ltd.

(Registered)

16,980

998,508

44,575

(4.3)

Novartis

AG

(Registered)

5,663

484,077

1,515

(0.1)

Roche

Holding

AG

526

170,394

(2,696)

0.3

Sonova

Holding

AG

(Registered)

9,740

2,581,832

56,868

(5.5)

Sulzer

AG

(Registered)

10,301

1,160,300

(2,727)

0.3

Swatch

Group

AG

(The)

3,873

1,115,186

(21,640)

2.1

Swiss

Life

Holding

AG

(Registered)

2,517

1,236,946

33,072

(3.2)

Swisscom

AG

(Registered)

4,258

2,284,489

98,116

(9.4)

Tecan

Group

AG

(Registered)

3,496

1,550,965

162,005

(15.5)

UBS

Group

AG

(Registered)

164,848

2,550,444

3,759

(0.4)

Vifor

Pharma

AG

1,762

239,795

6,193

(0.6)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(23,867)

(726,069)

(4,763)

0.5

Alcon,

Inc.

(3,196)

(224,281)

(8,809)

0.8

Bachem

Holding

AG

(Registered)

(2,123)

(909,024)

(80,639)

7.7

Banque

Cantonale

Vaudoise

(Registered)

(9,505)

(927,435)

38,057

(3.6)

Barry

Callebaut

AG

(Registered)

(583)

(1,319,961)

(50,377)

4.8

Belimo

Holding

AG

(Registered)

(180)

(1,455,290)

(99,687)

9.6

Chocoladefabriken

Lindt

&

Spruengli

AG

(211)

(1,838,063)

(8,927)

0.9

Clariant

AG

(Registered)

(18,056)

(364,316)

5,954

(0.6)

Dufry

AG

(Registered)

(35,660)

(2,433,094)

74,901

(7.2)

EMS-Chemie

Holding

AG

(Registered)

(1,887)

(1,685,688)

(32,665)

3.1

Geberit

AG

(Registered)

(3,582)

(2,279,747)

(77,135)

7.4

Givaudan

SA

(Registered)

(637)

(2,457,065)

(55,339)

5.3

Idorsia

Ltd.

(105,776)

(2,837,530)

127,302

(12.2)

Kuehne

+

Nagel

International

AG

(Registered)

(2,822)

(806,037)

(21,029)

2.0

Logitech

International

SA

(Registered)

(10,533)

(1,104,640)

(79,696)

7.6

Lonza

Group

AG

(Registered)

(13)

(7,271)

280

(0.0)

Nestle

SA

(Registered)

(34,114)

(3,802,906)

(128,222)

12.3

OC

Oerlikon

Corp.

AG

(Registered)

(55,428)

(641,501)

(4,587)

0.4

Partners

Group

Holding

AG

(1,534)

(1,960,338)

(112,777)

10.8

Schindler

Holding

AG

(4,103)

(1,205,499)

(46,936)

4.5

SIG

Combibloc

Group

AG

(102,291)

(2,363,440)

(89,528)

8.6

Sika

AG

(Registered)

(6,278)

(1,795,222)

(48,747)

4.7

Straumann

Holding

AG

(Registered)

(568)

(709,159)

(41,915)

4.0

Swiss

Re

AG

(22,816)

(2,243,796)

(51,218)

4.9

Temenos

AG

(Registered)

(9,140)

(1,318,800)

(51,803)

5.0

VAT

Group

AG

(5,185)

(1,451,386)

(64,739)

6.2

186

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.75%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-49

months

maturity

02/17/2022

$32,640,679

$(351,619)

$51,637

$(299,982)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Denmark

AP

Moller

-

Maersk

A/S

180

417,873

29,817

(9.9)

Carlsberg

A/S

23,372

3,584,320

(34,657)

11.6

Coloplast

A/S

357

53,674

1,052

(0.4)

Danske

Bank

A/S

4,102

76,738

(979)

0.3

Demant

A/S

19,162

811,139

31,912

(10.6)

Genmab

A/S

210

69,068

602

(0.2)

GN

Store

Nord

A/S

25,715

2,023,998

90,171

(30.1)

H

Lundbeck

A/S

41,550

1,418,784

(85,880)

28.6

Jyske

Bank

A/S

(Registered)

7,782

371,352

25,153

(8.4)

Pandora

A/S

54,723

5,852,593

152,768

(50.9)

ROCKWOOL

International

A/S

2,870

1,207,973

127,047

(42.4)

Royal

Unibrew

A/S

8,249

862,298

6,625

(2.2)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(37,777)

(1,774,107)

(161,861)

54.0

Chr

Hansen

Holding

A/S

(30,770)

(2,794,981)

(83,580)

27.9

DSV

Panalpina

A/S

(11,510)

(2,257,613)

(147,809)

49.3

ISS

A/S

(50,304)

(937,523)

30,368

(10.1)

Novo

Nordisk

A/S

(9,038)

(609,013)

26,752

(8.9)

Novozymes

A/S

(32,311)

(2,067,475)

(56,511)

18.8

Orsted

A/S

(21,287)

(3,437,113)

(216,409)

72.1

SimCorp

A/S

(5,968)

(738,936)

(7,567)

2.5

Tryg

A/S

(41,534)

(978,912)

(32,050)

10.7

Vestas

Wind

Systems

A/S

(1,431)

(295,196)

(46,583)

15.5

187

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-49

months

maturity

11/11/2021

$374,093,417

$4,507,850

$8,038,865

$12,546,715

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

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

Stocks

Belgium

Ageas

SA/NV

77,617

4,686,995

151,023

1.2

Proximus

SADP

188,307

4,097,170

89,503

0.7

Finland

Fortum

OYJ

127,500

3,405,404

39,038

0.3

Valmet

OYJ

73,453

2,674,476

75,755

0.6

France

BNP

Paribas

SA

53,506

3,260,084

17,592

0.1

Cie

de

Saint-Gobain

125,257

7,396,620

280,439

2.2

Electricite

de

France

SA

408,812

5,483,895

107,780

0.9

Engie

SA

245,590

3,488,686

13,175

0.1

Orange

SA

377,256

4,642,498

20,413

0.2

Rexel

SA

135,382

2,679,770

59,635

0.5

Rubis

SCA

70,784

3,349,864

1,512

0.0

Germany

Brenntag

SE

47,616

4,067,783

150,695

1.2

Deutsche

Post

AG

(Registered)

98,062

5,379,767

159,810

1.3

ProSiebenSat.1

Media

SE

179,101

3,657,615

(173,148)

(1.4)

Volkswagen

AG

(Preference)

12,164

3,404,956

124,349

1.0

Luxembourg

ArcelorMittal

SA

91,800

2,642,136

237,524

1.9

Eurofins

Scientific

SE

27,610

2,638,972

66,877

0.5

Netherlands

ASR

Nederland

NV

122,209

5,462,135

213,572

1.7

Koninklijke

Ahold

Delhaize

NV

180,343

5,030,280

184,467

1.5

NN

Group

NV

58,308

2,844,348

85,345

0.7

Randstad

NV

70,822

4,971,345

(91,129)

(0.7)

Signify

NV

119,546

6,148,632

641,534

5.1

Spain

Endesa

SA

125,065

3,314,518

127,230

1.0

Mapfre

SA

1,247,844

2,599,922

54,938

0.4

Repsol

SA

282,273

3,503,564

(38,415)

(0.3)

188

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(73,502)

(4,620,545)

(22,336)

(0.2)

Finland

Elisa

OYJ

(46,049)

(2,762,192)

(3,984)

(0.0)

Sampo

OYJ

(58,804)

(2,651,484)

(118,281)

(0.9)

France

Accor

SA

(85,357)

(3,215,900)

179,602

1.4

Aeroports

de

Paris

(22,388)

(2,670,860)

151,683

1.2

Airbus

SE

(40,684)

(4,614,272)

185,250

1.5

Edenred

(77,756)

(4,059,938)

179,363

1.4

Orpea

SA

(24,752)

(2,866,241)

19,820

0.2

Pernod

Ricard

SA

(17,738)

(3,320,185)

43,892

0.3

Remy

Cointreau

SA

(14,174)

(2,617,941)

110,909

0.9

Renault

SA

(64,077)

(2,770,808)

210,488

1.7

Safran

SA

(23,420)

(3,185,765)

175,517

1.4

Sartorius

Stedim

Biotech

(8,016)

(3,298,972)

(77,311)

(0.6)

Suez

SA

(153,422)

(3,249,325)

(7,521)

(0.1)

Germany

adidas

AG

(10,705)

(3,344,145)

225,784

1.8

Delivery

Hero

SE

(19,450)

(2,521,055)

(114,464)

(0.9)

Deutsche

Telekom

AG

(Registered)

(123,906)

(2,497,132)

(79,862)

(0.6)

MTU

Aero

Engines

AG

(13,233)

(3,117,252)

79,346

0.6

SAP

SE

(22,857)

(2,803,564)

(42,802)

(0.3)

Netherlands

ASML

Holding

NV

(4,146)

(2,543,858)

(289,595)

(2.3)

IMCD

NV

(18,841)

(2,611,948)

(69,872)

(0.6)

Koninklijke

KPN

NV

(1,227,227)

(4,162,814)

30,483

0.2

Spain

Aena

SME

SA

(19,960)

(3,238,274)

113,848

0.9

Cellnex

Telecom

SA

(139,409)

(8,036,679)

(538,768)

(4.3)

Ferrovial

SA

(257,673)

(6,733,238)

(82,137)

(0.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-49

months

maturity

02/17/2022

$15,751,609

$80,339

$(37,002)

$43,337

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

189

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

58,825

3,064,461

78,329

180.7

Norway

DNB

ASA

21,597

460,511

(7,346)

(17.0)

Equinor

ASA

78,037

1,523,262

(20,846)

(48.1)

Leroy

Seafood

Group

ASA

42,657

364,586

4,474

10.3

Norsk

Hydro

ASA

316,214

2,031,030

113,385

261.6

Salmar

ASA

4,582

316,052

4,919

11.4

United

Kingdom

Subsea

7

SA

52,136

523,783

(37,403)

(86.3)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(14,060)

(1,116,922)

(28,303)

(65.3)

France

Adevinta

ASA

(78,167)

(1,151,745)

7,926

18.3

Norway

Gjensidige

Forsikring

ASA

(37,277)

(874,230)

(2,970)

(6.9)

Mowi

ASA

(34,830)

(865,062)

(10,206)

(23.5)

Schibsted

ASA

(18,204)

(765,130)

10,407

24.0

Telenor

ASA

(52,517)

(925,233)

6,618

15.3

TOMRA

Systems

ASA

(40,767)

(1,769,602)

(38,645)

(89.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-49

months

maturity

02/17/2022

$58,252,839

$(612,719)

$238,857

$(373,862)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

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

Stocks

Finland

Nordea

Bank

Abp

50,324

496,207

15,566

(4.2)

Sweden

Alfa

Laval

AB

6,606

199,656

(6,354)

1.7

Axfood

AB

45,107

1,078,261

16,851

(4.5)

Boliden

AB

31,309

1,161,668

(21,073)

5.6

Electrolux

AB

57,109

1,587,695

11,844

(3.2)

190

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Elekta

AB

19,759

256,322

(4,714)

1.3

Essity

AB

68,791

2,174,150

32,644

(8.7)

Getinge

AB

152,650

4,239,525

159,727

(42.7)

Hexpol

AB

5,071

57,264

2,616

(0.7)

ICA

Gruppen

AB

30,450

1,489,050

44,519

(11.9)

Saab

AB

31,321

858,065

4,294

(1.1)

Sandvik

AB

50,711

1,387,550

14,879

(4.0)

Securitas

AB

262,497

4,464,480

66,113

(17.7)

Skandinaviska

Enskilda

Banken

AB

14,253

173,865

1,547

(0.4)

Skanska

AB

66,292

1,662,579

(17,449)

4.7

SKF

AB

126,310

3,594,090

(63,864)

17.1

SSAB

AB

5,741

30,357

2,788

(0.7)

Swedbank

AB

19,785

348,847

(12,758)

3.4

Swedish

Orphan

Biovitrum

AB

124,707

1,994,303

(82,993)

22.2

Telefonaktiebolaget

LM

Ericsson

51,765

686,158

5,488

(1.5)

Trelleborg

AB

49,543

1,260,045

17,723

(4.7)

Volvo

AB

18,691

473,350

(33,868)

9.1

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(20,403)

(785,061)

14,870

(4.0)

Sweden

AAK

AB

(35,424)

(802,081)

(22,092)

5.9

Assa

Abloy

AB

(41,641)

(1,198,444)

(69,158)

18.5

Atlas

Copco

AB

(15,927)

(971,025)

(56,486)

15.1

BillerudKorsnas

AB

(49,291)

(916,817)

(38,992)

10.4

Embracer

Group

AB

(1,166)

(32,033)

(395)

0.1

Epiroc

AB

(38,072)

(862,490)

(49,566)

13.3

EQT

AB

(94,365)

(3,106,850)

(338,670)

90.6

Evolution

Gaming

Group

AB

(3,765)

(554,453)

(57,554)

15.4

H

&

M

Hennes

&

Mauritz

AB

(1,098)

(24,745)

621

(0.2)

Hexagon

AB

(15,279)

(1,410,379)

(73,405)

19.6

Holmen

AB

(38,743)

(1,700,730)

(30,856)

8.3

Husqvarna

AB

(8,995)

(129,678)

(2,397)

0.6

Indutrade

AB

(66,340)

(1,531,799)

34,057

(9.1)

Lifco

AB

(14,246)

(1,323,609)

64,398

(17.2)

Nibe

Industrier

AB

(85,737)

(2,658,996)

22,663

(6.1)

Sinch

AB

(3,804)

(668,652)

(46,390)

12.4

Svenska

Cellulosa

AB

SCA

(243,218)

(4,304,979)

838

(0.2)

Svenska

Handelsbanken

AB

(29,740)

(323,310)

15,162

(4.1)

Sweco

AB

(73,514)

(1,199,764)

(33,477)

9.0

Swedish

Match

AB

(30,803)

(2,402,979)

(69,880)

18.7

Tele2

AB

(36,582)

(493,489)

(7,912)

2.1

Telia

Co.

AB

(271,460)

(1,176,989)

(21,624)

5.8

191

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

March

31,

2021

(Unaudited)

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System  Depository

Interest

CVA

-

Dutch

Certification

CVR

-

Contingent

Value

Rights

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

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TRY

-

Turkish

Lira

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BNPP

-

BNP

Paribas

SA

CITI

-

Citibank

NA

DTBK

-

Deutsche

Bank

AG

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

192

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

See

notes

to

Schedule

of

Investments.

March

31,

2021

(Unaudited)

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

London

Interbank

Offered

Rate

(“LIBOR”):

0.11%

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.19%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

-0.71%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.11%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

-0.04%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.01%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.03%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate:

-0.04%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.41%

Canadian

Dollar

Offered

Rate

(“CDOR”):

0.41%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.26%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.56%

Euro

Overnight

Index

Average

(“EONIA”):

-0.49%

Federal

Funds

Floating

Rate:

0.06%

GBP/USD

1

Week

Forward

FX

Swap

Rate:

0.30%

HKD/USD

1

Month

Forward

FX

Swap

Rate:

0.13%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

0.13%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

0.01%

JPY/USD

1

Week

Forward

Swap

Rate:

-0.09

%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

4.29%

Norway

Interbank

Offered

Rate

("NIBOR"):

0.24%

Overnight

Bank

Funding

Rate

("OBFR"):

0.05%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.03%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

0.28%

Singapore

Swap

Offered

Rate

(“SOR”):

0.32%

Sterling

Overnight

Index

Average

(“SONIA”):

0.05%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.06%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.72%

Tokyo

Overnight

Average

Rate

(“TONAR”):  -0.04%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

0.09%

193

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

The

Consolidated

Schedules

of

Investments

of AQR

Global

Macro

Fund,

AQR

Alternative

Risk

Premia

Fund, AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

MV

Fund

and

AQR

Style

Premia

Alternative

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Global

Macro

Offshore

Fund

Ltd.,

AQR

Alternative

Risk

Premia Offshore Fund

Ltd.,

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-

Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.

and

 AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

Subsequent

references

to

the

Funds

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

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. Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

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.

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.

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.

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

52,807,117

$

42,258,947

$

–

$

95,066,064

Preferred

Stocks

†

................................

175,651

–

–

175,651

Short-Term

Investments

...........................

53,888,346

26,290,374

–

80,178,720

Futures

Contracts*

...............................

2,015,425

–

–

2,015,425

Forward

Foreign

Currency

Exchange

Contracts*

........

–

4,586,493

–

4,586,493

Interest

Rate

Swap

Contracts*

......................

–

3,947,750

–

3,947,750

Total

Return

Swaps

Contracts*

......................

–

654,827

–

654,827

Total

Assets

$

108,886,539

$

77,738,391

$

–

$

186,624,930

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(44,541,706)

$

(35,880,065)

$

–

(a)

$

(80,421,771)

Warrants

(Sold

Short)

............................

(2,682)

–

–

(2,682)

Futures

Contracts*

...............................

(1,120,568)

–

–

(1,120,568)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,751,346)

–

(4,751,346)

Interest

Rate

Swap

Contracts*

......................

–

(3,315,225)

–

(3,315,225)

Total

Return

Swaps

Contracts*

......................

–

(127,937)

–

(127,937)

Total

Liabilities

$

(45,664,956)

$

(44,074,573)

$

–

(a)

$

(89,739,529)

194

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

................................

$

349,462,055

$

13,634,877

$

1,721,435

$

364,818,367

Convertible

Preferred

Stocks

.......................

–

6,738,774

–

6,738,774

Corporate

Bonds

................................

–

6,253,189

760,992

7,014,181

Convertible

Bonds

...............................

–

451,401,757

–

451,401,757

Closed

End

Funds

...............................

21,079,338

–

–

21,079,338

Rights

........................................

622,847

–

232,732

855,579

Securities

in

Litigation

............................

–

–

336,455

336,455

Warrants

......................................

43,085,980

711,780

258,411

44,056,171

Short-Term

Investments

...........................

181,117,337

181,893,943

–

363,011,280

Futures

Contracts*

...............................

555,446

–

–

555,446

Forward

Foreign

Currency

Exchange

Contracts*

........

–

808,975

–

808,975

Total

Return

Basket

Swaps

Contracts*

................

–

30,909,659

–

30,909,659

Total

Assets

$

595,923,003

$

692,352,954

$

3,310,025

$

1,291,585,982

LIABILITIES

Common

Stocks

(Sold

Short)

......................

$

(284,293,579)

$

(5,712,989)

$

–

(a)

$

(290,006,568)

Convertible

Bonds

(Sold

Short)

.....................

–

(22,124,898)

–

(22,124,898)

U.S.

Treasury

Obligations

(Sold

Short)

...............

–

(1,750,020)

–

(1,750,020)

Futures

Contracts*

...............................

(545,133)

–

–

(545,133)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(284,287)

–

(284,287)

Credit

Default

Swap

Contracts*

.....................

–

(1,903,252)

–

(1,903,252)

Total

Return

Basket

Swaps

Contracts*

................

–

(1,028,795)

–

(1,028,795)

Total

Liabilities

$

(284,838,712)

$

(32,804,241)

$

–

(a)

$

(317,642,953)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

...........................

$

23,150,922

$

–

$

–

$

23,150,922

Short-Term

Investments

...........................

442,410

–

–

442,410

Total

Assets

$

23,593,332

$

–

$

–

$

23,593,332

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

579,899

$

4,602,517

$

–

$

5,182,416

Short-Term

Investments

...........................

29,682,161

25,207,683

–

54,889,844

Futures

Contracts*

...............................

31,136

–

–

31,136

Forward

Foreign

Currency

Exchange

Contracts*

........

–

31,271

–

31,271

Total

Return

Basket

Swaps

Contracts*

................

–

3,063,279

–

3,063,279

Total

Assets

$

30,293,196

$

32,904,750

$

–

$

63,197,946

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

–

$

(5,060,782)

$

–

$

(5,060,782)

Rights

(Sold

Short)

†

..............................

–

–

(7)

(7)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(20,689)

–

(20,689)

Total

Return

Basket

Swaps

Contracts*

................

–

(249,506)

–

(249,506)

Total

Liabilities

$

–

$

(5,330,977)

$

(7)

$

(5,330,984)

195

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

AQR

GLOBAL

MACRO

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

13,992,096

$

11,351,663

$

–

$

25,343,759

Futures

Contracts*

...............................

1,028,851

–

–

1,028,851

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,787,891

–

1,787,891

Interest

Rate

Swap

Contracts*

......................

–

2,170,080

–

2,170,080

Total

Return

Swaps

Contracts*

......................

–

141,991

–

141,991

Total

Assets

$

15,020,947

$

15,451,625

$

–

$

30,472,572

LIABILITIES

Futures

Contracts*

...............................

$

(845,877)

$

–

$

–

$

(845,877)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,330,005)

–

(1,330,005)

Interest

Rate

Swap

Contracts*

......................

–

(1,948,574)

–

(1,948,574)

Total

Return

Swaps

Contracts*

......................

–

(86,206)

–

(86,206)

Total

Liabilities

$

(845,877)

$

(3,364,785)

$

–

$

(4,210,662)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

92,131,147

$

160,033,262

$

–

$

252,164,409

Futures

Contracts*

...............................

1,310,340

–

–

1,310,340

Forward

Foreign

Currency

Exchange

Contracts*

........

–

139,177

–

139,177

Total

Return

Basket

Swaps

Contracts*

................

–

17,049,958

–

17,049,958

Total

Return

Swaps

Contracts*

......................

–

609,741

–

609,741

Total

Assets

$

93,441,487

$

177,832,138

$

–

$

271,273,625

LIABILITIES

Futures

Contracts*

...............................

$

(60,333)

$

–

$

–

$

(60,333)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,424,714)

–

(1,424,714)

Total

Return

Basket

Swaps

Contracts*

................

–

(1,034,631)

–

(1,034,631)

Total

Return

Swaps

Contracts*

......................

–

(327)

–

(327)

Total

Liabilities

$

(60,333)

$

(2,459,672)

$

–

$

(2,520,005)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

228,186,018

$

1,581,387,210

$

–

$

1,809,573,228

Futures

Contracts*

...............................

31,000,552

–

–

31,000,552

Forward

Foreign

Currency

Exchange

Contracts*

........

–

52,456,893

–

52,456,893

Total

Return

Swaps

Contracts*

......................

–

5,135,475

–

5,135,475

Total

Assets

$

259,186,570

$

1,638,979,578

$

–

$

1,898,166,148

LIABILITIES

Futures

Contracts*

...............................

$

(32,942,560)

$

–

$

–

$

(32,942,560)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(52,166,893)

–

(52,166,893)

Total

Return

Swaps

Contracts*

......................

–

(3,395,972)

–

(3,395,972)

Total

Liabilities

$

(32,942,560)

$

(55,562,865)

$

–

$

(88,505,425)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

20,137,902

$

91,773,678

$

–

$

111,911,580

Futures

Contracts*

...............................

2,989,130

–

–

2,989,130

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,011,014

–

5,011,014

Total

Return

Swaps

Contracts*

......................

–

416,188

–

416,188

Total

Assets

$

23,127,032

$

97,200,880

$

–

$

120,327,912

LIABILITIES

Futures

Contracts*

...............................

$

(3,224,481)

$

–

$

–

$

(3,224,481)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,951,379)

–

(4,951,379)

Total

Return

Swaps

Contracts*

......................

–

(277,481)

–

(277,481)

Total

Liabilities

$

(3,224,481)

$

(5,228,860)

$

–

$

(8,453,341)

196

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

48,426,320

$

24,265,349

$

–

$

72,691,669

Preferred

Stocks

†

................................

30,698

–

–

30,698

Foreign

Government

Securities

.....................

–

14,108,340

–

14,108,340

U.S.

Treasury

Obligations

.........................

–

19,963,397

–

19,963,397

Short-Term

Investments

...........................

28,948,681

32,538,222

–

61,486,903

Futures

Contracts*

...............................

1,787,629

–

–

1,787,629

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,774,621

–

2,774,621

Total

Return

Swaps

Contracts*

......................

–

422,276

–

422,276

Total

Assets

$

79,193,328

$

94,072,205

$

–

$

173,265,533

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(9,452,102)

$

(7,191,632)

$

–

$

(16,643,734)

Reverse

Repurchase

Agreements

...................

–

(16,127,268)

–

(16,127,268)

Futures

Contracts*

...............................

(4,068,724)

–

–

(4,068,724)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,913,390)

–

(1,913,390)

Total

Return

Swaps

Contracts*

......................

–

(159,947)

–

(159,947)

Total

Liabilities

$

(13,520,826)

$

(25,392,237)

$

–

$

(38,913,063)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

53,997,021

$

47,291,824

$

–

$

101,288,845

Futures

Contracts*

...............................

12,014,209

–

–

12,014,209

Total

Return

Swaps

Contracts*

......................

–

1,057,624

–

1,057,624

Total

Assets

$

66,011,230

$

48,349,448

$

–

$

114,360,678

LIABILITIES

Futures

Contracts*

...............................

$

(9,306,781)

$

–

$

–

$

(9,306,781)

Total

Return

Swaps

Contracts*

......................

–

(635,300)

–

(635,300)

Total

Liabilities

$

(9,306,781)

$

(635,300)

$

–

$

(9,942,081)

AQR

RISK

PARITY

II

MV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

.....................

$

–

$

12,318,286

$

–

$

12,318,286

U.S.

Treasury

Obligations

.........................

–

20,173,152

–

20,173,152

Short-Term

Investments

...........................

27,063,094

24,196,132

–

51,259,226

Futures

Contracts*

...............................

1,113,266

–

–

1,113,266

Forward

Foreign

Currency

Exchange

Contracts*

........

–

423,114

–

423,114

Total

Return

Swaps

Contracts*

......................

–

531,082

–

531,082

Total

Assets

$

28,176,360

$

57,641,766

$

–

$

85,818,126

LIABILITIES

Futures

Contracts*

...............................

$

(2,619,184)

$

–

$

–

$

(2,619,184)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(14,020)

–

(14,020)

Total

Return

Swaps

Contracts*

......................

–

(218,113)

–

(218,113)

Total

Liabilities

$

(2,619,184)

$

(232,133)

$

–

$

(2,851,317)

197

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

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.

The

following

tables

include

a

rollforward

of

the

balances

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

period

for

each

Fund

that

held

Level

3

securities

that

were

considered

quantitatively

significant:

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

................................

$

4,822,183

$

28,646,408

$

–

$

33,468,591

Short-Term

Investments

...........................

280,803,844

348,285,282

–

629,089,126

Futures

Contracts*

...............................

19,732,157

–

–

19,732,157

Forward

Foreign

Currency

Exchange

Contracts*

........

–

17,554,356

–

17,554,356

Interest

Rate

Swap

Contracts*

......................

–

26,717,027

–

26,717,027

Total

Return

Basket

Swaps

Contracts*

................

–

46,707,904

–

46,707,904

Total

Return

Swaps

Contracts*

......................

–

9,337,255

–

9,337,255

Total

Assets

$

305,358,184

$

477,248,232

$

–

$

782,606,416

LIABILITIES

Common

Stocks

(Sold

Short)

†

......................

$

(3,923,436)

$

(35,196,877)

$

(3)

$

(39,120,316)

Rights

(Sold

Short)

†

..............................

–

–

(255)

(255)

Futures

Contracts*

...............................

(16,746,939)

–

–

(16,746,939)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(21,140,874)

–

(21,140,874)

Interest

Rate

Swap

Contracts*

......................

–

(19,163,385)

–

(19,163,385)

Total

Return

Basket

Swaps

Contracts*

................

–

(2,463,367)

–

(2,463,367)

Total

Return

Swaps

Contracts*

......................

–

(1,483,429)

–

(1,483,429)

Total

Liabilities

$

(20,670,375)

$

(79,447,932)

$

(258)

$

(100,118,565)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap

and

forward

foreign

currency

exchange

contracts

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

are

reported

at

market

value.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

AQR

DIVERSIFIED

ARBITRAGE

FUND

COMMON

STOCKS

CORPORATE

BONDS

CONVERTIBLE

BONDS

PREFERRED

STOCKS

RIGHTS

WARRANTS

SECURITIES

IN

LITIGATION

SHORT

COMMON

STOCKS

Balance

as

of

December

31,

2020

..........

$

1,672,027

$

738,825

$

–(a)

$

543,155

$

232,292

$

18,091

$

316,441

$

–(a)

Accrued

discounts/

(premiums)

........

–

–

–

–

–

–

–

–

Realized

gain/(loss)

...

–

–

–(a)

794,350

–

–

–

–

Change

in

unrealized

appreciation/

(depreciation)

......

49,408

18,714

–(a)

(543,155)

440

22,453

62

–

Purchases

1

..........

–

3,453

–

–

–

–

19,952

–

Sales

2

..............

–

–

–

(794,350)

–

–

–

–

Transfers

into

Level

3

..

–

–

–

–

–

217,867

–

–

Transfers

out

of

Level

3

.

–

–

–

–

–

–

–

–

Balance

as

of

March

31,

2021

.............

$

1,721,435

$

760,992

$

–

$

–

$

232,732

$

258,411

$

336,455

$

–(a)

Change

in

Unrealized

appreciation/

(depreciation)

for

the

securities

still

held

at

March

31,

2021

....

$

49,408

$

14,657

$

–

$

–

$

440

$

22,453

$

1,060

$

–

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.

(a)

Security

has

zero

value.

198

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2021

March

31,

2021

(Unaudited)

The

fair

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

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.

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

AQR

Alternative

Risk

Premia

Fund,

AQR

Equity

Market

Neutral

Fund

and

AQR

Style

Premia

Alternative

Fund. 

For

more

information

on

the

Funds’

policy

regarding

the

valuation

of

investments

and

other

significant

accounting

policies,

please

refer

to

the

notes

to

the

financial

statements

as

disclosed

in

the

most

recent

semi-annual

and

annual

report.